0001752724-19-084418.txt : 20190729 0001752724-19-084418.hdr.sgml : 20190729 20190729161548 ACCESSION NUMBER: 0001752724-19-084418 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190531 FILED AS OF DATE: 20190729 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-04347 FILM NUMBER: 19981385 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6173467646 MAIL ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 FORMER COMPANY: FORMER CONFORMED NAME: GMO CORE TRUST DATE OF NAME CHANGE: 19900927 0000772129 S000025199 GMO Asset Allocation Bond Fund C000075099 Class III GMOBX C000075103 Class VI GABFX ACCESSION NUMBER: 0001752724-19-083095 NPORT-EX 1 NPORT_6168062022248110.htm GMO TRUST

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†

    Description   Value ($)  
    DEBT OBLIGATIONS — 95.9%

 

          U.S. Government — 95.9%  
    21,698,191     U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (a)     21,912,829  
    23,753,035     U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)     23,646,649  
    50,388,558     U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)     51,302,457  
    53,232,477     U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)     53,278,398  
    20,001,542     U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)     20,201,417  
    59,408,211     U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)     66,250,853  
    13,927,075     U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)     14,422,218  
    16,319,195     U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)     17,060,979  
    42,410,928     U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)     50,770,480  
    900,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.36%, due 04/30/20 (b)     899,956  
     

 

 

 
    Total U.S. Government     319,746,236  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $313,459,143)     319,746,236  
     

 

 

 

 

Shares /

Par Value†

    Description   Value ($)  
    MUTUAL FUNDS — 1.4%

 

          United States — 1.4%  
    Affiliated Issuers — 1.4%  
    919,892     GMO U.S. Treasury Fund     4,599,460  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $4,599,460)
    4,599,460  
     

 

 

 
          SHORT-TERM INVESTMENTS — 2.5%  
          Foreign Government Obligations — 2.0%  

JPY

    725,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/22/19     6,691,707  
     

 

 

 
          Money Market Funds — 0.5%  
    1,621,974     State Street Institutional Treasury Money Market Fund-Premier Class, 2.30% (c)     1,621,974  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $8,096,108)
    8,313,681  
     

 

 

 
    TOTAL INVESTMENTS — 99.8%
(Cost $326,154,711)
    332,659,377  
    Other Assets and Liabilities (net) — 0.2%     677,045  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $333,336,422  
     

 

 

 
 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation)
($)
 
08/06/2019   GS   AUD     1,020,000       USD       720,773       11,883  
06/04/2019   JPM   BRL     1,278,222       USD       324,364       (1,385
06/04/2019   MSCI   BRL     1,278,222       USD       323,200       (2,549
06/04/2019   BOA   CAD     6,351,601       USD       4,744,589       45,160  
07/17/2019   MSCI   CLP     977,895,500       USD       1,480,224       102,862  
07/16/2019   BOA   COP     5,049,180,000       USD       1,617,679       126,621  
06/13/2019   BOA   CZK     21,845,949       USD       960,135       15,444  
06/13/2019   BOA   HUF     399,709,818       USD       1,433,937       59,141  
06/10/2019   BCLY   IDR     4,748,289,000       USD       332,211       (477
06/10/2019   JPM   IDR     9,747,269,000       USD       676,096       (6,845
06/10/2019   MSCI   IDR     4,998,980,000       USD       350,000       (253
06/07/2019   BOA   JPY     309,704,425       USD       2,791,898       (66,722
07/22/2019   JPM   JPY     2,050,000,000       USD       18,448,903       (540,892
07/08/2019   DB   NOK     80,390,976       USD       9,331,758       134,359  
06/05/2019   MSCI   NZD     8,190,000       USD       5,583,926       226,029  
07/16/2019   BOA   PEN     928,480       USD       280,000       6,062  
06/13/2019   BCLY   PLN     3,619,555       USD       948,991       4,378  
07/30/2019   BCLY   RON     5,158,460       USD       1,211,148       (1,061
07/26/2019   JPM   RUB     105,204,304       USD       1,605,560       9,305  
06/13/2019   BOA   THB     39,264,845       USD       1,228,501       (12,439
06/11/2019   BCLY   TWD     37,950,300       USD       1,232,993       29,940  

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation)
($)
 
08/06/2019   BOA   USD     719,892       AUD       1,020,000       (11,002
06/04/2019   JPM   USD     324,917       BRL       1,278,222       832  
06/04/2019   MSCI   USD     324,364       BRL       1,278,222       1,385  
06/04/2019   BOA   USD     300,000       CAD       401,750       (2,753
06/04/2019   GS   USD     470,000       CAD       627,168       (5,970
06/04/2019   MSCI   USD     4,032,947       CAD       5,322,683       (94,794
07/17/2019   BCLY   USD     1,442,324       CLP       977,895,500       (64,961
07/16/2019   BCLY   USD     1,555,988       COP       5,049,180,000       (64,930
06/13/2019   BOA   USD     960,149       CZK       21,845,949       (15,458
06/13/2019   BOA   USD     1,398,289       HUF       399,709,818       (23,494
06/10/2019   BCLY   USD     329,353       IDR       4,748,289,000       3,334  
06/10/2019   JPM   USD     681,627       IDR       9,747,269,000       1,313  
06/10/2019   MSCI   USD     346,742       IDR       4,998,980,000       3,511  
06/07/2019   BOA   USD     1,350,000       JPY       149,197,460       27,115  
06/07/2019   GS   USD     1,444,415       JPY       160,506,965       37,090  
07/22/2019   CITI   USD     12,067,889       JPY       1,325,000,000       206,003  
07/08/2019   BCLY   USD     9,388,617       NOK       80,390,976       (191,218
06/05/2019   GS   USD     5,466,578       NZD       8,190,000       (108,682
07/16/2019   BCLY   USD     53,450       PEN       177,320       (1,133
07/16/2019   BOA   USD     227,060       PEN       751,160       (5,438
06/13/2019   GS   USD     740,945       PLN       2,816,414       (5,932
 


GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation)
($)
 
06/13/2019   MSCI     USD       210,000       PLN       803,141       (400
07/30/2019   BOA     USD       1,214,086       RON       5,158,460       (1,877
07/26/2019   BOA     USD       1,601,381       RUB       105,204,304       (5,126
06/13/2019   BCLY     USD       1,240,399       THB       39,264,845       540  
06/11/2019   JPM     USD       1,229,060       TWD       37,950,300       (26,007
07/30/2019   GS     USD       656,420       ZAR       9,520,439       (7,280
07/30/2019   BCLY     ZAR       9,520,439       USD       656,288       7,148  
           

 

 

 
            $ (209,623
           

 

 

 
 

 

As of May 31, 2019, 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:

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

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

 

(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.

 

(c)

The rate disclosed is the 7 day net yield as of May 31, 2019.

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

 

 

Currency Abbreviations:

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

HUF - Hungarian Forint

IDR - Indonesian Rupiah

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

THB - Thai Baht

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 
 


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          DEBT OBLIGATIONS — 46.0%  
          United States — 46.0%  
          Asset-Backed Securities — 7.1%  
    305,828     Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.59%, due 12/11/40     314,491  
    28,970,000     Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31     30,062,693  
    2,900,000     Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31     3,021,051  
    2,210,000     Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31     2,315,706  
    5,360,000     Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31     5,647,409  
    375,000     Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33     382,566  
    100,000     Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.69%, due 08/11/33     102,538  
    5,000,000     Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.69%, due 08/11/33     5,126,884  
     

 

 

 
    Total Asset-Backed Securities     46,973,338  
     

 

 

 
          U.S. Government — 23.7%  
    7,407,000     U.S. Treasury Bond, 3.75%, due 11/15/43     9,037,408  
    45,764,000     U.S. Treasury Bond, 3.38%, due 05/15/44 (a)     52,732,284  
    31,233,000     U.S. Treasury Note, 1.75%, due 11/30/21     31,107,336  
    22,406,000     U.S. Treasury Note, 2.50%, due 05/15/24     22,995,033  
    27,877,000     U.S. Treasury Note, 2.00%, due 08/15/25     27,872,644  
    12,515,000     U.S. Treasury Note, 2.25%, due 02/15/27     12,686,103  
     

 

 

 
    Total U.S. Government     156,430,808  
     

 

 

 
          U.S. Government Agency — 15.2%  
    26,338,000     Federal National Mortgage Association, TBA, 2.50%, due 06/18/34     26,343,659  
    18,612,000     Federal National Mortgage Association, TBA, 3.00%, due 06/13/49     18,694,192  
    12,225,000     Federal National Mortgage Association, TBA, 3.50%, due 06/13/49     12,470,694  
    18,308,000     Federal National Mortgage Association, TBA, 4.00%, due 06/13/49     18,894,428  
    23,241,000     Government National Mortgage Association, TBA, 3.50%, due 06/20/49     23,887,390  
     

 

 

 
    Total U.S. Government Agency     100,290,363  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $297,028,064)
    303,694,509  
     

 

 

 
Shares /
Par Value†
    Description   Value ($)  
          MUTUAL FUNDS — 44.7%  
          United States — 44.7%  
          Affiliated Issuers — 29.1%  
    1,293,541     GMO Emerging Country Debt Fund, Class IV     35,158,439  
    5,179,318     GMO Opportunistic Income Fund, Class VI     138,339,579  
    3,719,927     GMO U.S. Treasury Fund     18,599,633  
     

 

 

 
    Total Affiliated Issuers     192,097,651  
     

 

 

 
          Exchange-Traded Fund — 15.6%  
    852,362     iShares iBoxx $ Investment Grade Corporate Bond ETF     102,990,901  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $293,534,984)
    295,088,552  
     

 

 

 
      SHORT-TERM INVESTMENTS — 24.3%  
          Foreign Government Obligations — 23.6%  

JPY

    3,561,000,000     Japan Treasury Discount Bill, Zero Coupon, due 06/10/19     32,861,742  

JPY

    5,600,000,000     Japan Treasury Discount Bill, Zero Coupon, due 06/17/19     51,679,466  

JPY

    3,300,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/01/19     30,456,106  

JPY

    1,611,500,000     Japan Treasury Discount Bill, Zero Coupon, due 07/29/19     14,874,489  

JPY

    2,850,000,000     Japan Treasury Discount Bill, Zero Coupon, due 08/19/19     26,308,441  
     

 

 

 
    Total Foreign Government Obligations     156,180,244  
     

 

 

 
          Money Market Funds — 0.7%  
    4,750,677     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (b)     4,750,677  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $157,294,221)
    160,930,921  
     

 

 

 
    TOTAL INVESTMENTS — 115.0%
(Cost $747,857,269)
    759,713,982  
    Other Assets and Liabilities (net) — (15.0%)     (99,193,493
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $660,520,489  
     

 

 

 
 


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

 

Counter-

party

 

Currency
Sold

   

Currency
Purchased

    Net
Unreal-
ized
Appre-
ciation
(Depre-
ciation)
($)
 
08/06/2019   BCLY   AUD     1,139,000     USD     789,037       (2,557
08/06/2019   BOA   AUD     2,942,000     USD     2,038,615       (6,046
08/06/2019   GS   AUD     45,878,000     USD     32,218,450       333,691  
08/06/2019   JPM   AUD     2,780,000     USD     1,949,503       17,430  
06/04/2019   MSCI   BRL     16,233,170     USD     4,092,577       (44,370
07/02/2019   MSCI   BRL     8,116,585     USD     2,009,528       (53,737
06/17/2019   BCLY   CHF     31,964,199     USD     31,887,032       (77,007
09/04/2019   JPM   CHF     18,962,988     USD     19,010,000       (92,436
07/17/2019   MSCI   CLP     2,752,199,000     USD     4,140,579       264,116  
07/16/2019   BOA   COP     12,684,062,500     USD     4,063,777       318,086  
06/13/2019   BOA   CZK     54,466,912     USD     2,393,834       38,507  
08/23/2019   MSCI   EUR     5,050,000     USD     5,666,656       (12,475
06/17/2019   GS   GBP     2,037,000     USD     2,658,455       81,468  
06/13/2019   BOA   HUF     999,965,715     USD     3,587,321       147,954  
06/10/2019   BOA   IDR     9,001,408,000     USD     624,361       (6,321
06/10/2019   JPM   IDR     22,038,791,000     USD     1,528,667       (15,477
06/10/2019   MSCI   IDR     31,040,199,000     USD     2,162,282       (12,543
08/29/2019   BCLY   ILS     1,033,975     USD     288,340       1,471  
06/07/2019   BOA   JPY     245,404,320     USD     2,240,000       (25,120
06/07/2019   GS   JPY     383,878,216     USD     3,530,000       (13,256
06/10/2019   JPM   JPY     3,561,000,000     USD     32,088,745       (787,267
06/17/2019   GS   JPY     5,600,000,000     USD     50,856,200       (874,037
07/01/2019   JPM   JPY     3,300,000,000     USD     30,163,787       (355,626
07/29/2019   JPM   JPY     1,611,500,000     USD     14,507,770       (427,991
08/19/2019   BOA   JPY     2,850,000,000     USD     26,200,825       (255,102
06/10/2019   BCLY   KRW     1,396,440,000     USD     1,200,000       25,819  
06/10/2019   BOA   KRW     3,228,624,890     USD     2,771,947       57,194  
09/10/2019   BCLY   KRW     4,625,064,890     USD     3,899,389       (4,554
07/08/2019   BCLY   NOK     19,252,200     USD     2,200,000       (2,612
06/05/2019   MSCI   NZD     20,370,000     USD     13,889,265       563,216  
09/05/2019   GS   NZD     2,000,000     USD     1,304,280       (6,819
07/16/2019   BOA   PEN     2,288,040     USD     690,000       14,938  
06/07/2019   MSCI   PHP     49,449,350     USD     952,231       4,326  
09/09/2019   JPM   PHP     49,449,350     USD     940,817       (113
06/13/2019   BCLY   PLN     9,080,416     USD     2,380,743       10,983  
07/30/2019   BCLY   RON     12,730,283     USD     2,988,926       (2,619
08/06/2019   BCLY   SEK     88,748,960     USD     9,340,000       (59,751
06/17/2019   JPM   SGD     2,297,412     USD     1,679,426       6,722  
06/11/2019   BCLY   TWD     93,620,310     USD     3,041,694       73,861  
09/11/2019   BCLY   TWD     93,620,310     USD     2,963,512       (8,155
08/06/2019   BOA   USD     3,183,857     AUD     4,570,000       (7,752
06/04/2019   MSCI   USD     4,073,972     BRL     16,233,170       62,974  
06/04/2019   BOA   USD     810,000     CAD     1,084,724       (7,433
06/04/2019   GS   USD     1,130,000     CAD     1,507,871       (14,354
06/04/2019   MSCI   USD     11,542,875     CAD     15,272,623       (242,951
09/04/2019   BOA   USD     9,420,000     CAD     12,739,796       25,798  
06/13/2019   BOA   USD     380,000     CZK     8,599,966       (8,109
08/23/2019   BOA   USD     5,003,798     EUR     4,450,000       585  
06/17/2019   BCLY   USD     3,825,232     GBP     3,040,000       20,639  
06/17/2019   BOA   USD     4,023,079     GBP     3,170,000       (12,746
06/13/2019   BOA   USD     540,000     HUF     149,341,050       (26,344
06/10/2019   BOA   USD     620,000     IDR     9,001,408,000       10,682  
06/10/2019   JPM   USD     1,541,174     IDR     22,038,791,000       2,970  

Settlement
Date

 

Counter-

party

 

Currency
Sold

   

Currency
Purchased

    Net
Unreal-
ized
Appre-
ciation
(Depre-
ciation)
($)
 
06/10/2019   MSCI   USD     2,153,028     IDR     31,040,199,000       21,798  
08/28/2019   MSCI   USD     1,440,953     IDR     21,042,239,000       10,356  
06/14/2019   JPM   USD     2,328,203     INR     162,776,330       9,498  
06/07/2019   BOA   USD     3,430,000     JPY     379,048,978       68,681  
06/07/2019   GS   USD     3,581,555     JPY     397,991,342       91,967  
06/10/2019   BCLY   USD     3,887,262     KRW     4,625,064,890       1,672  
08/21/2019   BOA   USD     3,739,866     MXN     72,832,012       (72,006
07/08/2019   BCLY   USD     23,490,784     NOK     201,142,191       (478,438
09/04/2019   JPM   USD     20,090,000     NOK     175,932,148       73,704  
06/05/2019   GS   USD     4,409,720     NZD     6,650,000       (59,291
06/05/2019   MSCI   USD     8,928,427     NZD     13,720,000       47,194  
07/16/2019   BOA   USD     557,274     PEN     1,843,575       (13,347
06/07/2019   JPM   USD     947,850     PHP     49,449,350       55  
06/13/2019   BCLY   USD     1,010,000     PLN     3,853,403       (4,359
06/13/2019   MSCI   USD     530,000     PLN     2,026,975       (1,011
07/26/2019   BOA   USD     4,005,414     RUB     263,139,700       (12,821
08/06/2019   BCLY   USD     30,897,495     SEK     292,623,999       95,460  
06/13/2019   BCLY   USD     3,091,530     THB     97,862,372       1,347  
06/20/2019   BCLY   USD     3,801,911     TRY     23,472,237       187,028  
06/11/2019   BCLY   USD     2,960,794     TWD     93,620,310       7,039  
07/30/2019   BCLY   USD     990,000     ZAR     14,392,719       (8,650
07/30/2019   BCLY   ZAR     23,945,809     USD     1,650,695       17,979  
           

 

 

 
            $ (1,398,395
           

 

 

 

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Buys        
52   U.S. Long Bond (CBT)   September 2019     7,993,375       151,043  
361   U.S. Treasury Note 2 Yr. (CBT)   September 2019     77,496,547       309,062  
100   U.S. Treasury Note 5 Yr. (CBT)   September 2019     11,736,719       72,514  
23   U.S. Treasury Note 10 Yr. (CBT)   September 2019     2,915,250       28,715  
171   U.S. Treasury Ultra 10 Yr. (CBT)   September 2019     23,349,516       299,017  
12   U.S. Ultra Bond (CBT)   September 2019     2,109,375       55,199  
     

 

 

   

 

 

 
      $ 125,600,782     $ 915,550  
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

 

Sales - Fund is short the futures contract.

 


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (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) ($)
 

1.91%

   6 Month AUD BBSW   AUD      10,808,000        06/19/2029      Semi-Annually      5,575        (125,030      (130,605

1.83%

   6 Month AUD BBSW   AUD      7,448,000        09/18/2029      Semi-Annually             (36,033      (36,033

1.78%

   6 Month AUD BBSW   AUD      80,454,000        09/18/2029      Semi-Annually             (128,146      (128,146

1.81%

   6 Month AUD BBSW   AUD      81,441,000        09/18/2029      Semi-Annually             (305,559      (305,559

2.12%

   3 Month CAD LIBOR   CAD      7,015,000        06/18/2029      Semi-Annually             (89,226      (89,226

3 Month CAD LIBOR

   2.25%   CAD      46,200,000        06/18/2029      Semi-Annually      (7,582      1,000,767        1,008,349  

3 Month CAD LIBOR

   2.05%   CAD      50,877,000        06/18/2029      Semi-Annually             413,546        413,546  

3 Month CAD LIBOR

   2.16%   CAD      9,971,000        06/18/2029      Semi-Annually             156,888        156,888  

3 Month CAD LIBOR

   2.17%   CAD      9,787,000        06/18/2029      Semi-Annually             157,346        157,346  

3 Month CAD LIBOR

   2.26%   CAD      11,087,000        06/18/2029      Semi-Annually             245,860        245,860  

3 Month CAD LIBOR

   2.12%   CAD      26,242,000        09/17/2029      Semi-Annually      (1,936      320,691        322,627  

0.10%

   6 Month CHF LIBOR   CHF      3,984,000        06/19/2029      Semi-Annually             (88,149      (88,149

0.07%

   6 Month CHF LIBOR   CHF      10,726,000        06/19/2029      Semi-Annually             (204,340      (204,340

6 Month CHF LIBOR

   0.18%   CHF      15,807,000        06/19/2029      Semi-Annually      7,937        474,500        466,563  

6 Month CHF LIBOR

   (0.00)%   CHF      8,031,000        06/19/2029      Semi-Annually             90,848        90,848  

0.61%

   6 Month EURIBOR   EUR      10,101,000        06/20/2029      Semi-Annually             (299,941      (299,941

0.63%

   6 Month EURIBOR   EUR      8,080,000        06/20/2029      Semi-Annually             (257,611      (257,611

0.56%

   6 Month EURIBOR   EUR      2,774,000        06/20/2029      Semi-Annually             (66,651      (66,651

0.52%

   6 Month EURIBOR   EUR      4,642,000        06/20/2029      Semi-Annually             (89,914      (89,914

0.60%

   6 Month EURIBOR   EUR      6,573,000        06/20/2029      Semi-Annually             (186,328      (186,328

0.57%

   6 Month EURIBOR   EUR      5,411,000        06/20/2029      Semi-Annually             (136,689      (136,689

6 Month EURIBOR

   0.54%   EUR      4,210,000        06/20/2029      Semi-Annually             91,940        91,940  

6 Month EURIBOR

   0.43%   EUR      7,895,000        06/20/2029      Semi-Annually             72,297        72,297  

1.23%

   6 Month GBP LIBOR   GBP      18,030,000        06/20/2029      Semi-Annually      3,817        (262,111      (265,928

1.25%

   6 Month GBP LIBOR   GBP      5,944,000        06/20/2029      Semi-Annually             (96,880      (96,880

1.21%

   6 Month GBP LIBOR   GBP      6,472,000        09/19/2029      Semi-Annually             (62,782      (62,782

1.14%

   6 Month GBP LIBOR   GBP      5,891,000        09/19/2029      Semi-Annually             (7,523      (7,523

3 Month NZD Bank Bill Rate

   2.07%   NZD      44,070,000        06/19/2024      Quarterly             710,328        710,328  

3 Month NZD Bank Bill Rate

   1.99%   NZD      52,682,000        09/18/2029      Quarterly             136,370        136,370  

3 Month NZD Bank Bill Rate

   1.98%   NZD      37,868,000        09/18/2029      Quarterly      (7,720      82,221        89,941  

3 Month SEK STIBOR

   0.78%   SEK      101,194,000        06/19/2029      Quarterly      19,468        90,776        71,308  

3 Month SEK STIBOR

   0.78%   SEK      67,707,000        06/19/2029      Quarterly             61,434        61,434  

3 Month USD LIBOR

   2.52%   USD      6,644,000        06/20/2029      Quarterly             255,211        255,211  

3 Month USD LIBOR

   2.51%   USD      5,593,000        06/20/2029      Quarterly             213,056        213,056  

3 Month USD LIBOR

   2.52%   USD      8,481,000        06/20/2029      Quarterly             328,866        328,866  

3 Month USD LIBOR

   2.37%   USD      8,236,000        06/20/2029      Quarterly             207,156        207,156  

2.45%

   3 Month USD LIBOR   USD      9,795,000        06/20/2029      Quarterly             (316,441      (316,441

2.42%

   3 Month USD LIBOR   USD      8,539,000        06/20/2029      Quarterly             (253,686      (253,686

2.34%

   3 Month USD LIBOR   USD      10,690,000        06/20/2029      Quarterly             (234,784      (234,784

2.28%

   3 Month USD LIBOR   USD      7,838,000        06/20/2029      Quarterly             (131,788      (131,788

2.31%

   3 Month USD LIBOR   USD      7,620,000        06/20/2029      Quarterly             (148,261      (148,261

2.21%

   3 Month USD LIBOR   USD      4,244,000        06/20/2029      Quarterly             (44,092      (44,092

3 Month USD LIBOR

   2.55%   USD      75,560,000        06/20/2029      Quarterly      (66,069      3,129,666        3,195,735  
                

 

 

    

 

 

    

 

 

 
   $ (46,510    $ 4,667,802      $ 4,714,312  
                

 

 

    

 

 

    

 

 

 

As of May 31, 2019, 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.


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Notes to Schedule of Investments:

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.

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

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

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

TBA - To Be Announced - Delayed Delivery Security

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

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

 

(b)

The rate disclosed is the 7 day net yield as of May 31, 2019.

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

 

 

Currency Abbreviations:

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
    DEBT OBLIGATIONS — 93.3%

 

          Albania — 1.0%  
    Foreign Government Obligations

 

    49,649,849     Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)     40,162,688  
     

 

 

 
          Angola — 0.3%      
          Foreign Government Obligations      
    12,700,000     Angolan Government International Bond, 144A, 9.38%, due 05/08/48     12,759,627  
     

 

 

 
          Argentina — 3.9%  
          Foreign Government Obligations  

EUR

    12,000,000     Republic of Argentina, 5.25%, due 01/15/28     8,897,630  

JPY

    407,485,276     Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)     1,880,151  

EUR

    8,008,646     Republic of Argentina Discount Bond, 7.82%, due 12/31/33     6,811,198  
    40,308,593     Republic of Argentina Discount Bond, 8.28%, due 12/31/33     29,513,347  
    10,786,557     Republic of Argentina Discount Bond, 8.28%, due 12/31/33     7,887,670  

EUR

    112,130,000     Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38     64,690,505  

EUR

    71,350,000     Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38     41,795,628  
     

 

 

 
    Total Argentina     161,476,129  
     

 

 

 
          Armenia — 0.1%  
          Foreign Government Obligations  
    2,195,000     Republic of Armenia, Reg S, 7.15%, due 03/26/25     2,474,863  
     

 

 

 
          Azerbaijan — 0.5%  
          Foreign Government Agency — 0.2%  
    7,450,000     Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26     8,474,375  
     

 

 

 
          Foreign Government Obligations — 0.3%  
    13,100,000     Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29     13,348,783  
     

 

 

 
    Total Azerbaijan     21,823,158  
     

 

 

 
          Bahrain — 0.6%  
          Foreign Government Obligations  
    22,550,000     Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47     23,001,000  
     

 

 

 
          Belarus — 0.1%  
          Foreign Government Obligations  
    3,700,000     Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30     3,695,375  
     

 

 

 
    
Par Value†
    Description   Value ($)  
          Belize — 0.5%  
          Foreign Government Obligations  
    35,228,000     Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34     21,421,971  
     

 

 

 
          Bermuda — 0.1%  
          Foreign Government Obligations  
    4,300,000     Bermuda Government International Bond, 144A, 4.75%, due 02/15/29     4,603,150  
     

 

 

 
          Brazil — 1.8%  
          Foreign Government Agency — 1.2%  

GBP

    12,895,000     Petrobras Global Finance BV, 6.63%, due 01/16/34     17,728,310  
    31,039,000     Petrobras Global Finance BV, 6.85%, due 06/05/2115     30,278,544  
     

 

 

 
        48,006,854  
     

 

 

 
          Foreign Government Obligations — 0.6%  
    16,897,000     Republic of Brazil, 7.13%, due 01/20/37     20,004,781  
    6,340,000     Republic of Brazil, 5.63%, due 02/21/47     6,346,689  
     

 

 

 
        26,351,470  
     

 

 

 
    Total Brazil     74,358,324  
     

 

 

 
          Cameroon — 0.1%  
          Foreign Government Obligations  
    4,500,000     Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25     4,748,648  
     

 

 

 
          Chile — 1.0%  
          Foreign Government Agency — 0.2%  
    8,800,000     Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42     8,993,996  
     

 

 

 
          Corporate Debt — 0.8%  
    4,300,000     Empresa Nacional del Petroleo, 144A, 5.25%, due 11/06/29     4,705,469  
    3,600,000     Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47     3,460,842  
    20,411,000     Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c)     25,870,942  
     

 

 

 
        34,037,253  
     

 

 

 
    Total Chile     43,031,249  
     

 

 

 
          Colombia — 1.6%  
          Foreign Government Agency — 1.3%  
    44,011,000     Ecopetrol SA, 7.38%, due 09/18/43     53,433,755  
     

 

 

 
          Foreign Government Obligations — 0.3%  
    647,000     Colombia Government International Bond, 8.38%, due 02/15/27     765,886  
    7,800,000     Colombia Government International Bond, 5.63%, due 02/26/44     8,736,000  
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          Colombia — continued  
          Foreign Government Obligations — continued  
    3,800,000     Republic of Colombia, 11.85%, due 03/09/28 (b)     5,441,648  
     

 

 

 
        14,943,534  
     

 

 

 
    Total Colombia     68,377,289  
     

 

 

 
          Congo Republic (Brazzaville) — 1.6%  
          Foreign Government Obligations  
    75,883,274     Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)     65,259,615  
     

 

 

 
          Costa Rica — 1.6%  
          Foreign Government Agency — 0.1%  
    5,500,000     Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43     4,394,253  
     

 

 

 
          Foreign Government Obligations — 1.5%  
    26,400,000     Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26     28,474,850  
    36,631,000     Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45     35,116,491  
     

 

 

 
        63,591,341  
     

 

 

 
    Total Costa Rica     67,985,594  
     

 

 

 
          Dominican Republic — 1.9%  
          Asset-Backed Securities — 0.5%  
    18,611,538     Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24     19,914,345  
     

 

 

 
          Foreign Government Obligations — 1.4%  
    17,687,000     Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27     20,724,831  
    29,811,000     Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45     31,450,605  
    5,100,000     Dominican Republic International Bond, 144A, 6.40%, due 06/05/49     5,064,300  
     

 

 

 
        57,239,736  
     

 

 

 
    Total Dominican Republic     77,154,081  
     

 

 

 
          Ecuador — 1.8%  
          Foreign Government Obligations  
    18,900,000     Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27     19,656,000  
    34,000,000     Ecuador Government International Bond, Reg S, 8.88%, due 10/23/27     34,110,330  
    9,300,000     Ecuador Government International Bond, Reg S, 7.88%, due 01/23/28     8,887,033  
    12,400,000     Ecuador Government International Bond, Reg S, 10.75%, due 01/31/29     13,557,974  
     

 

 

 
    Total Ecuador     76,211,337  
     

 

 

 
          Egypt — 1.1%  
          Foreign Government Obligations  
    31,600,000     Egypt Government International Bond, Reg S, 7.90%, due 02/21/48     29,467,000  
    
Par Value†
    Description   Value ($)  
          Egypt — continued  
          Foreign Government Obligations — continued  
    15,800,000     Egypt Government International Bond, 144A, 8.70%, due 03/01/49     15,681,500  
     

 

 

 
    Total Egypt     45,148,500  
     

 

 

 
          El Salvador — 0.6%  
          Foreign Government Obligations  
    26,275,000     El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35     26,504,906  
     

 

 

 
          Ethiopia — 0.1%  
          Foreign Government Obligations  
    4,190,000     Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24     4,231,376  
     

 

 

 
          Gabon — 0.3%  
          Foreign Government Obligations  
    15,300,000     Gabonese Republic, Reg S, 6.38%, due 12/12/24     14,592,375  
     

 

 

 
          Ghana — 0.9%  
          Foreign Government Agency — 0.4%  
    14,127,725     Saderea, Ltd., Reg S, 12.50%, due 11/30/26     15,362,778  
     

 

 

 
          Foreign Government Obligations — 0.5%  
    17,482,000     Republic of Ghana, Reg S, 10.75%, due 10/14/30     21,327,503  
     

 

 

 
    Total Ghana     36,690,281  
     

 

 

 
          Greece — 0.2%  
          Foreign Government Obligations  

EUR

    5,800,000     Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36     6,453,824  
     

 

 

 
          Grenada — 0.2%  
          Foreign Government Obligations  
    6,992,597     Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30     6,398,226  
     

 

 

 
          Guatemala — 0.6%  
          Foreign Government Obligations  
    16,195,000     Republic of Guatemala, Reg S, 8.13%, due 10/06/34     20,263,994  
    2,900,000     Republic of Guatemala, 144A, 6.13%, due 06/01/50     2,887,515  
     

 

 

 
    Total Guatemala     23,151,509  
     

 

 

 
          Honduras — 0.3%  
          Foreign Government Obligations  
    3,416,000     Honduras Government International Bond, Reg S, 7.50%, due 03/15/24     3,721,373  
    6,646,000     Honduras Government International Bond, Reg S, 6.25%, due 01/19/27     6,986,608  
     

 

 

 
    Total Honduras     10,707,981  
     

 

 

 
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          India — 0.1%  
          Corporate Debt  
    3,700,000     Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29     3,760,125  
     

 

 

 
          Indonesia — 4.9%  
          Foreign Government Agency — 1.5%  
    3,500,000     Indonesia Asahan Aluminium Persero PT, 144A, 6.53%, due 11/15/28     3,981,250  
    8,800,000     Pertamina Persero PT, 144A, 6.50%, due 11/07/48     10,228,900  
    14,400,000     Pertamina Persero PT, Reg S, 6.50%, due 05/27/41     16,452,000  
    8,100,000     Pertamina Persero PT, Reg S, 5.63%, due 05/20/43     8,393,625  
    14,200,000     Perusahaan Listrik Negara PT, 144A, 6.25%, due 01/25/49     15,921,750  
    6,100,000     Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48     6,743,245  
     

 

 

 
        61,720,770  
     

 

 

 
          Foreign Government Obligations — 3.4%  
    12,200,000     Indonesia Government International Bond, 4.75%, due 02/11/29     13,145,500  
    24,000,000     Indonesia Government International Bond, 4.35%, due 01/11/48 (d)     23,999,640  
    12,200,000     Indonesia Government International Bond, 5.35%, due 02/11/49     13,738,725  
    43,091,000     Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37     53,969,969  
    28,780,000     Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42     31,463,879  
    6,000,000     Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47     6,613,590  
     

 

 

 
        142,931,303  
     

 

 

 
    Total Indonesia     204,652,073  
     

 

 

 
          Iraq — 0.3%  
          Foreign Government Obligations  
    15,000,000     Republic of Iraq, Reg S, 5.80%, due 01/15/28     14,072,175  
     

 

 

 
          Israel — 1.1%  
          Foreign Government Agency  

JPY

    2,500,000,000     Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)     27,418,908  
    12,798,000     Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96     16,477,425  
     

 

 

 
    Total Israel     43,896,333  
     

 

 

 
          Ivory Coast — 0.7%  
          Foreign Government Obligations  
    4,704,190     Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32     4,316,094  
    
Par Value†
    Description   Value ($)  
          Ivory Coast — continued  
          Foreign Government Obligations — continued  

EUR

    24,500,000     Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48     24,926,975  
     

 

 

 
    Total Ivory Coast     29,243,069  
     

 

 

 
          Jamaica — 0.6%  
          Foreign Government Agency — 0.1%  
    4,000,000     National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)     4,865,200  
     

 

 

 
          Foreign Government Obligations — 0.5%  
    16,875,000     Jamaica Government International Bond, 7.88%, due 07/28/45     20,312,522  
     

 

 

 
    Total Jamaica     25,177,722  
     

 

 

 
          Jordan — 0.5%  
          Foreign Government Obligations  
    21,450,000     Jordan Government International Bond, Reg S, 7.38%, due 10/10/47     20,377,500  
     

 

 

 
          Kazakhstan — 1.1%  
          Foreign Government Agency — 0.4%  
    14,700,000     KazMunayGas National Co JSC, 144A, 6.38%, due 10/24/48     16,598,358  
     

 

 

 
          Foreign Government Obligations — 0.7%  
    21,299,000     Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45     27,741,948  
     

 

 

 
    Total Kazakhstan     44,340,306  
     

 

 

 
          Kenya — 0.4%  
          Foreign Government Obligations  
    17,000,000     Kenya Government International Bond, Reg S, 8.25%, due 02/28/48     15,958,835  
     

 

 

 
          Macedonia — 0.5%  
          Foreign Government Obligations  

EUR

    8,039,000     Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23     10,307,183  

EUR

    7,300,000     Macedonia Government International Bond, Reg S, 2.75%, due 01/18/25     8,450,861  
     

 

 

 
    Total Macedonia     18,758,044  
     

 

 

 
          Mexico — 8.7%  
          Foreign Government Agency — 4.0%  
    5,000,000     Petroleos Mexicanos, 6.50%, due 01/23/29     4,929,300  
    101,387,000     Petroleos Mexicanos, 6.75%, due 09/21/47     91,532,184  
    68,851,000     Petroleos Mexicanos, 6.35%, due 02/12/48     60,100,038  
    7,400,000     Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49     6,442,884  
     

 

 

 
        163,004,406  
     

 

 

 
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          Mexico — continued  
          Foreign Government Obligations — 4.7%  
    126,578,000     United Mexican States, 5.75%, due 10/12/2110     130,369,644  

GBP

    50,396,000     United Mexican States, 5.63%, due 03/19/2114     64,627,091  
     

 

 

 
        194,996,735  
     

 

 

 
    Total Mexico     358,001,141  
     

 

 

 
          Morocco — 0.5%  
          Foreign Government Agency  
    18,300,000     Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44     20,381,625  
     

 

 

 
          Mozambique — 0.1%  
          Foreign Government Obligations  
    4,744,000     Mozambique International Bond, Reg S, 10.50%, due 01/18/23 (d) (e)     4,127,280  
     

 

 

 
          Nigeria — 0.4%  
          Foreign Government Obligations  
    10,750,000     Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47     9,648,125  
    7,200,000     Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38     6,754,212  
     

 

 

 
    Total Nigeria     16,402,337  
     

 

 

 
          Oman — 1.4%  
          Foreign Government Obligations  
    24,100,000     Oman Government International Bond, Reg S, 6.50%, due 03/08/47     19,942,750  
    43,700,000     Oman Government International Bond, Reg S, 6.75%, due 01/17/48     37,035,750  
     

 

 

 
    Total Oman     56,978,500  
     

 

 

 
          Pakistan — 0.9%  
          Foreign Government Obligations  
    39,562,000     Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36     38,273,268  
     

 

 

 
          Panama — 0.9%  
          Foreign Government Agency — 0.4%  
    12,900,000     Aeropuerto Internacional de Tocumen SA, 144A, 6.00%, due 11/18/48     14,635,050  
     

 

 

 
          Foreign Government Obligations — 0.5%  
    7,851,000     Panama Government International Bond, 8.13%, due 04/28/34     10,891,575  
    4,000,000     Panama Government International Bond, 4.30%, due 04/29/53     4,183,380  
    7,200,000     Panama Notas del Tesoro, 144A, 3.75%, due 04/17/26     7,290,000  
     

 

 

 
        22,364,955  
     

 

 

 
    Total Panama     37,000,005  
     

 

 

 
    
Par Value†
    Description   Value ($)  
          Papua New Guinea — 0.0%  
          Foreign Government Obligations  
    1,400,000     Papua New Guinea Government International Bond, 144A, 8.38%, due 10/04/28     1,461,579  
     

 

 

 
          Paraguay — 0.2%  
          Foreign Government Obligations  
    8,000,000     Republic of Paraguay, Reg S, 6.10%, due 08/11/44     9,032,000  
     

 

 

 
          Peru — 1.0%  
          Foreign Government Agency — 0.9%  
    11,796,726     Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)     10,767,816  
    25,895,000     Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47     27,675,281  
     

 

 

 
        38,443,097  
     

 

 

 
          Foreign Government Obligations — 0.1%  
    5,000,000     Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (b)     4,950,000  
     

 

 

 
    Total Peru     43,393,097  
     

 

 

 
          Philippines — 2.6%  
          Foreign Government Agency  
    9,000,000     Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)     17,420,516  
    23,300,000     Central Bank of Philippines, Series A, 8.60%, due 06/15/27     30,290,000  
    42,012,000     National Power Corp., Global Bond, 9.63%, due 05/15/28     60,071,488  
     

 

 

 
    Total Philippines     107,782,004  
     

 

 

 
          Qatar — 0.3%  
          Foreign Government Obligations  
    11,000,000     Qatar Government International Bond, Reg S, 5.10%, due 04/23/48     12,591,425  
     

 

 

 
          Romania — 0.2%  
          Foreign Government Obligations  

EUR

    7,200,000     Romanian Government International Bond, 144A, 4.63%, due 04/03/49     8,697,052  
     

 

 

 
          Russia — 4.3%  
          Foreign Government Agency — 1.8%  
    13,575,000     Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22     13,684,211  
    36,067,000     Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34     47,077,894  
    15,700,000     Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22     16,028,366  
     

 

 

 
        76,790,471  
     

 

 

 
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          Russia — continued  
          Foreign Government Obligations — 2.5%  
    49,600,000     Russian Foreign Bond, 144A, 5.10%, due 03/28/35     51,732,800  
    48,600,000     Russian Foreign Bond, Reg S, 5.25%, due 06/23/47     50,924,295  
     

 

 

 
        102,657,095  
     

 

 

 
    Total Russia     179,447,566  
     

 

 

 
          Rwanda — 0.1%  
          Foreign Government Obligations  
    5,487,000     Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23     5,713,358  
     

 

 

 
          Saudi Arabia — 1.2%  
          Foreign Government Obligations  
    21,000,000     Saudi Government International Bond, 144A, 5.00%, due 04/17/49     22,260,000  
    26,100,000     Saudi Government International Bond, 144A, 5.25%, due 01/16/50     28,750,846  
     

 

 

 
    Total Saudi Arabia     51,010,846  
     

 

 

 
          Senegal — 0.3%  
          Foreign Government Obligations  
    14,400,000     Senegal Government International Bond, Reg S, 6.75%, due 03/13/48     12,513,816  
     

 

 

 
          South Africa — 1.5%  
          Foreign Government Agency — 0.3%  

ZAR

    163,000,000     Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32     1,653,695  
    8,500,000     Eskom Holdings SOC, Ltd., 144A, 8.45%, due 08/10/28     9,289,650  

ZAR

    27,300,000     Transnet, Ltd., 13.50%, due 04/18/28     2,255,951  
     

 

 

 
        13,199,296  
     

 

 

 
          Foreign Government Obligations — 1.2%  
    21,700,000     Republic of South Africa Government International Bond, 5.65%, due 09/27/47     20,834,713  
    28,300,000     Republic of South Africa Government International Bond, 6.30%, due 06/22/48     29,187,912  
     

 

 

 
        50,022,625  
     

 

 

 
    Total South Africa     63,221,921  
     

 

 

 
          Sri Lanka — 0.8%  
          Foreign Government Obligations  
    14,500,000     Sri Lanka Government International Bond, 144A, 6.75%, due 04/18/28     13,666,250  
    9,280,000     Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26     8,922,302  
    10,844,000     Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27     9,941,725  
     

 

 

 
    Total Sri Lanka     32,530,277  
     

 

 

 
    
Par Value†
    Description   Value ($)  
          SupraNational — 0.3%  
          Corporate Debt  

TRY

    263,000,000     International Finance Corp., Zero Coupon, Reg S, due 02/15/29     11,530,375  
     

 

 

 
          Suriname — 0.4%  
          Foreign Government Obligations  
    16,178,000     Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)     15,162,426  
     

 

 

 
          Trinidad And Tobago — 0.3%  
          Foreign Government Agency  
    6,736,000     Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19     6,640,753  
    7,292,000     Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27     7,364,920  
     

 

 

 
    Total Trinidad And Tobago     14,005,673  
     

 

 

 
          Tunisia — 1.8%  
          Foreign Government Agency  

JPY

    7,340,000,000     Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)     55,711,253  

JPY

    2,500,000,000     Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)     18,859,872  
     

 

 

 
    Total Tunisia     74,571,125  
     

 

 

 
          Turkey — 6.4%  
          Corporate Debt — 0.2%  
    10,840,000     Akbank Turk AS, Reg S, Variable Rate, 6.80%, due 04/27/28     8,266,585  
     

 

 

 
          Foreign Government Agency — 1.2%  
    6,400,000     Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24     5,710,656  
    7,000,000     Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23     6,457,500  
    5,100,000     QNB Finansbank AS, 144A, 6.88%, due 09/07/24     4,940,396  
    5,000,000     TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23     4,256,750  
    12,900,000     Turkiye Vakiflar Bankasi TAO, 144A, 8.13%, due 03/28/24     11,731,453  
    18,000,000     Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23     15,436,802  
     

 

 

 
        48,533,557  
     

 

 

 
          Foreign Government Obligations — 5.0%  
    28,100,000     Republic of Turkey, 7.63%, due 04/26/29     27,397,500  
    11,500,000     Republic of Turkey, 6.88%, due 03/17/36     10,245,062  
    30,744,000     Republic of Turkey, 6.75%, due 05/30/40     26,889,778  
    83,302,000     Republic of Turkey, 6.00%, due 01/14/41     67,618,316  
    18,000,000     Republic of Turkey, 6.63%, due 02/17/45     15,370,650  
    77,113,000     Republic of Turkey, 5.75%, due 05/11/47     60,142,357  
     

 

 

 
        207,663,663  
     

 

 

 
    Total Turkey     264,463,805  
     

 

 

 
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          Ukraine — 2.5%  
          Foreign Government Agency — 0.3%  
    8,189,000     Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25     8,264,789  
    5,100,000     Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25     5,158,650  
     

 

 

 
        13,423,439  
     

 

 

 
          Foreign Government Obligations — 2.2%  
    6,019,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21     6,049,095  
    6,019,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22     6,003,953  
    6,585,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23     6,423,668  
    8,585,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24     8,220,137  
    6,585,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25     6,242,580  
    15,019,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26     14,117,860  
    6,869,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27     6,398,474  
    35,900,000     Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28     36,978,256  
     

 

 

 
        90,434,023  
     

 

 

 
    Total Ukraine     103,857,462  
     

 

 

 
          United States — 16.9%  
          Asset-Backed Securities — 0.5%  
    3,069,743     Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 2.68%, due 12/15/35     2,690,044  
    1,581,731     Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 2.68%, due 12/15/35     1,540,826  
    2,117,350     Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + .20%, 2.64%, due 05/15/36     2,023,498  
    9,858,030     Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 2.58%, due 11/25/36     4,854,757  
    9,989,471     Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 2.65%, due 11/25/36     4,960,736  
    5,423,496     Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 2.79%, due 04/25/37     2,836,560  
     

 

 

 
        18,906,421  
     

 

 

 
    
Par Value†
    Description   Value ($)  
          United States — continued  
          Corporate Debt — 0.1%  
    385,402     AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20     543,417  
    1,657,385     AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%, 7.59%, due 02/12/23     1,673,958  
     

 

 

 
        2,217,375  
     

 

 

 
          U.S. Government — 16.3%  
    30,000,000     U.S. Treasury Bond, 3.00%, due 02/15/47     32,617,969  
    78,604,400     U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (g)     78,091,800  
    16,000,000     U.S. Treasury Note, 1.75%, due 09/30/19     15,965,000  
    40,000,000     U.S. Treasury Note, 1.50%, due 11/30/19     39,825,000  
    45,000,000     U.S. Treasury Note, 1.63%, due 12/31/19     44,810,156  
    40,000,000     U.S. Treasury Note, 1.38%, due 01/31/20     39,750,000  
    50,000,000     U.S. Treasury Note, 1.38%, due 02/29/20     49,644,531  
    35,000,000     U.S. Treasury Note, 1.13%, due 04/30/20     34,641,797  
    100,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.32%, due 01/31/20     99,975,544  
    51,500,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.36%, due 04/30/20     51,497,459  
    46,000,000     U.S. Treasury Note, Variable Rate, USBM + .04%, 2.37%, due 07/31/20 (d) (f)     45,989,227  
    143,500,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.37%, due 10/31/20     143,417,166  
     

 

 

 
        676,225,649  
     

 

 

 
    Total United States     697,349,445  
     

 

 

 
          Uruguay — 1.4%  
          Foreign Government Obligations  
    52,218,000     Uruguay Government International Bond, 5.10%, due 06/18/50     56,056,023  
     

 

 

 
          Uzbekistan — 0.2%  
          Foreign Government Obligations  
    7,200,000     Republic of Uzbekistan Bond, 144A, 5.38%, due 02/20/29     7,309,800  
     

 

 

 
          Venezuela — 3.8%  
          Foreign Government Agency — 1.6%  
    111,465,000     Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (e)     16,719,750  
    176,000,000     Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (e)     34,408,000  
    61,967,000     Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (e)     12,393,400  
     

 

 

 
        63,521,150  
     

 

 

 
          Foreign Government Obligations — 2.2%  
    7,000,000     Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (e)     2,187,500  
    19,028,000     Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (e)     5,089,990  
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          Venezuela — continued  
          Foreign Government Obligations — 2.2%  
    36,600,000     Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (e)     9,973,500  
    23,750,000     Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (e)     7,006,250  
    172,793,000     Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (e)     48,166,049  
    68,700,000     Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (e)     19,579,500  
     

 

 

 
        92,002,789  
     

 

 

 
    Total Venezuela     155,523,939  
     

 

 

 
          Vietnam — 0.6%  
          Foreign Government Agency — 0.5%  
    25,105,000     Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25     18,824,106  
     

 

 

 
          Foreign Government Obligations — 0.1%  
    6,428,000     Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + .81%, 3.50%, due 03/13/28 (c)     5,512,010  
     

 

 

 
    Total Vietnam     24,336,116  
     

 

 

 
          Zambia — 0.3%  
          Foreign Government Obligations  
    3,600,000     Zambia Government International Bond, Reg S, 5.38%, due 09/20/22     2,286,000  
    14,900,000     Zambia Government International Bond, Reg S, 8.97%, due 07/30/27     9,461,500  
     

 

 

 
    Total Zambia     11,747,500  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $3,978,003,224)     3,857,132,044  
     

 

 

 
          LOAN ASSIGNMENTS — 0.2%  
          Indonesia — 0.0%  
    272,047     Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 2.69%, due 12/16/19 (c)     252,024  

EUR

    377,334     Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (b)     394,019  
     

 

 

 
    Total Indonesia     646,043  
     

 

 

 
          Kenya — 0.2%  
    7,300,000     Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (b)     7,198,620  
     

 

 

 
    TOTAL LOAN ASSIGNMENTS (COST $8,018,194)     7,844,663  
     

 

 

 
    
Par Value†
    Description   Value ($)  
          LOAN PARTICIPATIONS — 1.4%  
          Angola — 1.0%  
    17,375,000     Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/13/23 (c)     16,620,925  
    6,343,125     Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/20/23 (c)     6,067,834  
    17,416,667     Republic of Angola Loan agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)     16,023,333  
     

 

 

 
    Total Angola     38,712,092  
     

 

 

 
          Egypt — 0.0%  

CHF

    53,033     Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)     50,897  
     

 

 

 
          Indonesia — 0.0%  
    782,239     Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.56%, due 09/29/19 (c)     724,666  
    99,875     Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.56%, due 10/14/19 (c)     92,525  
     

 

 

 
    Total Indonesia     817,191  
     

 

 

 
          Iraq — 0.4%  

EUR

    1,007,202     Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)     806,361  

JPY

    2,608,239,504     Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)     13,861,883  

JPY

    340,794,609     Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)     1,811,316  

JPY

    144,853,802     Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)     769,909  
     

 

 

 
    Total Iraq     17,249,469  
     

 

 

 
          Russia — 0.0%      
    Russian Foreign Trade Obligations (Participation with GML International
Ltd.) (c) (e)
    2  
     

 

 

 
    TOTAL LOAN PARTICIPATIONS
(COST $77,791,368)
    56,829,651  
     

 

 

 
 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares /

Par Value†

    Description   Value ($)  
    MUTUAL FUNDS — 1.8%

 

          United States — 1.8%  
          Affiliated Issuers — 1.8%      
    14,838,144     GMO U.S. Treasury Fund     74,190,722  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $74,296,430)     74,190,722  
     

 

 

 
          RIGHTS/WARRANTS — 0.5%  
          Argentina — 0.3%  

EUR

    335,089,675     Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (g)     9,732,980  

JPY

    740,189,000     Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (g)     443,984  
     

 

 

 
    Total Argentina     10,176,964  
     

 

 

 
          Nigeria — 0.0%  
    28,000     Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate, Expires 11/15/20 (c) (g)     1,082,667  
     

 

 

 
          Ukraine — 0.2%  
    14,446,000     Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (g)     9,075,194  
     

 

 

 
          Uruguay — 0.0%  
    4,000,000     Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (b) (g)      
     

 

 

 
          Venezuela — 0.0%  
    1,080,062     Republic of Venezuela Oil Warrants, Expires 04/15/20 (c) (e) (g)     1,080,062  
     

 

 

 
    TOTAL RIGHTS/WARRANTS (COST $55,515,266)     21,414,887  
     

 

 

 

Shares /

Par Value†

    Description   Value ($)  
          SHORT-TERM INVESTMENTS — 2.8%  
          Money Market Funds — 0.4%  
    19,107,522     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (h)     19,107,522  
     

 

 

 
          U.S. Government — 2.4%      
    36,000,000     U.S. Treasury Note, 1.50%, due 10/31/19     35,867,812  
    15,000,000     U.S. Treasury Note, 1.25%, due 02/29/20     14,879,883  
    50,000,000     U.S. Treasury Note, 1.38%, due 03/31/20     49,625,000  
     

 

 

 
    Total U.S. Government     100,372,695  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $119,365,960)
    119,480,217  
     

 

 

 
   

TOTAL INVESTMENTS — 100.0%

(Cost $4,312,990,442)

    4,136,892,184  
    Other Assets and Liabilities (net) — (0.0%)     (1,770,583
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $4,135,121,601  
     

 

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date
 

Counter-
party

  Currency
Sold
    Currency
Purchased
    Net
Unrealized

Appreciation
(Depreciation)
($)
 
08/20/2019   BCLY     EUR       56,797,600       USD       64,039,163       181,152  
08/20/2019   BCLY     GBP       62,411,000       USD       80,253,369       1,050,746  
06/14/2019   JPM     USD       10,792,143       ARS       500,000,000       195,700  
07/19/2019   JPM     USD       13,494,684       JPY       1,500,000,000       397,127  
           

 

 

 
            $ 1,824,725  
           

 

 

 
 

 

Reverse Repurchase Agreements(i)

 

Face Value

    

Description

   Value ($)  
USD     23,950,976      Barclays Bank plc, 2.00%, dated 04/11/19 (collateral: Indonesia Government International Bond, 4.35%, due 01/11/48), to be repurchased on demand at face value plus accrued interest.      (23,950,976
USD     4,153,144      JP Morgan Securities, Inc., 2.10%, dated 04/02/19 (collateral: Mozambique International Bond, Reg S, 10.50%, due 01/18/23), to be repurchased on demand at face value plus accrued interest.      (4,153,144
USD     12,373,790      JP Morgan Securities, Inc., 2.15%, dated 04/02/19 (collateral: Republic of Suriname, Reg S, 9.25%, due 10/26/26), to be repurchased on demand at face value plus accrued interest.      (12,373,790
       

 

 

 
        $ (40,477,910
       

 

 

 
     Average balance outstanding    $ (44,724,516
     Average interest rate (net)      (0.65 )% 
     Maximum balance outstanding    $ (69,681,984


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

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 ($)     Value ($)  
Put Sold   USD     24,000,000     03/10/2020   Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)     (361,333     (214,371
Put Sold   USD     45,000,000     01/20/2021   Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)     (559,374     142,182  
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) (b)     (32,392     30,793  
Put Sold   USD     46,000,000     04/13/2021   Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)     (947,472     (1,213,627
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) (b)     (823,353     268,992  
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) (b)     (2,932,111     (228,671
         

 

 

   

 

 

 
  $ (5,656,035   $ (1,214,702
         

 

 

   

 

 

 

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.31.V1-5Y

   USD     199,000,000        1.00%        2.12%        N/A        06/20/2024        Quarterly      $ 6,218,750      $ 10,053,480      $  3,834,730  
                      

 

 

    

 

 

    

 

 

 

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-EM.21

  BCLY   USD     20,222,950       5.00%       5.00%       N/A       06/20/2019       Quarterly       (504,450     (34,379     470,071  

Republic of Brazil

  JPM   USD     50,000,000       1.00%       0.49%       N/A       06/20/2019       Quarterly       1,008,872       (12,515     (1,021,387

Republic of Croatia

  JPM   USD     44,000,000       1.00%       0.12%       N/A       06/20/2019       Quarterly       3,659,820       (20,124     (3,679,944

Commonwealth of Bahamas

  DB   EUR     51,746,000       1.00%       2.05%       N/A       12/20/2020       Quarterly       7,730,397       939,650       (6,790,747

Petrobras Global Finance BV

  CITI   USD     53,000,000       1.00%       2.05%       N/A       06/20/2024       Quarterly       2,755,224       2,733,244       (21,980

Republic of Argentina

  BOA   USD     2,500,000       5.00%       12.07%       N/A       06/20/2024       Quarterly       359,815       597,068       237,253  

Republic of Argentina

  CITI   USD     10,000,000       5.00%       12.07%       N/A       06/20/2024       Quarterly       1,476,727       2,388,271       911,544  

Commonwealth of Bahamas

  DB   EUR     55,770,291       1.00%       4.80%       N/A       06/20/2025       Quarterly       7,903,309       3,257,948       (4,645,361

United States of Mexico

  GS   USD     20,000,000       1.00%       2.17%       N/A       09/20/2031       Quarterly       2,640,655       2,529,836       (110,819

Sell Protection^:

 

Commonwealth of Bahamas

  DB   USD     61,270,000       1.00%       2.04%       61,270,000 USD       12/20/2020       Quarterly       (7,515,364     (988,903     6,526,461  


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

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) ($)
 

Commonwealth of Bahamas

  DB   USD     3,487,000       1.00%       2.33%       3,487,000 USD       06/20/2023       Quarterly       (641,463     (179,517     461,946  

Commonwealth of Bahamas

  DB   USD     6,975,000       1.00%       2.33%       6,975,000 USD       06/20/2023       Quarterly       (1,263,915     (359,086     904,829  

Republic of Croatia

  JPM   USD     40,000,000       1.00%       0.70%       40,000,000 USD       06/20/2023       Quarterly       (6,395,816     483,977       6,879,793  

Peoples Republic of China

  JPM   USD     4,873,000       1.00%       0.59%       4,873,000 USD       06/20/2024       Quarterly       3,073       99,731       96,658  

Peoples Republic of China

  JPM   USD     60,000,000       1.00%       0.59%       60,000,000 USD       06/20/2024       Quarterly       (2,413,417     1,227,962       3,641,379  

Peoples Republic of China

  GS   USD     25,000,000       1.00%       0.69%       25,000,000 USD       03/20/2025       Quarterly       (744,727     445,204       1,189,931  

Commonwealth of Bahamas

  DB   USD     74,745,714       1.00%       4.79%       74,745,714 USD       06/20/2025       Quarterly       (8,891,823     (3,883,932     5,007,891  

Indonesia

  GS   USD     36,208,000       1.00%       1.38%       36,208,000 USD       06/20/2025       Quarterly       (3,153,880     (806,162     2,347,718  

Indonesia

  GS   USD     10,000,000       1.00%       1.38%       10,000,000 USD       06/20/2025       Quarterly       (961,768     (222,647     739,121  

Peoples Republic of China

  GS   USD     22,436,000       1.00%       0.72%       22,436,000 USD       06/20/2025       Quarterly       (590,310     378,823       969,133  

Republic of Brazil

  BOA   USD     4,873,000       1.00%       2.16%       4,873,000 USD       12/20/2025       Quarterly       (726,704     (349,019     377,685  

Russia

  GS   USD     2,436,000       1.00%       1.60%       2,436,000 USD       12/20/2025       Quarterly       (238,041     (92,620     145,421  

Russia

  GS   USD     8,487,000       1.00%       1.72%       8,487,000 USD       12/20/2026       Quarterly       (1,059,663     (437,985     621,678  

Republic of Malaysia

  CITI   USD     17,200,000       1.00%       1.17%       17,200,000 USD       12/20/2028       Quarterly       (845,599     (263,012     582,587  

Republic of Brazil

  JPM   USD     40,000,000       1.00%       2.65%       40,000,000 USD       03/20/2030       Quarterly       (5,674,358     (6,204,988     (530,630
                 

 

 

   

 

 

   

 

 

 
  $ (14,083,406   $ 1,226,825     $ 15,310,231  
                 

 

 

   

 

 

   

 

 

 

 

^

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 May 31, 2019, 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 Cross-Currency Basis Swaps

 

Fund Pays

 

Fund Receives

 

Counterparty

  Notional
Amount
    Expiration
Date
    Periodic
Payment
Frequency
    Premiums
Paid/

(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/

(Depreciation) ($)
 

3 Month EURIBOR plus a spread of (0.35)%

  3 Month USD LIBOR   JPM     EUR       122,436,000       09/11/2020       Quarterly     $     $ 2,097,005     $ 2,097,005  
             

 

 

   

 

 

   

 

 

 

OTC Cross-Currency Interest Rate Swaps

 

Fund Pays

 

Fund Receives

 

Counterparty

  Notional
Amount
    Expiration
Date
    Periodic
Payment
Frequency
    Premiums
Paid/

(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/

(Depreciation) ($)
 

(0.22)%

  3 Month USD LIBOR   GS     JPY       14,852,761,000       04/28/2025       Quarterly     $     $ (7,389,200   $ (7,389,200
             

 

 

   

 

 

   

 

 

 


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Centrally Cleared Interest Rate Swaps

 

Fund Pays

   Fund Receives     

Notional
Amount

     Expiration
Date
    

Periodic
Payment
Frequency

   Premiums
Paid/

(Received) ($)
     Value ($)     Net
Unrealized
Appreciation/

(Depreciation) ($)
 

(1.53)%

     6 Month EURIBOR      EUR      18,000,000        03/20/2048      Annual             (3,265,960     (3,265,960

1.76%

     6 Month GBP LIBOR      GBP      24,493,000        12/16/2048      Semi-Annual             (3,819,536     (3,819,536
                 

 

 

    

 

 

   

 

 

 
   $      $ (7,085,496   $ (7,085,496
                 

 

 

    

 

 

   

 

 

 

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 USD LIBOR

    Total Return on JPEICORE index     JPM     USD       24,000,001       07/23/2019       Monthly             8,833       8,833  

1 Month USD LIBOR

    Total Return on JPEICORE index     JPM     USD       36,000,003       08/06/2019       Monthly             56,299       56,299  
             

 

 

   

 

 

   

 

 

 
              $     $ 65,132     $ 65,132  
             

 

 

   

 

 

   

 

 

 

As of May 31, 2019, 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:

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.

CJSC - Closed Joint-Stock Company

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

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.

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

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

Security is backed by U.S. Treasury Bonds.

 

(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.

(c)

Investment valued using significant unobservable inputs.

 

(d)

All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

 

(e)

Security is in default.

 

(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.

 

(g)

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

 

(h)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(i)

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

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

 

 

Currency Abbreviations:

 

ARS - Argentine Peso

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

TRY - Turkish Lira

USD - United States Dollar

ZAR - South African Rand

 
 


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    

Par Value†

    Description   Value ($)  
    DEBT OBLIGATIONS — 55.6%

 

          Canada — 0.5%  
          Corporate Debt — 0.5%  
    1,000,000     Tervita Escrow Corp., 144A, 7.63%, due 12/01/21     1,002,500  
     

 

 

 
          Germany — 0.5%  
          Corporate Debt — 0.5%  
    1,208,000     Deutsche Bank AG, 4.50%, due 04/01/25     1,133,508  
     

 

 

 
          Italy — 0.6%  
          Corporate Debt — 0.6%  
    1,375,000     Telecom Italia SpA, 144A, 5.30%, due 05/30/24     1,359,463  
     

 

 

 
          United Kingdom — 0.9%  
          Corporate Debt — 0.9%  
    2,000,000     Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26     1,990,000  
     

 

 

 
          United States — 53.1%  
          Corporate Debt — 18.0%  
    750,000     Acadia Healthcare Co., Inc., 6.13%, due 03/15/21     750,000  
    2,500,000     Antero Resources Corp., 5.63%, due 06/01/23     2,471,875  
    1,000,000     Brinker International, Inc., 144A, 5.00%, due 10/01/24     996,250  
    2,455,000     CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22     2,486,178  
    1,000,000     CEC Entertainment, Inc., 8.00%, due 02/15/22     1,001,250  
    1,125,000     CF Industries, Inc., 4.95%, due 06/01/43     964,687  
    825,000     CHS/Community Health Systems, Inc., 5.13%, due 08/01/21     806,437  
    825,000     Denbury Resources, Inc., 144A, 9.00%, due 05/15/21     802,313  
    750,000     DISH DBS Corp., 5.13%, due 05/01/20     753,765  
    875,000     EnLink Midstream Partners LP, 4.40%, due 04/01/24     859,687  
    1,000,000     EnLink Midstream Partners LP, 4.15%, due 06/01/25     957,500  
    375,000     Equinix, Inc., REIT, 5.38%, due 01/01/22     383,438  
    1,250,000     Equinix, Inc., REIT, 5.75%, due 01/01/25     1,290,875  
    875,000     Ferrellgas LP / Ferrellgas Finance Corp., 6.50%, due 05/01/21     772,188  
    750,000     Genworth Holdings, Inc., 7.20%, due 02/15/21     721,875  
    1,125,000     Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26     1,033,594  
    750,000     Hologic, Inc., 144A, 4.63%, due 02/01/28     733,125  
    875,000     Ingles Markets, Inc., 5.75%, due 06/15/23     885,937  
    1,000,000     Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22     979,028  
    750,000     Navient Corp., 5.50%, due 01/25/23     747,938  
    

Par Value†

    Description   Value ($)  
          United States — continued  
          Corporate Debt — continued  
    750,000     NuStar Logistics LP, 5.63%, due 04/28/27     727,485  
    1,625,000     Pitney Bowes, Inc., 4.70%, due 04/01/23     1,507,187  
    825,000     Pyxus International, Inc., 144A, 8.50%, due 04/15/21     841,500  
    1,500,000     Quicken Loans, Inc., 144A, 5.25%, due 01/15/28     1,394,550  
    500,000     RR Donnelley & Sons Co., 7.88%, due 03/15/21     508,750  
    1,000,000     Sirius XM Radio, Inc., 144A, 5.38%, due 07/15/26     1,007,200  
    2,450,000     Standard Industries, Inc., 144A, 5.38%, due 11/15/24     2,476,386  
    1,125,000     Steel Dynamics, Inc., 5.25%, due 04/15/23     1,137,656  
    1,500,000     T-Mobile USA, Inc., 5.38%, due 04/15/27     1,561,410  
    1,246,000     Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.75%, due 03/15/24     1,292,725  
    1,000,000     Triumph Group, Inc., 4.88%, due 04/01/21     980,000  
    625,000     Urban One, Inc., 144A, 7.38%, due 04/15/22     614,063  
    1,000,000     VeriSign, Inc., 4.75%, due 07/15/27     1,017,700  
    2,500,000     Wyndham Destinations, Inc., 5.40%, due 04/01/24     2,553,125  
    750,000     Xerox Corp., 4.13%, due 03/15/23     738,863  
     

 

 

 
    Total Corporate Debt     38,756,540  
     

 

 

 
          U.S. Government — 27.2%  
    11,500,000     U.S. Treasury Note, 1.38%, due 03/31/20     11,413,750  
    6,000,000     U.S. Treasury Note, 1.13%, due 04/30/20     5,938,594  
    11,750,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.36%, due 04/30/20 (a)     11,749,420  
    16,300,000     U.S. Treasury Note, Variable Rate, USBM + .04%, 2.37%, due 07/31/20     16,296,183  
    12,992,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.37%, due 10/31/20 (a)     12,984,500  
     

 

 

 
    Total U.S. Government     58,382,447  
     

 

 

 
          U.S. Government Agency — 7.9%  
    17,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 2.47%, due 12/26/19     17,004,726  
     

 

 

 
    Total United States     114,143,713  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $119,282,294)     119,629,184  
     

 

 

 
 


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    

Shares /

Par Value†

    Description   Value ($)  
    MUTUAL FUNDS — 1.5%

 

          United States — 1.5%  
          Affiliated Issuers — 1.5%  
    643,489     GMO U.S. Treasury Fund     3,217,447  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $3,217,447)     3,217,447  
     

 

 

 
          SHORT-TERM INVESTMENTS — 42.3%  
          Foreign Government Obligations — 19.5%  

JPY

    1,731,000,000     Japan Treasury Discount Bill, Zero Coupon, due 06/24/19     15,975,018  

JPY

    1,087,750,000     Japan Treasury Discount Bill, Zero Coupon, due 07/16/19     10,039,614  

JPY

    1,731,000,000     Japan Treasury Discount Bill, Zero Coupon, due 08/19/19     15,978,916  
     

 

 

 
    Total Foreign Government Obligations     41,993,548  
     

 

 

 
          Money Market Funds — 0.2%  
    499,126     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (b)     499,126  
     

 

 

 
          U.S. Government Agency — 22.6%  
    45,500,000     Federal Home Loan Bank Discount Notes, 2.36%, due 06/03/19 (c)     45,500,000  
    3,000,000     Federal Home Loan Bank Discount Notes, 2.22%, due 07/19/19 (c)     2,991,030  
     

 

 

 
    Total U.S. Government Agency     48,491,030  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $89,998,239)     90,983,704  
     

 

 

 
    TOTAL INVESTMENTS — 99.4%
(Cost $212,497,980)
    213,830,335  
    Other Assets and Liabilities (net) — 0.6%     1,188,352  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $215,018,687  
     

 

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation) ($)
 
06/24/2019   GS   JPY     1,731,000,000       USD       15,616,289       (383,208
07/16/2019   JPM   JPY     1,087,750,000       USD       9,809,132       (262,455
08/19/2019   BOA   JPY     1,731,000,000       USD       15,913,554       (154,941
           

 

 

 
            $ (800,604
           

 

 

 

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
    Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys        
69   U.S. Treasury Note 2 Yr. (CBT)     September 2019       14,812,360       49,559  
92   U.S. Treasury Note 5 Yr. (CBT)     September 2019       10,797,781       66,713  
100   U.S. Treasury Note 10 Yr. (CBT)     September 2019       12,675,000       124,848  
     

 

 

   

 

 

 
  $ 38,285,141     $ 241,120  
 

 

 

   

 

 

 
Sales      
5   U.S. Long Bond (CBT)     September 2019     $ 768,594     $ (14,578
     

 

 

   

 

 

 

 

+

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

 

 

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) ($)
 

Sell Protection^:

 

CDX-NAHYS32V1-5Y

  USD   50,807,000     5.00%       3.93%     $ 50,807,000       06/20/2024       Quarterly     $ 3,592,760     $ 2,304,707     $ (1,288,053
               

 

 

   

 

 

   

 

 

 


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

OTC Credit Default Swaps

 

Reference Entity

 

Counterparty

 

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) ($)
 

Sell Protection^:

 

Frontier Communications

  BOA   USD     1,250,000       5.00%       20.36%     $ 1,250,000       12/20/2019       Quarterly     $ (118,750   $ (98,890   $ 19,860  
                 

 

 

   

 

 

   

 

 

 

 

^

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 May 31, 2019, 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

 

Fund Pays

  

Fund Receives

  

Counterparty

   Notional
Amount
    

Expiration
Date

   Periodic
Payment
Frequency
     Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 

1 Month USD LIBOR

   Total Return on iBoxx High Yield Corp. ETF    BOA      USD        1,232,091      06/20/2019      Monthly              (14,078     (14,078

1 Month USD LIBOR

   Total Return on iBoxx High Yield Corp. ETF    BOA      USD        27,956,016      06/20/2019      Monthly              (324,673     (324,673

3 Month USD LIBOR

   Total Return on iBoxx High Yield Corp. ETF    JPM      USD        55,224,999      06/20/2019      Quarterly              (235,609     (235,609

3 Month USD LIBOR

   Total Return on iBoxx High Yield Corp. ETF    GS      USD        22,720,001      09/20/2019      Quarterly        (91,381     (310,933     (219,552

3 Month USD LIBOR

   Total Return on iBoxx High Yield Corp. ETF    GS      USD        1,899,999      09/20/2019      Quarterly        (7,642     (22,030     (14,388

3 Month USD LIBOR

   Total Return on iBoxx High Yield Corp. ETF    MSCS      USD        5,510,000      09/20/2019      Quarterly        (28,609     (51,351     (22,742
                    

 

 

   

 

 

   

 

 

 
   $ (127,632   $ (958,674   $ (831,042
  

 

 

   

 

 

   

 

 

 

As of May 31, 2019, 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:

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.

ETF - Exchange-Traded Fund

REIT - Real Estate Investment Trust.

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

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


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

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

 

(b)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(c)

The rate shown represents yield-to-maturity.

Counterparty Abbreviations:

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCS - Morgan Stanley Capital Services LLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    

Par Value†

    Description       
Value ($)
 
    DEBT OBLIGATIONS — 93.4%

 

          Asset-Backed Securities — 91.2%  
          Auto Retail Subprime — 0.7%  
    6,265,989     CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20     6,268,834  
    1,049,647     CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21     1,061,330  
     

 

 

 
    Total Auto Retail Subprime     7,330,164  
     

 

 

 
          CMBS Collateralized Debt Obligations — 1.3%  
    1,451,819     ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42     1,478,273  
    8,586,000     ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42     3,577,473  
    3,460,070     Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 2.97%, due 01/20/37 (a)     3,356,268  
    5,450,536     GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.42%, due 03/21/46     4,701,445  
     

 

 

 
    Total CMBS Collateralized Debt Obligations     13,113,459  
     

 

 

 
          Collateralized Loan Obligations — 18.4%  
    18,135,165     ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 4.17%, due 05/01/27     18,168,951  
    1,905,000     Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 4.49%, due 10/17/26     1,882,721  
    1,028,760     BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .98%, 3.56%, due 01/25/29     1,028,767  
    4,222,400     Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 4.38%, due 01/27/28     4,154,491  
    2,053,000     CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + .78%, 3.38%, due 04/15/27     2,045,252  
    5,510,000     Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.71%, due 01/20/30     5,473,524  
    9,875,050     Crown Point CLO II Ltd., Series 13-2A, Class A3LR, 144A, Variable Rate, 3 mo. LIBOR + 1.75%, 4.35%, due 12/31/23     9,886,288  
    4,161,000     ECP CLO Ltd., Series 15-7A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 3.73%, due 04/22/30     4,117,909  
    37,489,650     Elevation CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 4.15%, due 04/18/27     37,510,607  
    1,259,600     Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 4.24%, due 07/17/28     1,250,633  
    11,360,000     Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .97%, 3.56%, due 07/17/28     11,238,368  
     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Collateralized Loan Obligations — continued  
    4,263,000     Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 5.52%, due 08/15/23     4,268,354  
    1,465,400     Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.94%, due 07/20/26     1,468,740  
    12,484,500     Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.72%, due 07/15/31     12,349,230  
    9,704,896     Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .90%, 3.42%, due 11/15/26     9,711,640  
    2,015,360     Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.71%, due 06/22/30     2,010,445  
    3,328,000     Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.60%, due 04/15/31     3,299,762  
    4,993,200     Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.70%, due 07/18/31     4,954,757  
    5,200,000     Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 3.72%, due 02/28/26     5,180,256  
    1,568,784     Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR +1.90%, 4.48%, due 07/25/26     1,568,903  
    2,145,213     WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR +1.16%, 3.75%, due 07/17/26     2,148,148  
    7,946,500     Z Capital Credit Partners CLO Ltd., Series 15-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR +1.85%, 4.45%, due 07/16/27     7,717,363  
    6,750,000     Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR +1.50%, 4.10%, due 04/15/28     6,711,322  
    20,250,000     Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR +1.15%, 3.75%, due 04/15/28     20,226,814  
    1,918,200     Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR +0.95%, 3.55%, due 04/15/29     1,899,083  
     

 

 

 
    Total Collateralized Loan Obligations     180,272,328  
     

 

 

 
          Commercial Mortgage-Backed Securities — 11.8%  
    6,334,436     Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48     6,688,771  
    1,454,200     Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.85%, due 02/10/34     1,487,293  
    3,550,200     Core Industrial Trust, Series 15-TEXW, Class E, 144A, Variable Rate, 3.85%, due 02/10/34     3,603,576  
    3,717,650     Core Industrial Trust, Series 15-WEST, Class C, 144A, 3.49%, due 02/10/37     3,848,959  
    23,260,500     Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.23%, due 02/10/37     24,287,151  
 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Par Value†      Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Commercial Mortgage-Backed Securities — continued  
    318,802     Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 2.68%, due 04/15/37     302,381  
    251,875     Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37     247,158  
    6,372,761     CSAILCommercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48     6,694,469  
    10,742,760     GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.07%, due 02/10/29     10,783,211  
    6,101,601     GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49     5,304,388  
    5,550,330     GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48     5,863,208  
    1,664,000     JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CBX, Class E, Variable Rate, 5.13%, due 01/12/37     1,687,124  
    4,069,073     JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.36%, due 06/12/41     4,140,282  
    4,135,794     JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 5.90%, due 01/15/42     4,142,946  
    4,000,000     JPMBB Commercial Mortgage Securities Trust, Series 15-C31, Class A3, 3.80%, due 08/15/48     4,222,734  
    1,326,486     LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36     1,353,436  
    2,294,780     Merrill Lynch Mortgage Trust, Series 04-BPC1, Class E, 144A, Variable Rate, 5.17%, due 10/12/41     2,294,157  
    1,201,206     Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 7.76%, due 07/15/33     1,129,134  
    8,543,000     Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.49%, due 05/13/38     8,817,461  
    8,270,894     WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.60%, due 03/23/45     8,394,216  
    1,717,000     Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35     1,718,329  
    8,563,000     Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35     8,206,049  
     

 

 

 
    Total Commercial Mortgage-Backed Securities     115,216,433  
     

 

 

 
          Residential Mortgage-Backed Securities —
Other — 11.8%
 
    1,227,377     ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 2.71%, due 02/25/36     587,559  
    20,585,250     American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + .36%, 2.79%, due 02/25/36     2,996,957  
     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Residential Mortgage-Backed Securities —
Other — continued
 
    13,743,281     BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25     9,963,688  
    5,719,538     BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29     5,389,934  
    8,834,023     BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29     2,910,580  
    2,928,137     BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30     1,115,754  
    662,298     Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 2.75%, due 02/25/37     628,119  
    5,590,189     Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33     5,346,774  
    6,820,171     Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29     6,903,936  
    3,122,127     Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30     2,949,886  
    1,783,634     Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 2.59%, due 06/15/37     1,703,552  
    9,820,000     Freddie Mac Structured Agency Credit Risk Debt Notes, Series 17-DNA3, Class M2, 1 mo. LIBOR + 2.50%, 4.93%, due 03/25/30     10,061,779  
    535,780     GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.93%, due 10/25/34     503,496  
    7,990,843     GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37     8,108,121  
    6,496,763     Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35     3,130,585  
    31,041,675     Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 2.69%, due 06/25/36     3,215,436  
    16,259,485     Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36     12,290,790  
    14,605,750     Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37     7,806,278  
    4,187,720     Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 2.75%, due 03/25/36     753,106  
    631,036     Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.68%, due 02/26/34     599,924  
    14,248,022     New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + .20%, 2.63%, due 03/25/36     1,017,948  
    8,127,364     New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + .34%, 2.77%, due 03/25/36     580,564  
    21,668,447     New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + .40%, 2.83%, due 03/25/36     1,547,738  
 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Residential Mortgage-Backed Securities —
Other — continued
 
    1,527,308     Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + .90%, 3.33%, due 08/25/35     1,622,902  
    7,675,473     Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27     7,416,379  
    1,582,215     Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28     1,661,725  
    2,541,670     Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29     2,592,952  
    5,543,884     Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30     4,894,880  
    10,870,870     Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30     4,858,385  
    1,332,285     Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31     1,113,959  
    908,046     Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31     857,187  
    270,830     PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, Step Up, 7.50%, due 12/25/27     314,976  
     

 

 

 
    Total Residential Mortgage-Backed Securities — Other     115,445,849  
     

 

 

 
          Residential Mortgage-Backed Securities —
Prime — 3.4%
 
    1,756,905     Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.57%, due 08/25/35     1,763,319  
    1,627,051     Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 4.73%, due 10/25/35     1,666,458  
    1,034,801     Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.46%, due 08/25/35     1,027,611  
    2,549,855     IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.34%, due 12/25/36     2,424,287  
    1,964,728     IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.28%, due 03/25/37     1,888,212  
    2,626,727     RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.62%, due 09/25/35     2,622,619  
    1,872,258     WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.10%, due 09/25/35     1,897,201  
    1,780,973     WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 2.21%, due 01/25/47     1,772,540  
    18,106,567     Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37     18,528,361  
     

 

 

 
    Total Residential Mortgage-Backed Securities — Prime     33,590,608  
     

 

 

 
          Residential Mortgage-Backed Securities —
Subprime — 1.9%
 
    1,788,863     Asset Backed Funding Certificates, Series 05-AQ1, Step Up, 4.74%, due 06/25/35     1,881,723  
     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Residential Mortgage-Backed Securities —
Subprime — continued
 
    2,578,393     BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.16%, due 05/26/37     2,413,953  
    1,723,153     Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 3.51%, due 08/25/35     1,735,518  
    3,296,075     Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 4.30%, due 08/25/35     3,329,351  
    3,726,037     Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 2.54%, due 04/25/31     5,342,241  
    1,928,663     CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 4.27%, due 11/20/34     1,971,354  
    1,686,400     GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34     1,726,571  
     

 

 

 
    Total Residential Mortgage-Backed Securities — Subprime     18,400,711  
     

 

 

 
          Residential Mortgage-Backed Securities —
Alt-A — 1.2%
 
    2,284,020     Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 3.13%, due 05/25/36     1,320,433  
    2,386,380     Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 3.13%, due 10/25/36     1,337,613  
    3,341,689     Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34     3,423,499  
    5,783,070     Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.77%, due 07/25/36     4,163,687  
    1,493,225     JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37     1,565,045  
     

 

 

 
    Total Residential Mortgage-Backed Securities — Alt-A     11,810,277  
     

 

 

 
          Small Balance Commercial Mortgages — 13.9%  
    8,448,000     Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38     7,603,377  
    547,626     Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 3.27%, due 04/25/34     539,009  
    495,958     Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 4.23%, due 04/25/34     493,126  
    550,215     Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 5.28%, due 04/25/34     558,066  
    5,564,861     Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.74%, due 08/25/35     5,342,308  
 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Small Balance Commercial Mortgages — continued  
    2,860,098     Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.82%, due 01/25/36     2,765,631  
    1,589,949     Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .38%, 2.81%, due 04/25/36     1,524,117  
    2,248,696     Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .23%, 2.66%, due 07/25/36     2,157,955  
    4,599,736     Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 2.71%, due 07/25/36     4,420,201  
    6,462,717     Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.68%, due 10/25/36     6,175,687  
    3,054,067     Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .22%, 2.65%, due 03/25/37     2,898,693  
    2,405,288     Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 2.67%, due 07/25/37     2,286,405  
    10,046,371     Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 2.70%, due 07/25/37     9,544,463  
    6,469,795     Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .32%, 2.75%, due 07/25/37     6,069,787  
    1,927,447     Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + .85%, 3.28%, due 12/25/37     1,914,613  
    16,495,272     Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.68%, due 12/25/37     16,510,709  
    3,300,000     Core Industrial Trust, Series 15-WEST, Class D, 144A, Variable Rate, 4.23%, due 02/10/37     3,529,518  
    17,406,944     GE Business Loan Trust, Series 06-1X, Class A, Variable Rate, 1 mo. LIBOR + .20%, 2.64%, due 05/15/34     16,934,001  
    1,991,001     GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .18%, 2.62%, due 11/15/34     1,959,361  
    4,348,633     GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.61%, due 04/15/35     4,266,110  
    3,487,499     GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.44%, due 04/16/35     3,190,818  
    1,639,274     Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 2.77%, due 09/25/36     1,635,429  
    672,490     Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 2.63%, due 12/25/36     653,115  
    4,300,000     Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.83%, due 06/25/37     4,044,601  
     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Small Balance Commercial Mortgages — continued  
    3,385,932     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.68%, due 02/25/30     3,348,092  
    468,188     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.83%, due 09/25/30     467,589  
    2,002,843     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .52%, 2.95%, due 09/25/30     1,990,168  
    2,467,604     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.43%, due 09/25/30     2,420,312  
    5,445,606     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + .53%, 2.96%, due 04/25/31     5,302,656  
    2,022,599     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.43%, due 04/25/31     1,943,500  
    2,554,500     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.87%, due 09/25/36     2,482,633  
    1,186,499     Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 4.23%, due 10/25/46     1,192,897  
    4,357,418     WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.94%, due 12/27/49     4,353,997  
    3,430,400     WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 4.32%, due 12/27/49     3,455,985  
    2,585,664     WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 4.47%, due 12/27/49     2,622,984  
     

 

 

 
    Total Small Balance Commercial Mortgages     136,597,913  
     

 

 

 
          Student Loans — Federal Family Education Loan
Program — 5.7%
 
    6,927,713     AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + .19%, 2.77%, due 10/25/24     6,806,562  
    11,653,584     AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + .70%, 3.28%, due 01/25/43     10,329,117  
    20,673,578     AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + .06%, 2.64%, due 01/25/23     20,286,984  
    4,869,379     Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 2.92%, due 03/28/35 (a)     4,377,954  
 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Student Loans — Federal Family Education Loan
Program — continued
 
    14,145,457     SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 4.23%, due 07/25/22     14,249,286  
     

 

 

 
    Total Student Loans — Federal Family Education Loan Program     56,049,903  
     

 

 

 
          Student Loans — Private — 20.7%  
    5,283,222     AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 3.38%, due 07/25/34     5,058,251  
    1,118,559     AccessLex Institute, Series 03-A, Class A2, Variable Rate, 3 mo. USBM +1.20%, 3.57%, due 07/01/38     1,118,298  
    4,766,972     KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + .73%, 3.34%, due 09/27/38     4,740,705  
    31,059,920     KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 3.09%, due 12/27/41     30,671,463  
    2,656,146     KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + .80%, 3.38%, due 04/28/42     2,590,969  
    5,622,500     KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.83%, due 07/28/42     4,706,550  
    1,966,436     L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + .50%, 2.94%, due 10/15/28     1,900,629  
    18,250,000     National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 5.16%, due 03/31/38 (a)     7,482,500  
    5,550,406     National Collegiate Student Loan Trust, Series 05-3, Variable Rate, 1 mo. LIBOR + .38%, 2.81%, due 10/25/33     5,365,117  
    2,061,054     National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.66%, due 03/26/29     2,046,915  
    523,946     National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.70%, due 03/26/29     520,983  
    444,487     National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.70%, due 09/25/29     443,948  
    9,098,621     National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 2.67%, due 07/25/30     9,023,431  
    11,809,000     National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 2.74%, due 05/25/32     11,179,615  
    7,333,803     National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + .35%, 2.78%, due 03/25/33     7,035,443  
    12,763,500     National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + .37%, 2.80%, due 06/25/33     12,137,643  
     Par Value†     Description       
Value ($)
 
          Asset-Backed Securities — continued  
          Student Loans — Private — continued  
    14,906,500     National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 2.73%, due 10/25/33     13,479,581  
    3,256,000     National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + .54%, 2.97%, due 12/26/33     2,931,190  
    25,000     National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38 (a)     23,500  
    75,000     National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.50%, due 03/25/38 (a)     69,188  
    8,991,000     SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + .00%, due 06/15/32 (a)     8,988,303  
    4,600,000     SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + .00%, due 09/15/32 (a)     4,598,620  
    5,400,350     SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 4.21%, due 09/15/32     1,936,855  
    9,000,000     SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 3.04%, due 09/15/33     8,725,167  
    4,178,029     SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 2.89%, due 12/15/38     4,129,062  
    15,784,504     SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 2.90%, due 06/15/39     15,376,639  
    17,804,599     SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 2.94%, due 06/15/39     17,489,835  
    2,672,291     SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + .39%, 3.00%, due 12/15/39     2,337,902  
    9,862,831     South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.93%, due 01/25/36     9,897,183  
    6,989,400     Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.53%, due 01/25/46     6,698,545  
     

 

 

 
    Total Student Loans — Private     202,704,030  
     

 

 

 
          Time Share — 0.4%  
    360,041     BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27     360,215  
    1,465,549     BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28     1,467,233  
    761,713     Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30     760,941  
    1,337,570     Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30     1,335,442  
     

 

 

 
    Total Time Share     3,923,831  
     

 

 

 
    Total Asset-Backed Securities     894,455,506  
     

 

 

 
 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    

    

Par Value†

   

Description

 

Value ($)

 
          U.S. Government — 0.7%  
    300,000     U.S. Treasury Note, Variable Rate, USBM + .03%, 2.36%, due 04/30/20 (b)     299,985  
    3,000,000     U.S. Treasury Note, Variable Rate, USBM + .04%, 2.37%, due 07/31/20 (b)     2,999,298  
    4,000,000     U.S. Treasury Note, Variable Rate, USBM + .12%, 2.44%, due 01/31/21     4,000,263  
     

 

 

 
    Total U.S. Government     7,299,546  
     

 

 

 
          U.S. Government Agency — 1.5%  
    5,925,000     Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – .02%, 2.53%, due 02/01/25 (c)     5,720,933  
    5,625,000     Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 2.69%, due 10/29/26 (c)     5,403,744  
    3,172,500     Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 2.56%, due 07/01/23 (c)     3,094,262  
     

 

 

 
    Total U.S. Government Agency     14,218,939  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $909,988,316)     915,973,991  
     

 

 

 
     Shares /
Par Value†
    Description   Value ($)  
          MUTUAL FUNDS — 1.2%  
          United States — 1.2%  
          Affiliated Issuers — 1.2%  
    2,343,048     GMO U.S. Treasury Fund     11,715,242  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $11,715,738)
    11,715,242  
     

 

 

 
          SHORT-TERM INVESTMENTS — 2.5%  
          Money Market Funds — 0.1%  
    371,780     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (d)     371,780  
     

 

 

 
          U.S. Government — 2.4%  
    10,000,000     U.S. Treasury Bill, 2.32%, due 11/29/19 (e)     9,885,937  
    10,000,000     U.S. Treasury Note, 1.38%, due 03/31/20     9,925,000  
    4,000,000     U.S. Treasury Note, 1.38%, due 05/31/20     3,965,781  
     

 

 

 
    Total U.S. Government     23,776,718  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $24,136,592)     24,148,498  
     

 

 

 
 

PURCHASED OPTIONS — 0.0%

 

Description    Counterparty    Exercise
Rate
   Expiration
Date
   Principal/
Notional
Amount
     Floating
Rate Index
  Pay/Receive
Floating Rate
   Value ($)  

Option on Credit Default Swaps — Calls — 0.0%

 

CDX.NA.HYS.32.V1-5Y

   GS    107.00%    06/19/19    USD     30,000,000      Fixed Spread   Receive      4,493  
                     

 

 

 

Option on Credit Default Swaps — Puts — 0.0%

 

ITRAXX.EUROPES.31.V1-5Y

   CITI    70.00%    06/19/19    EUR     82,600,000      Fixed Spread   Pay               196,865  
                     

 

 

 
   

TOTAL PURCHASED OPTIONS (COST $246,535)

    201,358  
     

 

 

 
    TOTAL INVESTMENTS — 97.1%
(Cost $946,087,181)
    952,039,089  
    Other Assets and Liabilities (net) — 2.9%     28,469,945  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $980,509,034  
     

 

 

 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date
 

Counter-
party

  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation)
($)
 
08/20/2019   BCLY     EUR       243,994       USD       275,103       778  
08/20/2019   JPM     USD       286,214       EUR       255,000       485  
           

 

 

 
  $ 1,263  
           

 

 

 

Futures Contracts

 

Number of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys        
257   U.S. Treasury Note 5 Yr. (CBT)   September 2019     30,163,367       186,362  
9   U.S. Treasury Note 10 Yr. (CBT)   September 2019     1,140,750       11,236  
93   U.S. Treasury Ultra 10 Yr. (CBT)   September 2019     12,698,860       162,623  
     

 

 

   

 

 

 
      $ 44,002,977     $ 360,221  
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

  

Sales - Fund is short the futures contract.

 

 

Written Options

 

Description

    

Counterparty

     Exercise
Rate
     Expiration
Date
       Principal/
Notional
Amount
    Floating Rate
Index
       Pay/Receive
Floating Rate
       Value ($)  

Written Options on Credit Default Swaps — Puts

 

                  

ITRAXX.EUROPES.31.V1-5Y

     CITI        115.00      06/19/19          EUR       83,230,000       Fixed Spread          Pay          (954

CDX.NA.HYS.32.V1-5Y

     DB        99.00      06/19/19          USD       30,000,000       Fixed Spread          Pay          (10,810

ITRAXX.EUROPES.31.V1-5Y

     GS        105.00      07/17/19          EUR       82,600,000       Fixed Spread          Pay          (33,516
                               

 

 

 
           
TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS
(Premiums $110,570)

 
     $ (45,280
                               

 

 

 

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.NA.HYS.27.V1-5Y

   USD     23,771,090        5.00%        2.83%        N/A        12/20/2021        Quarterly       (1,782,238     (1,232,531     549,707  

Sell Protection^:

 

CDX.NA.IGS.28.V1-5Y

   USD     17,200,000        1.00%        0.47%        17,200,000 USD        06/20/2022        Quarterly       300,982       271,502       (29,480
                     

 

 

   

 

 

   

 

 

 
  $ (1,481,256   $ (961,029   $ 520,227  
 

 

 

   

 

 

   

 

 

 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

OTC Credit Default Swaps

 

Reference Entity

 

Counterparty

 

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.25.V1-5Y

  BOA   USD     4,400,000       5.00%       0.06%       N/A       12/20/2020       Quarterly       369,771       (301,943     (671,714

CDX.NA.HYS.25.V1-5Y

  JPM   USD     4,343,000       5.00%       0.06%       N/A       12/20/2020       Quarterly       (26,058     (298,031     (271,973

CDX.NA.HYS.25.V5-5Y

  JPM   USD     8,543,000       5.00%       0.06%       N/A       12/20/2020       Quarterly       (847,893     (586,250     261,643  

CDX.NA.IGS.25.V1-5Y

  CITI   USD     4,300,000       1.00%       0.03%       N/A       12/20/2020       Quarterly       547,891       (45,321     (593,212

CDX.NA.IGS.25.V1-5Y

  BOA   USD     4,400,000       1.00%       0.03%       N/A       12/20/2020       Quarterly       710,600       (46,375     (756,975

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

  GS   USD     8,580,000       5.00%       0.14%       N/A       12/20/2021       Quarterly       21,450       (775,448     (796,898

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

  JPM   USD     4,300,000       5.00%       0.14%       N/A       12/20/2021       Quarterly       (11,825     (388,628     (376,803

D.R. HORTON INC

  BCLY   USD     17,200,000       1.00%       0.37%       N/A       06/20/2022       Quarterly       (165,250     (334,197     (168,947

CDX-NA.HYS.29.V1-5Y

  JPM   USD     5,060,000       5.00%       0.29%       N/A       12/20/2022       Quarterly       (301,070     (362,129     (61,059

CDX.NA.HYS.29.V1-5Y

  JPM   USD     6,425,250       5.00%       0.29%       N/A       12/20/2022       Quarterly       (282,711     (459,836     (177,125

CDX.NA.HYS.29.V1-5Y

  MSCS   USD     3,450,800       5.00%       0.29%       N/A       12/20/2022       Quarterly       (188,414     (246,963     (58,549

Navient Corp.

  BCLY   USD     2,576,400       5.00%       2.25%       N/A       12/20/2022       Quarterly       (208,665     (244,106     (35,441

Navient Corp.

  BCLY   USD     2,576,400       5.00%       2.25%       N/A       12/20/2022       Quarterly       (198,694     (244,106     (45,412

Navient Corp.

  BCLY   USD     3,435,200       5.00%       2.25%       N/A       12/20/2022       Quarterly       (264,646     (325,475     (60,829

CMBX.NA.AS.7

  BOA   USD     4,505,000       1.00%       0.06%       N/A       01/17/2047       Monthly       47,352       (70,310     (117,662

CMBX.NA.AS.7

  DB   USD     16,677,794       1.00%       0.06%       N/A       01/17/2047       Monthly       197,705       (260,290     (457,995

CMBX.NA.AS.7

  GS   USD     4,400,000       1.00%       0.06%       N/A       01/17/2047       Monthly       112,812       (68,671     (181,483

CMBX.NA.AS.7

  MSCS   USD     13,270,000       1.00%       0.06%       N/A       01/17/2047       Monthly       205,782       (207,105     (412,887

CMBX.NA.AS.7

  DB   USD     7,608,000       1.00%       0.06%       N/A       01/17/2047       Monthly       (119,899     (118,738     1,161  

CMBX.NA.AA.8

  CSI   USD     8,892,000       1.50%       0.11%       N/A       10/17/2057       Monthly       247,717       (184,509     (432,226

CMBX.NA.AS.8

  CGMI   USD     8,892,000       1.00%       0.07%       N/A       10/17/2057       Monthly       73,095       (133,787     (206,882

CMBX.NA.AS.8

  MSCS   USD     3,384,000       1.00%       0.07%       N/A       10/17/2057       Monthly       140,432       (50,915     (191,347

CMBX.NA.BBB-.8

  CITI   USD     7,500,000       3.00%       0.46%       N/A       10/17/2057       Monthly       596,480       545,202       (51,278

CMBX.NA.BBB-.8

  CSI   USD     2,108,500       3.00%       0.46%       N/A       10/17/2057       Monthly       144,924       153,274       8,350  

CMBX.NA.BBB-.8

  GS   USD     8,650,000       3.00%       0.46%       N/A       10/17/2057       Monthly       1,299,082       628,800       (670,282

CMBX.NA.BBB-.8

  CGMI   USD     4,223,000       3.00%       0.46%       N/A       10/17/2057       Monthly       392,728       306,985       (85,743

CMBX.NA.BBB-.8

  GS   USD     4,224,000       3.00%       0.46%       N/A       10/17/2057       Monthly       400,908       307,058       (93,850

CMBX.NA.AAA.9

  CITI   USD     4,000,000       0.50%       0.04%       N/A       09/17/2058       Monthly       (17,096     (17,369     (273

CMBX.NA.AAA.9

  GS   USD     6,146,000       0.50%       0.04%       N/A       09/17/2058       Monthly       (30,042     (26,688     3,354  

CMBX.NA.AAA.9

  GS   USD     1,000,000       0.50%       0.04%       N/A       09/17/2058       Monthly       (4,888     (4,342     546  

CMBX.NA.AAA.9

  MSCI   USD     3,328,000       0.50%       0.04%       N/A       09/17/2058       Monthly       (31,983     (14,451     17,532  

CMBX.NA.AAA.9

  GS   USD     1,714,000       0.50%       0.04%       N/A       09/17/2058       Monthly       (18,554     (7,443     11,111  

CMBX.NA.AAA.9

  GS   USD     3,835,800       0.50%       0.04%       N/A       09/17/2058       Monthly       (31,220     (16,656     14,564  

CMBX.NA.AAA.9

  GS   USD     1,906,500       0.50%       0.04%       N/A       09/17/2058       Monthly       (21,677     (8,279     13,398  

CMBX.NA.BBB-.9

  DB   USD     4,400,000       3.00%       0.41%       N/A       09/17/2058       Monthly       950,085       257,328       (692,757

CMBX.NA.BBB-.9

  GS   USD     1,760,000       3.00%       0.41%       N/A       09/17/2058       Monthly       346,611       102,931       (243,680

CMBX.NA.BBB-.9

  MSCS   USD     8,528,000       3.00%       0.41%       N/A       09/17/2058       Monthly       974,545       498,748       (475,797

CMBX.NA.BBB-.9

  DB   USD     4,263,000       3.00%       0.41%       N/A       09/17/2058       Monthly       517,160       249,315       (267,845

Sell Protection^:

 

CDX-NA.HYS.27.V3-5Y

  JPM   USD     8,543,000       5.00%       0.04%       8,543,000 USD       12/20/2021       Quarterly       1,230,192       993,586       (236,606

CDX-NA.HYS.27.V3-5Y

  JPM   USD     12,672,000       5.00%       0.04%       12,672,000 USD       12/20/2021       Quarterly       1,795,622       1,473,806       (321,816

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

  GS   USD     12,870,000       5.00%       0.04%       12,870,000 USD       12/20/2021       Quarterly       1,657,013       1,496,834       (160,179

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

  JPM   USD     8,600,000       5.00%       0.04%       8,600,000 USD       12/20/2021       Quarterly       1,143,800       1,000,215       (143,585

CDX.NA.HYS.27.V3-5Y

  BOA   USD     8,545,000       5.00%       0.04%       8,545,000 USD       12/20/2021       Quarterly       1,369,764       993,819       (375,945

CDX.NA.HYS.29.V1-5Y

  BOA   USD     25,885,000       5.00%       0.10%       25,885,000 USD       12/20/2022       Quarterly       4,283,968       3,575,653       (708,315

CDX.NA.HYS.29.V1-5Y

  MSCS   USD     10,233,600       5.00%       0.10%       10,233,600 USD       12/20/2022       Quarterly       1,547,320       1,413,629       (133,691

CDX.NA.HYS.29.V1-5Y

  JPM   USD     41,791,309       5.00%       0.03%       41,791,309 USD       12/20/2022       Quarterly       8,914,086       6,656,913       (2,257,173

CDX.NA.HYS.29.V1-5Y

  BOA   USD     5,115,600       5.00%       0.10%       5,115,600 USD       12/20/2022       Quarterly       742,274       706,649       (35,625

CDX.NA.HYS.29.V1-5Y

  MSCS   USD     21,042,000       5.00%       0.03%       21,042,000 USD       12/20/2022       Quarterly       4,021,126       3,351,768       (669,358

CDX-NA.HYS.31.V1-5Y

  GS   USD     10,000,000       5.00%       0.21%       10,000,000 USD       12/20/2023       Quarterly       1,166,000       1,278,645       112,645  

CDX-NA.HYS.31.V1-5Y

  JPM   USD     18,517,545       5.00%       0.05%       18,517,545 USD       12/20/2023       Quarterly       3,686,843       3,485,853       (200,990

CMBX.NA.A.9

  GS   USD     6,822,400       2.00%       0.19%       6,822,400 USD       09/17/2058       Monthly       89,487       19,624       (69,863

CMBX.NA.A.6

  CSI   USD     4,217,000       2.00%       0.21%       4,217,000 USD       05/11/2063       Monthly       (52,739     (10,666     42,073  
                 

 

 

   

 

 

   

 

 

 
  $ 37,121,301     $ 23,637,608     $ (13,483,693
 

 

 

   

 

 

   

 

 

 


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

 

^

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 May 31, 2019, 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) ($)
 

1.27%

     3 Month USD LIBOR      USD      10,495,000        03/10/2021      Quarterly            139,107       139,107  

2.10%

     3 Month USD LIBOR      USD      4,101,000        11/24/2021      Quarterly      90,788       (14,959     (105,747

2.06%

     3 Month USD LIBOR      USD      10,281,000        11/10/2022      Quarterly      163,222       (49,916     (213,138

2.15%

     3 Month USD LIBOR      USD      6,877,000        10/13/2024      Quarterly      164,029       (73,685     (237,714

2.65%

     3 Month USD LIBOR      USD      19,740,000        01/18/2025      Quarterly      (228,827     (742,041     (513,214

2.00%

     3 Month USD LIBOR      USD      19,668,000        04/16/2025      Quarterly      (91,173     (40,158     51,015  

2.58%

     3 Month USD LIBOR      USD      3,162,000        02/04/2026      Quarterly            (118,585     (118,585

1.65%

     3 Month USD LIBOR      USD      5,536,000        05/19/2026      Quarterly      221,122       126,872       (94,250

2.88%

     3 Month USD LIBOR      USD      7,356,000        06/04/2028      Quarterly            (500,426     (500,426

3.00%

     3 Month USD LIBOR      USD      6,581,000        07/30/2028      Quarterly            (519,067     (519,067
                 

 

 

   

 

 

   

 

 

 
   $ 319,161     $ (1,792,858   $ (2,112,019
  

 

 

   

 

 

   

 

 

 

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 iBoxx USD Liquid Leverage Loans Index

     3 Month USD LIBOR      MSCS      USD       19,999,999      06/20/2019      Quarterly               (48,026     (48,026

Total Return on iBoxx USD Liquid Leverage Loans Index

     3 Month USD LIBOR      GS      USD       30,000,001      06/20/2019      Quarterly               (1,155,115     (1,155,115
                   

 

 

    

 

 

   

 

 

 
   $      $ (1,203,141   $ (1,203,141
  

 

 

    

 

 

   

 

 

 

As of May 31, 2019, 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.


GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Notes to Schedule of Investments:

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.

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

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

LIBOR - London Interbank Offered Rate

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

Investment valued using significant unobservable inputs.

 

(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.

 

(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.

 

(d)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(e)

The rate shown represents yield-to-maturity.

Counterparty Abbreviations:

 

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.

MSCI - Morgan Stanley & Co. International PLC

MSCS - Morgan Stanley Capital Services LLC

 

 

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

 


GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    

Par Value†

    Description   Value ($)  
          SHORT-TERM INVESTMENTS — 108.9%  
          U.S. Government — 85.3%  
    21,700,000     U.S. Treasury Bill, 2.32%, due 10/03/19 (a)     21,529,377  
    15,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.36%, due 04/30/20     14,999,260  
    15,000,000     U.S. Treasury Note, 1.50%, due 10/31/19     14,944,922  
    15,000,000     U.S. Treasury Note, 1.13%, due 12/31/19     14,892,188  
    3,800,000     U.S. Treasury Note, 1.25%, due 02/29/20     3,769,570  
    44,000,000     U.S. Treasury Note, 1.38%, due 03/31/20     43,670,000  
    17,000,000     U.S. Treasury Note, 1.38%, due 04/30/20     16,860,547  
    35,000,000     U.S. Treasury Note, 1.38%, due 05/31/20     34,700,586  
    54,741,200     U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.37%, due 07/31/20     54,728,380  
    60,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.37%, due 10/31/20     59,965,366  
    94,000,000     U.S. Treasury Note, Variable Rate, USBM + .12%, 2.44%, due 01/31/21     94,006,182  
     

 

 

 
    TOTAL U.S. GOVERNMENT     374,066,378  
     

 

 

 
          U.S. Government Agency — 15.8%  
    24,470,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.41%, due 02/07/20     24,461,576  
    20,000,000     Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.44%, due 02/21/20     19,994,812  
    25,000,000     Federal Home Loan Banks, Variable Rate, SOFR + 0.08%, 2.48%, due 07/24/20     24,992,264  
     

 

 

 
    TOTAL U.S. GOVERNMENT AGENCY     69,448,652  
     

 

 

 
     Shares     Description   Value ($)  
          Money Market Funds — 0.1%  
    566,446     State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.32% (b)     566,446  
     

 

 

 
          Repurchase Agreements — 7.7%  
    25,004,700     Daiwa Capital Markets America Inc. Repurchase Agreement, dated 05/31/19, maturing on 06/03/19 with a maturity value of $25,009,847 and an effective yield of 2.47%, collateralized by a U.S. Treasury Note with maturity date 11/30/25 and a market value of $25,587,151.     25,004,700  
    8,492,527     Daiwa Capital Markets America Inc. Repurchase Agreement, dated 05/31/19, maturing on 06/03/19 with a maturity value of $8,494,261 and an effective yield of 2.45%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $9,175,239.     8,492,527  
     

 

 

 
    TOTAL REPURCHASE AGREEMENTS     33,497,227  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $477,484,938)     477,578,703  
     

 

 

 
    TOTAL INVESTMENTS — 108.9%
(Cost $477,484,938)
    477,578,703  
    Other Assets and Liabilities (net) — (8.9%)     (38,845,780
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $438,732,923  
     

 

 

 
 

Notes to Schedule of Investments:

SOFR - Secured Overnight Financing Rate

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

The rate shown represents yield-to-maturity.

 

(b)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


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. 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. As of May 31, 2019, 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

    326,390,560         6,268,859     (42)           6,268,817            (209,623)      

Core Plus Bond Fund

    747,863,029       14,684,767     (2,833,814)           11,850,953            4,231,467       

Emerging Country Debt Fund

    4,402,682,036     189,314,576     (455,104,428)           (265,789,852)           13,098,460       

High Yield Fund

    212,606,208         1,542,663     (318,536)           1,224,127            (2,673,297)      

Opportunistic Income Fund

    950,769,869       26,111,247     (24,842,027)           1,269,220            (15,851,851)      

U.S. Treasury Fund

    477,484,938            152,550     (58,785)           93,765            —       

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2019 is set forth below:

 

               
Affiliate   Value,
beginning of
period
    Purchases     Sales
Proceeds
    Dividend
Income*
    Net
Realized
Gain
(Loss)
   

Net

Increase/
Decrease in
Unrealized
Appreciation/
Depreciation

    Value, end of
period
 

Asset Allocation Bond Fund

 

GMO U.S. Treasury Fund

  $ 29,705,779     $ 40,583,681     $ 65,690,000     $ 153,740     $     $     $ 4,599,460  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Core Plus Bond Fund

 

GMO Emerging Country Debt Fund, Class IV

  $ 34,628,088     $     $     $     $     $ 530,351     $ 35,158,439  

GMO Opportunistic Income Fund, Class VI

    135,749,920                               2,589,659       138,339,579  

GMO U.S. Treasury Fund

    39,599,632       86,000,000       106,999,999       76,685                   18,599,633  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 209,977,640     $ 86,000,000     $ 106,999,999     $ 76,685     $     $ 3,120,010     $ 192,097,651  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Emerging Country Debt Fund

 

GMO U.S. Treasury Fund

  $ 74,190,722     $     $     $ 475,175     $     $     $ 74,190,722  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

High Yield Fund

 

GMO U.S. Treasury Fund

  $ 3,539,546     $ 28,549,901     $ 28,872,000     $ 42,257     $     $     $ 3,217,447  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Opportunistic Income Fund

 

GMO U.S. Treasury Fund

  $ 17,465,242     $ 5,000,000     $ 10,750,000     $ 80,929     $ (2,403   $ 2,403     $ 11,715,242  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

 

  *

The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through May 31, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.


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 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. 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 of GMO Trust (“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 May 31, 2019, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

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 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; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2019:

 

         
Description   Level 1     Level 2     Level 3     Total  

Asset Allocation Bond Fund

         

Asset Valuation Inputs

         

Debt Obligations

         

U.S. Government

  $ 899,956     $ 318,846,280     $         —     $ 319,746,236  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    899,956       318,846,280             319,746,236  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

    4,599,460                   4,599,460  

Short-Term Investments

    1,621,974       6,691,707             8,313,681  
   

 

 

   

 

 

   

 

 

   

 

 

 
      7,121,390       325,537,987             332,659,377  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          1,059,455             1,059,455  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 7,121,390     $ 326,597,442     $     $ 333,718,832  
   

 

 

   

 

 

   

 

 

   

 

 

 
           

Liability Valuation Inputs

         

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ (1,269,078   $     $ (1,269,078
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Core Plus Bond Fund

         

Asset Valuation Inputs

         

Debt Obligations

         

Asset-Backed Securities

  $     $ 46,973,338     $     $ 46,973,338  

U.S. Government

    156,430,808                   156,430,808  

U.S. Government Agency

          100,290,363             100,290,363  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    156,430,808       147,263,701             303,694,509  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

    295,088,552                   295,088,552  

Short-Term Investments

    4,750,677       156,180,244             160,930,921  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    456,270,037       303,443,945             759,713,982  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          2,717,208             2,717,208  

Futures Contracts

         

Interest Rate Risk

    915,550                   915,550  

Swap Contracts

         

Interest Rate Risk

          8,239,767             8,239,767  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 457,185,587     $ 314,400,920     $     $ 771,586,507  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Core Plus Bond Fund (continued)

         

Liability Valuation Inputs

         

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ (4,115,603   $     $ (4,115,603

Swap Contracts

         

Interest Rate Risk

          (3,571,965           (3,571,965
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (7,687,568   $     $ (7,687,568
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Emerging Country Debt Fund

         

Asset Valuation Inputs

         

Debt Obligations

         

Asset-Backed Securities

  $     $ 38,820,766     $     $ 38,820,766  

Corporate Debt

          33,940,771       25,870,942       59,811,713  

Foreign Government Agency

          734,296,956       198,564,715       932,861,671  

Foreign Government Obligations

          1,934,203,344       215,208,901       2,149,412,245  

U.S. Government

    598,133,849       78,091,800             676,225,649  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    598,133,849       2,819,353,637       439,644,558       3,857,132,044  
   

 

 

   

 

 

   

 

 

   

 

 

 

Loan Assignments

                7,844,663       7,844,663  

Loan Participations

                56,829,651       56,829,651  

Mutual Funds

    74,190,722                   74,190,722  

Rights/Warrants

          18,808,174       2,606,713       21,414,887  

Short-Term Investments

    119,480,217                   119,480,217  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    791,804,788       2,838,161,811       506,925,585       4,136,892,184  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          1,824,725             1,824,725  

Options

         

Credit Risk

                441,967       441,967  

Swap Contracts

         

Credit Risk

          25,135,194             25,135,194  

Interest Rate Risk

          2,162,137             2,162,137  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 791,804,788     $ 2,867,283,867     $ 507,367,552     $ 4,166,456,207  
   

 

 

   

 

 

   

 

 

   

 

 

 
           

Liability Valuation Inputs

         

Derivatives^

         

Options

         

Credit Risk

  $     $     $ (1,656,669   $ (1,656,669

Swap Contracts

         

Credit Risk

          (13,854,889           (13,854,889

Interest Rate Risk

          (14,474,696           (14,474,696
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (28,329,585   $ (1,656,669   $ (29,986,254
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

High Yield Fund

         

Asset Valuation Inputs

         

Debt Obligations

         

Corporate Debt

  $     $ 44,242,011     $     $ 44,242,011  

U.S. Government

    58,382,447                   58,382,447  

U.S. Government Agency

    17,004,726                   17,004,726  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    75,387,173       44,242,011             119,629,184  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

    3,217,447                   3,217,447  

Short-Term Investments

    48,990,156       41,993,548             90,983,704  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    127,594,776       86,235,559             213,830,335  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Futures Contracts

         

Interest Rate Risk

    241,120                   241,120  

Swap Contracts

         

Credit Risk

          2,304,707             2,304,707  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 127,835,896     $ 88,540,266     $     $ 216,376,162  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

High Yield Fund (continued)

         

Liability Valuation Inputs

         

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ (800,604   $     $ (800,604

Futures Contracts

         

Interest Rate Risk

    (14,578                 (14,578

Swap Contracts

         

Credit Risk

          (98,890           (98,890

Interest Rate Risk

          (958,674           (958,674
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (14,578   $ (1,858,168   $     $ (1,872,746
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Opportunistic Income Fund

         

Asset Valuation Inputs

         

Debt Obligations

         

Asset-Backed Securities

  $     $ 865,559,173     $ 28,896,333     $ 894,455,506  

U.S. Government

    7,299,546                   7,299,546  

U.S. Government Agency

                14,218,939       14,218,939  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    7,299,546       865,559,173       43,115,272       915,973,991  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

    11,715,242                   11,715,242  

Short-Term Investments

    24,148,498                   24,148,498  

Purchased Options

          201,358             201,358  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    43,163,286       865,760,531       43,115,272       952,039,089  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          1,263             1,263  

Futures Contracts

         

Interest Rate Risk

    360,221                   360,221  

Swap Contracts

         

Credit Risk

          29,768,137             29,768,137  

Interest Rate Risk

          265,979             265,979  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 43,523,507     $ 895,795,910     $ 43,115,272     $ 982,434,689  
   

 

 

   

 

 

   

 

 

   

 

 

 
           

Liability Valuation Inputs

 

Derivatives^

 

Written Options

         

Credit Risk

  $     $ (45,280   $     $ (45,280

Swap Contracts

         

Credit Risk

          (7,091,558           (7,091,558

Interest Rate Risk

          (3,261,978           (3,261,978
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (10,398,816   $     $ (10,398,816
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

U.S. Treasury Fund

         

Asset Valuation Inputs

         

Short-Term Investments

  $ 444,081,476     $ 33,497,227     $     $ 477,578,703  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    444,081,476       33,497,227             477,578,703  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 444,081,476     $ 33,497,227     $     $ 477,578,703  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

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). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options and rights/warrants, if any, which are included in investments.


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’ portfolio valuation notes which are available on the Securities and Exchange Commission’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. 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. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2019.

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,
2019
    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

May 31,
2019

    Net Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held as
of May 31,
2019
 

Emerging Country Debt Fund

 

           

Debt Obligations

 

           

Corporate Debt

  $ 24,697,310     $         —     $     $ (378   $     $ 1,174,010     $     $         —     $ 25,870,942     $ 1,174,010  

Foreign Government Agency

    130,262,106             (1,253,637     776,111             5,258,985       63,521,150 ‡            198,564,715       5,258,985  

Foreign Government Obligations

    116,011,870                   738,061             6,456,182       92,002,788 ‡            215,208,901       6,456,182  

Loan Assignments

    7,965,089             (93,406     (4,100           (22,920                 7,844,663       (22,920

Loan Participations

    58,083,336             (882,114     380,033             (751,604                 56,829,651       (751,604

Rights/Warrants

    2,736,698                               (129,985                 2,606,713       (129,985
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    339,756,409             (2,229,157     1,889,727             11,984,668       155,523,938             506,925,585       11,984,668  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives

 

           

Options

    (993,146                       (182,626     (38,930                 (1,214,702     (38,930
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 338,763,263     $     $ (2,229,157 )#    $ 1,889,727     $ (182,626   $ 11,945,738     $ 155,523,938     $     $ 505,710,883     $ 11,945,738  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 

Opportunistic Income Fund

 

           

Debt Obligations

 

           

Asset-Backed Securities

  $ 30,514,634     $     $ (1,062,904   $ 45,820     $     $ (601,217   $     $     $ 28,896,333     $ (601,217

U.S. Government Agency

    14,579,868             (375,000     879             13,192                   14,218,939       13,192  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 45,094,502     $     $ (1,437,904 )##    $ 46,699     $     $ (588,025   $     $     $ 43,115,272     $ (588,025
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 

 

 

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

  #

Includes $2,229,157 of proceeds received from partial calls and/or principal paydowns as applicable.

  ##

Includes $1,437,904 of proceeds received from partial calls and/or principal paydowns as applicable.

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 from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Indexed investments

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

Loan assignments and participations

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

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 May 31, 2019, the Fund 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

  40,477,910   40,526,811

Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

The Funds 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 interest payable on such securities, if any, are reflected as a liability. 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.

Recently-issued accounting guidance

In March 2017, the Financial Accounting Standards Board issued ASU 2017-08, Premium Amortization of Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities. Under this ASU, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features, and are callable at fixed prices, will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis. It is in effect for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018.

Investment and other risks

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

 

             
     Asset
Allocation
Bond
Fund
  Core Plus
Bond Fund
  Emerging Country Debt Fund   High Yield Fund   Opportunistic Income Fund   U.S.
Treasury
Fund
Commodities Risk   X                    
Counterparty Risk   X   X   X   X   X   X
Credit Risk   X   X   X   X   X   X
Currency Risk   X   X   X   X   X    
Derivatives and Short Sales Risk   X   X   X   X   X    
Focused Investment Risk   X   X   X   X   X    
Fund of Funds Risk   X   X   X   X   X    
Futures Contracts Risk       X       X   X    
Illiquidity Risk   X   X   X   X   X    
Large Shareholder Risk   X   X   X   X   X   X
Leveraging Risk   X   X   X   X   X    
Management and Operational Risk   X   X   X   X   X   X


             
     Asset
Allocation
Bond
Fund
  Core Plus
Bond Fund
  Emerging Country Debt Fund   High Yield Fund   Opportunistic Income Fund   U.S.
Treasury
Fund
Market Disruption and Geopolitical Risk   X   X   X   X   X   X
Market Risk – Asset-Backed Securities   X   X   X       X    
Market Risk – Equities   X               X    
Market Risk – Fixed Income   X   X   X   X   X   X
Non-Diversified Funds   X   X   X   X   X    
Non-U.S. Investment Risk   X   X   X   X   X    
Small Company Risk   X   X           X    

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

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

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

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

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

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


some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

 CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation 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 (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

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

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest


on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

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

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt instruments generally are considered speculative and typically involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt instrument proves incorrect, a Fund is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

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

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

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

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

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret


contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being delayed or made only after the Fund has incurred the cost of litigation.

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

Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.

Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation and exposes the Funds to the risk that the pricing models used do not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, there is a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

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

Special tax rules apply to a Fund’s transactions in derivatives, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s derivative transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. See the Funds’ Prospectus and Statement of Additional Information for more information.

The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that GMO would be unable to implement a Fund’s investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are evolving, their impact on the Funds remains unclear.

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

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivative positions by the clearing member or the clearing house could interfere with the ability of


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

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

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

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to post in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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

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

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


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

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

 FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.

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

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

 FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.


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

 FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk 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 the subject of the hedge.

A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund typically will have to sell other investments at disadvantageous times. A Fund also runs the risk of being unable to reenter or be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates could prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

Futures contracts traded on markets outside the United States are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

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

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

The Securities and Exchange Commission has adopted Rule 22e-4 under the 1940 Act, which requires each Fund to adopt a liquidity risk management program to assess and manage its illiquidity risk. Under its program, each Fund will be required to classify its investments into specific liquidity categories and monitor compliance with limits on investments on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. The Funds do not expect Rule 22e-4 to have a significant effect on investment operations. While the liquidity risk management program attempts to assess and manage illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.

Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.


A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund would temporarily be leveraged in relation to its assets.

 LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, at disadvantageous prices to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds, adversely affecting the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

 LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests) reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund of the redemption request) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated.

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

For many Funds, GMO uses quantitative models as part of its investment process and in making investment decisions for those Funds. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, those models are based on assumptions that can limit their effectiveness, and they rely on data that is 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.

The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.


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

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

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

 MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in shutdowns of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). In March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union, which provided the United Kingdom with two years to negotiate an exit agreement with the European Union, with a deadline of March 29, 2019. On November 25, 2018, European Union leaders approved the terms of the United Kingdom’s withdrawal from the European Union, which the United Kingdom’s Parliament subsequently rejected. The European Union has agreed to delay the United Kingdom’s exit until October 31, 2019. While negotiations continue, it remains unclear whether a negotiated withdrawal agreement can be reached. If the United Kingdom leaves the European Union without finalizing agreements on trade, finance and other key elements, the withdrawal may lead to legal uncertainty and potentially divergent national laws and regulations as the United Kingdom determines which European Union laws to replicate or replace. The potential implications of a “no deal” scenario include a shrinking United Kingdom economy and far-reaching disruptions to world securities markets. Brexit has resulted in volatility in European and global markets and could have a negative long-term effect on financial markets in the United Kingdom and throughout Europe. The consequences of the United Kingdom’s or another country’s


exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

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

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income” 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 of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. 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. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. Asset-backed securities also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” for more information about credit risk.

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

The market price of an asset-backed security depends in part on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. The mishandling of documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed


by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.

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

The risk of investing in asset-backed securities has increased since 2008 because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business would likely have a material impact on the many asset-backed securities it services. The risks associated with asset-backed securities are particularly pronounced for Opportunistic Income Fund, which has invested a substantial portion of its assets in asset-backed securities, and for the Funds that have invested a substantial portion of their assets in Opportunistic Income Fund.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

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

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

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

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

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


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

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio investments when it would otherwise not do so, including at unfavorable prices. Moreover, fixed income investments will be difficult to value during such periods. During the last ten years, central banks and governmental financial regulators, including the U.S. Federal Reserve, kept interest rates historically low. However, more recently, the U.S. Federal Reserve has increased interest rates. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

 NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.

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

 NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets (particularly in emerging markets) often fluctuate more than those of U.S. securities. 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, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or until GMO is confident that it will be received. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value.

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

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

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

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability


(including the risk of war); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e. a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial reporting standards and resulting unavailability of reliable information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

 SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

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

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

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

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 their portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, 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 May 31, 2019, the following table shows how the Fund used these derivatives (marked with an X):

 

           
Type of Derivative and Objective for Use  

Asset

Allocation
Bond Fund

  Core Plus
Bond Fund
 

Emerging

Country
Debt Fund

  High Yield
Fund
  Opportunistic
Income Fund
Forward currency contracts                    

Adjust currency exchange rate risk

  X   X   X   X   X

Adjust exposure to foreign currencies

  X   X   X   X    
Futures contracts                    

Adjust interest rate exposure

      X       X   X

Maintain the diversity and liquidity of the portfolio

      X       X   X
Options (Purchased)                    

Adjust currency exchange rate risk

  X   X            

Adjust exposure to foreign currencies

  X   X            

Adjust interest rate exposure

                  X

Achieve exposure to a reference entity’s credit

                  X

Provide a measure of protection against default loss

                  X
Options (Written)                    

Achieve exposure to a reference entity’s credit

                  X

Adjust currency exchange rate risk

  X   X            

Adjust exposure to foreign currencies

  X   X            

Adjust interest rate exposure

                  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

Adjust interest rate exposure

  X   X   X       X

Provide a measure of protection against default loss

          X   X   X

Provide exposure to the Fund’s benchmark

      X       X    

Adjust exposure to foreign currencies

          X        
Rights and/or warrants                    

Achieve exposure to a reference commodity/economic statistic

          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. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

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

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

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

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


Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss. 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.

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. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.


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

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

* * *

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of May 31, 2019:

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

 

             
     Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Asset Allocation Bond Fund

             

Asset Derivatives

             

Unrealized Appreciation on Forward Currency Contracts

  $     $         —     $ 1,059,455     $     $     $ 1,059,455  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $         —     $ 1,059,455     $     $     $ 1,059,455  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Unrealized Depreciation on Forward Currency Contracts

  $     $         —     $ (1,269,078   $     $     $ (1,269,078
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $         —     $ (1,269,078   $     $     $ (1,269,078
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Core Plus Bond Fund

             

Asset Derivatives

             

Unrealized Appreciation on Forward Currency Contracts

  $     $         —     $ 2,717,208     $     $     $ 2,717,208  

Unrealized Appreciation on Futures Contracts

                      915,550             915,550  

Swap Contracts, at value

                      8,239,767             8,239,767  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $         —     $ 2,717,208     $ 9,155,317     $     $ 11,872,525  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Unrealized Depreciation on Forward Currency Contracts

  $     $         —     $ (4,115,603   $     $     $ (4,115,603

Swap Contracts, at value

                      (3,571,965           (3,571,965
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $         —     $ (4,115,603   $ (3,571,965   $     $ (7,687,568
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Emerging Country Debt Fund

             

Asset Derivatives

             

Investments, at value (rights and/or warrants)

  $     $         —     $     $     $ 21,414,887     $ 21,414,887  

Unrealized Appreciation on Forward Currency Contracts

                1,824,725                   1,824,725  

Options, at value

    441,967                               441,967  

Swap Contracts, at value

    25,135,194                   2,162,137             27,297,331  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 25,577,161     $     $ 1,824,725     $ 2,162,137     $ 21,414,887     $ 50,978,910  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Options, at value

  $ (1,656,669   $     $     $     $     $ (1,656,669

Swap Contracts, at value

    (13,854,889                 (14,474,696           (28,329,585
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (15,511,558   $     $     $ (14,474,696   $     $ (29,986,254
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 


             
     Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

High Yield Fund

             

Asset Derivatives

             

Unrealized Appreciation on Futures Contracts

  $     $     $     $ 241,120     $     $ 241,120  

Swap Contracts, at value

    2,304,707                               2,304,707  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 2,304,707     $     $     $ 241,120     $     $ 2,545,827  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Unrealized Depreciation on Forward Currency Contracts

  $     $     $ (800,604   $     $     $ (800,604

Unrealized Depreciation on Futures Contracts

                      (14,578           (14,578

Swap Contracts, at value

    (98,890                 (958,674           (1,057,564
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (98,890   $     $ (800,604   $ (973,252   $     $ (1,872,746
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Opportunistic Income Fund

             

Asset Derivatives

             

Investments, at value (purchased options)

  $ 201,358     $     $     $     $     $ 201,358  

Unrealized Appreciation on Forward Currency Contracts

                1,263                   1,263  

Unrealized Appreciation on Futures Contracts

                      360,221             360,221  

Swap Contracts, at value

    29,768,137                   265,979             30,034,116  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 29,969,495     $     $ 1,263     $ 626,200     $     $ 30,596,958  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Written Options, at value

  $ (45,280   $     $     $     $     $ (45,280

Swap Contracts, at value

    (7,091,558                 (3,261,978           (10,353,536
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (7,136,838   $     $     $ (3,261,978   $     $ (10,398,816
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Subsequent events

As of June 30, 2019, GMO ended its voluntary waiver for the management fee for GMO U.S. Treasury Fund.

Effective June 30, 2019, GMO Opportunistic Income Fund will no longer charge a purchase premium or redemption fee.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.


GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 94.8%

 

          Argentina — 1.1%  
    162,053     Adecoagro SA *     1,077,652  
     

 

 

 
          Australia — 1.7%  
    415,437     Infigen Energy *     138,712  
    19,699     OZ Minerals Ltd     123,256  
    53,371     Quintis Ltd * (a)      
    238,096     Sandfire Resources NL     1,014,320  
    144,819     Tassal Group Ltd     483,403  
     

 

 

 
    Total Australia     1,759,691  
     

 

 

 
          Brazil — 2.3%  
    94,700     Cosan SA     1,137,670  
    194,700     Sao Martinho SA     970,039  
    52,000     SLC Agricola SA     258,413  
     

 

 

 
    Total Brazil     2,366,122  
     

 

 

 
          Canada — 2.3%  
    56,763     Canadian Solar Inc *     1,083,606  
    887,600     Largo Resources Ltd *     1,090,127  
    9,100     NFI Group Inc     226,557  
     

 

 

 
    Total Canada     2,400,290  
     

 

 

 
          China — 3.0%  
    883,000     Chaowei Power Holdings Ltd     335,801  
    609,000     China Datang Corp Renewable Power Co Ltd – Class H     60,612  
    386,000     China High Speed Transmission Equipment Group Co Ltd     261,293  
    825,000     China Suntien Green Energy Corp Ltd – Class H     221,058  
    8,600     Hollysys Automation Technologies Ltd     153,252  
    1,740,000     Huaneng Renewables Corp Ltd – Class H     469,759  
    168,000     MMG Ltd *     51,369  
    530,000     Tianneng Power International Ltd     431,469  
    518,000     Wasion Group Holdings Ltd     218,170  
    620,120     Xinjiang Goldwind Science & Technology Co Ltd – Class H     653,366  
    110,214     Zhengzhou Yutong Bus Co Ltd – Class A     199,241  
     

 

 

 
    Total China     3,055,390  
     

 

 

 
          Denmark — 3.1%  
    38,546     Vestas Wind Systems A/S     3,138,083  
     

 

 

 
          Finland — 0.3%  
    17,755     Kemira Oyj     243,549  
    2,319     Neste Oyj     78,286  
     

 

 

 
    Total Finland     321,835  
     

 

 

 
          France — 8.2%  
    16,587     Albioma SA     396,453  
    77,955     Electricite de France SA     1,096,663  
     Shares     Description   Value ($)  
          France — continued  
    20,006     Nexans SA     571,625  
    13,537     Schneider Electric SE     1,069,150  
    11,219     STMicroelectronics NV     169,776  
    108,439     Suez (b)     1,451,685  
    60,545     Valeo SA (b)     1,597,431  
    58,002     Veolia Environnement SA     1,342,466  
    11,700     Vilmorin & Cie SA     652,584  
     

 

 

 
    Total France     8,347,833  
     

 

 

 
          Germany — 4.7%  
    13,683     CENTROTEC Sustainable AG     189,721  
    69,396     E.ON SE     725,565  
    24,879     K+S AG (Registered)     422,176  
    2,016     Knorr-Bremse AG *     221,716  
    14,366     Nordex SE *     203,185  
    121,848     PNE AG     325,018  
    23,966     Siemens AG (Registered)     2,711,755  
     

 

 

 
    Total Germany     4,799,136  
     

 

 

 
          India — 0.2%  
    253,775     Rashtriya Chemicals & Fertilizers Ltd     232,118  
     

 

 

 
          Israel — 1.8%  
    357,997     Israel Chemicals Ltd     1,793,454  
     

 

 

 
          Italy — 2.6%  
    279,636     Enel SPA     1,739,115  
    17,741     Prysmian SPA     295,145  
    99,537     Terna Rete Elettrica Nazionale SPA     608,055  
     

 

 

 
    Total Italy     2,642,315  
     

 

 

 
          Japan — 9.9%  
    8,800     Central Japan Railway Co     1,829,117  
    900     Daikin Industries Ltd     108,846  
    14,800     East Japan Railway Co     1,402,307  
    25,200     Ebara Corp     637,327  
    28,400     GS Yuasa Corp     504,717  
    127,900     Hitachi Zosen Corp     418,196  
    36,200     Kubota Corp     550,394  
    9,000     Kurita Water Industries Ltd     214,700  
    4,300     METAWATER Co Ltd     128,482  
    47,700     Osaki Electric Co Ltd     278,084  
    116,900     Panasonic Corp     923,160  
    52,200     Renesas Electronics Corp *     234,794  
    60,000     Sumitomo Forestry Co Ltd     677,558  
    41,700     Takuma Co Ltd     542,325  
    7,600     Tsukishima Kikai Co Ltd     91,050  
    18,500     West Japan Railway Co     1,447,153  
    8,000     Yokogawa Electric Corp     154,464  
     

 

 

 
    Total Japan     10,142,674  
     

 

 

 
 


GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Malaysia — 0.1%  
    318,300     George Kent Malaysia Berhad     82,625  
     

 

 

 
          Mexico — 1.2%  
    489,900     Grupo Mexico SAB de CV     1,219,829  
     

 

 

 
          Netherlands — 1.1%  
    46,972     Arcadis NV     870,657  
    24,499     SIF Holding NV (b)     296,391  
     

 

 

 
    Total Netherlands     1,167,048  
     

 

 

 
          Norway — 3.9%  
    159,340     Austevoll Seafood ASA     1,671,664  
    5,168     Bakkafrost P/F     273,957  
    51,608     Grieg Seafood ASA     731,850  
    15,438     Marine Harvest ASA *     358,246  
    6,454     Norway Royal Salmon ASA     146,079  
    6,888     Salmar ASA     314,654  
    11,052     Yara International ASA     474,770  
     

 

 

 
    Total Norway     3,971,220  
     

 

 

 
          Pakistan — 0.8%  
    827,000     Fauji Fertilizer Co Ltd     519,944  
    57,180     Millat Tractors Ltd     333,401  
     

 

 

 
    Total Pakistan     853,345  
     

 

 

 
          Poland — 1.9%  
    77,187     KGHM Polska Miedz SA *     1,912,318  
     

 

 

 
          Portugal — 0.9%  
    261,404     EDP – Energias de Portugal SA     952,676  
     

 

 

 
          Russia — 4.6%  
    104,677     MMC Norilsk Nickel PJSC ADR     2,184,288  
    94,125     PhosAgro PJSC GDR (Registered)     1,209,318  
    116,061     Ros Agro Plc GDR (Registered)     1,350,373  
     

 

 

 
    Total Russia     4,743,979  
     

 

 

 
          South Africa — 0.0%  
    19,722     Tongaat Hulett Ltd     22,550  
     

 

 

 
          South Korea — 0.8%  
    2,945     LG Chem Ltd     823,549  
     

 

 

 
          Spain — 3.4%  
    6,288     Acciona SA (b)     672,025  
    2,409     Construcciones y Auxiliar de Ferrocarriles SA     101,946  
    40,674     Endesa SA     1,013,248  
    1,016     Fomento de Construcciones y Contratas SA (c)     13,139  
    28,438     Fomento de Construcciones y Contratas SA (c)     367,253  
    61,753     Iberdrola SA     574,164  
    33,043     Red Electrica Corp SA     700,357  
     

 

 

 
    Total Spain     3,442,132  
     

 

 

 
     Shares     Description   Value ($)  
          Sweden — 0.3%  
    37,757     Svenska Cellulosa AB SCA – Class B     288,196  
     

 

 

 
          Switzerland — 0.9%  
    877     Gurit Holding AG     887,519  
     

 

 

 
          Taiwan — 0.7%  
    150,000     Delta Electronics Inc     675,792  
     

 

 

 
          Thailand — 0.1%  
    187,800     SPCG Pcl     106,775  
     

 

 

 
          Ukraine — 0.8%  
    67,964     Kernel Holding SA     824,681  
     

 

 

 
          United Kingdom — 4.3%  
    111,540     Antofagasta Plc     1,104,415  
    81,236     Drax Group Plc     302,742  
    27,798     Go-Ahead Group Plc     654,542  
    97,632     National Grid Plc (b)     981,556  
    77,381     Polypipe Group Plc     420,149  
    159,653     Renewables Infrastructure Group Ltd (The)     253,526  
    370,085     Renewi Plc     156,751  
    303,240     Stagecoach Group Plc     478,512  
     

 

 

 
    Total United Kingdom     4,352,193  
     

 

 

 
          United States — 27.8%  
    9,700     AGCO Corp.     645,632  
    55,600     Albemarle Corp.     3,519,480  
    48,300     BorgWarner, Inc.     1,713,684  
    12,200     Darling Ingredients, Inc. *     230,580  
    1,100     Deere & Co.     154,187  
    44,600     Delphi Technologies Plc     680,596  
    14,200     Eaton Corp Plc     1,057,758  
    13,800     Edison International     819,306  
    10,800     EnerSys     607,284  
    21,800     Exelon Corp.     1,048,144  
    38,700     First Solar, Inc. *     2,246,148  
    542,280     Freeport-McMoRan, Inc.     5,265,539  
    8,700     FutureFuel Corp.     90,306  
    8,500     Green Plains, Inc.     110,925  
    3,400     Ingersoll-Rand Plc     402,356  
    22,400     Johnson Controls International Plc     862,848  
    29,800     Mosaic Co. (The)     639,806  
    15,200     Owens Corning     736,744  
    23,500     Renewable Energy Group, Inc. *     367,540  
    4,800     REX American Resources Corp. *     323,856  
    8,200     Rexnord Corp. *     215,742  
    25,740     Shiloh Industries, Inc. *     103,989  
    110,095     SolarEdge Technologies, Inc. *     5,898,890  
    4,400     TE Connectivity Ltd.     370,612  
    5,500     TPI Composites, Inc. *     114,675  
 


GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          United States — continued  
    700     Valmont Industries, Inc.     79,177  
     

 

 

 
    Total United States     28,305,804  
     

 

 

 
    TOTAL COMMON STOCKS (COST $103,160,661)     96,708,824  
     

 

 

 
          PREFERRED STOCKS (d) — 3.4%  
          Chile — 3.4%  
    114,400     Sociedad Quimica y Minera de Chile SA Sponsored ADR (b)     3,469,752  
     

 

 

 
    TOTAL PREFERRED STOCKS (COST $5,126,390)     3,469,752  
     

 

 

 
          MUTUAL FUNDS — 6.2%  
          United States — 6.2%  
          Affiliated Issuers — 6.2%  
    1,273,660     GMO U.S. Treasury Fund (e)     6,368,301  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $6,368,301)
    6,368,301  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.3%  
          Money Market Funds — 0.3%  
    262,061     State Street Institutional Treasury Money Market Fund-Premier Class, 2.30% (f)     262,061  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $262,061)
    262,061  
     

 

 

 
    TOTAL INVESTMENTS — 104.7% (Cost $114,917,413)     106,808,938  
    Other Assets and Liabilities (net) — (4.7%)     (4,834,271
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $101,974,667  
     

 

 

 

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

 

*

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.

 

(b)

All or a portion of this security is out on loan.

 

(c)

Securities are traded on separate exchanges for the same entity.

 

(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.

 

(f)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

         
Shares
    Description   Value ($)  
    COMMON STOCKS — 83.2%

 

          Belgium — 1.3%  
    225,494     Anheuser-Busch InBev SA/NV     18,340,414  
     

 

 

 
          Brazil — 3.2%  
    739,800     Atacadao SA     4,364,574  
    464,200     B3 SA – Brasil Bolsa Balcao     4,326,200  
    1,174,939     Banco BTG Pactual SA     13,992,253  
    949,900     BR Malls Participacoes SA     3,101,013  
    1,514,100     Localiza Rent a Car SA     14,678,159  
    1,116,700     Rumo SA *     5,509,579  
     

 

 

 
    Total Brazil     45,971,778  
     

 

 

 
          China — 24.1%  
    384,076     Alibaba Group Holding Ltd Sponsored ADR *     57,327,184  
    72,600     Baidu Inc Sponsored ADR *     7,986,000  
    17,742,004     China Construction Bank Corp – Class H     14,045,474  
    3,255,000     China Life Insurance Co Ltd – Class H     7,581,870  
    2,399,000     China Mengniu Dairy Co Ltd *     8,751,958  
    2,132,500     China Mobile Ltd     18,627,296  
    4,058,000     China Overseas Land & Investment Ltd     14,060,322  
    2,838,000     China Resources Land Ltd     11,544,915  
    2,054,000     CSPC Pharmaceutical Group Ltd     3,314,165  
    86,300     Ctrip.com International Ltd ADR *     2,982,528  
    266,000     Foshan Haitian Flavouring & Food Co Ltd – Class A     3,843,277  
    702,232     Gree Electric Appliances Inc of Zhuhai – Class A     5,322,627  
    21,302,000     Industrial & Commercial Bank of China Ltd – Class H     15,225,321  
    336,577     Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A     5,555,393  
    1,564,330     Midea Group Co Ltd – Class A     11,212,074  
    16,400     NetEase Inc ADR     4,077,204  
    76,000     New Oriental Education & Technology Group Inc Sponsored ADR *     6,509,400  
    4,195,062     Ping An Bank Co Ltd – Class A     7,395,257  
    2,986,905     Ping An Insurance Group Co of China Ltd – Class H     33,143,315  
    863,193     SAIC Motor Corp Ltd – Class A     2,990,082  
    2,091,884     Tencent Holdings Ltd     87,226,599  
    4,096,000     Tingyi Cayman Islands Holding Corp     6,658,359  
    370,473     Toly Bread Co Ltd – Class A     2,148,931  
    244,471     Wuliangye Yibin Co Ltd – Class A     3,572,455  
    248,100     Yum China Holdings, Inc.     9,926,481  
     

 

 

 
    Total China     351,028,487  
     

 

 

 
          France — 1.1%  
    36,793     L’Oreal SA     9,870,828  
    41,933     SEB SA     6,842,516  
     

 

 

 
    Total France     16,713,344  
     

 

 

 
         
Shares
    Description   Value ($)  
          Germany — 0.3%  
    54,257     Bayerische Motoren Werke AG     3,764,731  
     

 

 

 
          Hong Kong — 2.0%  
    3,163,241     AIA Group Ltd     29,716,125  
     

 

 

 
          India — 10.9%  
    237,000     Action Construction Equipment Ltd     365,520  
    235,386     Asian Paints Ltd     4,774,159  
    499,037     Axis Bank Ltd *     5,836,938  
    88,860     Bajaj Finance Ltd     4,410,152  
    1,016,858     CMI Ltd (a)     1,953,157  
    10,683,040     Gayatri Highways Ltd *     122,958  
    11,052,457     Gayatri Projects Ltd * (a)     28,899,777  
    1,529,095     HDFC Bank Ltd *     53,351,321  
    520,153     HDFC Life Insurance Co Ltd     3,294,467  
    3,210,385     ICICI Bank Ltd     19,446,658  
    961,344     Kotak Mahindra Bank Ltd     21,030,491  
    1,503,690     Sangam India Ltd     1,337,609  
    491,290     Sun TV Network Ltd     3,876,517  
    542,494     Titan Co Ltd     9,617,443  
     

 

 

 
    Total India     158,317,167  
     

 

 

 
          Indonesia — 3.3%  
    23,133,264     Bank Central Asia Tbk PT     47,327,443  
     

 

 

 
          Japan — 0.3%  
    41,800     Daikin Industries Ltd     5,055,298  
     

 

 

 
          Mexico — 1.4%  
    1,237,500     Fomento Economico Mexicano SAB de CV     11,523,375  
    1,639,600     Grupo Financiero Banorte SAB de CV – Class O     8,934,717  
     

 

 

 
    Total Mexico     20,458,092  
     

 

 

 
          Peru — 0.5%  
    34,382     Credicorp Ltd     7,694,692  
     

 

 

 
          Philippines — 1.5%  
    4,246,452     BDO Unibank Inc     11,242,409  
    7,232,040     Puregold Price Club Inc     6,188,957  
    9,109,100     Semirara Mining & Power Corp     3,843,899  
     

 

 

 
    Total Philippines     21,275,265  
     

 

 

 
          Poland — 0.4%  
    191,935     Bank Polska Kasa Opieki SA     5,322,370  
     

 

 

 
          Russia — 2.8%  
    2,067,726     Sberbank of Russia Sponsored ADR     29,797,489  
    172,568     X5 Retail Group NV GDR (Registered)     5,080,631  
    146,700     Yandex NV – Class A *     5,269,464  
     

 

 

 
    Total Russia     40,147,584  
     

 

 

 
 


GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

         
Shares
    Description   Value ($)  
          South Africa — 1.7%  
    2,095,891     FirstRand Ltd     9,623,042  
    69,267     Naspers Ltd – N Shares     15,616,347  
     

 

 

 
    Total South Africa     25,239,389  
     

 

 

 
          South Korea — 6.7%  
    273,110     KB Financial Group Inc     10,046,987  
    5,810     LG Household & Health Care Ltd     6,246,360  
    586,238     Macquarie Korea Infrastructure Fund     5,885,310  
    2,129,683     Samsung Electronics Co Ltd     75,820,600  
     

 

 

 
    Total South Korea     97,999,257  
     

 

 

 
          Switzerland — 2.6%  
    380,003     Nestle SA (Registered)     37,695,814  
     

 

 

 
          Taiwan — 10.9%  
    1,186,000     Chailease Holding Co Ltd     4,370,524  
    20,347,000     CTBC Financial Holding Co Ltd     13,506,515  
    2,108,000     Delta Electronics Inc     9,497,132  
    14,502,245     E.Sun Financial Holding Co Ltd     12,566,579  
    2,527,000     Hon Hai Precision Industry Co Ltd     5,905,877  
    28,000     Largan Precision Co Ltd     3,336,260  
    11,647,000     Mega Financial Holding Co Ltd     11,417,979  
    3,219,000     Taiwan Cement Corp     4,371,913  
    10,555,000     Taiwan Semiconductor Manufacturing Co Ltd     78,005,099  
    69,500     Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR     2,665,325  
    4,954,000     Uni-President Enterprises Corp     12,732,216  
     

 

 

 
    Total Taiwan     158,375,419  
     

 

 

 
          Thailand — 5.3%  
    1,026,500     Advanced Info Service Pcl (Foreign Registered)     6,244,269  
    3,674,800     Airports of Thailand Pcl (Foreign Registered)     7,400,425  
    5,396,900     Bangkok Dusit Medical Services Pcl (Foreign Registered)     4,355,966  
    7,856,100     CP ALL Pcl (Foreign Registered)     19,843,435  
    1,960,800     CPN Retail Growth Leasehold (Foreign Registered) (REIT)     1,721,945  
    78,700     Delta Electronics Thailand Pcl (Foreign Registered)     157,910  
    14,106,300     Home Product Center Pcl (Foreign Registered)     7,531,317  
    34,937,724     Land & Houses Pcl (Foreign Registered)     11,706,453  
    10,740,500     Quality Houses Leasehold Property Fund     4,617,619  
    1,903,100     Ratch Group Pcl (Foreign Registered)     3,706,884  
    3,669,600     Tisco Financial Group Pcl (Foreign Registered)     10,240,362  
     

 

 

 
    Total Thailand     77,526,585  
     

 

 

 
          Turkey — 0.3%  
    4,161,373     Akbank TAS *     4,281,700  
     

 

 

 
          United Arab Emirates — 0.4%  
    4,485,569     Emaar Properties PJSC     5,432,902  
     

 

 

 
    

Shares /

Par Value†

    Description   Value ($)  
          United Kingdom — 1.7%  
    405,786     Unilever Plc     24,755,269  
     

 

 

 
          Vietnam — 0.5%  
    2,423,000     Bank for Foreign Trade of Vietnam JSC     6,942,319  
     

 

 

 
    TOTAL COMMON STOCKS (COST $1,208,256,978)     1,209,381,444  
     

 

 

 
          PREFERRED STOCKS (b) — 3.3%  
          Brazil — 3.3%  
    1,549,560     Banco Bradesco SA     14,611,226  
    783,000     Companhia Energetica de Minas Gerais     2,945,267  
    3,523,150     Itau Unibanco Holding SA     31,425,031  
     

 

 

 
    Total Brazil     48,981,524  
     

 

 

 
    TOTAL PREFERRED STOCKS (COST $51,569,554)     48,981,524  
     

 

 

 
          INVESTMENT FUNDS — 8.3%  
          Mexico — 0.6%  
    199,000     iShares MSCI Mexico Capped ETF     8,541,080  
     

 

 

 
          Thailand — 3.6%  
    104,648,401     Digital Telecommunications Infrastructure Fund     52,658,728  
     

 

 

 
          United States — 4.1%  
    1,208,858     iShares Core MSCI Emerging Markets ETF     59,379,105  
     

 

 

 
    TOTAL INVESTMENT FUNDS (COST $112,904,385)     120,578,913  
     

 

 

 
          DEBT OBLIGATIONS — 0.7%  
          United States — 0.7%  
    10,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.46%, due 07/31/20     9,997,658  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $10,002,498)     9,997,658  
     

 

 

 
          MUTUAL FUNDS — 4.1%  
          United States — 4.1%  
          Affiliated Issuers — 4.1%  
    11,891,550     GMO U.S. Treasury Fund     59,457,753  
     

 

 

 
   

TOTAL MUTUAL FUNDS

(COST $59,458,817)

    59,457,753  
     

 

 

 
 


GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

         
Shares
    Description   Value ($)  
          SHORT-TERM INVESTMENTS — 2.0%  
          Money Market Funds — 2.0%  
    28,867,939     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (c)     28,867,939  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $28,867,939)     28,867,939  
     

 

 

 
    TOTAL INVESTMENTS — 101.6% (Cost $1,471,060,171)     1,477,265,231  
    Other Assets and Liabilities (net) — (1.6%)     (23,540,222
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $1,453,725,009  
     

 

 

 

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

*

Non-income producing security.

 

(a)

Affiliated company.

 

(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 May 31, 2019.

 


GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 93.1%

 

          Brazil — 0.7%  
    1,150,846     Banco BTG Pactual SA     13,705,331  
    100,900     Enauta Participacoes SA     327,852  
    1,175,735     Rumo SA *     5,800,846  
    188,700     Transmissora Alianca de Energia Eletrica SA     1,275,809  
     

 

 

 
    Total Brazil     21,109,838  
     

 

 

 
          Chile — 0.0%  
    54,022     Inversiones La Construccion SA     882,430  
     

 

 

 
          China — 30.7%  
    4,196,000     361 Degrees International Ltd     778,442  
    773,000     AAC Technologies Holdings Inc     4,104,093  
    3,310,000     Agile Group Holdings Ltd     4,177,763  
    12,856,500     Agricultural Bank of China Ltd – Class A *     6,848,631  
    75,662,290     Agricultural Bank of China Ltd – Class H     32,469,865  
    1,665,000     Agritrade Resources Ltd     229,291  
    5,163,946     Aier Eye Hospital Group Co Ltd – Class A     28,562,442  
    155,226     Alibaba Group Holding Ltd Sponsored ADR *     23,169,033  
    2,890,136     Anhui Conch Cement Co Ltd – Class A     16,516,848  
    3,969,500     Anhui Conch Cement Co Ltd – Class H     23,258,659  
    636,400     Anhui Expressway Co Ltd – Class A     568,810  
    251,000     Anhui Xinhua Media Co Ltd – Class A     220,080  
    106,646,682     Bank of China Ltd – Class H     44,219,014  
    271,500     Baoye Group Co Ltd – Class H *     166,234  
    270,000     Beijing Enterprises Water Group Ltd. *     143,309  
    7,391,941     Beijing North Star Co Ltd – Class A     3,856,131  
    1,250,000     BYD Electronic International Co Ltd     1,647,117  
    1,184,000     CAR Inc *     931,724  
    429,000     CGN Power Co Ltd – Class H     118,108  
    58,200     Changyou.com Ltd ADR *     1,068,552  
    61,900     Cheetah Mobile Inc ADR *     265,551  
    395,000     China Aoyuan Group Ltd     427,260  
    2,678,560     China Communications Services Corp Ltd – Class H     2,002,879  
    118,122,906     China Construction Bank Corp – Class H     93,512,108  
    825,000     China Evergrande Group     2,197,094  
    2,127,368     China International Travel Service Corp Ltd – Class A     23,812,574  
    13,434,000     China Jinmao Holdings Group Ltd     7,756,118  
    8,716,000     China Machinery Engineering Corp – Class H     3,838,182  
    2,709,437     China Mobile Ltd     23,666,816  
    148,200     China Mobile Ltd Sponsored ADR     6,494,124  
    2,676,000     China Oriental Group Co Ltd     1,551,929  
    935,000     China Overseas Grand Oceans Group Ltd     405,265  
    14,444,000     China Overseas Land & Investment Ltd     50,046,156  
    520,000     China Overseas Property Holdings Ltd     246,530  
    37,600     China Petroleum & Chemical Corp ADR     2,485,736  
    5,817,275     China Petroleum & Chemical Corp – Class A     4,555,754  
    30,706,000     China Petroleum & Chemical Corp – Class H     20,401,810  
    5,020,000     China Resources Cement Holdings Ltd     4,352,729  
    576,000     China Resources Gas Group Ltd     2,761,809  
     Shares     Description   Value ($)  
          China — continued  
    9,732,000     China Resources Land Ltd     39,589,540  
    5,883,744     China Shenhua Energy Co Ltd – Class A     15,661,051  
    10,565,000     China Shenhua Energy Co Ltd – Class H     21,775,359  
    1,563,490     China South Publishing & Media Group Co Ltd – Class A     2,941,628  
    11,064,000     China Travel International Investment Hong Kong Ltd     2,256,867  
    3,793,302     China Vanke Co Ltd – Class A     14,628,445  
    3,914,900     China Vanke Co Ltd – Class H     13,892,056  
    3,194,473     China Yangtze Power Co Ltd – Class A     8,190,937  
    769,800     Chinese Universe Publishing and Media Group Co Ltd – Class A *     1,499,391  
    2,550,186     Chongqing Changan Automobile Co Ltd – Class A     2,582,075  
    5,687,000     CNOOC Ltd     9,239,568  
    1,400     CNOOC Ltd Sponsored ADR     227,318  
    11,490,000     Country Garden Holdings Co Ltd     15,527,374  
    4,048,101     CRRC Corp Ltd – Class A     4,629,512  
    9,651,204     Daqin Railway Co Ltd – Class A     11,679,412  
    1,742,000     Dongyue Group Ltd     1,172,475  
    683,762     Fangda Special Steel Technology Co Ltd – Class A     899,474  
    404,353     Foshan Electrical and Lighting Co Ltd – Class A     306,153  
    2,602,000     Greentown China Holdings Ltd     1,727,861  
    373,800     GRG Banking Equipment Co Ltd – Class A     356,744  
    17,372,000     Guangdong Investment Ltd     34,149,243  
    292,379     Guangdong Provincial Expressway Development Co Ltd – Class A     377,755  
    2,063,600     Guangzhou R&F Properties Co Ltd – Class H     3,901,906  
    557,922     Hangzhou Robam Appliances Co Ltd – Class A     2,044,879  
    7,928,356     Hisense Home Appliances Group Co Ltd – Class A     14,186,210  
    34     HLA Corp Ltd – Class A     43  
    85,700     Hollysys Automation Technologies Ltd     1,527,174  
    182,000     Hopson Development Holdings Ltd     181,959  
    10,248,000     Hua Han Health Industry Holdings Ltd * (a)     679,753  
    9,490,000     Huabao International Holdings Ltd     3,970,950  
    1,008,716     Huaxin Cement Co Ltd – Class A     3,936,574  
    571,000     IGG Inc     678,417  
    7,847,500     Industrial & Commercial Bank of China Ltd – Class A     6,368,702  
    103,297,647     Industrial & Commercial Bank of China Ltd – Class H     73,830,618  
    379,900     Inner Mongolia Yitai Coal Co Ltd – Class H     329,775  
    5,484,000     Jiayuan International Group Ltd     2,551,966  
    53,800     Jumei International Holding Ltd ADR *     130,196  
    1,838,000     Kingboard Laminates Holdings Ltd     1,568,443  
    8,446,000     Kunlun Energy Co Ltd *     7,762,802  
    14,431     Kweichow Moutai Co Ltd – Class A (b)     1,854,173  
    137,228     Kweichow Moutai Co Ltd – Class A (b)     17,631,797  
    1,298,500     KWG Property Holding Ltd *     1,302,589  
    5,470,000     Logan Property Holdings Co Ltd     8,079,796  
    328,975     Loncin Motor Co Ltd – Class A     197,880  
    1,732,500     Longfor Group Holdings Ltd     6,382,167  
 


GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          China — continued  
    1,168,555     Midea Group Co Ltd – Class A     8,375,423  
    15,977,000     PICC Property & Casualty Co Ltd – Class H     17,284,762  
    506,500     Ping An Insurance Group Co of China Ltd – Class H     5,620,229  
    5,184,400     Qingling Motors Co Ltd – Class H     1,461,504  
    2,026,700     RiseSun Real Estate Development Co Ltd – Class A     2,756,291  
    145,000     Road King Infrastructure Ltd     294,083  
    2,227,600     SAIC Motor Corp Ltd -– Class A     7,716,360  
    764,515     Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A     1,606,722  
    223,548     Shanghai Mechanical and Electrical Industry Co Ltd – Class A     534,784  
    192,400     Shanghai Oriental Pearl Group Co Ltd – Class A     282,582  
    1,232,770     Shanghai SMI Holding Co Ltd – Class A     1,207,761  
    289,317     Shenzhen Expressway Co Ltd – Class A     434,628  
    1,854,000     Shenzhen Investment Ltd     682,911  
    2,739,500     Shimao Property Holdings Ltd     7,860,009  
    827,000     Shui On Land Ltd     187,494  
    3,798,600     Sinopec Shanghai Petrochemical Co Ltd – Class A     2,874,446  
    18,774,000     Sinopec Shanghai Petrochemical Co Ltd – Class H     8,194,244  
    712,500     Sinotruk Hong Kong Ltd     1,349,818  
    6,835,103     Suning Universal Co Ltd – Class A     3,419,208  
    1,315,665     Tencent Holdings Ltd     54,860,108  
    318,000     Tianneng Power International Ltd     258,882  
    383,000     Times China Holdings Ltd     634,341  
    731,999     Weichai Power Co Ltd – Class A     1,237,253  
    2,022,400     Weifu High-Technology Group Co Ltd – Class A     5,748,673  
    19,799,000     Yangzijiang Shipbuilding Holdings Ltd     19,760,143  
    755,799     Youngor Group Co Ltd – Class A     1,037,873  
    1,920,000     Yuexiu Property Co Ltd     435,571  
    9,748,000     Yuzhou Properties Co Ltd     4,441,686  
    6,450,000     Zhejiang Expressway Co Ltd – Class H     6,735,543  
    991,912     Zhejiang Runtu Co Ltd – Class A     1,862,718  
    500,573     Zhejiang Supor Co Ltd – Class A     5,171,422  
    408,000     Zhenro Properties Group Ltd.     245,096  
    217,600     Zhuzhou CRRC Times Electric Co Ltd – Class H     1,170,711  
     

 

 

 
    Total China     981,986,856  
     

 

 

 
          Czech Republic — 0.1%  
    180,095     Moneta Money Bank AS     588,185  
    3,362     Philip Morris CR AS     2,007,100  
     

 

 

 
    Total Czech Republic     2,595,285  
     

 

 

 
          Greece — 0.0%  
    17,456     Motor Oil Hellas Corinth Refineries SA     443,977  
     

 

 

 
          India — 3.2%  
    1,070,235     Aurobindo Pharma Ltd     10,294,480  
    770,395     Cadila Healthcare Ltd     2,745,907  
     Shares     Description   Value ($)  
          India — continued  
    178,058     CMI Ltd     342,010  
    12,318,874     Gayatri Highways Ltd * (c)     141,786  
    16,772,852     Gayatri Projects Ltd * (c)     43,857,369  
    307,542     HDFC Bank Ltd *     10,730,381  
    21,000     HDFC Bank Ltd ADR     2,607,360  
    2,287,559     ICICI Bank Ltd     13,856,711  
    225,400     ICICI Bank Ltd Sponsored ADR     2,704,800  
    3,013,682     Jai Balaji Industries Ltd *     1,316,476  
    1,322,083     Kiri Industries Ltd *     10,313,585  
    145,807     Kotak Mahindra Bank Ltd     3,189,694  
    528,333     Sangam India Ltd     469,979  
     

 

 

 
    Total India     102,570,538  
     

 

 

 
          Indonesia — 0.6%  
    27,450,600     Bukit Asam Persero Tbk PT     5,890,294  
    5,221,291     Indo Tambangraya Megah Tbk PT     6,404,033  
    203,792,500     Panin Financial Tbk PT *     5,006,424  
    2,002,400     Tower Bersama Infrastructure Tbk PT *     513,789  
     

 

 

 
    Total Indonesia     17,814,540  
     

 

 

 
          Malaysia — 0.0%  
    3,199,800     IOI Properties Group Berhad     1,023,996  
     

 

 

 
          Mexico — 0.1%  
    41,100     Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B     60,270  
    532,400     Credito Real SAB de CV SOFOM ER     621,807  
    745,800     Gentera SAB de CV     657,944  
    359,600     Unifin Financiera SAB de CV SOFOM ENR     814,656  
     

 

 

 
    Total Mexico     2,154,677  
     

 

 

 
          Pakistan — 0.3%  
    701,510     Engro Corp Ltd     1,347,011  
    3,371,000     Engro Fertilizers Ltd     1,575,168  
    2,135,000     Fauji Cement Co Ltd     244,131  
    234,250     Lucky Cement Ltd     671,422  
    4,329,200     Oil & Gas Development Co Ltd     3,976,243  
    565,700     Pakistan Oilfields Ltd     1,675,551  
    461,300     Pakistan Petroleum Ltd     511,181  
    252,700     Pakistan State Oil Co Ltd     341,095  
    568,400     United Bank Ltd     609,896  
     

 

 

 
    Total Pakistan     10,951,698  
     

 

 

 
          Peru — 0.0%  
    200     Credicorp Ltd     44,760  
     

 

 

 
          Philippines — 0.4%  
    965,120     Manila Electric Co     7,131,722  
    13,737,000     Megaworld Corp     1,555,389  
    30,993,338     Nickel Asia Corp     1,345,705  
    1,251,965     Pilipinas Shell Petroleum Corp     1,006,489  
 


GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Philippines — continued  
    6,287,200     Semirara Mining & Power Corp     2,653,101  
     

 

 

 
    Total Philippines     13,692,406  
     

 

 

 
          Poland — 3.6%  
    20,343     Alior Bank SA *     280,189  
    14,650     Asseco Poland SA     195,084  
    72,953     Bank Handlowy w Warszawie SA     1,020,986  
    130,789     Bank Millennium SA *     326,069  
    505,099     Bank Polska Kasa Opieki SA     14,006,429  
    75,375     Budimex SA *     2,640,346  
    113,319     Ciech SA     1,259,799  
    264,489     Grupa Lotos SA     6,063,135  
    16,675     KRUK SA *     699,607  
    139     LPP SA     265,948  
    59,567     Lubelski Wegiel Bogdanka SA *     549,691  
    2,176     mBank SA     228,374  
    1,190,882     Polski Koncern Naftowy ORLEN SA     30,048,501  
    11,169,746     Polskie Gornictwo Naftowe i Gazownictwo SA     16,316,989  
    373,941     Powszechna Kasa Oszczednosci Bank Polski SA     3,834,089  
    3,232,460     Powszechny Zaklad Ubezpieczen SA     34,913,999  
    12,711     Santander Bank Polska SA     1,208,616  
    14,179     Stalprodukt SA     902,899  
    124,940     Warsaw Stock Exchange     1,301,798  
     

 

 

 
    Total Poland     116,062,548  
     

 

 

 
          Qatar — 1.5%  
    663,332     Barwa Real Estate Co     6,519,487  
    199,198     Doha Bank QPSC     1,270,725  
    566,672     Ezdan Holding Group QSC *     1,144,439  
    173,705     Gulf International Services QSC *     905,267  
    25,019     Qatar Electricity & Water Co QSC     1,136,619  
    375,693     Qatar Gas Transport Co Ltd     2,207,306  
    119,425     Qatar Insurance Co SAQ     1,141,051  
    90,831     Qatar International Islamic Bank QSC     1,813,434  
    14,607     Qatar Islamic Bank SAQ     671,180  
    529,106     Qatar National Bank QPSC     27,181,208  
    101,827     Qatar National Cement Co QSC     1,766,674  
    172,768     United Development Co QSC     646,427  
     

 

 

 
    Total Qatar     46,403,817  
     

 

 

 
          Russia — 16.3%  
    5,440,250     Aeroflot PJSC     7,801,243  
    20,475,390     Alrosa PJSC     27,578,779  
    2,858,700     Credit Bank of Moscow PJSC *     260,250  
    106,725     Etalon Group Plc GDR     200,117  
    163,460,000     Federal Grid Co Unified Energy System PJSC     431,373  
    1,121,030     Gazprom Neft PJSC     6,377,937  
    4,516     Gazprom Neft PJSC Sponsored ADR     127,503  
    8,867,392     Gazprom PJSC Sponsored ADR     58,081,364  
    689,630     Globaltrans Investment Plc Sponsored GDR (Registered)     5,993,751  
    110,246,000     Inter RAO UES PJSC     6,762,946  
     Shares     Description   Value ($)  
          Russia — continued  
    32,178     LSR Group PJSC     340,935  
    43,820     LSR Group PJSC GDR (Registered)     91,012  
    1,002,849     LUKOIL PJSC Sponsored ADR     80,578,250  
    677,997     M.Video PJSC *     4,400,012  
    217,876     Magnit PJSC Sponsored GDR (Registered)     3,034,308  
    3,660,600     Magnitogorsk Iron & Steel Works PJSC     2,494,983  
    43,001     Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)     376,299  
    1,378,645     MMC Norilsk Nickel PJSC ADR     28,768,087  
    14,820,237     Moscow Exchange MICEX-RTS PJSC     19,185,660  
    272,736     Novatek PJSC Sponsered GDR (Registered)     55,686,621  
    1,245,890     Novolipetsk Steel PJSC     3,280,292  
    1,086,698     Novolipetsk Steel PJSC GDR     28,536,800  
    42,694     PhosAgro PJSC GDR (Registered)     548,533  
    28,849     Polyus PJSC GDR (Registered)     1,141,983  
    408,915     QIWI Plc Sponsored ADR     6,877,950  
    234,140     Raspadskaya OJSC *     485,264  
    16,649,000     ROSSETI PJSC     315,945  
    5,342,325     Rostelecom PJSC     6,282,055  
    33,228     Rostelecom PJSC Sponsored ADR     233,131  
    72,498,000     RusHydro PJSC     598,087  
    168,770     Safmar Financial Investment     1,307,125  
    4,822,531     Sberbank of Russia Sponsored ADR     69,496,303  
    866,590     Severstal PJSC GDR (Registered)     13,654,795  
    10,129,200     Surgutneftegas PJSC     3,859,715  
    2,878,707     Surgutneftegas PJSC Sponsored ADR     10,802,342  
    827,420     Tatneft PJSC     9,451,125  
    709,231     Tatneft PJSC Sponsored ADR     48,124,299  
    276,073     TCS Group Holding Plc GDR (Registered)     5,242,775  
    152,030     TMK PJSC     137,042  
    53,524     TMK PJSC GDR (Registered)     190,689  
    29,569,000     Unipro PJSC     1,125,865  
     

 

 

 
    Total Russia     520,263,545  
     

 

 

 
          South Africa — 5.6%  
    887,942     Absa Group Ltd     10,301,522  
    62,923     Astral Foods Ltd     714,354  
    852,892     AVI Ltd     5,246,241  
    220,888     Barloworld Ltd     2,008,477  
    189,912     Capitec Bank Holdings Ltd     17,200,555  
    121,657     Coronation Fund Managers Ltd     390,033  
    2,795,755     Delta Property Fund Ltd (REIT)     380,338  
    133,317     Discovery Ltd     1,268,714  
    1,618,133     Emira Property Fund Ltd (REIT)     1,529,383  
    2,396,198     FirstRand Ltd     11,001,867  
    2,120,369     Fortress REIT Ltd – Class B     1,724,099  
    84,102     Foschini Group Ltd (The)     1,015,963  
    5,946,274     Growthpoint Properties Ltd (REIT)     9,856,500  
    578,644     Hyprop Investments Ltd (REIT)     2,807,840  
    237,053     Imperial Holdings Ltd     976,580  
    316,250     Investec Ltd     1,864,767  
    388,163     Invicta Holdings Ltd     695,622  
 


GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          South Africa — continued  
    63,378     JSE Ltd     633,284  
    589,418     Kumba Iron Ore Ltd     17,896,808  
    287,523     Lewis Group Ltd     740,690  
    165,926     Liberty Holdings Ltd     1,242,454  
    145,404     Mondi Ltd     2,994,882  
    1,369,631     Mr Price Group Ltd     18,536,245  
    30,971     Naspers Ltd – N Shares     6,982,457  
    18,154     Nedbank Group Ltd     326,734  
    2,632,149     Old Mutual Ltd     3,797,824  
    2,516,448     Redefine Properties Ltd (REIT)     1,566,311  
    4,919     Remgro Ltd     62,493  
    524,508     Resilient REIT Ltd     2,121,325  
    2,726,454     RMB Holdings Ltd     15,411,606  
    1,187,113     SA Corporate Real Estate Ltd (REIT)     238,287  
    1,568,843     Sanlam Ltd     8,200,889  
    107,134     SPAR Group Ltd (The)     1,406,826  
    311,764     Transaction Capital Ltd     427,746  
    4,738,012     Truworths International Ltd     23,352,489  
    365,327     Wilson Bayly Holmes-Ovcon Ltd     2,751,646  
    299,604     Woolworths Holdings Ltd     941,111  
     

 

 

 
    Total South Africa     178,614,962  
     

 

 

 
          South Korea — 1.4%  
    397,933     DGB Financial Group Inc     2,699,142  
    333,161     Dongbu Insurance Co Ltd     17,225,566  
    1,078,596     Dongwon Development Co Ltd     4,223,806  
    2,521     Hankook Shell Oil Co Ltd     674,455  
    91,556     Hankook Technology Group Co Ltd     1,242,513  
    293,898     Hyundai Hy Communications & Network Co Ltd     979,300  
    499,296     Korea Asset In Trust Co Ltd     1,664,891  
    103,069     Kyobo Securities Co Ltd     920,897  
    16,177     Samsung Electronics Co Ltd     575,931  
    14,427     Samsung Electronics Co Ltd GDR     12,841,678  
     

 

 

 
    Total South Korea     43,048,179  
     

 

 

 
          Sri Lanka — 0.0%  
    103,983,101     Anilana Hotels & Properties Ltd * (c)     530,735  
     

 

 

 
          Taiwan — 16.8%  
    1,223,000     Actron Technology Corp     3,782,624  
    1,096,532     Advantech Co Ltd     9,181,743  
    268,000     Alchip Technologies Ltd     731,329  
    6,703,000     AmTRAN Technology Co Ltd *     2,245,226  
    4,647,620     Asustek Computer Inc     31,948,237  
    395,000     Aten International Co Ltd     1,129,437  
    129,200     Aurora Corp     393,373  
    5,205,000     Catcher Technology Co Ltd     31,409,320  
    5,420,400     Cathay Financial Holding Co Ltd     7,001,649  
    298,000     Cathay Real Estate Development Co Ltd     275,591  
    7,428,740     Chailease Holding Co Ltd     27,375,622  
    2,201,100     Chin-Poon Industrial Co Ltd     2,236,643  
     Shares     Description   Value ($)  
          Taiwan — continued  
    17,095,000     China Development Financial Holding Corp     5,022,334  
    1,337,000     China Life Insurance Co Ltd     1,032,914  
    756,000     China Motor Corp     657,443  
    595,000     Chong Hong Construction Co Ltd     1,700,915  
    299,000     Cleanaway Co Ltd     1,597,819  
    4,957,400     Coretronic Corp     6,348,202  
    44,790,720     CTBC Financial Holding Co Ltd     29,732,467  
    1,938,000     CTCI Corp     2,873,345  
    855,000     Elite Material Co Ltd     2,322,163  
    3,632,000     Farglory Land Development Co Ltd     4,554,747  
    2,333,000     FLEXium Interconnect Inc     5,795,038  
    1,771,000     Formosa Chemicals & Fibre Corp     6,007,529  
    2,899,000     Formosa Petrochemical Corp     10,602,065  
    2,551,000     Formosa Plastics Corp     8,911,086  
    1,765,000     Formosan Rubber Group Inc     990,299  
    6,686,075     Foxconn Technology Co Ltd     13,013,437  
    231,000     Fubon Financial Holding Co Ltd     315,878  
    7,248,200     Gigabyte Technology Co Ltd     10,464,006  
    970,000     Globalwafers Co Ltd     9,366,333  
    2,135,000     Grand Pacific Petrochemical     1,418,735  
    344,000     Greatek Electronics Inc     449,627  
    2,548,000     HannStar Display Corp     559,520  
    3,883,754     Highwealth Construction Corp     5,995,786  
    1,436,000     Holtek Semiconductor Inc     3,046,126  
    2,958,000     Hon Hai Precision Industry Co Ltd     6,913,172  
    1,972,000     Huaku Development Co Ltd     5,334,628  
    2,309,010     IEI Integration Corp     2,372,144  
    221,000     Kung Long Batteries Industrial Co Ltd     1,149,290  
    1,846,000     Lite-On Technology Corp     2,634,812  
    1,298,425     Mercuries Life Insurance Co Ltd *     442,958  
    150,000     Mirle Automation Corp     220,676  
    1,803,000     Nan Ya Plastics Corp     4,477,630  
    1,015,000     Nantex Industry Co Ltd     1,134,230  
    12,724,000     Nanya Technology Corp     24,816,923  
    51,000     Nichidenbo Corp     86,053  
    5,311,810     Novatek Microelectronics Corp     28,263,987  
    423,000     On-Bright Electronics Inc     1,949,055  
    1,338,000     Phison Electronics Corp     12,105,527  
    516,000     Quanta Storage Inc     697,683  
    11,076,870     Radiant Opto-Electronics Corp     34,850,838  
    2,241,720     Realtek Semiconductor Corp     14,174,904  
    1,407,090     Ruentex Development Co Ltd     1,818,962  
    3,334,800     Ruentex Industries Ltd     7,298,457  
    240,000     Shanghai Commercial & Savings Bank Ltd (The)     440,789  
    878,000     Shinkong Insurance Co Ltd     1,121,085  
    1,074,068     Simplo Technology Co Ltd     8,308,018  
    195,000     Sinbon Electronics Co Ltd     656,260  
    297,200     Sitronix Technology Corp     1,181,519  
    2,230,250     Syncmold Enterprise Corp     5,710,719  
    193,000     Taiwan PCB Techvest Co Ltd     218,270  
    5,641,000     Taiwan Semiconductor Manufacturing Co Ltd     41,688,940  
 


GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Taiwan — continued  
    997,410     Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR     38,250,674  
    282,000     Taiwan Styrene Monomer     216,811  
    300,000     Test Research Inc     521,859  
    114,000     Tong Hsing Electronic Industries Ltd     366,132  
    385,981     Topco Scientific Co Ltd     1,001,274  
    1,117,000     Transcend Information Inc *     2,532,003  
    1,712,160     Tripod Technology Corp     5,414,524  
    766,000     TXC Corp     812,389  
    1,423,400     United Integrated Services Co Ltd     6,545,419  
    1,939,000     Waterland Financial Holdings Co Ltd     643,835  
    1,241,000     YC INOX Co Ltd     1,053,242  
    11,101,000     Yuanta Financial Holding Co Ltd     6,232,597  
    148,000     Yulon Finance Corp     521,684  
    136,000     Yulon Nissan Motor Co Ltd     1,165,358  
    3,112,670     Yungtay Engineering Co Ltd     6,696,620  
    303,000     Zeng Hsing Industrial Co Ltd     1,400,970  
    489,000     Zhen Ding Technology Holding Ltd     1,436,348  
     

 

 

 
    Total Taiwan     535,367,876  
     

 

 

 
          Thailand — 0.9%  
    537,473     Delta Electronics Thailand Pcl (Foreign Registered)     1,080,380  
    576,100     Electricity Generating Pcl (Foreign Registered)     5,402,856  
    23,858,800     Land & Houses Pcl (Foreign Registered)     7,994,279  
    3,961,600     Pruksa Holding Pcl (Foreign Registered)     2,532,037  
    10,449,692     Quality Houses Pcl (Foreign Registered)     996,411  
    25,540,400     Star Petroleum Refining Pcl (Foreign Registered)     7,540,049  
    2,068,175     Supalai Pcl (Foreign Registered)     1,457,329  
    176,700     Thanachart Capital Pcl (Foreign Registered)     296,514  
    6,226,850     TTW Pcl (Foreign Registered)     2,638,948  
     

 

 

 
    Total Thailand     29,938,803  
     

 

 

 
          Turkey — 9.7%  
    28,729,519     Akbank TAS     29,560,236  
    575,405     Aksa Akrilik Kimya Sanayii AS     847,816  
    2,241,261     Anadolu Cam Sanayii AS     1,039,224  
    111,822     Arcelik AS *     334,443  
    372,073     Aselsan Elektronik Sanayi Ve Ticaret AS     1,166,295  
    531,805     Aygaz AS     809,061  
    1,725,385     BIM Birlesik Magazalar AS     23,619,645  
    42,367     Coca-Cola Icecek AS     198,297  
    15,102,375     Dogan Sirketler Grubu Holding AS *     2,776,211  
    3,596,063     EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS     1,426,597  
    90,191,918     Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)     17,649,036  
    4,190,212     Enerjisa Enerji AS     3,848,040  
    5,245,433     Enka Insaat ve Sanayi AS     4,772,259  
    8,841,298     Eregli Demir ve Celik Fabrikalari TAS     11,007,811  
    292,402     Ford Otomotiv Sanayi AS     2,764,429  
    9,105,384     Haci Omer Sabanci Holding AS     12,113,892  
     Shares     Description   Value ($)  
          Turkey — continued  
    1,084,233     Ipek Dogal Enerji Kaynaklari Ve Uretim AS *     875,194  
    340,153     KOC Holding AS     938,990  
    736,280     Kordsa Teknik Tekstil AS     1,509,750  
    822,154     Koza Altin Isletmeleri AS *     6,718,588  
    464,481     Mavi Giyim Sanayi Ve Ticaret AS – Class B     2,726,955  
    171,353     Otokar Otomotiv Ve Savunma Sanayi AS     3,039,248  
    3,806,545     Petkim Petrokimya Holding AS *     3,163,012  
    961,605     Selcuk Ecza Deposu Ticaret ve Sanayi AS     774,187  
    20,956,689     Soda Sanayii AS     24,999,994  
    1,423,454     TAV Havalimanlari Holding AS     6,220,162  
    3,140,470     Tekfen Holding AS     13,422,355  
    195,109     Tofas Turk Otomobil Fabrikasi AS     567,039  
    4,304,560     Trakya Cam Sanayii AS     2,084,162  
    1,207,528     Tupras-Turkiye Petrol Rafineriler AS     27,176,386  
    80,132     Turk Traktor ve Ziraat Makineleri AS     377,641  
    37,134,489     Turkiye Garanti Bankasi AS     50,462,771  
    6,694,190     Turkiye Halk Bankasi AS     6,093,568  
    15,970,717     Turkiye Is Bankasi – Class C     14,048,000  
    40,244,013     Turkiye Sinai Kalkinma Bankasi AS     4,700,719  
    100,926     Turkiye Sise ve Cam Fabrikalari AS     90,123  
    21,990,486     Turkiye Vakiflar Bankasi TAO – Class D     13,935,275  
    73,170     Ulker Biskuvi Sanayi AS *     239,483  
    124,239     Verusa Holding AS     411,008  
    299,872     Vestel Elektronik Sanayi ve Ticaret AS *     501,894  
    32,840,268     Yapi ve Kredi Bankasi AS *     11,220,058  
     

 

 

 
    Total Turkey     310,229,854  
     

 

 

 
          United Arab Emirates — 0.5%  
    331,962     Abu Dhabi Commercial Bank PJSC     806,088  
    3,062,170     Air Arabia PJSC     863,217  
    2,235,158     Al Waha Capital PJSC     583,519  
    3,616,537     DAMAC Properties Dubai Co PJSC *     833,570  
    6,405,255     Dana Gas PJSC     1,722,227  
    1,129,048     Dubai Islamic Bank PJSC     1,539,101  
    4,945,128     Emaar Properties PJSC     5,989,518  
    520,327     First Abu Dhabi Bank PJSC     2,085,119  
    11,102,376     RAK Properties PJSC *     1,295,387  
     

 

 

 
    Total United Arab Emirates     15,717,746  
     

 

 

 
          United Kingdom — 0.7%  
    386,665     Unilever Plc     23,588,779  
     

 

 

 
    TOTAL COMMON STOCKS (COST $2,923,715,624)     2,975,037,845  
     

 

 

 
          PREFERRED STOCKS (d) — 3.1%  
          Colombia — 0.0%  
    72,349     Banco Davivienda SA     817,292  
    1,255,072     Grupo Aval Acciones y Valores SA     436,559  
     

 

 

 
    Total Colombia     1,253,851  
     

 

 

 
 


GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Russia — 1.5%  
    2,912     AK Transneft PJSC     7,182,677  
    256,846     Bashneft PJSC     6,702,834  
    52,001,900     Surgutneftegas PJSC     32,198,617  
     

 

 

 
    Total Russia     46,084,128  
     

 

 

 
          South Korea — 1.6%  
    1,747,590     Samsung Electronics Co Ltd     50,923,106  
     

 

 

 
          Taiwan — 0.0%  
    605,412     CTBC Financial Holding Co Ltd (a)     1,229,189  
     

 

 

 
    TOTAL PREFERRED STOCKS (COST $92,568,447)     99,490,274  
     

 

 

 
          INVESTMENT FUNDS — 1.5%  
          Russia — 0.0%  
    1,000     NCH Eagle Fund LP * (e) (f)      
     

 

 

 
          Thailand — 0.3%  
    20,378,500     Digital Telecommunications Infrastructure Fund     10,254,394  
     

 

 

 
          United States — 1.2%  
    1     iShares MSCI Emerging Markets ETF     40  
    746,724     iShares Core MSCI Emerging Markets ETF     36,679,083  
     

 

 

 
    Total United States     36,679,123  
     

 

 

 
    TOTAL INVESTMENT FUNDS (COST $47,665,802)     46,933,517  
     

 

 

 
     Shares     Description   Value ($)  
          RIGHTS/WARRANTS — 0.0%  
          Sri Lanka — 0.0%  
    8,665,258     Anilana Hotels & Properties Ltd,
Expires 06/04/19 * (a) (c)
     
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $0)
     
     

 

 

 
          MUTUAL FUNDS — 1.4%  
          United States — 1.4%  
          Affiliated Issuers — 1.4%  
    9,050,924     GMO U.S. Treasury Fund     45,254,618  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $45,254,618)
    45,254,618  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.1%  
          Money Market Funds — 0.1%  
    4,234,684     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (g)     4,234,684  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $4,234,684)
    4,234,684  
     

 

 

 
    TOTAL INVESTMENTS — 99.2% (Cost $3,113,439,175)     3,170,950,938  
    Other Assets and Liabilities (net) — 0.8%     26,351,610  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $3,197,302,548  
     

 

 

 
 

 

Additional information on each restricted security is as follows:

 

Issuer Description

   Acquisition Date    Cost      Value as a
Percentage
of Fund’s
Net Assets
  Value as of
May 31, 2019
 
NCH Eagle Fund LP    4/6/09    $     —      0.00%   $     — (h) 
       

 

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys        
1,760   Mini MSCI Emerging Markets   June 2019   $ 88,017,600     $ (3,171,856
     

 

 

   

 

 

 

 

+

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


GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

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) ($)
 

Depreciation of Total Return on Asustek Computer Inc + (Daily Fed Funds Rate minus 0.25%)

  Appreciation of Total Return on Asustek Computer Inc   MSCI   USD     11,645,067       06/13/2019     At Maturity   $  —     $  (262,093)     $  (262,093)  
             

 

 

   

 

 

   

 

 

 

As of May 31, 2019, 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:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatari Public Shareholding Company

REIT - Real Estate Investment Trust

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

 

*

Non-income producing security.

 

(a)

Investment valued using significant unobservable inputs.

 

(b)

Securities are traded on separate exchanges for the same entity.

 

(c)

Affiliated company.

 

(d)

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

 

(e)

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.

 

(f)

Private placement security; restricted as to resale.

 

(g)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(h)

Represents the interest in securities that were determined to have a value of zero at May 31, 2019.

Counterparty Abbreviations:

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

USD - United States Dollar

 


GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
    COMMON STOCKS — 96.4%

 

          Australia — 3.9%  
    48,226     Accent Group Ltd     49,591  
    3,918     Adairs Ltd     5,719  
    120,426     Australian Pharmaceutical Industries Ltd     108,399  
    9,699     Brickworks Ltd     109,535  
    35,442     Codan Ltd     80,270  
    137,420     GDI Property Group (REIT)     126,115  
    10,220     Mount Gibson Iron Ltd     8,623  
    19,044     New Hope Corp Ltd     34,513  
    27,657     Sandfire Resources NL     117,822  
    9,403     Viva Energy (REIT)     16,886  
     

 

 

 
    Total Australia     657,473  
     

 

 

 
          Belgium — 1.1%      
    43,899     AGFA-Gevaert NV *     178,424  
    14     Barco NV     2,723  
     

 

 

 
    Total Belgium     181,147  
     

 

 

 
          Brazil — 0.8%      
    1,800     Mahle-Metal Leve SA     10,464  
    29,700     MRV Engenharia e Participacoes SA     130,185  
     

 

 

 
    Total Brazil     140,649  
     

 

 

 
          Canada — 4.5%      
    7,990     BRP Inc Sub Voting     239,062  
    9,700     Canaccord Genuity Group Inc     35,740  
    6,900     Canfor Corp *     44,924  
    7,000     Canfor Pulp Products Inc     57,850  
    2,300     Cogeco Inc     143,741  
    1,100     Enerflex Ltd     13,323  
    1,200     Labrador Iron Ore Royalty Corp     27,985  
    6,200     Martinrea International Inc     44,862  
    1,600     Quebecor Inc – Class B     37,763  
    4,300     Russel Metals Inc     67,923  
    1,100     TFI International Inc     33,531  
    900     Westshore Terminals Investment Corp     14,762  
     

 

 

 
    Total Canada     761,466  
     

 

 

 
          China — 1.4%      
    354,000     Powerlong Real Estate Holdings Ltd     160,623  
    39,000     Road King Infrastructure Ltd     79,098  
     

 

 

 
    Total China     239,721  
     

 

 

 
          Denmark — 0.5%      
    2,221     Matas A/S     23,435  
    4,422     Scandinavian Tobacco Group A/S     53,880  
     

 

 

 
    Total Denmark     77,315  
     

 

 

 
          Finland — 0.2%      
    5,730     Finnair Oyj     40,841  
     

 

 

 
Shares     Description   Value ($)  
          France — 5.7%      
    1,576     Alten SA     159,851  
    9,876     Coface SA     96,247  
    4,033     Gaztransport Et Technigaz SA     366,518  
    160     Interparfums SA     7,352  
    294     IPSOS     8,095  
    2,272     Kaufman & Broad SA     81,033  
    10,189     Metropole Television SA     183,021  
    2,349     Neopost SA     51,417  
    94     Remy Cointreau SA     12,931  
     

 

 

 
    Total France     966,465  
     

 

 

 
          Germany — 4.4%      
    1,766     Bauer AG     45,547  
    4,562     Borussia Dortmund GmbH & Co KGaA     43,494  
    12,477     Deutz AG     103,176  
    911     Dialog Semiconductor Plc *     28,807  
    3,869     Elmos Semiconductor AG     92,163  
    2,076     METRO AG     32,645  
    10,395     Wacker Neuson SE     241,453  
    7,340     Wuestenrot & Wuerttembergische AG     153,753  
     

 

 

 
    Total Germany     741,038  
     

 

 

 
          Hong Kong — 1.5%      
    116,000     Johnson Electric Holdings Ltd     220,207  
    154,000     Singamas Container Holdings Ltd     21,874  
    2,100     VTech Holdings Ltd     17,382  
     

 

 

 
    Total Hong Kong     259,463  
     

 

 

 
          Hungary — 0.1%      
    11,974     Magyar Telekom Telecommunications Plc     17,137  
     

 

 

 
          India — 1.6%      
    3,189     Larsen & Toubro Infotech Ltd     81,590  
    2,998     Mphasis Ltd     42,574  
    4,641     NIIT Technologies Ltd     87,493  
    55,053     PTC India Ltd     54,745  
     

 

 

 
    Total India     266,402  
     

 

 

 
          Israel — 0.1%      
    85     Israel Corp Ltd (The)     18,685  
     

 

 

 
          Italy — 3.4%      
    13,096     ASTM SPA     355,580  
    2,820     Enav SPA     15,252  
    4,584     La Doria SPA     40,701  
    400     Massimo Zanetti Beverage Group SPA     2,861  
    9,030     Societa Iniziative Autostradali e Servizi SPA     156,695  
     

 

 

 
    Total Italy     571,089  
     

 

 

 
 


GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          Japan — 20.4%      
    300     Adastria Co Ltd     7,368  
    600     ADEKA Corp     8,340  
    6,200     Arakawa Chemical Industries Ltd     69,944  
    2,600     Arisawa Manufacturing Co Ltd     18,193  
    1,300     Asahi Yukizai Corp     16,455  
    1,200     Central Glass Co Ltd     26,239  
    2,100     Daiwabo Holdings Co Ltd     87,444  
    6,700     Denka Co Ltd     190,264  
    3,000     DTS Corp     121,419  
    500     Elecom Co Ltd     16,150  
    11,600     Fancl Corp     311,098  
    4,600     Fujitsu Frontech Ltd     41,460  
    3,500     Furuno Electric Co Ltd     29,625  
    2,400     Fuyo General Lease Co Ltd     116,254  
    200     Hagiwara Electric Holdings Co Ltd     4,791  
    500     Hamakyorex Co Ltd     16,578  
    1,600     Hokuetsu Corp     7,875  
    8,400     House Foods Group Inc     341,351  
    300     Information Services International-Dentsu Ltd     9,321  
    1,600     Innotech Corp     11,967  
    11,700     Ishihara Sangyo Kaisha Ltd *     108,365  
    700     Jeol Ltd     14,818  
    5,500     Keihin Corp     71,028  
    13,100     Kyosan Electric Manufacturing Co Ltd     42,222  
    2,300     Makino Milling Machine Co Ltd     78,632  
    1,300     Marubun Corp     6,402  
    1,100     MCJ Co Ltd     6,863  
    300     Morinaga & Co Ltd     13,550  
    1,100     Nichi-iko Pharmaceutical Co Ltd     12,421  
    600     Nippon Flour Mills Co Ltd     9,811  
    7,000     Nippon Light Metal Holdings Co Ltd     14,745  
    2,600     Nippon Suisan Kaisha Ltd     15,803  
    500     Nippon Systemware Co Ltd     11,211  
    100     Nisshinbo Holdings Inc     691  
    1,300     Nissin Electric Co Ltd     12,512  
    500     NOF Corp     17,901  
    100     NuFlare Technology Inc     6,174  
    1,400     Pegasus Sewing Machine Manufacturing Co Ltd     6,805  
    3,200     Rion Co Ltd     61,651  
    12,500     Rohto Pharmaceutical Co Ltd     338,784  
    200     Sanyo Chemical Industries Ltd     10,222  
    400     Sawai Pharmaceutical Co Ltd     20,598  
    400     Seiko Holdings Corp     7,409  
    20,400     Showa Corp     248,524  
    101,800     Sojitz Corp     325,086  
    4,700     T-Gaia Corp     75,680  
    600     Takasago Thermal Engineering Co Ltd     9,195  
    9,300     Tatsuta Electric Wire and Cable Co Ltd     37,250  
    100     Toei Co Ltd     13,413  
    100     Tokyo Seimitsu Co Ltd     2,288  
    1,900     Towa Pharmaceutical Co Ltd     45,371  
Shares     Description   Value ($)  
          Japan — continued      
    11,200     TS Tech Co Ltd     271,723  
    4,600     Ube Industries Ltd     87,447  
     

 

 

 
    Total Japan     3,456,731  
     

 

 

 
          Malaysia — 0.9%  
    13,700     Bermaz Auto Berhad     7,520  
    1,400     Carlsberg Brewery Malaysia Berhad     8,156  
    80,800     Padini Holdings Berhad     71,760  
    158,400     Supermax Corp Berhad     61,165  
    3,800     TIME dotCom Berhad     8,047  
     

 

 

 
    Total Malaysia     156,648  
     

 

 

 
          Mexico — 0.1%  
    19,800     Gentera SAB de CV     17,468  
     

 

 

 
          Netherlands — 1.6%  
    4,285     ASR Nederland NV     162,356  
    643     Intertrust NV     12,167  
    628     Koninklijke Volkerwessels NV     11,399  
    2,990     Signify NV     79,951  
     

 

 

 
    Total Netherlands     265,873  
     

 

 

 
          Norway — 2.7%  
    18,748     Austevoll Seafood ASA     196,689  
    187     Entra ASA     2,788  
    3,677     Europris ASA     10,298  
    7,771     Grieg Seafood ASA     110,200  
    49,506     Kvaerner ASA     71,267  
    4,477     SpareBank 1 Nord Norge     33,906  
    2,995     SpareBank 1 SR-Bank ASA     34,916  
     

 

 

 
    Total Norway     460,064  
     

 

 

 
          Poland — 0.7%  
    6,397     Asseco Poland SA     85,185  
    3,800     PLAY Communications SA     25,976  
     

 

 

 
    Total Poland     111,161  
     

 

 

 
          Portugal — 1.5%  
    14,209     Altri SGPS SA *     96,274  
    5,118     Navigator Co SA (The)     18,287  
    2,973     NOS SGPS SA     18,776  
    3,636     REN – Redes Energeticas Nacionais SGPS SA     9,894  
    2,849     Semapa-Sociedade de Investimento e Gestao     39,575  
    69,736     Sonae SGPS SA     69,320  
     

 

 

 
    Total Portugal     252,126  
     

 

 

 
          Singapore — 3.1%  
    34,500     China Sunsine Chemical Holdings Ltd     28,838  
    27,000     Frasers Logistics & Industrial Trust (REIT)     22,390  
 


GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          Singapore — continued  
    19,900     Japfa Ltd     7,879  
    38,200     Mapletree Commercial Trust (REIT)     53,213  
    37,800     Mapletree Greater China Commercial Trust (REIT)     36,333  
    20,600     Mapletree Industrial Trust (REIT)     31,629  
    67,300     Mapletree Logistics Trust (REIT)     71,658  
    17,300     StarHub Ltd     18,737  
    290,800     Yanlord Land Group Ltd     252,136  
     

 

 

 
    Total Singapore     522,813  
     

 

 

 
          South Africa — 0.9%  
    1,239     Barloworld Ltd     11,266  
    23,607     Blue Label Telecoms Ltd *     6,140  
    12,490     Metair Investments Ltd     20,235  
    5,031     Motus Holdings Ltd     29,823  
    9,741     Reunert Ltd     45,957  
    15,002     Tsogo Sun Holdings Ltd     22,080  
    3,235     Wilson Bayly Holmes-Ovcon Ltd *     24,366  
     

 

 

 
    Total South Africa     159,867  
     

 

 

 
          South Korea — 6.4%  
    514     Chong Kun Dang Pharmaceutical Corp     39,656  
    289     Cuckoo Holdings Co Ltd     31,845  
    1,899     Daihan Pharmaceutical Co Ltd     54,065  
    2,119     DongKook Pharmaceutical Co Ltd     103,832  
    3,568     Dongwha Pharm Co Ltd     27,553  
    12,914     Dongwon Development Co Ltd     50,572  
    498     GS Home Shopping Inc     69,311  
    619     Huons Co Ltd     28,917  
    343     HwaSung Industrial Co Ltd     3,829  
    857     Hyundai Home Shopping Network Corp     65,774  
    433     Il Dong Pharmaceutical Co Ltd     7,069  
    522     INTOPS Co Ltd     7,047  
    2,337     KC Co Ltd     26,277  
    431     Korea Autoglass Corp     7,331  
    622     Korea United Pharm Inc     12,334  
    10,931     Kwang Dong Pharmaceutical Co Ltd     62,919  
    8,351     Kyungdong Pharm Co Ltd     62,917  
    7,498     LF Corp     136,407  
    3,338     LOTTE Himart Co Ltd     120,071  
    391     Nice Information & Telecommunication Inc     6,696  
    3,375     Samjin Pharmaceutical Co Ltd     91,931  
    19,728     Seohan Co Ltd     26,007  
    3,347     Seoyon E-Hwa Co Ltd     16,833  
    793     SL Corp     14,869  
    194     Spigen Korea Co Ltd     12,098  
     

 

 

 
    Total South Korea     1,086,160  
     

 

 

 
          Spain — 2.3%  
    602     Acciona SA     64,338  
    8,530     Almirall SA     146,711  
Shares     Description   Value ($)  
          Spain — continued  
    1,971     Applus Services SA     25,015  
    937     Cia de Distribucion Integral Logista Holdings SA     20,699  
    3,093     Enagas SA     84,540  
    3,474     Ence Energia y Celulosa SA     14,504  
    1,676     Faes Farma SA     7,313  
    4,083     Mediaset Espana Comunicacion SA     29,327  
     

 

 

 
    Total Spain     392,447  
     

 

 

 
          Sweden — 3.0%  
    14,009     Betsson AB *     88,517  
    14,009     Betsson AB – Redemption *     5,737  
    1,504     Dios Fastigheter AB     10,812  
    3,817     Fabege AB     57,263  
    3,630     Granges AB     34,097  
    2,499     Hexpol AB     18,107  
    57,600     Klovern AB – B Shares     86,512  
    238     KNOW IT AB     5,052  
    1,587     Lindab International AB     16,381  
    13,448     Nobina AB     75,086  
    316     Nolato AB – B Shares     15,015  
    1,030     Oriflame Holding AG *     24,185  
    2,685     Peab AB     21,155  
    9,633     Resurs Holding AB     56,122  
     

 

 

 
    Total Sweden     514,041  
     

 

 

 
          Switzerland — 4.6%  
    2,451     ALSO Holding AG (Registered) *     318,523  
    1,615     BKW AG     106,768  
    1,798     Bobst Group SA (Registered)     113,083  
    23     Emmi AG (Registered)     21,236  
    136     Georg Fischer AG (Registered)     115,147  
    579     Huber + Suhner AG (Registered)     44,424  
    76     Kardex AG (Registered)     11,689  
    355     Landis+Gyr Group AG *     25,589  
    503     Wizz Air Holdings Plc *     19,911  
     

 

 

 
    Total Switzerland     776,370  
     

 

 

 
          Taiwan — 1.4%  
    119,000     Coretronic Corp     152,386  
    53,000     Wah Lee Industrial Corp     89,428  
     

 

 

 
    Total Taiwan     241,814  
     

 

 

 
          Turkey — 0.2%  
    7,850     Selcuk Ecza Deposu Ticaret ve Sanayi AS     6,320  
    19,391     Soda Sanayii AS     23,132  
     

 

 

 
    Total Turkey     29,452  
     

 

 

 
          United Kingdom — 17.4%  
    9,506     Auto Trader Group Plc     71,864  
    793     AVEVA Group Plc     37,052  
 


GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          United Kingdom — continued  
    2,102     Bellway Plc     72,994  
    3,146     Britvic Plc     35,377  
    22,603     Computacenter Plc     357,778  
    670     Diploma Plc     12,555  
    2,354     Dunelm Group Plc     26,489  
    533     EMIS Group Plc     8,020  
    6,675     Games Workshop Group Plc     376,295  
    493     Go-Ahead Group Plc     11,608  
    5,133     Greene King Plc     41,436  
    20,234     IG Group Holdings Plc     140,103  
    13,268     John Laing Group Plc     65,133  
    2,853     Mitchells & Butlers Plc *     9,982  
    4,619     Moneysupermarket.com Group Plc     21,359  
    2,351     Morgan Advanced Materials Plc     7,356  
    16,404     Morgan Sindall Group Plc     267,132  
    2,490     National Express Group Plc     12,497  
    2,772     Pagegroup Plc     17,822  
    6,574     Pets at Home Group Plc     15,321  
    16,032     Plus500 Ltd     128,227  
    51,721     QinetiQ Group Plc     190,012  
    11,617     Softcat Plc     133,267  
    904     Spectris Plc     28,345  
    50,475     SThree Plc     193,874  
    78,268     Stock Spirits Group Plc     231,956  
    14,375     Tate & Lyle Plc     131,215  
    46,975     Vesuvius Plc     296,537  
     

 

 

 
    Total United Kingdom     2,941,606  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $18,850,204)
    16,323,532  
     

 

 

 
          PREFERRED STOCKS (a) — 0.6%  
          Brazil — 0.3%  
    3,100     Cia de Saneamento do Parana     10,689  
    3,600     Cia Paranaense de Energia – Class B     44,037  
     

 

 

 
    Total Brazil     54,726  
     

 

 

 
          Germany — 0.3%  
    631     Sixt SE     44,003  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $95,705)
    98,729  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Spain — 0.0%  
    8,530     Almirall SA, Expires 06/04/19 *     1,906  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $1,941)
    1,906  
     

 

 

 
Shares     Description   Value ($)  
          MUTUAL FUNDS — 2.4%  
          United States — 2.4%  
          Affiliated Issuers — 2.4%  
    81,263     GMO U.S. Treasury Fund     406,317  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $406,317)
    406,317  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.6%  
          Money Market Funds — 0.6%  
    103,626     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (b)     103,626  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $103,626)
    103,626  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $19,457,793)
    16,934,110  
    Other Assets and Liabilities (net) — (0.0%)     (5,577
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $16,928,533  
     

 

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Futures Contracts

 

Number
of
Contracts +

 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys      
1   Mini MSCI EAFE   June 2019   $ 90,895     $ (2,052
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

    

Sales - Fund is short the futures contract.

 

 

As of May 31, 2019, 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.


GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Notes to Schedule of Investments:

 

REIT

- Real Estate Investment Trust

 

*

Non-income producing security.

 

(a)

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

 

(b)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          COMMON STOCKS — 97.4%  
          Australia — 3.8%  
    281,212     Abacus Property Group (REIT)     746,223  
    17,233     Altium Ltd     366,240  
    212,933     Appen Ltd     3,810,618  
    78,554     Beach Energy Ltd     97,965  
    67,841     Caltex Australia Ltd     1,239,546  
    119,227     Charter Hall Group (REIT)     856,085  
    112,623     Credit Corp Group Ltd     1,941,987  
    50,132     CSL Ltd     7,122,913  
    1,880,018     CSR Ltd     5,181,361  
    81,512     Dexus (REIT)     729,488  
    2,615,292     Downer EDI Ltd     12,873,551  
    110,271     Elders Ltd     431,902  
    1,522,775     Fortescue Metals Group Ltd     8,467,760  
    107,401     IDP Education Ltd     1,268,243  
    765,189     Macquarie Group Ltd     63,665,648  
    320,810     Mineral Resources Ltd     3,335,092  
    596,610     Mirvac Group (REIT)     1,257,253  
    378,557     New Hope Corp Ltd     686,052  
    1,289,383     OZ Minerals Ltd     8,067,597  
    509,074     Pact Group Holdings Ltd     800,211  
    980,512     Sandfire Resources NL     4,177,108  
    252,701     Southern Cross Media Group Ltd     217,655  
    429,091     Super Retail Group Ltd     2,749,530  
    319,432     Tassal Group Ltd     1,066,258  
     

 

 

 
    Total Australia     131,156,286  
     

 

 

 
          Austria — 0.1%  
    69,286     Oesterreichische Post AG     2,317,903  
     

 

 

 
          Belgium — 0.3%  
    538,793     AGFA-Gevaert NV *     2,189,887  
    1,001     Barco NV     194,660  
    40,732     D’ieteren SA     1,762,854  
    6,577     Elia System Operator SA/NV     457,952  
    79,421     Orange Belgium SA     1,512,639  
    41,522     UCB SA     3,174,345  
     

 

 

 
    Total Belgium     9,292,337  
     

 

 

 
          Denmark — 1.1%  
    335,927     Novo Nordisk A/S Sponsored ADR     15,855,755  
    131,554     Novo Nordisk A/S – Class B     6,190,708  
    11,091     Per Aarsleff Holding A/S     399,060  
    185,196     Royal Unibrew A/S     13,156,240  
    7,566     Schouw & Co AB     556,451  
     

 

 

 
    Total Denmark     36,158,214  
     

 

 

 
          Finland — 1.0%  
    40,363     DNA Oyj     944,290  
    811,383     Neste Oyj     27,391,162  
    23,933     Tieto Oyj     673,883  
Shares     Description   Value ($)  
          Finland — continued  
    240,113     UPM-Kymmene Oyj     6,007,008  
    13,347     Valmet Oyj     307,752  
     

 

 

 
    Total Finland     35,324,095  
     

 

 

 
          France — 9.0%  
    7,525     Alten SA     763,248  
    435,564     BNP Paribas SA     19,973,172  
    417,522     CNP Assurances     8,948,554  
    586     Dassault Systemes SE     86,948  
    13,417     Hermes International     8,915,071  
    15,143     IPSOS     416,965  
    384,962     L’Oreal SA     103,277,623  
    26,489     Lagardere SCA     644,647  
    14,962     LVMH Moet Hennessy Louis Vuitton SE     5,645,815  
    208,823     Metropole Television SA     3,751,012  
    1,424,771     Peugeot SA     31,801,003  
    260,976     Safran SA     34,241,302  
    578,668     Sanofi     46,731,668  
    263,328     Sanofi ADR     10,646,351  
    802,783     STMicroelectronics NV     12,138,986  
    1,424,022     STMicroelectronics NV – NY Shares     21,417,291  
     

 

 

 
    Total France     309,399,656  
     

 

 

 
          Germany — 7.8%  
    114,812     ADVA Optical Networking SE *     869,910  
    377,576     Allianz SE (Registered)     83,606,815  
    821,508     Bayerische Motoren Werke AG     57,001,978  
    41,644     Bechtle AG     4,660,146  
    42,711     Carl Zeiss Meditec AG     4,014,407  
    5,166     Cewe Stiftung & Co KGaA     475,550  
    406,777     Daimler AG (Registered Shares)     21,082,634  
    2,066,768     Deutsche Lufthansa AG (Registered)     39,189,499  
    627,452     Deutsche Pfandbriefbank AG     8,625,142  
    292,784     Deutsche Telekom AG (Registered)     4,929,300  
    103,318     Dialog Semiconductor Plc *     3,267,097  
    3,658     Henkel AG & Co KGaA     316,888  
    6,074     Indus Holding AG     268,009  
    50,576     Jenoptik AG     1,569,477  
    175,972     RHOEN-KLINIKUM AG     5,003,792  
    105,206     Software AG     3,437,628  
    45,692     Talanx AG *     1,810,726  
    173,865     Volkswagen AG     27,591,026  
     

 

 

 
    Total Germany     267,720,024  
     

 

 

 
          Hong Kong — 2.4%  
    2,523,640     Champion (REIT)     2,054,240  
    2,067,814     Dah Sing Banking Group Ltd     3,583,388  
    411,515     Dah Sing Financial Holdings Ltd     1,921,966  
    4,603,096     Esprit Holdings Ltd *     921,447  
    2,171,001     Hysan Development Co Ltd     11,306,839  
    4,988,469     I-CABLE Communications Ltd *     61,777  
    669,413     Kerry Properties Ltd     2,544,477  
 


GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          Hong Kong — continued  
    803,257     Luk Fook Holdings International Ltd     2,579,407  
    312,000     NWS Holdings Ltd     614,793  
    1,419,647     Pacific Textiles Holdings Ltd     1,155,183  
    8,539,916     SJM Holdings Ltd     9,467,136  
    1,336,673     SmarTone Telecommunications Holdings Ltd     1,312,181  
    381,680     Television Broadcasts Ltd     640,485  
    46,490,420     WH Group Ltd     41,847,528  
    464,045     Wheelock & Co Ltd     3,063,296  
    740,122     Xinyi Automobile Glass Hong Kong Enterprises Ltd *     151,192  
     

 

 

 
    Total Hong Kong     83,225,335  
     

 

 

 
          Ireland — 0.2%  
    52,400     CRH Plc Sponsored ADR     1,642,740  
    8,686     Flutter Entertainment Plc     617,456  
    26,311     ICON Plc *     3,724,585  
     

 

 

 
    Total Ireland     5,984,781  
     

 

 

 
          Israel — 0.1%  
    647,362     Israel Discount Bank Ltd – Class A     2,470,312  
    5,800     Nice Ltd Sponsored ADR *     811,130  
     

 

 

 
    Total Israel     3,281,442  
     

 

 

 
          Italy — 5.1%  
    68,883     De’ Longhi SPA     1,356,622  
    8,043,282     Enel SPA     50,022,846  
    99,551     ERG SPA     1,933,907  
    669,237     EXOR NV     41,873,288  
    3,827,924     Fiat Chrysler Automobiles NV     48,308,401  
    860,308     Hera SPA     3,125,323  
    1,952,528     Iren SPA     4,839,037  
    45,129     La Doria SPA     400,698  
    845,625     Mediobanca Banca di Credito Finanziario SPA     7,785,608  
    8,580     Reply SPA     550,964  
    1,267,773     Saras SPA     1,819,262  
    161,143     Snam SPA     809,329  
    1,313,333     Societa Cattolica di Assicurazioni SC     10,597,411  
    534,615     UnipolSai Assicurazioni SPA     1,299,675  
     

 

 

 
    Total Italy     174,722,371  
     

 

 

 
          Japan — 25.9%  
    73,353     AOKI Holdings Inc     690,364  
    4,448,576     Asahi Kasei Corp     45,569,077  
    5,327,950     Astellas Pharma Inc     71,399,511  
    111,927     Autobacs Seven Co Ltd     1,736,595  
    107,000     Bandai Namco Holdings Inc     5,238,611  
    1,741,921     Brother Industries Ltd     29,638,025  
    45,636     Cawachi Ltd     771,945  
    141,500     Daicel Corp     1,199,685  
    86,819     Daiwabo Holdings Co Ltd     3,615,129  
Shares     Description   Value ($)  
          Japan — continued  
    709,162     DCM Holdings Co Ltd     7,062,610  
    226,509     Denka Co Ltd     6,432,316  
    81,385     Dexerials Corp     514,156  
    61,878     Doutor Nichires Holdings Co Ltd     1,190,649  
    15,183     DTS Corp     614,502  
    6,621     Ehime Bank Ltd (The)     66,071  
    636,092     Fancl Corp     17,059,229  
    661,745     Fuji Electric Co Ltd     21,911,659  
    266,500     Fuji Media Holdings Inc     3,610,656  
    17,500     Fuji Soft Inc     741,689  
    357,700     FUJIFILM Holdings Corp     17,044,362  
    180,396     Fujitsu Ltd     12,161,349  
    30,189     Fuyo General Lease Co Ltd     1,462,328  
    148,912     Geo Holdings Corp     1,870,342  
    20,435     Gunze Ltd     851,756  
    354,100     Hakuhodo DY Holdings Inc     5,528,796  
    26,167     Hanwa Co Ltd     658,170  
    2,333,278     Hitachi Ltd     78,568,300  
    875,900     Honda Motor Co Ltd     21,541,507  
    255,849     House Foods Group Inc     10,396,933  
    132,400     Isuzu Motors Ltd     1,454,505  
    4,602,368     ITOCHU Corp     84,491,806  
    161,711     Kanematsu Corp     1,814,609  
    305,300     KDDI Corp     7,819,626  
    132,317     Keihin Corp     1,708,762  
    53,669     Kohnan Shoji Co Ltd     1,100,681  
    1,621,800     Konica Minolta Inc     14,228,976  
    14,295     Kose Corp     2,247,260  
    50,667     Mandom Corp     1,233,925  
    5,606,712     Marubeni Corp     35,013,041  
    8,979,956     Mitsubishi Chemical Holdings Corp     58,521,919  
    114,116     Mitsubishi Corp     2,957,469  
    656,741     Mitsubishi Gas Chemical Co Inc     8,132,250  
    2,519,800     Mitsubishi UFJ Financial Group Inc     11,573,002  
    225,514     Mitsui Chemicals Inc     4,920,496  
    3,178     Mitsui Sugar Co Ltd     66,869  
    80,150     Modec Inc     2,007,977  
    76,266     Namura Shipbuilding Co Ltd     203,380  
    126,100     NEC Corp     4,655,399  
    376,472     NET One Systems Co Ltd     10,010,109  
    151,957     Nichias Corp     2,530,755  
    111,309     Nippon Corp     2,162,549  
    68,233     Nippon Signal Co Ltd     692,930  
    2,097,044     Nippon Telegraph & Telephone Corp     93,824,078  
    104,512     Nishi-Nippon Financial Holdings Inc     760,275  
    607     NuFlare Technology Inc     37,476  
    134,392     Okinawa Electric Power Co (The)     2,035,261  
    94,802     Press Kogyo Co Ltd     402,972  
    210,896     Prima Meat Packers Ltd     4,111,034  
    199,486     Rohto Pharmaceutical Co Ltd     5,406,607  
    37,957     San-A Co Ltd     1,468,835  
    100,187     Seiko Holdings Corp     1,855,688  
    550,228     Sekisui Chemical Co Ltd     8,049,837  
 


GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          Japan — continued  
    51,600     Shionogi & Co Ltd     2,813,507  
    210,500     Showa Corp     2,564,429  
    11,165,587     Sojitz Corp     35,655,960  
    10,364,563     Sumitomo Chemical Co Ltd     44,541,392  
    142,203     T-Gaia Corp     2,289,762  
    43,361     Tokyo Seimitsu Co Ltd     992,161  
    151,295     Tokyu Construction Co Ltd     1,061,418  
    284,104     Tosoh Corp     3,577,450  
    145,911     Towa Pharmaceutical Co Ltd     3,484,282  
    869,354     Toyota Tsusho Corp     24,933,443  
    27,982     TPR Co Ltd     451,910  
    228,267     TS Tech Co Ltd     5,537,991  
    76,619     TSI Holdings Co Ltd     437,627  
    210,516     Ube Industries Ltd     4,001,975  
    197,814     Valor Holdings Co Ltd     4,005,626  
    23,304     Warabeya Nichiyo Holdings Co Ltd     351,231  
    26,746     Yahagi Construction Co Ltd     176,037  
    401,763     Zeon Corp     3,774,295  
     

 

 

 
    Total Japan     887,297,176  
     

 

 

 
          Malta — 0.0%  
    15,858,986     BGP Holdings Plc * (a)      
     

 

 

 
          Netherlands — 5.8%  
    1,705,435     ABN AMRO Group NV CVA     36,030,538  
    306,182     ASR Nederland NV     11,601,039  
    91,694     BinckBank NV     646,815  
    16,849     Corbion NV     516,541  
    148,524     Heineken Holding NV     14,695,345  
    9,397     IMCD NV     765,786  
    6,862,215     ING Groep NV     74,120,753  
    1,664,270     Koninklijke Ahold Delhaize NV     37,327,477  
    139,048     Signify NV     3,718,097  
    252,344     Wolters Kluwer NV     17,604,296  
     

 

 

 
    Total Netherlands     197,026,687  
     

 

 

 
          New Zealand — 0.0%  
    481,967     Air New Zealand Ltd     818,093  
    208,052     Chorus Ltd     785,201  
     

 

 

 
    Total New Zealand     1,603,294  
     

 

 

 
          Norway — 3.2%  
    42,866     Aker ASA – A Shares     2,462,038  
    10,483     Austevoll Seafood ASA     109,979  
    82,678     Bakkafrost P/F     4,382,778  
    437,753     BW LPG Ltd *     1,837,377  
    2,710,437     DNB ASA     45,948,638  
    1,885,748     Equinor ASA     36,021,296  
    1,331,473     Leroy Seafood Group ASA     9,130,162  
    426     Orkla ASA     3,689  
    134,003     Salmar ASA     6,121,464  
    10,853     SpareBank 1 Nord Norge     82,193  
Shares     Description   Value ($)  
          Norway — continued  
    347,766     Storebrand ASA     2,516,183  
     

 

 

 
    Total Norway     108,615,797  
     

 

 

 
          Portugal — 0.3%  
    130,405     Altri SGPS SA *     883,567  
    291,299     CTT-Correios de Portugal SA     754,844  
    707,792     EDP – Energias de Portugal SA     2,579,517  
    307,767     Galp Energia SGPS SA     4,623,169  
    61,208     Jeronimo Martins SGPS SA     931,003  
    156,727     Navigator Co SA (The)     559,992  
    639,463     REN – Redes Energeticas Nacionais SGPS SA     1,740,074  
     

 

 

 
    Total Portugal     12,072,166  
     

 

 

 
          Singapore — 0.6%  
    502,800     CapitaLand Commercial Trust (REIT)     707,466  
    1,341,900     CapitaLand Ltd     3,148,740  
    410,600     CapitaLand Mall Trust (REIT)     720,879  
    1,130,800     ComfortDelGro Corp Ltd     2,026,375  
    36,100     DBS Group Holdings Ltd     638,988  
    73,200     Jardine Cycle & Carriage Ltd     1,803,290  
    518,600     Mapletree Commercial Trust (REIT)     722,413  
    715,400     Mapletree Greater China Commercial Trust (REIT)     687,645  
    761,900     Mapletree Logistics Trust (REIT)     811,234  
    104,500     Singapore Airlines Ltd     693,617  
    507,200     Singapore Technologies Engineering Ltd     1,445,841  
    365,000     Wilmar International Ltd     874,024  
    5,097,900     Yangzijiang Shipbuilding Holdings Ltd     5,087,895  
    81,474     Yanlord Land Group Ltd     70,641  
     

 

 

 
    Total Singapore     19,439,048  
     

 

 

 
          Spain — 3.1%  
    11,916     Acciona SA     1,273,513  
    183,803     ACS Actividades de Construccion y Servicios SA     7,549,399  
    84,637     Almirall SA     1,455,708  
    1,455,987     Banco Santander SA     6,382,997  
    394,444     Ebro Foods SA     8,288,670  
    280,868     Enagas SA     7,676,866  
    131,197     Ence Energia y Celulosa SA     547,740  
    511,008     Endesa SA     12,729,951  
    2,671,353     Iberdrola SA     24,837,586  
    5,002,523     International Consolidated Airlines Group SA     28,394,403  
    57,104     Naturgy Energy Group SA     1,628,452  
    202,945     Red Electrica Corp SA     4,301,482  
    492,850     Unicaja Banco SA     479,918  
     

 

 

 
    Total Spain     105,546,685  
     

 

 

 
          Sweden — 5.3%  
    536,207     Betsson AB *     3,388,072  
    536,207     Betsson AB – Redemption *     219,595  
 


GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          Sweden — continued  
    52,970     Klovern AB – B Shares     79,558  
    101,687     Oriflame Holding AG *     2,387,633  
    2,024,474     Sandvik AB     31,251,147  
    374,746     SAS AB *     524,273  
    3,402,471     Svenska Cellulosa AB SCA – Class B     25,970,801  
    941,578     Swedish Match AB     42,502,593  
    5,247,675     Volvo AB – B Shares     73,264,773  
    94,381     Wihlborgs Fastigheter AB     1,371,491  
     

 

 

 
    Total Sweden     180,959,936  
     

 

 

 
          Switzerland — 5.5%  
    51,443     Ascom Holding AG (Registered)     663,067  
    6,111     Autoneum Holding AG     763,098  
    1,566     Banque Cantonale Vaudoise (Registered)     1,169,675  
    1,035     Bucher Industries AG (Registered)     323,152  
    3,009     Emmi AG (Registered)     2,778,172  
    15,362     Georg Fischer AG (Registered)     13,006,464  
    8,453     Kardex AG (Registered)     1,300,126  
    4,802     Komax Holding AG (Registered)     991,039  
    217,500     Logitech International SA (Registered)     7,919,685  
    388,371     Nestle SA (Registered)     38,525,910  
    104,590     Novartis AG (Registered)     8,988,245  
    41,399     Roche Holding AG     10,857,867  
    336,884     Roche Holding AG – Genusschein     88,483,248  
    65,293     Sika AG (Registered)     9,681,249  
    53,896     Vontobel Holding AG (Registered)     2,853,571  
    4,556     Zehnder Group AG – Class RG     152,567  
     

 

 

 
    Total Switzerland     188,457,135  
     

 

 

 
          United Kingdom — 16.8%  
    2,947,306     3i Group Plc     39,125,564  
    589,068     Ashtead Group Plc     13,828,639  
    630,707     AstraZeneca Plc     46,478,239  
    106,156     Auto Trader Group Plc     802,524  
    100,054     AVEVA Group Plc     4,674,942  
    1,892,659     Barratt Developments Plc     13,350,453  
    424,899     Bellway Plc     14,754,951  
    665,385     Berkeley Group Holdings Plc (The)     29,413,945  
    260,399     Bovis Homes Group Plc     3,213,173  
    1,314,640     British American Tobacco Plc     45,665,095  
    163,600     British American Tobacco Plc Sponsored ADR     5,672,012  
    257,464     Britvic Plc     2,895,169  
    679,748     Cairn Energy Plc *     1,353,497  
    441,213     Coca-Cola HBC AG *     15,883,035  
    3,780,523     Debenhams Plc (a)      
    70,699     Diageo Plc Sponsored ADR     11,881,674  
    1,404,694     Electrocomponents Plc     10,769,599  
    937,164     Evraz Plc     6,956,967  
    2,415,980     Ferrexpo Plc     7,019,028  
    6,564,594     Firstgroup Plc *     9,570,255  
    363,350     Galliford Try Plc     2,866,309  
Shares     Description   Value ($)  
          United Kingdom — continued  
    5,353,090     GlaxoSmithKline Plc     103,346,547  
    182,825     Greene King Plc     1,475,864  
    59,921     Greggs Plc     1,644,353  
    117,113     Halfords Group Plc     332,731  
    294,196     Hunting Plc     1,881,994  
    1,702,031     IG Group Holdings Plc     11,785,097  
    82,760     Imperial Brands Plc     2,001,167  
    1,023,082     Inchcape Plc     7,563,179  
    32,426     Intermediate Capital Group Plc     537,675  
    294,638     JD Sports Fashion Plc     2,295,825  
    6,390,902     Legal & General Group Plc     20,708,567  
    112,427     Meggitt Plc     695,207  
    661,182     Mondi Plc     13,686,277  
    356,328     National Express Group Plc     1,788,418  
    412,989     Next Plc     30,104,961  
    379,048     Nomad Foods Ltd *     8,043,399  
    215,905     Pagegroup Plc     1,388,084  
    2,029,114     Persimmon Plc     50,474,670  
    708,202     Plus500 Ltd     5,664,336  
    218,521     QinetiQ Group Plc     802,798  
    8,820     Reckitt Benckiser Group Plc     707,932  
    61,871     Savills Plc     663,603  
    192,820     Spectris Plc     6,045,959  
    75,705     SSP Group Plc     640,681  
    1,273,402     Tate & Lyle Plc     11,623,636  
    313,242     Taylor Wimpey Plc     654,469  
    313,257     Vesuvius Plc     1,977,486  
     

 

 

 
    Total United Kingdom     574,709,985  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $3,634,288,315)
    3,334,310,353  
     

 

 

 
          PREFERRED STOCKS (b) — 0.5%  
          Germany — 0.5%  
    31,858     Bayerische Motoren Werke AG     1,885,109  
    143,742     Jungheinrich AG     4,046,063  
    64,666     Volkswagen AG     10,052,935  
     

 

 

 
    Total Germany     15,984,107  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $16,293,813)
    15,984,107  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Spain — 0.0%  
    84,637     Almirall SA, Expires 06/04/19 *     18,910  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $19,257)
    18,910  
     

 

 

 
 


GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
          MUTUAL FUNDS — 0.9%  
          United States — 0.9%  
          Affiliated Issuers — 0.9%      
    6,311,034     GMO U.S. Treasury Fund     31,555,168  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $31,555,168)
    31,555,168  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.3%  
          Money Market Funds — 0.3%  
    10,261,065     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (c)     10,261,065  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $10,261,065)
    10,261,065  
     

 

 

 
    TOTAL INVESTMENTS — 99.1%
(Cost $3,692,417,618)
    3,392,129,603  
    Other Assets and Liabilities (net) — 0.9%     29,754,185  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $3,421,883,788  
     

 

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Futures Contracts

 

Number
of
Contracts +

 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys      
233   Mini MSCI EAFE   June 2019   $ 21,178,535     $ (236,730
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

    

Sales - Fund is short the futures contract.

 

 

As of May 31, 2019, 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:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

REIT - Real Estate Investment Trust

 

*

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.

 

(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 May 31, 2019.

 


GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    COMMON STOCKS — 99.0%

 

          Banks — 5.9%  
    3,793,427     US Bancorp     190,430,036  
    3,956,692     Wells Fargo & Co.     175,558,424  
     

 

 

 
    Total Banks     365,988,460  
     

 

 

 
          Capital Goods — 6.4%  
    1,172,411     3M Co.     187,292,657  
    514,294     Honeywell International, Inc.     84,503,647  
    597,828     Knorr-Bremse AG *     65,748,050  
    519,244     United Technologies Corp.     65,580,517  
     

 

 

 
    Total Capital Goods     403,124,871  
     

 

 

 
          Consumer Services — 1.0%  
    2,816,604     Compass Group Plc     63,725,422  
     

 

 

 
          Diversified Financials — 3.2%  
    1,720,146     American Express Co.     197,317,948  
     

 

 

 
          Food & Staples Retailing — 3.2%  
    823,053     Costco Wholesale Corp.     197,187,038  
     

 

 

 
          Food, Beverage & Tobacco — 5.9%  
    2,439,355     Coca-Cola Co. (The)     119,845,511  
    1,394,849     Nestle SA (Registered)     138,367,247  
    278,567     PepsiCo, Inc.     35,656,576  
    975,007     Philip Morris International, Inc.     75,202,290  
     

 

 

 
    Total Food, Beverage & Tobacco     369,071,624  
     

 

 

 
          Health Care Equipment & Services — 12.5%  
    1,194,556     Abbott Laboratories     90,941,548  
    298,627     Alcon, Inc. *     17,367,341  
    654,844     Anthem, Inc.     182,033,535  
    274,667     Becton Dickinson and Co.     64,118,264  
    2,337,670     Medtronic Plc     216,421,489  
    873,171     UnitedHealth Group, Inc.     211,132,748  
     

 

 

 
    Total Health Care Equipment & Services     782,014,925  
     

 

 

 
          Household & Personal Products — 4.3%  
    1,532,550     Reckitt Benckiser Group Plc     123,009,145  
    2,340,860     Unilever Plc     142,805,863  
     

 

 

 
    Total Household & Personal Products     265,815,008  
     

 

 

 
          Media & Entertainment — 8.0%  
    137,983     Alphabet, Inc. – Class A *     152,678,189  
    180,552     Alphabet, Inc. – Class C *     199,262,604  
    827,919     Facebook, Inc. – Class A *     146,930,785  
     

 

 

 
    Total Media & Entertainment     498,871,578  
     

 

 

 
          Pharmaceuticals, Biotechnology & Life Sciences — 10.1%  
    1,530,992     Johnson & Johnson     200,789,601  
Shares /
Par Value†
    Description   Value ($)  
          Pharmaceuticals, Biotechnology & Life
Sciences — continued
 
    1,600,999     Merck & Co., Inc.     126,815,131  
    1,493,136     Novartis AG (Registered)     128,316,977  
    664,540     Roche Holding AG – Genusschein     174,542,743  
     

 

 

 
    Total Pharmaceuticals, Biotechnology & Life Sciences     630,464,452  
     

 

 

 
          Retailing — 3.4%  
    50,700     Booking Holdings, Inc.*     83,970,354  
    2,508,129     TJX Cos, Inc. (The)     126,133,807  
     

 

 

 
    Total Retailing     210,104,161  
     

 

 

 
          Semiconductors & Semiconductor
Equipment — 4.7%
 
    18,359,790     Taiwan Semiconductor Manufacturing Co Ltd     135,685,195  
    1,527,650     Texas Instruments, Inc.     159,349,172  
     

 

 

 
    Total Semiconductors & Semiconductor Equipment     295,034,367  
     

 

 

 
          Software & Services — 21.4%  
    1,249,673     Accenture Plc – Class A     222,529,271  
    2,300,683     Cognizant Technology Solutions Corp. – Class A     142,481,298  
    265,051     Mastercard, Inc. – Class A     66,657,676  
    3,284,708     Microsoft Corp.     406,252,686  
    6,155,095     Oracle Corp.     311,447,807  
    1,072,629     SAP SE     132,132,962  
    363,592     Visa, Inc. – Class A     58,658,297  
     

 

 

 
    Total Software & Services     1,340,159,997  
     

 

 

 
          Technology Hardware & Equipment — 9.0%  
    528,265     Amphenol Corp. – Class A     45,959,055  
    2,112,013     Apple, Inc.     369,750,116  
    2,868,365     Cisco Systems, Inc.     149,241,031  
     

 

 

 
    Total Technology Hardware & Equipment     564,950,202  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $4,152,036,585)
    6,183,830,053  
     

 

 

 
          DEBT OBLIGATIONS — 0.7%  
          U.S. Government — 0.7%  
    30,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.44%, due 01/31/21     30,001,973  
    16,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.37%, due 07/31/20     15,996,252  
     

 

 

 
    Total U.S. Government     45,998,225  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $45,979,465)
    45,998,225  
     

 

 

 
 


GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares /
Par Value†
    Description   Value ($)  
          MUTUAL FUNDS — 0.3%  
          Affiliated Issuers — 0.3%  
    3,141,063     GMO U.S. Treasury Fund     15,705,319  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $15,705,282)
    15,705,319  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.1%  
          Money Market Funds — 0.0%  
    2,343,253     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (a)     2,343,253  
     

 

 

 
          U.S. Government — 0.1%  
    7,500,000     U.S. Treasury Bill, 2.32%, due 10/03/19 (b)     7,441,029  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $9,782,028)
    9,784,282  
     

 

 

 
    TOTAL INVESTMENTS — 100.1%
(Cost $4,223,503,360)
    6,255,317,879  
    Other Assets and Liabilities (net) — (0.1%)     (5,170,324
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $6,250,147,555  
     

 

 

 

Notes to Schedule of Investments:

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

*

Non-income producing security.

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(b)

The rate shown represents yield-to-maturity.

 


GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 89.4%

 

          Argentina — 1.0%  
    723,200     Adecoagro SA *     4,809,280  
     

 

 

 
          Australia — 4.3%  
    206,285     Aurizon Holdings Ltd     739,921  
    233,874     Beach Energy Ltd     291,664  
    483,297     Mineral Resources Ltd     5,024,283  
    946,257     Sandfire Resources NL     4,031,177  
    3,323,101     South32 Ltd     7,621,812  
    306,834     Tassal Group Ltd     1,024,206  
    94,962     Woodside Petroleum Ltd     2,324,093  
     

 

 

 
    Total Australia     21,057,156  
     

 

 

 
          Austria — 0.9%  
    92,797     OMV AG     4,355,355  
     

 

 

 
          Brazil — 2.1%  
    467,000     Cosan SA     5,610,260  
    947,857     Sao Martinho SA     4,722,436  
     

 

 

 
    Total Brazil     10,332,696  
     

 

 

 
          Canada — 2.2%  
    147,700     Canadian Solar Inc * (a)     2,819,593  
    104,600     Enerflex Ltd     1,266,870  
    4,234,900     Largo Resources Ltd *     5,201,194  
    309,900     Peyto Exploration & Development Corp (a)     1,079,927  
    112,100     Seven Generations Energy Ltd – Class A *     599,647  
     

 

 

 
    Total Canada     10,967,231  
     

 

 

 
          China — 1.3%  
    775,000     China High Speed Transmission Equipment Group Co Ltd     524,617  
    3,231,213     Inner Mongolia Eerduosi Resources Co Ltd – Class A     3,849,695  
    2,062,998     Xinjiang Goldwind Science & Technology Co Ltd – Class H     2,173,599  
     

 

 

 
    Total China     6,547,911  
     

 

 

 
          Colombia — 0.6%  
    3,768,757     Ecopetrol SA     3,084,820  
     

 

 

 
          Denmark — 1.5%  
    87,402     Vestas Wind Systems A/S     7,115,516  
     

 

 

 
          France — 4.5%  
    11,256     Eramet     634,447  
    355,256     Suez (a)     4,755,853  
    187,071     TOTAL SA     9,699,187  
    179,550     Veolia Environnement SA     4,155,716  
    48,070     Vilmorin & Cie SA     2,681,171  
     

 

 

 
    Total France     21,926,374  
     

 

 

 
     Shares     Description   Value ($)  
    Germany — 0.5%

 

    102,129     K+S AG (Registered)     1,733,046  
    47,073     Nordex SE *     665,775  
    71,621     PNE AG     191,042  
     

 

 

 
    Total Germany     2,589,863  
     

 

 

 
          Hungary — 0.8%  
    340,583     MOL Hungarian Oil & Gas Plc *     3,834,387  
     

 

 

 
          India — 0.9%  
    1,636,504     Oil & Natural Gas Corp Ltd     4,042,808  
    631,289     Rashtriya Chemicals & Fertilizers Ltd     577,416  
     

 

 

 
    Total India     4,620,224  
     

 

 

 
          Indonesia — 0.1%  
    12,245,700     Medco Energi Internasional Tbk PT *     662,787  
     

 

 

 
          Israel — 3.0%  
    23,640     Equital Ltd *     754,628  
    1,960,628     Israel Chemicals Ltd     9,822,140  
    18,002     Israel Corp Ltd (The)     3,957,276  
     

 

 

 
    Total Israel     14,534,044  
     

 

 

 
          Italy — 0.1%  
    154,603     Saipem SPA *     658,207  
     

 

 

 
          Japan — 4.0%  
    93,200     Ebara Corp     2,357,099  
    329,400     Hitachi Zosen Corp     1,077,043  
    178,500     Kubota Corp     2,713,957  
    21,200     Kurita Water Industries Ltd     505,739  
    245,500     Mitsubishi Materials Corp     6,385,155  
    41,500     Nittetsu Mining Co Ltd     1,628,425  
    39,900     Shinko Plantech Co Ltd     441,234  
    293,500     Sumitomo Forestry Co Ltd     3,314,386  
    96,400     Takuma Co Ltd     1,253,720  
     

 

 

 
    Total Japan     19,676,758  
     

 

 

 
          Mexico — 0.3%  
    547,100     Grupo Mexico SAB de CV     1,362,254  
     

 

 

 
          Norway — 5.1%  
    822,721     Austevoll Seafood ASA     8,631,313  
    116,753     BW Offshore Ltd *     740,133  
    600,878     DNO ASA     1,040,379  
    348,487     Equinor ASA     6,656,750  
    262,364     Grieg Seafood ASA     3,720,569  
    18,411     Salmar ASA     841,043  
    70,661     Subsea 7 SA     782,794  
    28,566     TGS NOPEC Geophysical Co ASA     714,358  
    41,074     Yara International ASA     1,764,449  
     

 

 

 
    Total Norway     24,891,788  
     

 

 

 
 


GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    Pakistan — 0.6%

 

    1,572,000     Fauji Fertilizer Co Ltd     988,335  
    46,120     Millat Tractors Ltd     268,913  
    1,396,600     Oil & Gas Development Co Ltd     1,282,736  
    86,149     Pakistan Oilfields Ltd     255,165  
     

 

 

 
    Total Pakistan     2,795,149  
     

 

 

 
          Poland — 1.9%  
    268,834     KGHM Polska Miedz SA *     6,660,397  
    1,827,691     Polskie Gornictwo Naftowe i Gazownictwo SA     2,669,928  
     

 

 

 
    Total Poland     9,330,325  
     

 

 

 
          Russia — 14.2%  
    1,636,830     Gazprom Neft PJSC     9,312,506  
    152,287     LUKOIL PJSC Sponsored ADR     12,236,159  
    527,897     MMC Norilsk Nickel PJSC ADR     11,015,589  
    98,957     Novatek PJSC Sponsered GDR (Registered)     20,204,817  
    411,839     PhosAgro PJSC GDR (Registered)     5,291,310  
    575,419     Ros Agro Plc GDR (Registered)     6,695,017  
    411,269     Rosneft PJSC GDR (Registered)     2,731,047  
    32,712     Tatneft PJSC Sponsored ADR     2,219,646  
     

 

 

 
    Total Russia     69,706,091  
     

 

 

 
          Singapore — 0.0%  
    2,725,600     Ezra Holdings Ltd * (b)    
     

 

 

 
          South Africa — 0.7%  
    223,045     African Rainbow Minerals Ltd     2,519,083  
    36,998     Sasol Ltd     928,190  
     

 

 

 
    Total South Africa     3,447,273  
     

 

 

 
          South Korea — 0.8%  
    8,735     Korea Zinc Co Ltd     3,204,347  
    1,358     Young Poong Corp     802,356  
     

 

 

 
    Total South Korea     4,006,703  
     

 

 

 
          Spain — 1.9%  
    2,612     Fomento de Construcciones y Contratas SA (c)     33,787  
    73,130     Fomento de Construcciones y Contratas SA (c)     944,414  
    513,780     Repsol SA     8,272,481  
     

 

 

 
    Total Spain     9,250,682  
     

 

 

 
          Sweden — 1.9%  
    391,520     Boliden AB     8,908,968  
    391,520     Boliden AB (Redemption Shares) *     175,095  
     

 

 

 
    Total Sweden     9,084,063  
     

 

 

 
          Switzerland — 0.2%  
    960     Gurit Holding AG     971,514  
     

 

 

 
     Shares     Description   Value ($)  
    Thailand — 2.1%

 

    2,153,900     Esso Thailand Pcl (Foreign Registered)     643,234  
    838,764     PTT Exploration & Production Pcl (Foreign Registered)     3,316,100  
    4,509,610     PTT Pcl (Foreign Registered)     6,579,313  
     

 

 

 
    Total Thailand     10,538,647  
     

 

 

 
          Turkey — 0.3%  
    1,198,966     Koza Anadolu Metal Madencilik Isletmeleri AS *     1,432,709  
     

 

 

 
          Ukraine — 0.7%  
    267,341     Kernel Holding SA     3,243,940  
     

 

 

 
          United Kingdom — 15.9%  
    817,063     Anglo American Plc     19,547,054  
    440,563     Antofagasta Plc     4,362,241  
    658,578     BHP Group Plc     14,862,880  
    272,007     BP Plc     1,843,055  
    339,132     Central Asia Metals Plc     939,864  
    883,087     Ferrexpo Plc     2,565,589  
    3,262,748     Glencore Plc *     10,439,735  
    196,203     Petrofac Ltd     1,024,473  
    240,435     Polypipe Group Plc     1,305,468  
    319,977     Rio Tinto Plc     18,348,384  
    79,332     Royal Dutch Shell Plc – A Shares     2,457,317  
    167,964     Tullow Oil Plc     421,281  
     

 

 

 
    Total United Kingdom     78,117,341  
     

 

 

 
          United States — 15.0%  
    42,200     AGCO Corp.     2,808,832  
    237,700     Albemarle Corp.     15,046,410  
    1,045,302     Chesapeake Energy Corp. * (a)     2,006,980  
    525,808     Denbury Resources, Inc. *     757,164  
    86,000     First Solar, Inc. *     4,991,440  
    2,587,254     Freeport-McMoRan, Inc.     25,122,236  
    36,900     FutureFuel Corp.     383,022  
    177,300     Gulfport Energy Corp. *     969,831  
    76,900     Mosaic Co. (The)     1,651,043  
    145,800     Renewable Energy Group, Inc. *     2,280,312  
    15,100     REX American Resources Corp. *     1,018,797  
    249,855     SolarEdge Technologies, Inc. *     13,387,231  
    655,200     Southwestern Energy Co. *     2,352,168  
    172,300     W&T Offshore, Inc. *     723,660  
     

 

 

 
    Total United States     73,499,126  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $422,220,321)
    438,450,214  
     

 

 

 
          PREFERRED STOCKS (d) — 8.9%  
          Brazil — 4.2%  
    2,619,299     Bradespar SA     20,492,738  
     

 

 

 
 


GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    Chile — 3.0%

 

    489,712     Sociedad Quimica y Minera de Chile SA Sponsored ADR(a)     14,852,965  
     

 

 

 
          Russia — 1.7%  
    55,697     Bashneft PJSC     1,453,508  
    6,111,884     Surgutneftegas PJSC     3,784,366  
    357,301     Tatneft PJSC     3,189,422  
     

 

 

 
    Total Russia     8,427,296  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $38,402,904)
    43,772,999  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Singapore — 0.0%  
    2,117,812     Ezion Holdings Ltd, Expires 04/16/23 * (e)    
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $0)
   
     

 

 

 
          MUTUAL FUNDS — 2.5%  
          United States — 2.5%  
    Affiliated Issuers — 2.5%

 

    2,432,451     GMO U.S. Treasury Fund (f)     12,162,255  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $12,162,255)
    12,162,255  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.2%  
          Money Market Funds — 0.2%  
    1,057,397     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (g)     1,057,397  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $1,057,397)
    1,057,397  
     

 

 

 
    TOTAL INVESTMENTS — 101.0%
(Cost $473,842,877)
    495,442,865  
    Other Assets and Liabilities (net) — (1.0%)     (5,078,107
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $490,364,758  
     

 

 

 

Notes to Schedule of Investments:

ADR - American Depositary Receipt

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

*

Non-income producing security.

 

(a)

All or a portion of this security is out on loan.

 

(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.

 

(c)

Securities are traded on separate exchanges for the same entity.

 

(d)

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

 

(e)

Investment valued using significant unobservable inputs.

 

(f)

All or a portion of this security is purchased with collateral from securities loaned.

 

(g)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
    DEBT OBLIGATIONS — 83.2%

 

          U.S. Government — 66.7%  
    85,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.36%, due 04/30/20 (a)     84,995,806  
    53,600,000     U.S. Treasury Note, 2.25%, due 03/31/20     53,570,687  
    92,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.37%, due 07/31/20 (a)     91,978,454  
    27,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.37%, due 10/31/20     26,984,415  
     

 

 

 
    Total U.S. Government     257,529,362  
     

 

 

 
          U.S. Government Agency — 16.5%  
    10,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.44%, due 06/12/19     10,000,164  
    20,000,000     Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.44%, due 02/21/20     19,994,812  
    14,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 2.43%, due 04/03/20     13,999,586  
    20,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.36%, due 04/13/20     19,976,907  
     

 

 

 
    Total U.S. Government Agency     63,971,469  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $321,462,399)
    321,500,831  
     

 

 

 
Shares /
Par Value†
    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 19.6%

 

          Money Market Funds — 0.2%  
    699,594     State Street Institutional Treasury Money Market Fund-Premier Class, 2.30% (b)     699,594  
     

 

 

 
          U.S. Government — 19.4%  
    41,500,000     U.S. Treasury Note, 1.38%, due 03/31/20     41,188,750  
    34,000,000     U.S. Treasury Note, 1.13%, due 04/30/20     33,652,031  
     

 

 

 
    Total U.S. Government     74,840,781  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $75,440,941)
    75,540,375  
     

 

 

 
    TOTAL INVESTMENTS — 102.8%
(Cost $396,903,340)
    397,041,206  
    Other Assets and Liabilities (net) —(2.8%)     (10,797,091
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $386,244,115  
     

 

 

 
 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Written Options – Puts

Index Options

 

Description

     Exercise
Price
       Expiration
Date
       Number of
Contracts
       Notional
Amount
       Value ($)  

FTSE 100 Index

       7,300.00          06/21/19          426          GBP       30,508,885          (999,228

FTSE 100 Index

       7,350.00          06/21/19          315          GBP       22,559,387          (895,022

FTSE 100 Index

       7,275.00          06/21/19          100          GBP       7,161,710          (211,901

S&P 500 Index

       2,785.00          06/05/19          69          USD       18,989,214          (288,420

S&P 500 Index

       2,855.00          06/21/19          557          USD       153,289,742          (6,143,710

S&P 500 Index

       2,755.00          06/07/19          140          USD       38,528,840          (419,440

S&P 500 Index

       2,805.00          06/03/19          69          USD       18,989,214          (363,147

S&P 500 Index

       2,755.00          06/21/19          143          USD       39,354,458          (662,090

S&P 500 Index

       2,805.00          06/21/19          68          USD       18,714,008          (494,360

S&P 500 Index

       2,785.00          06/21/19          76          USD       20,915,656          (464,360
                          

 

 

 
           
TOTAL WRITTEN INDEX OPTIONS – PUTS
(Premiums $5,879,217)
 
 
     $ (10,941,678
                          

 

 

 

As of May 31, 2019, 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:

SOFR - Secured Overnight Financing Rate

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

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

 

(b)

The rate disclosed is the 7 day net yield as of May 31, 2019.

Currency Abbreviations:

GBP - British Pound

USD - United States Dollar

 


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 96.4%

 

          Australia — 3.8%  
    18,037     Accent Group Ltd     18,547  
    8,938     Adairs Ltd     13,047  
    846     Appen Ltd     15,140  
    27,727     Australian Pharmaceutical Industries Ltd     24,958  
    1,249     CSL Ltd     177,462  
    13,106     CSR Ltd     36,120  
    3,350     Dexus (REIT)     29,981  
    40,203     Fortescue Metals Group Ltd     223,558  
    5,489     IDP Education Ltd     64,817  
    9,786     Macquarie Group Ltd     814,220  
    11,954     Mirvac Group (REIT)     25,191  
    13,160     New Hope Corp Ltd     23,850  
    7,828     OFX Group Ltd     8,469  
    12,076     OZ Minerals Ltd     75,559  
    615     Rio Tinto Ltd     42,683  
    16,326     Scentre Group (REIT)     43,093  
    29,463     Southern Cross Media Group Ltd     25,377  
    4,335     Super Retail Group Ltd     27,778  
     

 

 

 
    Total Australia     1,689,850  
     

 

 

 
          Austria — 0.1%  
    531     OMV AG     24,922  
    1,297     Vienna Insurance Group AG Wiener Versicherung Gruppe     31,738  
     

 

 

 
    Total Austria     56,660  
     

 

 

 
          Belgium — 0.4%  
    1,593     AGFA-Gevaert NV *     6,475  
    2,110     UCB SA     161,309  
     

 

 

 
    Total Belgium     167,784  
     

 

 

 
          Brazil — 1.7%  
    7,800     Banco do Brasil SA     103,067  
    8,000     Cia de Saneamento Basico do Estado de Sao Paulo     90,134  
    70,500     JBS SA     392,750  
    11,000     Kroton Educacional SA     28,986  
    1,500     Mahle-Metal Leve SA     8,719  
    18,600     MRV Engenharia e Participacoes SA     81,530  
    8,400     Petrobras Distribuidora SA     54,695  
     

 

 

 
    Total Brazil     759,881  
     

 

 

 
          Canada — 2.8%  
    5,400     Bank of Montreal     392,094  
    4,000     Canaccord Genuity Group Inc     14,738  
    2,100     Canadian National Railway Co (a)     186,166  
    4,000     Canadian National Railway Co (a)     354,360  
    1,000     Canadian Pacific Railway Ltd     219,390  
    100     Royal Bank of Canada     7,516  
    1,400     TFI International Inc     42,675  
    1,100     Wajax Corp     12,362  
     

 

 

 
    Total Canada     1,229,301  
     

 

 

 
     Shares     Description   Value ($)  
          China — 2.2%  
    20,000     Agile Group Holdings Ltd     25,243  
    13,000     BAIC Motor Corp Ltd – Class H     8,057  
    76,000     Bank of Communications Co Ltd – Class H     59,561  
    186,000     China Communications Services Corp Ltd – Class H     139,081  
    28,500     China Minsheng Banking Corp Ltd – Class H     20,739  
    110,000     China Railway Construction Corp Ltd – Class H     128,558  
    29,500     China Resources Pharmaceutical Group Ltd     38,625  
    44,000     China SCE Group Holdings Ltd     19,909  
    9,000     China Shineway Pharmaceutical Group Ltd     8,022  
    196,000     China Telecom Corp Ltd – Class H     98,493  
    22,000     Dongfeng Motor Group Co Ltd – Class H     18,099  
    6,000     Guangzhou Baiyunshan Pharmaceutical Holdings Co
Ltd – Class H
    25,111  
    42,400     Guangzhou R&F Properties Co Ltd – Class H     80,171  
    10,000     Huabao International Holdings Ltd     4,184  
    15,000     Kingboard Holdings Ltd     39,439  
    7,500     Kingboard Laminates Holdings Ltd     6,400  
    37,800     Shanghai Pharmaceuticals Holding Co Ltd – Class H     74,631  
    16,000     Shenzhen Expressway Co Ltd – Class H     18,498  
    32,000     Shimao Property Holdings Ltd     91,813  
    18,500     Sinopec Engineering Group Co Ltd – Class H     15,068  
    6,000     Tianneng Power International Ltd     4,885  
    14,000     Times China Holdings Ltd     23,187  
    23,000     Weichai Power Co Ltd – Class H     34,980  
     

 

 

 
    Total China     982,754  
     

 

 

 
          Denmark — 0.5%  
    2,100     Novo Nordisk A/S Sponsored ADR     99,120  
    1,495     Royal Unibrew A/S     106,204  
    2,720     Scandinavian Tobacco Group A/S     33,142  
     

 

 

 
    Total Denmark     238,466  
     

 

 

 
          Finland — 1.3%  
    6,954     Neste Oyj     234,757  
    12,941     UPM-Kymmene Oyj     323,751  
     

 

 

 
    Total Finland     558,508  
     

 

 

 
          France — 9.9%  
    751     Alten SA     76,173  
    3,654     CNP Assurances     78,315  
    1,433     Dassault Systemes SE     212,621  
    506     Gaztransport Et Technigaz SA     45,985  
    218     Hermes International     144,852  
    260     Jacquet Metal Service SA     4,658  
    705     Kaufman & Broad SA     25,144  
    4,543     L’Oreal SA     1,218,796  
    518     LVMH Moet Hennessy Louis Vuitton SE     195,464  
    1,207     Neopost SA     26,420  
    36,555     Peugeot SA     815,911  
    3,539     Safran SA     464,334  
 


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          France — continued  
    12,386     Sanofi     1,000,260  
    1,400     Sanofi ADR     56,602  
     

 

 

 
    Total France     4,365,535  
     

 

 

 
          Germany — 4.7%  
    4,559     Allianz SE (Registered)     1,009,501  
    1,142     Bayer AG (Registered)     67,531  
    2,862     Bayerische Motoren Werke AG     198,585  
    268     Bechtle AG     29,990  
    2,425     Borussia Dortmund GmbH & Co KGaA     23,120  
    508     Carl Zeiss Meditec AG     47,747  
    18,226     Deutsche Lufthansa AG (Registered)     345,596  
    3,510     Deutsche Pfandbriefbank AG     48,249  
    3,212     Deutsche Telekom AG (Registered)     54,077  
    810     Dialog Semiconductor Plc *     25,614  
    160     Eckert & Ziegler Strahlen- und Medizintechnik AG     17,105  
    806     Elmos Semiconductor AG     19,200  
    2,806     Evonik Industries AG     73,551  
    679     Volkswagen AG     107,752  
    964     Wacker Neuson SE     22,392  
     

 

 

 
    Total Germany     2,090,010  
     

 

 

 
          Hong Kong — 1.8%  
    11,200     Dah Sing Banking Group Ltd     19,409  
    12,000     NWS Holdings Ltd     23,646  
    496,000     WH Group Ltd     446,466  
    31,000     Wharf Holdings Ltd (The)     79,208  
    13,000     Wharf Real Estate Investment Co Ltd     88,960  
    18,000     Wheelock & Co Ltd     118,823  
     

 

 

 
    Total Hong Kong     776,512  
     

 

 

 
          Hungary — 0.2%  
    12,105     Magyar Telekom Telecommunications Plc     17,324  
    1,137     MOL Hungarian Oil & Gas Plc *     12,801  
    2,515     Richter Gedeon Nyrt     45,233  
     

 

 

 
    Total Hungary     75,358  
     

 

 

 
          India — 0.7%  
    14,067     Firstsource Solutions Ltd     11,100  
    2,272     HCL Technologies Ltd     35,588  
    3,076     KPIT Engineering Ltd *     4,350  
    1,149     Mahindra & Mahindra Ltd GDR     10,632  
    1,878     NIIT Technologies Ltd     35,404  
    21,019     Power Finance Corp Ltd *     37,598  
    2,716     Rajesh Exports Ltd     25,679  
    50,669     REC Ltd     105,090  
    4,071     Tech Mahindra Ltd     44,610  
     

 

 

 
    Total India     310,051  
     

 

 

 
          Ireland — 0.5%  
    700     CRH Plc Sponsored ADR     21,945  
     Shares     Description   Value ($)  
          Ireland — continued  
    122     Flutter Entertainment Plc     8,673  
    6,190     Smurfit Kappa Group Plc     170,958  
     

 

 

 
    Total Ireland     201,576  
     

 

 

 
          Italy — 4.0%  
    11,005     Arnoldo Mondadori Editore SPA *     17,768  
    106,294     Enel SPA     661,064  
    9,318     EXOR NV     583,015  
    29,300     Fiat Chrysler Automobiles NV     369,766  
    12,655     Saras SPA     18,160  
    8,872     Societa Cattolica di Assicurazioni SC     71,589  
    901     Societa Iniziative Autostradali e Servizi SPA     15,635  
    11,054     UnipolSai Assicurazioni SPA     26,873  
     

 

 

 
    Total Italy     1,763,870  
     

 

 

 
          Japan — 23.9%  
    200     Alfresa Holdings Corp     5,001  
    900     Arakawa Chemical Industries Ltd     10,153  
    50,300     Asahi Kasei Corp     515,249  
    65,700     Astellas Pharma Inc     880,441  
    3,700     Bandai Namco Holdings Inc     181,148  
    13,100     Brother Industries Ltd     222,891  
    2,300     Daicel Corp     19,500  
    4,100     Fancl Corp     109,957  
    2,800     Fuji Electric Co Ltd     92,713  
    1,300     Fuji Media Holdings Inc     17,613  
    11,200     FUJIFILM Holdings Corp     533,679  
    200     Fujitsu Ltd     13,483  
    500     Fujiya Co Ltd     8,909  
    1,000     Furuno Electric Co Ltd     8,464  
    1,300     Hanwa Co Ltd     32,698  
    20,500     Haseko Corp     203,459  
    18,400     Hitachi Ltd     619,582  
    1,000     Hokuetsu Industries Co Ltd     11,111  
    30,100     Honda Motor Co Ltd     740,266  
    2,700     Isuzu Motors Ltd     29,661  
    51,100     ITOCHU Corp     938,111  
    1,400     Kamei Corp     14,589  
    19,300     KDDI Corp     494,330  
    30,600     Konica Minolta Inc     268,471  
    300     Makino Milling Machine Co Ltd     10,256  
    54,600     Marubeni Corp     340,969  
    104,500     Mitsubishi Chemical Holdings Corp     681,021  
    11,400     Mitsubishi Corp     295,446  
    800     Mitsubishi UFJ Financial Group Inc     3,674  
    700     Mitsui Chemicals Inc     15,273  
    3,200     NEC Corp     118,139  
    6,600     NET One Systems Co Ltd     175,489  
    1,000     Nichias Corp     16,654  
    400     Nihon Unisys Ltd     12,995  
    23,300     Nippon Telegraph & Telephone Corp     1,042,468  
    1,800     Rohto Pharmaceutical Co Ltd     48,785  
 


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Japan — continued  
    4,000     Shionogi & Co Ltd     218,101  
    1,100     Showa Corp     13,401  
    126,800     Sojitz Corp     404,921  
    4,200     Sony Corp     201,280  
    83,000     Sumitomo Chemical Co Ltd     356,690  
    2,600     Teijin Ltd     42,264  
    500     Tokyo Electron Ltd     67,292  
    15,400     Tosoh Corp     193,918  
    11,000     Toyota Tsusho Corp     315,485  
     

 

 

 
    Total Japan     10,546,000  
     

 

 

 
          Malta — 0.0%  
    1,718,063     BGP Holdings Plc * (b)      
     

 

 

 
          Mexico — 0.0%  
    6,300     ALEATICA SAB de CV     5,876  
     

 

 

 
          Netherlands — 4.1%  
    22,265     ABN AMRO Group NV CVA     470,390  
    4,217     ASR Nederland NV     159,780  
    700     Coca-Cola European Partners Plc *     38,780  
    185     Heineken Holding NV     18,304  
    19,390     ING Groep NV     209,437  
    23,614     Koninklijke Ahold Delhaize NV     529,632  
    3,550     Koninklijke Philips NV     140,686  
    1,801     Signify NV     48,158  
    3,060     Wolters Kluwer NV     213,475  
     

 

 

 
    Total Netherlands     1,828,642  
     

 

 

 
          Norway — 1.5%  
    383     Aker ASA – A Shares     21,998  
    5,620     Aker Solutions ASA *     22,262  
    4,623     Austevoll Seafood ASA     48,501  
    6,490     DNB ASA     110,022  
    6,776     Equinor ASA     129,434  
    2,568     Grieg Seafood ASA     36,417  
    12,752     Leroy Seafood Group ASA     87,443  
    2,853     Mowi ASA *     66,205  
    2,414     Salmar ASA     110,275  
    2,884     SpareBank 1 Nord Norge     21,841  
    2,652     SpareBank 1 SR-Bank ASA     30,918  
     

 

 

 
    Total Norway     685,316  
     

 

 

 
          Philippines — 0.0%  
    305     Globe Telecom Inc     12,690  
     

 

 

 
          Poland — 0.0%  
    807     Asseco Poland SA     10,746  
     

 

 

 
          Portugal — 0.2%  
    1,570     Altri SGPS SA     10,638  
    9,098     EDP – Energias de Portugal SA     33,157  
    2,407     Galp Energia SGPS SA     36,157  
     Shares     Description   Value ($)  
          Portugal — continued  
    2,795     Navigator Co SA (The)     9,987  
     

 

 

 
    Total Portugal     89,939  
     

 

 

 
          Russia — 1.4%  
    88,768     Gazprom PJSC Sponsored ADR     581,430  
    72,000     Inter RAO UES PJSC     4,417  
    3,269     Sberbank of Russia Sponsored ADR     47,108  
     

 

 

 
    Total Russia     632,955  
     

 

 

 
          Singapore — 0.4%  
    10,000     CapitaLand Ltd     23,465  
    19,800     ComfortDelGro Corp Ltd     35,481  
    600     Jardine Cycle & Carriage Ltd     14,781  
    1,900     Singapore Airlines Ltd     12,611  
    57,400     Yangzijiang Shipbuilding Holdings Ltd     57,288  
    26,400     Yanlord Land Group Ltd     22,890  
     

 

 

 
    Total Singapore     166,516  
     

 

 

 
          South Africa — 0.5%  
    8,590     Absa Group Ltd     99,657  
    27,765     Blue Label Telecoms Ltd *     7,221  
    3,440     Mondi Ltd     70,854  
    161     Nedbank Group Ltd     2,898  
    2,040     Reunert Ltd     9,624  
    4,338     Telkom SA SOC Ltd     27,419  
     

 

 

 
    Total South Africa     217,673  
     

 

 

 
          South Korea — 2.0%  
    255     Daelim Industrial Co Ltd     22,173  
    2,652     DGB Financial Group Inc     17,988  
    195     DongKook Pharmaceutical Co Ltd     9,555  
    11,112     Hana Financial Group Inc     338,479  
    128     Hankook Tire & Technology Co Ltd     3,763  
    149     Hyundai Home Shopping Network Corp     11,436  
    150     Hyundai Marine & Fire Insurance Co Ltd     3,876  
    12,145     Industrial Bank of Korea     141,191  
    1,723     Kia Motors Corp     56,917  
    293     Sebang Global Battery Co Ltd     10,257  
    1,741     Shinhan Financial Group Co Ltd     64,757  
    4,100     SK Telecom Co Ltd Sponsored ADR     95,243  
    8     Taekwang Industrial Co Ltd     8,884  
    6,888     Woori Financial Group Inc     80,447  
     

 

 

 
    Total South Korea     864,966  
     

 

 

 
          Spain — 3.4%  
    152     Acciona SA     16,245  
    4,237     ACS Actividades de Construccion y Servicios SA     174,027  
    224     Aena SME SA     41,132  
    2,765     Almirall SA     47,556  
    5,135     Banco Santander SA     22,512  
    3,625     Enagas SA     99,081  
    8,867     Endesa SA     220,890  
 


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Spain — continued  
    33,335     Iberdrola SA     309,941  
    70,233     International Consolidated Airlines Group SA     398,643  
    2,265     Naturgy Energy Group SA     64,592  
    4,827     Red Electrica Corp SA     102,310  
     

 

 

 
    Total Spain     1,496,929  
     

 

 

 
          Sweden — 3.9%  
    779     Atrium Ljungberg AB – B Shares     13,475  
    2,988     Axfood AB     57,467  
    10,778     Betsson AB *     68,102  
    10,778     Betsson AB – Redemption *     4,414  
    1,647     Bufab AB     16,865  
    3,252     Hexpol AB     23,563  
    1,400     Lindab International AB     14,450  
    3,682     Resurs Holding AB     21,451  
    29,719     Sandvik AB     458,762  
    3,209     Securitas AB – B Shares     53,113  
    2,726     SKF AB – B Shares     42,287  
    19,291     Svenska Cellulosa AB SCA – Class B     147,247  
    9,093     Swedish Match AB     410,456  
    2,393     Telefonaktiebolaget LM Ericsson – B Shares     23,025  
    2,991     Volvo AB – A Shares     42,265  
    23,898     Volvo AB – B Shares     333,649  
     

 

 

 
    Total Sweden     1,730,591  
     

 

 

 
          Switzerland — 5.1%  
    522     ALSO Holding AG (Registered) *     67,837  
    350     Bobst Group SA (Registered)     22,013  
    647     Galenica AG *     31,107  
    84     Georg Fischer AG (Registered)     71,120  
    467     Huber + Suhner AG (Registered)     35,831  
    4,642     Nestle SA (Registered)     460,480  
    241     Novartis AG (Registered)     20,711  
    255     Orior AG *     19,429  
    492     Roche Holding AG     129,039  
    5,187     Roche Holding AG – Genusschein     1,362,376  
    7     Vetropack Holding AG     14,688  
     

 

 

 
    Total Switzerland     2,234,631  
     

 

 

 
          Taiwan — 1.0%  
    9,000     Feng TAY Enterprise Co Ltd     68,192  
    62,000     Inventec Corp     46,711  
    19,000     Novatek Microelectronics Corp     101,098  
    1,000     Phison Electronics Corp     9,047  
    54,000     Pou Chen Corp     61,293  
    39,000     Radiant Opto-Electronics Corp     122,705  
    7,000     Ruentex Industries Ltd     15,320  
    11,000     Sunplus Technology Co Ltd     4,259  
    4,000     TOPBI International Holdings Ltd     10,673  
    2,000     Uni-President Enterprises Corp     5,140  
    7,000     Walsin Lihwa Corp     3,478  
    7,000     Yuanta Financial Holding Co Ltd     3,930  
     

 

 

 
    Total Taiwan     451,846  
     

 

 

 
     Shares     Description   Value ($)  
          Thailand — 0.2%  
    52,700     AP Thailand Pcl NVDR     12,912  
    17,900     GFPT Pcl NVDR     8,977  
    24,300     PTT Global Chemical Pcl NVDR     46,631  
     

 

 

 
    Total Thailand     68,520  
     

 

 

 
          Turkey — 0.1%  
    7,481     KOC Holding AS     20,651  
    17,836     Turkiye Sise ve Cam Fabrikalari AS     15,927  
     

 

 

 
    Total Turkey     36,578  
     

 

 

 
          United Kingdom — 14.1%  
    46,440     3i Group Plc     616,492  
    3,999     Ashtead Group Plc     93,878  
    27,858     BAE Systems Plc     159,260  
    35,365     Barratt Developments Plc     249,458  
    4,129     Bellway Plc     143,383  
    7,199     Berkeley Group Holdings Plc (The)     318,238  
    700     British American Tobacco Plc Sponsored ADR     24,269  
    1,762     Britvic Plc     19,814  
    2,566     Coca-Cola HBC AG *     92,372  
    1,582     Computacenter Plc     25,041  
    12,763     Diageo Plc     536,831  
    100     Diageo Plc Sponsored ADR     16,806  
    11,484     Electrocomponents Plc     88,046  
    22,168     Evraz Plc     164,563  
    24,747     Ferrexpo Plc     71,896  
    37,121     GlaxoSmithKline Plc     716,657  
    4,900     GlaxoSmithKline Plc Sponsored ADR     189,336  
    2,559     Greene King Plc     20,658  
    55,581     HSBC Holdings Plc     453,061  
    1,455     IG Group Holdings Plc     10,075  
    17,981     Inchcape Plc     132,925  
    3,923     International Personal Finance Plc     7,877  
    1,533     JD Sports Fashion Plc     11,945  
    6,108     John Laing Group Plc     29,984  
    136,420     Legal & General Group Plc     442,044  
    8,616     Lookers Plc     9,322  
    4,509     Meggitt Plc     27,882  
    13,511     Mondi Plc     279,674  
    3,284     Morgan Advanced Materials Plc     10,275  
    1,218     Morgan Sindall Group Plc     19,835  
    4,354     National Express Group Plc     21,853  
    2,830     Next Plc     206,294  
    3,700     Nomad Foods Ltd *     78,514  
    2,347     OneSavings Bank Plc     11,902  
    19,807     Persimmon Plc     492,704  
    3,516     Plus500 Ltd     28,122  
    14,587     QinetiQ Group Plc     53,589  
    1,093     Reckitt Benckiser Group Plc     87,729  
    1,632     Redrow Plc     11,225  
    937     Softcat Plc     10,749  
    296     Spectris Plc     9,281  
 


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          United Kingdom — continued  
    218     Spirax-Sarco Engineering Plc     22,994  
    10,383     Spirent Communications Plc     20,609  
    640     Staffline Group Plc     2,142  
    20,782     Tate & Lyle Plc     189,698  
    4,305     Taylor Wimpey Plc     8,995  
     

 

 

 
    Total United Kingdom     6,238,297  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $37,006,250)
    42,584,827  
     

 

 

 
          PREFERRED STOCKS (c) — 0.8%  
          Brazil — 0.0%  
    2,300     Banco do Estado do Rio Grande do Sul SA – Class B     13,921  
     

 

 

 
          Germany — 0.7%  
    1,369     Bayerische Motoren Werke AG     81,007  
    292     Sixt SE     20,363  
    1,314     Volkswagen AG     204,273  
     

 

 

 
    Total Germany     305,643  
     

 

 

 
          South Korea — 0.0%  
    28     Samsung Electronics Co Ltd     816  
     

 

 

 
          Sweden — 0.1%  
    466     Akelius Residential Property AB     16,917  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $349,246)
    337,297  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Spain — 0.0%  
    2,765     Almirall SA, Expires 06/04/19 *     618  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $629)
    618  
     

 

 

 
     Shares     Description   Value ($)  
          MUTUAL FUNDS — 1.9%  
          United States — 1.9%  
          Affiliated Issuers — 1.9%      
    171,340     GMO U.S. Treasury Fund     856,701  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $856,690)
    856,701  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.3%  
          Money Market Funds — 0.3%  
    139,272     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (d)     139,272  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $139,272)
    139,272  
     

 

 

 
    TOTAL INVESTMENTS — 99.4%
(Cost $38,352,087)
    43,918,715  
    Other Assets and Liabilities (net) — 0.6%     260,226  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $44,178,941  
     

 

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Futures Contracts

 

Number
of

Contracts +
 

Type

  Expiration
Date
  Notional
Amount
($)
    Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Buys      
7   Mini MSCI EAFE   June 2019   $ 636,265     $ (13,434
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

  

Sales - Fund is short the futures contract.

 

 

As of May 31, 2019, 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:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

*

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.

 

(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 May 31, 2019.

 


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 98.4%

 

          Automobiles & Components — 0.2%  
    19,145     BorgWarner, Inc.     679,264  
    36,521     Modine Manufacturing Co. *     469,295  
    14,530     Stoneridge, Inc. *     378,216  
    20,283     Tower International, Inc.     353,533  
     

 

 

 
    Total Automobiles & Components     1,880,308  
     

 

 

 
          Banks — 2.3%  
    3,519     American National Bankshares, Inc.     122,743  
    58,300     Associated Banc-Corp.     1,154,923  
    42,600     Citigroup, Inc.     2,647,590  
    123,454     Citizens Financial Group, Inc.     4,022,131  
    3,744     CNB Financial Corp.     92,664  
    4,361     Federal Agricultural Mortgage Corp. – Class C     298,423  
    2,723     First Bancorp, Inc.     68,837  
    4,637     German American Bancorp, Inc.     129,233  
    23,700     M&T Bank Corp.     3,782,520  
    53,661     Popular, Inc.     2,801,641  
    266,867     Regions Financial Corp.     3,690,771  
    4,084     Territorial Bancorp, Inc.     109,860  
     

 

 

 
    Total Banks     18,921,336  
     

 

 

 
          Capital Goods — 10.7%  
    36,600     Ametek, Inc.     2,997,174  
    11,420     Applied Industrial Technologies, Inc.     620,449  
    30,700     Atkore International Group, Inc. *     718,073  
    56,526     Cummins, Inc.     8,521,860  
    7,300     Curtiss-Wright Corp.     813,877  
    42,600     Dover Corp.     3,808,866  
    125,100     Eaton Corp Plc     9,318,699  
    128,030     Emerson Electric Co.     7,712,527  
    37,494     Federal Signal Corp.     895,732  
    14,200     Global Brass & Copper Holdings, Inc.     619,546  
    61,364     Ingersoll-Rand Plc     7,261,816  
    30,324     ITT, Inc.     1,747,269  
    53,300     Lockheed Martin Corp.     18,044,182  
    29,740     Meritor, Inc. *     599,558  
    25,096     Moog, Inc. – Class A     2,068,412  
    27,600     Mueller Industries, Inc.     743,820  
    32,731     Oshkosh Corp.     2,330,120  
    10,900     Regal Beloit Corp.     792,430  
    11,500     Rockwell Automation, Inc.     1,711,775  
    12,904     SPX Corp.*     383,765  
    15,423     Teledyne Technologies, Inc.*     3,636,743  
    71,291     Textron, Inc.     3,229,482  
    41,279     Timken Co. (The)     1,816,689  
    47,500     United Technologies Corp.     5,999,250  
    28,396     Universal Forest Products, Inc.     915,771  
     

 

 

 
    Total Capital Goods     87,307,885  
     

 

 

 
     Shares     Description   Value ($)  
          Commercial & Professional Services — 1.8%  
    22,999     ACCO Brands Corp.     169,043  
    35,009     Brady Corp. – Class A     1,620,917  
    14,046     FTI Consulting, Inc. *     1,178,740  
    40,604     Herman Miller, Inc.     1,441,036  
    9,107     ICF International, Inc.     663,809  
    10,480     Insperity, Inc.     1,193,672  
    25,500     Interface, Inc.     368,985  
    15,768     Kforce, Inc.     547,938  
    41,004     Knoll, Inc.     805,318  
    14,800     Resources Connection, Inc.     227,180  
    26,536     Robert Half International, Inc.     1,423,922  
    68,900     Steelcase Inc – Class A     1,105,156  
    35,600     Waste Management, Inc.     3,892,860  
     

 

 

 
    Total Commercial & Professional Services     14,638,576  
     

 

 

 
          Consumer Durables & Apparel — 3.9%  
    29,945     Acushnet Holdings Corp.     703,408  
    5,360     Bassett Furniture Industries, Inc.     78,738  
    34,399     Callaway Golf Co.     505,665  
    19,296     Columbia Sportswear Co.     1,809,579  
    5,530     Culp, Inc.     95,282  
    9,300     Deckers Outdoor Corp. *     1,414,530  
    3,569     Flexsteel Industries, Inc.     61,208  
    69,187     Garmin Ltd.     5,291,422  
    9,400     Helen of Troy Ltd. *     1,255,934  
    3,360     Johnson Outdoors, Inc. – Class A     248,002  
    10,210     KONTOOR BRANDS, Inc. *     299,170  
    29,290     La-Z-Boy, Inc.     942,845  
    8,671     Movado Group, Inc.     223,365  
    150,500     NIKE, Inc. – Class B     11,609,570  
    6,000     Oxford Industries, Inc.     427,440  
    71,474     VF Corp.     5,852,291  
    22,219     Wolverine World Wide, Inc.     620,799  
     

 

 

 
    Total Consumer Durables & Apparel     31,439,248  
     

 

 

 
          Consumer Services — 2.1%  
    59,700     Aramark     2,076,963  
    47,384     Bloomin’ Brands, Inc.     914,985  
    33,900     Career Education Corp. *     636,303  
    35,100     Carrols Restaurant Group, Inc. *     299,052  
    27,300     Darden Restaurants, Inc.     3,175,536  
    2,748     Graham Holdings Co. – Class B     1,870,124  
    26,800     K12, Inc. *     819,276  
    42,800     Laureate Education, Inc. – Class A *     687,368  
    41,100     Norwegian Cruise Line Holdings Ltd. *     2,248,581  
    23,339     Regis Corp. *     435,039  
    20,600     Royal Caribbean Cruises Ltd.     2,508,256  
    27,930     Service Corp. International     1,225,289  
     

 

 

 
    Total Consumer Services     16,896,772  
     

 

 

 
 


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Diversified Financials — 3.7%  
    147,400     Ally Financial, Inc.     4,255,438  
    106,400     American Express Co.     12,205,144  
    43,914     Ameriprise Financial, Inc.     6,070,232  
    65,000     Capital One Financial Corp.     5,581,550  
    22,430     Enova International, Inc. *     478,881  
    20,800     LPL Financial Holdings, Inc.     1,668,576  
     

 

 

 
    Total Diversified Financials     30,259,821  
     

 

 

 
          Energy — 1.6%  
    79,327     Murphy Oil Corp.     1,971,276  
    126,404     Phillips 66     10,213,443  
    42,100     World Fuel Services Corp.     1,226,794  
     

 

 

 
    Total Energy     13,411,513  
     

 

 

 
          Food & Staples Retailing — 0.1%  
    29,700     Performance Food Group Co. *     1,168,695  
     

 

 

 
          Food, Beverage & Tobacco — 3.8%  
    195,370     Archer-Daniels-Midland Co.     7,486,578  
    92,100     General Mills, Inc.     4,553,424  
    21,700     Hershey Co. (The)     2,863,532  
    36,400     Molson Coors Brewing Co. – Class B     2,001,272  
    112,300     Mondelez International, Inc. – Class A     5,710,455  
    95,900     Tyson Foods, Inc.– Class A     7,277,851  
    16,600     Universal Corp.     938,232  
     

 

 

 
    Total Food, Beverage & Tobacco     30,831,344  
     

 

 

 
          Health Care Equipment & Services — 5.9%  
    36,770     Anthem, Inc.     10,221,324  
    46,900     HCA Healthcare, Inc.     5,673,024  
    33,378     McKesson Corp.     4,076,789  
    168,800     Medtronic Plc     15,627,504  
    59,000     Stryker Corp.     10,811,160  
    14,500     Varian Medical Systems, Inc. *     1,830,770  
     

 

 

 
    Total Health Care Equipment & Services     48,240,571  
     

 

 

 
          Household & Personal Products — 5.3%  
    105,700     Colgate-Palmolive Co.     7,358,834  
    79,547     Estee Lauder Cos, Inc. (The) – Class A     12,809,453  
    8,764     Inter Parfums, Inc.     567,732  
    41,000     Kimberly-Clark Corp.     5,243,490  
    166,017     Procter & Gamble Co. (The)     17,084,810  
     

 

 

 
    Total Household & Personal Products     43,064,319  
     

 

 

 
          Insurance — 4.5%  
    241,488     Aflac, Inc.     12,388,334  
    59,002     Allstate Corp. (The)     5,635,281  
    40,698     Fidelity National Financial, Inc.     1,568,908  
    31,004     First American Financial Corp.     1,601,357  
    107,080     Old Republic International Corp.     2,361,114  
     Shares     Description   Value ($)  
          Insurance — continued  
    167,007     Progressive Corp. (The)     13,240,315  
     

 

 

 
    Total Insurance     36,795,309  
     

 

 

 
          Materials — 2.7%  
    20,000     Ashland Global Holdings, Inc.     1,497,400  
    19,949     Avery Dennison Corp.     2,075,893  
    15,759     Cabot Corp.     629,414  
    30,500     Celanese Corp.     2,895,365  
    28,427     Eastman Chemical Co.     1,845,481  
    2,700     Innospec, Inc.     217,917  
    67,079     LyondellBasell Industries NV – Class A     4,980,616  
    15,951     Materion Corp.     964,238  
    18,700     Mercer International, Inc.     267,971  
    52,600     Nucor Corp.     2,524,800  
    24,400     PolyOne Corp.     613,172  
    28,000     Reliance Steel & Aluminum Co.     2,331,560  
    40,800     Resolute Forest Products, Inc.     262,344  
    8,300     Stepan Co.     704,338  
    15,600     Verso Corp. – Class A *     268,632  
     

 

 

 
    Total Materials     22,079,141  
     

 

 

 
          Media & Entertainment — 5.1%  
    300     Alphabet, Inc. – Class A *     331,950  
    2,700     Alphabet, Inc. – Class C *     2,979,801  
    529,100     Comcast Corp. – Class A     21,693,100  
    81,460     Gannett Co., Inc.     640,276  
    170,800     Interpublic Group of Cos., Inc. (The)     3,624,376  
    49,500     Liberty TripAdvisor Holdings, Inc. – Class A *     527,175  
    7,600     Marcus Corp. (The)     265,696  
    60,300     National CineMedia, Inc.     394,965  
    126,452     News Corp. – Class A     1,440,288  
    58,150     News Corp. – Class B     677,448  
    52,589     Omnicom Group, Inc.     4,068,285  
    10,882     Scholastic Corp.     360,085  
    100,885     TEGNA, Inc.     1,527,399  
    115,600     Viacom, Inc. – Class B     3,355,868  
     

 

 

 
    Total Media & Entertainment     41,886,712  
     

 

 

 
          Pharmaceuticals, Biotechnology & Life
Sciences — 11.4%
 
    53,600     Agilent Technologies, Inc.     3,593,880  
    106,500     Amgen, Inc.     17,753,550  
    31,600     Biogen, Inc. *     6,929,564  
    175,800     Bristol-Myers Squibb Co.     7,976,046  
    43,597     Bruker Corp.     1,821,047  
    178,700     Gilead Sciences, Inc.     11,124,075  
    302,431     Merck & Co., Inc.     23,955,559  
    399,038     Pfizer, Inc.     16,568,058  
    9,500     Regeneron Pharmaceuticals, Inc. *     2,866,340  
     

 

 

 
    Total Pharmaceuticals, Biotechnology & Life Sciences     92,588,119  
     

 

 

 
 


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          Real Estate — 2.3%  
    52,649     CBRE Group, Inc. – Class A *     2,406,059  
    23,300     Chesapeake Lodging Trust. (REIT)     670,341  
    53,993     CoreCivic, Inc. (REIT)     1,182,447  
    34,900     GEO Group, Inc. (The) (REIT)     765,357  
    12,300     Hersha Hospitality Trust (REIT)     209,715  
    246,581     Host Hotels & Resorts, Inc. (REIT)     4,465,582  
    9,788     Jones Lang LaSalle, Inc.     1,218,116  
    71,400     Outfront Media, Inc. (REIT)     1,760,010  
    42,600     Park Hotels & Resorts, Inc. (REIT)     1,176,612  
    80,300     Retail Properties of America, Inc. – Class A (REIT)     954,767  
    41,000     Spirit Realty Capital, Inc. (REIT)     1,749,060  
    96,500     Sunstone Hotel Investors, Inc. (REIT)     1,295,030  
    43,260     Xenia Hotels & Resorts, Inc. (REIT)     904,567  
     

 

 

 
    Total Real Estate     18,757,663  
     

 

 

 
          Retailing — 6.9%  
    29,100     Abercrombie & Fitch Co – Class A     503,430  
    1,000     Amazon.com, Inc. *     1,775,070  
    4,400     America’s Car-Mart, Inc. *     378,840  
    12,400     Asbury Automotive Group, Inc. *     919,956  
    3,300     AutoZone, Inc. *     3,389,463  
    42,240     Best Buy Co., Inc.     2,647,181  
    28,300     Core-Mark Holding Co., Inc.     1,043,704  
    40,000     Designer Brands, Inc. – Class A     723,600  
    44,800     Dick’s Sporting Goods, Inc.     1,546,048  
    246,355     eBay, Inc.     8,851,535  
    69,717     Gap Inc. (The)     1,302,314  
    23,700     Genuine Parts Co.     2,343,930  
    10,389     Group 1 Automotive, Inc.     749,982  
    86,963     Kohl’s Corp.     4,289,015  
    28,100     Liberty Expedia Holdings, Inc. – Class A *     1,158,563  
    253,100     Office Depot, Inc.     496,076  
    18,000     Penske Automotive Group, Inc.     768,960  
    220,868     Qurate Retail, Inc. *     2,767,476  
    20,400     Sonic Automotive, Inc. – Class A     355,572  
    116,000     Target Corp.     9,332,200  
    129,300     TJX Cos., Inc. (The)     6,502,497  
    43,900     Tractor Supply Co.     4,424,242  
     

 

 

 
    Total Retailing     56,269,654  
     

 

 

 
          Semiconductors & Semiconductor
Equipment — 4.9%
 
    442,900     Intel Corp.     19,505,316  
    41,542     KLA-Tencor Corp.     4,281,734  
    146,600     Marvell Technology Group Ltd.     3,269,180  
    20,700     Rudolph Technologies, Inc. *     477,549  
    48,900     Teradyne, Inc.     2,060,646  
    103,400     Xilinx, Inc.     10,578,854  
     

 

 

 
    Total Semiconductors & Semiconductor Equipment     40,173,279  
     

 

 

 
     Shares     Description   Value ($)  
          Software & Services — 8.5%  
    34,200     Accenture Plc – Class A     6,089,994  
    44,020     Amdocs Ltd.     2,615,668  
    13,700     Aspen Technology, Inc. *     1,556,457  
    89,200     Automatic Data Processing, Inc.     14,282,704  
    44,400     Booz Allen Hamilton Holding Corp.     2,804,748  
    10,100     CACI International, Inc. – Class A *     2,055,552  
    94,205     Cadence Design Systems, Inc. *     5,988,612  
    31,027     Citrix Systems, Inc.     2,920,261  
    20,230     CSG Systems International, Inc.     907,316  
    19,300     EVERTEC Inc     553,138  
    51,095     Intuit, Inc.     12,510,611  
    58,153     Microsoft Corp.     7,192,363  
    12,048     Progress Software Corp.     493,486  
    19,710     Sykes Enterprises, Inc. *     488,020  
    89,400     Symantec Corp.     1,674,462  
    63,819     Synopsys, Inc. *     7,431,084  
     

 

 

 
    Total Software & Services     69,564,476  
     

 

 

 
          Technology Hardware & Equipment — 8.8%  
    40,755     Apple, Inc.     7,134,978  
    18,233     Arrow Electronics, Inc. *     1,142,480  
    7,200     Benchmark Electronics, Inc.     159,048  
    44,900     CDW Corp.     4,419,956  
    53,700     Ciena Corp. *     1,876,278  
    133,100     Cisco Systems, Inc.     6,925,193  
    489,714     Hewlett Packard Enterprise Co.     6,718,876  
    790,840     HP, Inc.     14,772,891  
    18,920     Insight Enterprises, Inc. *     974,001  
    191,800     Juniper Networks, Inc.     4,720,198  
    34,800     Keysight Technologies, Inc. *     2,614,524  
    76,207     Motorola Solutions, Inc.     11,427,240  
    85,395     NetApp, Inc.     5,055,384  
    12,400     Sanmina Corp. *     329,716  
    12,100     Tech Data Corp. *     1,096,865  
    33,122     Vishay Intertechnology, Inc.     504,779  
    8,600     Zebra Technologies Corp – Class A *     1,474,384  
     

 

 

 
    Total Technology Hardware & Equipment     71,346,791  
     

 

 

 
          Telecommunication Services — 1.2%  
    96,100     T-Mobile US, Inc. *     7,057,584  
    73,771     Telephone & Data Systems, Inc.     2,125,342  
    6,300     United States Cellular Corp. *     274,365  
     

 

 

 
    Total Telecommunication Services     9,457,291  
     

 

 

 
          Transportation — 0.2%  
    14,165     Landstar System, Inc.     1,363,382  
     

 

 

 
          Utilities — 0.5%  
    87,000     Exelon Corp.     4,182,960  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $800,535,218)
    802,525,165  
     

 

 

 
 


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
          MUTUAL FUNDS — 1.2%  
          Affiliated Security — 1.2%      
    1,946,668     GMO U.S. Treasury Fund     9,733,340  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $9,733,340)
    9,733,340  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.2%  
          Money Market Funds — 0.2%  
    1,739,837     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (a)     1,739,837  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $1,739,837)
    1,739,837  
     

 

 

 
    TOTAL INVESTMENTS — 99.8%
(Cost $812,008,395)
    813,998,342  
    Other Assets and Liabilities (net) — 0.2%     1,649,130  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $815,647,472  
     

 

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount
($)
    Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Buys        
52   S&P 500 E-mini   June 2019   $ 7,156,760     $ (264,140
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

  

Sales - Fund is short the futures contract.

 

 

As of May 31, 2019, 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:

REIT - Real Estate Investment Trust

 

*

Non-income producing security.

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


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. 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. As of May 31, 2019, 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

    117,613,387       4,696,828       (15,501,277)       (10,804,449      

Emerging Domestic Opportunities Fund

    1,499,771,217       52,337,092       (74,843,078)       (22,505,986      

Emerging Markets Fund

    3,149,351,064       292,858,616       (271,258,742)       21,599,874       (3,433,949

Foreign Small Companies Fund

    19,538,934       775,630       (3,380,454)       (2,604,824     (2,052

International Equity Fund

    3,700,750,186       185,323,021       (493,943,604)       (308,620,583     (236,730

Quality Fund

    4,225,368,376       2,111,964,562       (82,015,059)       2,029,949,503        

Resources Fund

    482,532,342       53,901,241       (40,990,718)       12,910,523        

Risk Premium Fund

    396,903,340       193,098       (55,232)       137,866       (5,062,461

Tax-Managed International Equities Fund

    38,768,917       6,610,045       (1,460,247)       5,149,798       (13,434

U.S. Equity Fund

    812,495,704       54,273,702       (52,771,064)       1,502,638       (264,140

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2019 is set forth below:

 

               
Affiliate   Value,
beginning of
period
    Purchases     Sales
Proceeds
    Dividend
Income*
    Net
Realized
Gain
(Loss)
    Net
Increase/
Decrease in
Unrealized
Appreciation/
Depreciation
    Value, end of
period
 

Climate Change Fund

               

GMO U.S. Treasury Fund

  $ 4,595,622     $ 36,151,276     $ 34,378,598     $ 22,368 **    $ (4   $ 5     $ 6,368,301  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Emerging Domestic Opportunities Fund

 

CMI Ltd

  $ 2,100,445     $     $ 302,450     $     $ (407,653   $ 562,815     $ 1,953,157  

Gayatri Projects Ltd

    23,320,306                               5,579,471       28,899,777  

GMO U.S. Treasury Fund

    26,772,924       198,324,829       165,640,000       284,825       (1,941     1,941       59,457,753  

iShares MSCI Saudi Arabia ETF

        29,021,458       31,136,038             (12,200     5,720       ## 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 52,193,675     $ 227,346,287     $ 197,078,488     $ 284,825     $ (421,794   $ 6,149,947     $ 90,310,687  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Emerging Markets Fund

               

Anilana Hotels & Properties Ltd

  $ 520,683     $     $     $     $     $ 10,052     $ 530,735  

Gayatri Highways Ltd

    143,172             6,251             (47,050     51,915       141,786  

Gayatri Projects Ltd

    35,390,143                               8,467,226       43,857,369  

GMO U.S. Treasury Fund

    65,931,221       185,743,397       206,420,000       242,064                   45,254,618  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 101,985,219     $ 185,743,397     $ 206,426,251     $ 242,064     $ (47,050   $ 8,529,193     $ 89,784,508  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Foreign Small Companies Fund

               

GMO U.S. Treasury Fund

  $ 434,353     $ 401,964     $ 430,000     $ 1,980     $     $     $ 406,317  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

International Equity Fund

               

GMO U.S. Treasury Fund

  $ 64,555,168     $ 80,000,000     $ 113,000,000     $ 212,659     $     $     $ 31,555,168  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         


               
Affiliate   Value,
beginning of
period
    Purchases     Sales
Proceeds
    Dividend
Income*
    Net
Realized
Gain
(Loss)
    Net
Increase/
Decrease in
Unrealized
Appreciation/
Depreciation
    Value, end of
period
 

Quality Fund

 

             

GMO U.S. Treasury Fund

  $ 15,705,319     $     $     $ 100,589     $     $     $ 15,705,319  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Resources Fund

 

             

GMO U.S. Treasury Fund

  $ 5,233,701     $ 74,533,773     $ 67,605,219     $ 73,022 **    $     $     $ 12,162,255  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Tax-Managed International Equities Fund

 

GMO U.S. Treasury Fund

  $ 846,701     $ 2,320,000     $ 2,310,000     $ 3,183     $ 24     $ (24   $ 856,701  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

U.S. Equity Fund

 

             

GMO U.S. Treasury Fund

  $ 21,833,340     $ 26,650,000     $ 38,750,000     $ 73,348     $     $     $ 9,733,340  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

 

  *

The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through May 31, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

  **

Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund (see Securities lending note). Income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $62,456 and $174,666 in Climate Change Fund and Resources Fund, respectively, during the period.

  #

Security was not an affiliate at the beginning of the period.

  ##

No longer an affiliate at period end.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

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. 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 of GMO Trust (“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 May 31, 2019, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

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 cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/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 May 31, 2019:

 

         
Description   Level 1     Level 2     Level 3     Total  

Climate Change Fund

         

Asset Valuation Inputs

         

Common Stocks

         

Argentina

  $ 1,077,652     $     $     $ 1,077,652  

Australia

          1,759,691       0 §      1,759,691  

Brazil

          2,366,122             2,366,122  

Canada

    2,400,290                   2,400,290  

China

    153,252       2,902,138             3,055,390  

Denmark

          3,138,083             3,138,083  

Finland

          321,835             321,835  

France

          8,347,833             8,347,833  

Germany

          4,799,136             4,799,136  

India

          232,118             232,118  

Israel

          1,793,454             1,793,454  

Italy

          2,642,315             2,642,315  
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Climate Change Fund (continued)

         

Asset Valuation Inputs (continued)

         

Japan

  $     $ 10,142,674     $     $ 10,142,674  

Malaysia

          82,625             82,625  

Mexico

    1,219,829                   1,219,829  

Netherlands

          1,167,048             1,167,048  

Norway

          3,971,220             3,971,220  

Pakistan

          853,345             853,345  

Poland

          1,912,318             1,912,318  

Portugal

          952,676             952,676  

Russia

          4,743,979             4,743,979  

South Africa

          22,550             22,550  

South Korea

          823,549             823,549  

Spain

    13,139       3,428,993             3,442,132  

Sweden

          288,196             288,196  

Switzerland

          887,519             887,519  

Taiwan

          675,792             675,792  

Thailand

          106,775             106,775  

Ukraine

          824,681             824,681  

United Kingdom

          4,352,193             4,352,193  

United States

    28,305,804                   28,305,804  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    33,169,966       63,538,858       0 §      96,708,824  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Chile

    3,469,752                   3,469,752  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    3,469,752                   3,469,752  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    6,368,301                   6,368,301  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    6,368,301                   6,368,301  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    262,061                   262,061  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    43,270,080       63,538,858       0 §       106,808,938  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 43,270,080     $ 63,538,858     $ 0 §    $ 106,808,938  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Emerging Domestic Opportunities Fund

         

Asset Valuation Inputs

         

Common Stocks

         

Belgium

  $     $ 18,340,414     $     $ 18,340,414  

Brazil

          45,971,778             45,971,778  

China

    88,808,797       262,219,690             351,028,487  

France

          16,713,344             16,713,344  

Germany

          3,764,731             3,764,731  

Hong Kong

          29,716,125             29,716,125  

India

          158,317,167             158,317,167  

Indonesia

          47,327,443             47,327,443  

Japan

          5,055,298             5,055,298  

Mexico

    20,458,092                   20,458,092  

Peru

    7,694,692                   7,694,692  

Philippines

          21,275,265             21,275,265  

Poland

          5,322,370             5,322,370  

Russia

    5,269,464       34,878,120             40,147,584  

South Africa

          25,239,389             25,239,389  

South Korea

          97,999,257             97,999,257  

Switzerland

          37,695,814             37,695,814  

Taiwan

    2,665,325       155,710,094             158,375,419  

Thailand

          77,526,585             77,526,585  

Turkey

          4,281,700             4,281,700  

United Arab Emirates

          5,432,902             5,432,902  

United Kingdom

          24,755,269             24,755,269  

Vietnam

          6,942,319             6,942,319  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    124,896,370       1,084,485,074             1,209,381,444  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Emerging Domestic Opportunities Fund (continued)

 

Asset Valuation Inputs (continued)

         

Preferred Stocks

         

Brazil

  $     $ 48,981,524     $     $ 48,981,524  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          48,981,524             48,981,524  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

Mexico

    8,541,080                   8,541,080  

Thailand

          52,658,728             52,658,728  

United States

    59,379,105                   59,379,105  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    67,920,185       52,658,728             120,578,913  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    9,997,658                   9,997,658  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    9,997,658                   9,997,658  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    59,457,753                   59,457,753  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    59,457,753                   59,457,753  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    28,867,939                   28,867,939  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    291,139,905       1,186,125,326             1,477,265,231  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 291,139,905     $ 1,186,125,326     $     $ 1,477,265,231  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Emerging Markets Fund

 

Asset Valuation Inputs

 

Common Stocks

         

Brazil

  $     $ 21,109,838     $     $ 21,109,838  

Chile

          882,430             882,430  

China

    35,367,684       945,939,419       679,753       981,986,856  

Czech Republic

          2,595,285             2,595,285  

Greece

          443,977             443,977  

India

    5,312,160       97,258,378             102,570,538  

Indonesia

          17,814,540             17,814,540  

Malaysia

          1,023,996             1,023,996  

Mexico

    2,154,677                   2,154,677  

Pakistan

          10,951,698             10,951,698  

Peru

    44,760                   44,760  

Philippines

          13,692,406             13,692,406  

Poland

          116,062,548             116,062,548  

Qatar

          46,403,817             46,403,817  

Russia

    6,877,950       513,385,595             520,263,545  

South Africa

          178,614,962             178,614,962  

South Korea

          43,048,179             43,048,179  

Sri Lanka

          530,735             530,735  

Taiwan

    38,250,674       497,117,202             535,367,876  

Thailand

          29,938,803             29,938,803  

Turkey

          310,229,854             310,229,854  

United Arab Emirates

          15,717,746             15,717,746  

United Kingdom

          23,588,779             23,588,779  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    88,007,905       2,886,350,187       679,753       2,975,037,845  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Colombia

    1,253,851                   1,253,851  

Russia

          46,084,128             46,084,128  

South Korea

          50,923,106             50,923,106  

Taiwan

                1,229,189       1,229,189  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    1,253,851       97,007,234       1,229,189       99,490,274  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

Russia

                0 §       0 §  

Thailand

          10,254,394             10,254,394  

United States

    36,679,123                   36,679,123  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    36,679,123       10,254,394       0 §       46,933,517  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Emerging Markets Fund (continued)

         

Asset Valuation Inputs (continued)

         

Rights/Warrants

         

Sri Lanka

  $     $     $ 0 §     $ 0 §  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

                0 §       0 §  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Mutual Funds

         

United States

    45,254,618                   45,254,618  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    45,254,618                   45,254,618  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    4,234,684                   4,234,684  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    175,430,181       2,993,611,815       1,908,942       3,170,950,938  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 175,430,181     $ 2,993,611,815     $ 1,908,942     $ 3,170,950,938  
   

 

 

   

 

 

   

 

 

   

 

 

 
           
Liability Valuation Inputs  

Derivatives^

         

Futures Contracts

         

Equity Risk

  $ (3,171,856   $     $     $ (3,171,856

Swap Contracts

         

Equity Risk

          (262,093           (262,093
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (3,171,856   $ (262,093   $     $ (3,433,949
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Foreign Small Companies Fund

 

Asset Valuation Inputs

 

Common Stocks

         

Australia

  $     $ 657,473     $     $ 657,473  

Belgium

          181,147             181,147  

Brazil

          140,649             140,649  

Canada

    761,466                   761,466  

China

          239,721             239,721  

Denmark

          77,315             77,315  

Finland

          40,841             40,841  

France

          966,465             966,465  

Germany

          741,038             741,038  

Hong Kong

          259,463             259,463  

Hungary

          17,137             17,137  

India

          266,402             266,402  

Israel

          18,685             18,685  

Italy

          571,089             571,089  

Japan

          3,456,731             3,456,731  

Malaysia

          156,648             156,648  

Mexico

    17,468                   17,468  

Netherlands

          265,873             265,873  

Norway

          460,064             460,064  

Poland

          111,161             111,161  

Portugal

          252,126             252,126  

Singapore

          522,813             522,813  

South Africa

          159,867             159,867  

South Korea

          1,086,160             1,086,160  

Spain

          392,447             392,447  

Sweden

          514,041             514,041  

Switzerland

          776,370             776,370  

Taiwan

          241,814             241,814  

Turkey

          29,452             29,452  

United Kingdom

          2,941,606             2,941,606  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    778,934       15,544,598             16,323,532  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          54,726             54,726  

Germany

          44,003             44,003  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          98,729             98,729  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Foreign Small Companies Fund (continued)

         

Asset Valuation Inputs (continued)

         

Rights/Warrants

         

Spain

  $ 1,906     $     $     $ 1,906  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

    1,906                   1,906  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    406,317                   406,317  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    406,317                   406,317  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    103,626                   103,626  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    1,290,783       15,643,327             16,934,110  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,290,783     $ 15,643,327     $     $ 16,934,110  
   

 

 

   

 

 

   

 

 

   

 

 

 
           
Liability Valuation Inputs  

Derivatives^

         

Futures Contracts

         

Equity Risk

  $ (2,052   $     $     $ (2,052
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

International Equity Fund

 

Asset Valuation Inputs

 

Common Stocks

         

Australia

  $     $ 131,156,286     $     $ 131,156,286  

Austria

          2,317,903             2,317,903  

Belgium

          9,292,337             9,292,337  

Denmark

    15,855,755       20,302,459             36,158,214  

Finland

          35,324,095             35,324,095  

France

    32,063,642       277,336,014             309,399,656  

Germany

          267,720,024             267,720,024  

Hong Kong

          83,225,335             83,225,335  

Ireland

    5,367,325       617,456             5,984,781  

Israel

    811,130       2,470,312             3,281,442  

Italy

    48,308,401       126,413,970             174,722,371  

Japan

          887,297,176             887,297,176  

Malta

                0 §       0 §  

Netherlands

          197,026,687             197,026,687  

New Zealand

          1,603,294             1,603,294  

Norway

          108,615,797             108,615,797  

Portugal

          12,072,166             12,072,166  

Singapore

          19,439,048             19,439,048  

Spain

          105,546,685             105,546,685  

Sweden

          180,959,936             180,959,936  

Switzerland

          188,457,135             188,457,135  

United Kingdom

    25,597,085       549,112,900       0 §       574,709,985  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    128,003,338       3,206,307,015       0 §       3,334,310,353  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Germany

          15,984,107             15,984,107  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          15,984,107             15,984,107  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Spain

    18,910                   18,910  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

    18,910                   18,910  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    31,555,168                   31,555,168  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    31,555,168                   31,555,168  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    10,261,065                   10,261,065  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    169,838,481       3,222,291,122       0 §       3,392,129,603  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 169,838,481     $ 3,222,291,122     $ 0 §    $ 3,392,129,603  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

International Equity Fund (continued)

 

Liability Valuation Inputs

 

Derivatives^

         

Futures Contracts

         

Equity Risk

  $ (236,730   $     $     $ (236,730
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Quality Fund

         

Asset Valuation Inputs

         

Common Stocks

         

Germany

  $     $ 197,881,012     $     $ 197,881,012  

Switzerland

          458,594,308             458,594,308  

Taiwan

          135,685,195             135,685,195  

United Kingdom

          329,540,430             329,540,430  

United States

    5,062,129,108                   5,062,129,108  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    5,062,129,108       1,121,700,945             6,183,830,053  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    45,998,225                   45,998,225  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    45,998,225                   45,998,225  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    15,705,319                   15,705,319  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    15,705,319                   15,705,319  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    9,784,282                   9,784,282  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    5,133,616,934       1,121,700,945             6,255,317,879  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 5,133,616,934     $ 1,121,700,945     $     $ 6,255,317,879  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Resources Fund

         

Asset Valuation Inputs

         

Common Stocks

         

Argentina

  $ 4,809,280     $     $     $ 4,809,280  

Australia

          21,057,156             21,057,156  

Austria

          4,355,355             4,355,355  

Brazil

          10,332,696             10,332,696  

Canada

    10,967,231                   10,967,231  

China

          6,547,911             6,547,911  

Colombia

    3,084,820                   3,084,820  

Denmark

          7,115,516             7,115,516  

France

          21,926,374             21,926,374  

Germany

          2,589,863             2,589,863  

Hungary

          3,834,387             3,834,387  

India

          4,620,224             4,620,224  

Indonesia

          662,787             662,787  

Israel

          14,534,044             14,534,044  

Italy

          658,207             658,207  

Japan

          19,676,758             19,676,758  

Mexico

    1,362,254                   1,362,254  

Norway

          24,891,788             24,891,788  

Pakistan

          2,795,149             2,795,149  

Poland

          9,330,325             9,330,325  

Russia

          69,706,091             69,706,091  

Singapore

                0 §       0 §  

South Africa

          3,447,273             3,447,273  

South Korea

          4,006,703             4,006,703  

Spain

    33,787       9,216,895             9,250,682  

Sweden

          9,084,063             9,084,063  

Switzerland

          971,514             971,514  

Thailand

          10,538,647             10,538,647  

Turkey

          1,432,709             1,432,709  

Ukraine

          3,243,940             3,243,940  

United Kingdom

          78,117,341             78,117,341  

United States

    73,499,126                   73,499,126  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    93,756,498       344,693,716       0 §       438,450,214  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Resources Fund (continued)

         

Asset Valuation Inputs (continued)

         

Preferred Stocks

         

Brazil

  $     $ 20,492,738     $     $ 20,492,738  

Chile

    14,852,965                   14,852,965  

Russia

          8,427,296             8,427,296  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    14,852,965       28,920,034             43,772,999  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Singapore

                0 §       0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

                0 §       0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    12,162,255                   12,162,255  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    12,162,255                   12,162,255  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    1,057,397                   1,057,397  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    121,829,115       373,613,750         495,442,865  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 121,829,115     $ 373,613,750     $ 0 §    $ 495,442,865  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Risk Premium Fund

         

Asset Valuation Inputs

         

Debt Obligations

         

United States

  $ 321,500,831     $     $     $ 321,500,831  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    321,500,831                   321,500,831  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    75,540,375                   75,540,375  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    397,041,206                   397,041,206  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 397,041,206     $     $     $ 397,041,206  
   

 

 

   

 

 

   

 

 

   

 

 

 
           

Liability Valuation Inputs

         

Derivatives^

         

Written Options

         

Equity Risk

  $ (8,835,527   $ (2,106,151   $     $ (10,941,678
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Tax-Managed International Equities Fund

         

Asset Valuation Inputs

         

Common Stocks

         

Australia

  $     $ 1,689,850     $     $ 1,689,850  

Austria

          56,660             56,660  

Belgium

          167,784             167,784  

Brazil

          759,881             759,881  

Canada

    1,229,301                   1,229,301  

China

          982,754             982,754  

Denmark

    99,120       139,346             238,466  

Finland

          558,508             558,508  

France

    56,602       4,308,933             4,365,535  

Germany

          2,090,010             2,090,010  

Hong Kong

          776,512             776,512  

Hungary

          75,358             75,358  

India

          310,051             310,051  

Ireland

    21,945       179,631             201,576  

Italy

    369,766       1,394,104             1,763,870  

Japan

          10,546,000             10,546,000  

Malta

                0 §       0 §  

Mexico

    5,876                   5,876  

Netherlands

    38,780       1,789,862             1,828,642  

Norway

          685,316             685,316  

Philippines

          12,690             12,690  

Poland

          10,746             10,746  

Portugal

          89,939             89,939  

Russia

          632,955             632,955  
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Tax-Managed International Equities Fund (continued)

         

Asset Valuation Inputs (continued)

         

Singapore

  $     $ 166,516     $     $ 166,516  

South Africa

          217,673             217,673  

South Korea

    95,243       769,723             864,966  

Spain

          1,496,929             1,496,929  

Sweden

          1,730,591             1,730,591  

Switzerland

          2,234,631             2,234,631  

Taiwan

          451,846             451,846  

Thailand

          68,520             68,520  

Turkey

          36,578             36,578  

United Kingdom

    308,925       5,929,372             6,238,297  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    2,225,558       40,359,269       0 §       42,584,827  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          13,921             13,921  

Germany

          305,643             305,643  

South Korea

          816             816  

Sweden

          16,917             16,917  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          337,297             337,297  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Spain

    618                   618  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

    618                   618  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    856,701                   856,701  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    856,701                   856,701  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    139,272                   139,272  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    3,222,149       40,696,566       0 §      43,918,715  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 3,222,149     $ 40,696,566     $ 0 §    $ 43,918,715  
   

 

 

   

 

 

   

 

 

   

 

 

 
           
Liability Valuation Inputs                        

Derivatives^

         

Futures Contracts

         

Equity Risk

  $ (13,434   $     $     $ (13,434
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

U.S. Equity Fund

         

Asset Valuation Inputs

         

Common Stocks

  $ 802,525,165     $     $     $ 802,525,165  

Mutual Funds

    9,733,340                   9,733,340  

Short-Term Investments

    1,739,837                   1,739,837  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    813,998,342                   813,998,342  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 813,998,342     $     $     $ 813,998,342  
   

 

 

   

 

 

   

 

 

   

 

 

 
           
Liability Valuation Inputs                        

Derivatives^

         

Futures Contracts

         

Equity Risk

  $ (264,140   $     $     $ (264,140
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

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). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, fully funded total return swaps and rights/warrants, if any, which are included in investments.

  §

Represents the interest in securities that were determined to have a value of zero at May 31, 2019.


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’ portfolio valuation notes which are available on the Securities and Exchange Commission’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). At May 31, 2019, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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,
2019
    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

May 31,

2019

           Net Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held as
of May 31,
2019
 

Emerging Markets Fund

 

               

Common Stocks

                       

China

  $ 678,870     $     $     $     $     $ 883     $     $     $ 679,753       $ 883  

Preferred Stocks

                       

Taiwan

                                        1,229,189 ‡            1,229,189          

Investment Funds

 

               

Russia

    103,243             (99,504           (3,115,188     3,111,449                   0 §        3,111,449  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Investments

  $ 782,113     $     $ (99,504   $     $ (3,115,188   $ 3,112,332     $ 1,229,189     $     $ 1,908,942       $ 3,112,332  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
                                                                                         

Foreign Small Companies Fund

 

               

Common Stocks

                       

United Kingdom

  $ 2,872     $     $ (3,739   $     $ (1,220   $ 2,087     $     $     $       $  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Investments

  $ 2,872     $     $ (3,739   $     $ (1,220   $ 2,087     $     $     $       $  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
                                                                                         

Tax-Managed International Equities Fund

 

               

Common Stocks

                       

India

  $ 3,578     $     $     $     $     $ 772     $     $ (4,350 )‡    $       $  

United Kingdom

    5,655                               (3,513           (2,142 )‡               
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Investments

  $ 9,233     $     $     $     $     $ (2,741   $     $ (6,492   $       $  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
                                                                                         

 

 

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

  §

Represents the interest in securities that were determined to have a value of zero at May 31, 2019.

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 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.

Securities lending

The Funds may make secured loans of its portfolio securities amounting to not more than one-third of its total assets. Securities loans are required to be collateralized by cash with a value equal to at least 100% of the market value of the loaned securities (marked to market daily). Funds participating in securities lending receive compensation for lending their securities from any 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 a Fund’s ability to vote the 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. A Fund bears the risk of total loss with respect to the investment of collateral.

At May 31, 2019, securities on loan at value and cash collateral from securities on loaned are listed below:

 

     
Fund Name   Value of
securities
on loan
    Cash
collateral
 

Climate Change Fund

    $4,947,224       $5,143,295  

Resources Fund

    $5,487,757       $5,938,555  

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 0.12% of the Fund’s total net assets as of May 31, 2019. 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 2017, the Financial Accounting Standards Board issued ASU 2017-08, Premium Amortization of Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities. Under this ASU, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features, and are callable at fixed prices, will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis. It is in effect for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018.

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.

 

                     
     Climate 
Change 
Fund
  Emerging
Domestic
Opportunities 
Fund
  Emerging 
Markets
Fund
  Foreign
Small
Companies 
Fund
  International 
Equity Fund
  Quality
Fund
  Resources 
Fund
  Risk
Premium 
Fund
  Tax-Managed 
International 
Equities
Fund
  U.S. Equity
Fund
Commodities Risk   X                       X            
Counterparty Risk   X   X   X   X   X   X   X   X   X   X
Credit Risk       X                       X        
Currency Risk   X   X   X   X   X   X   X   X   X    
Derivatives and Short Sales Risk   X   X   X   X   X   X   X   X   X   X
Focused Investment Risk   X   X   X   X   X   X   X   X   X   X
Fund of Funds Risk       X   X                            
Illiquidity Risk   X   X   X   X   X   X   X   X   X   X
Large Shareholder Risk   X   X   X   X   X   X   X   X   X   X
Leveraging Risk   X   X   X   X   X   X   X       X   X
Management and Operational Risk   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
Market Risk – Equities   X   X   X   X   X   X   X   X   X   X
Market Risk – Fixed Income       X                       X        


                     
     Climate 
Change 
Fund
  Emerging
Domestic
Opportunities 
Fund
  Emerging 
Markets
Fund
  Foreign
Small
Companies 
Fund
  International 
Equity Fund
  Quality
Fund
  Resources 
Fund
  Risk
Premium 
Fund
  Tax-Managed 
International 
Equities
Fund
  U.S. Equity
Fund
Merger Arbitrage Risk   X                       X            
Non-Diversified Funds   X   X   X           X   X   X   X    
Non-U.S. Investment Risk   X   X   X   X   X   X   X   X   X    
Small Company Risk   X   X   X   X   X   X   X   X   X   X

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

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

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

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

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

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same


counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation 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 (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

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

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

Asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.


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

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt instruments generally are considered speculative and typically involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt instrument proves incorrect, a Fund is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

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

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

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

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

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

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.


Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation and exposes the Funds to the risk that the pricing models used do not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, there is a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

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

Special tax rules apply to a Fund’s transactions in derivatives, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s derivative transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. See the Funds’ Prospectus and Statement of Additional Information for more information.

The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that GMO would be unable to implement a Fund’s investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are evolving, their impact on the Funds remains unclear.

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

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


insolvent. While futures contracts entail similar risks, the risks are likely to be more pronounced for cleared derivatives due to their more limited liquidity and market history.

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

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

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to post in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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

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

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

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

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


A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

 FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.

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

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

Because Resources Fund concentrates its investments in the natural resources sector, it is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector are often more volatile (particularly in the short term) than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry-wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over the supplies they purchase and the products they sell, which can affect their profitability, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may take extended periods of time to complete, and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, companies in the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, companies in the natural resources sector can be significantly affected by import controls, worldwide competition and cartels, and changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

Because Climate Change Fund focuses its investments in securities of companies involved in climate change-related industries, the Fund will be more susceptible to events or factors affecting these companies, and the market prices of its portfolio securities may be more volatile than those of mutual funds that are more diversified. Climate Change Fund is particularly exposed to such developments as changes in global and regional climates, environmental protection regulatory actions, changes in government standards and subsidy levels, changes in taxation and other domestic and international political, regulatory and economic developments (such as potential cut-backs on funding for the Environmental Protection Agency and other policies and actions by the Trump administration). Companies involved in alternative fuels also may be adversely affected by the increased use of, or decreases in prices for, oil or other fossil fuels. In addition, scientific developments, such as breakthroughs in the remediation of global warming, and changes in governmental policies relating to the effects of pollution may affect investments in pollution control, which could in turn affect these companies. Such companies also may be significantly affected by technological changes in industries focusing on energy, pollution control and mitigation of global warming. Because society’s focus on climate change is relatively new, the emphasis and direction of governmental policies is subject to significant change, and rapid technological change could render even new approaches and products obsolete. Some companies involved in climate change-related industries have more limited operating histories and smaller market capitalizations on average than companies in other sectors. As a result of these and other factors, the market prices of securities of companies involved in climate change-related industries tend to be considerably more volatile than those of companies in more established sectors and industries.


Because Risk Premium Fund may hold a limited number of options contracts relating to relatively few stock indices, the Fund is subject to focused investment risk.

 FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

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

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

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

The Securities and Exchange Commission has adopted Rule 22e-4 under the 1940 Act, which requires each Fund to adopt a liquidity risk management program to assess and manage its illiquidity risk. Under its program, each Fund will be required to classify its investments into specific liquidity categories and monitor compliance with limits on investments on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. The Funds do not expect Rule 22e-4 to have a significant effect on investment operations. While the liquidity risk management program attempts to assess and manage illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.

Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.


A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund would temporarily be leveraged in relation to its assets.

LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, at disadvantageous prices to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds, adversely affecting the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests) reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund of the redemption request) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated.

 MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future changes in tax legislation and regulation.

For many Funds, GMO uses quantitative models as part of its investment process and in making investment decisions for those Funds. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, those models are based on assumptions that can limit their effectiveness, and they rely on data that is 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.


The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

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

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

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

 MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in shutdowns of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). In March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union, which provided the United Kingdom with two years to negotiate an exit agreement with the European Union, with a deadline of March 29, 2019. On November 25, 2018, European Union leaders approved the terms of the United Kingdom’s withdrawal from the European Union, which the United Kingdom’s Parliament subsequently rejected. The European Union has agreed to delay the United Kingdom’s exit until October 31, 2019. While negotiations continue, it remains unclear whether a negotiated withdrawal agreement can be reached. If the United Kingdom leaves the European Union


without finalizing agreements on trade, finance and other key elements, the withdrawal may lead to legal uncertainty and potentially divergent national laws and regulations as the United Kingdom determines which European Union laws to replicate or replace. The potential implications of a “no deal” scenario include a shrinking United Kingdom economy and far-reaching disruptions to world securities markets. Brexit has resulted in volatility in European and global markets and could have a negative long-term effect on financial markets in the United Kingdom and throughout Europe. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair

the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

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


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

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

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

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

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

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio investments when it would otherwise not do so, including at unfavorable prices. Moreover, fixed income investments will be difficult to value during such periods. During the last ten years, central banks and governmental financial regulators, including the U.S. Federal Reserve, kept interest rates historically low. However, more recently, the U.S. Federal Reserve has increased interest rates. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

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

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

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.

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


The following Funds are not “diversified” investment companies within the meaning of the 1940 Act:

 

   

Climate Change Fund

   

Emerging Domestic Opportunities Fund

   

Emerging Markets Fund

   

Quality Fund

   

Resources Fund

   

Risk Premium Fund

   

Tax-Managed International Equities Fund

NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets (particularly in emerging markets) often fluctuate more than those of U.S. securities. 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, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or until GMO is confident that it will be received. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. For information on possible special Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of Additional Information.

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

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

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

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


emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

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). While GMO expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e. it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e. the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

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


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

For Funds that held derivatives during the period ended May 31, 2019, the following table shows how the Fund used these derivatives (marked with an X):

 

                   
Type of Derivative and Objective
for Use
  Climate 
Change 
Fund
  Emerging
Domestic
Opportunities 
Fund
  Emerging 
Markets
Fund
 

Foreign

Small
Companies 
Fund

  International 
Equity
Fund
  Resources 
  Fund
 

Risk

Premium 

Fund

 

Tax-Managed 
International

Equities
Fund

 

U.S.
Equity

Fund

Forward currency contracts                                    

Hedge foreign currency exposure in the underlying funds’ investments relative to the U.S. dollar

      X                            
Futures contracts                                    

Adjust exposure to certain securities markets

      X   X   X   X           X   X

Maintain the diversity and liquidity of the portfolio

              X   X           X   X
Options (Written)                                    

Substitute for direct equity investment

                          X        
Swap contracts                                    

Substitute for direct equity investment

          X                        

Achieve returns comparable to holding and lending a direct equity position

          X                        
Rights and/or warrants                                    

Received as a result of corporate actions

  X       X   X   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. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.


Options

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

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

When an option contract is closed, 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.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss. 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.

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


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

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

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

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

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

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

***

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


The following is a summary of the valuations of derivative instruments categorized by risk exposure as of May 31, 2019:

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

 

             
     Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Emerging Markets Fund

             

Asset Derivatives

             

Investments, at value (rights and/or warrants)

  $     $ 0 §    $     $     $     $ 0 § 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 0 §    $     $     $     $ 0 § 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Unrealized Depreciation on Futures Contracts

  $     $ (3,171,856   $     $     $     $ (3,171,856

Swap Contracts, at value

          (262,093                       (262,093
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (3,433,949   $     $     $     $ (3,433,949
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Foreign Small Companies Fund

             

Asset Derivatives

             

Investments, at value (rights and/or warrants)

  $     $ 1,906     $     $     $     $ 1,906  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 1,906     $     $     $     $ 1,906  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Unrealized Depreciation on Futures Contracts

  $     $ (2,052   $     $     $     $ (2,052
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (2,052   $     $     $     $ (2,052
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

International Equity Fund

             

Asset Derivatives

             

Investments, at value (rights and/or warrants)

  $     $ 18,910     $     $     $     $ 18,910  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 18,910     $     $     $     $ 18,910  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Unrealized Depreciation on Futures Contracts

  $     $ (236,730   $     $     $     $ (236,730
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (236,730   $     $     $     $ (236,730
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Resources Fund

             

Asset Derivatives

             

Investments, at value (rights and/or warrants)

  $     $ 0 §    $     $     $     $ 0 § 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 0 §    $     $     $     $ 0 § 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Risk Premium Fund

             

Liability Derivatives

             

Written Options, at value

  $     $ (10,941,678   $     $     $     $ (10,941,678
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (10,941,678   $     $     $     $ (10,941,678
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

Tax-Managed International Equities Fund

 

Asset Derivatives

             

Investments, at value (rights and/or warrants)

  $     $ 618     $     $     $     $ 618  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 618     $     $     $     $ 618  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

             

Unrealized Depreciation on Futures Contracts

  $     $ (13,434   $     $     $     $ (13,434
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (13,434   $     $     $     $ (13,434
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

U.S. Equity Fund

             

Liability Derivatives

             

Unrealized Depreciation on Futures Contracts

  $     $ (264,140   $     $     $     $ (264,140
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (264,140   $     $     $     $ (264,140
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

 

  §

Represents the interest in securities that were determined to have a value of zero at May 31, 2019.


Subsequent events

In June 2019, the Board of Trustees approved the termination of GMO Foreign Small Companies Fund. The Fund is expected to liquidate on or about July 31, 2019.

Subsequent to May 31, 2019, GMO Emerging Domestic Opportunities Fund and GMO U.S. Equity Fund received redemption requests in the amount of $417,130,020 and $218,531,504, respectively.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description       
Value ($)
 
    COMMON STOCKS — 84.1%  
          Australia — 1.1%      
    18,315     Australian Pharmaceutical Industries Ltd     16,486  
    1,752     Brickworks Ltd     19,786  
    3,606     Caltex Australia Ltd     65,887  
    5,988     Charter Hall Retail (REIT)     18,344  
    9,067     Dexus (REIT)     81,145  
    9,501     Fortescue Metals Group Ltd     52,833  
    3,903     GPT Group (The) (REIT)     15,615  
    6,743     Mineral Resources Ltd     70,099  
    72,170     Mirvac Group (REIT)     152,086  
    6,065     Sandfire Resources NL     25,838  
    90,680     Scentre Group (REIT)     239,352  
    16,555     Stockland (REIT)     50,816  
    7,902     Telstra Corp Ltd     20,002  
    10,437     Viva Energy (REIT)     18,743  
    305     Viva Energy Group Ltd     451  
    30,915     Whitehaven Coal Ltd     83,810  
     

 

 

 
    Total Australia     931,293  
     

 

 

 
          Austria — 0.1%  
    1,285     OMV AG     60,310  
    121     Vienna Insurance Group AG Wiener Versicherung Gruppe     2,961  
     

 

 

 
    Total Austria     63,271  
     

 

 

 
          Belgium — 0.1%  
    3,147     AGFA-Gevaert NV *     12,791  
    143     Barco NV     27,808  
     

 

 

 
    Total Belgium     40,599  
     

 

 

 
          Brazil — 3.0%  
    24,126     Banco Bradesco SA     200,745  
    9,800     Banco do Brasil SA     129,494  
    45,500     Banco Santander Brasil SA     529,912  
    48,700     Cia de Saneamento Basico do Estado de Sao Paulo     548,689  
    7,000     Cia de Saneamento de Minas Gerais-COPASA     110,853  
    130,900     JBS SA     729,233  
    3,800     Mahle-Metal Leve SA     22,089  
    20,300     MRV Engenharia e Participacoes SA     88,982  
    2,300     Porto Seguro SA     31,066  
    8,554     Sul America SA     76,102  
     

 

 

 
    Total Brazil         2,467,165  
     

 

 

 
          China — 9.5%  
    306,000     Agile Group Holdings Ltd     386,222  
    1,385,000     Agricultural Bank of China Ltd – Class H     594,362  
    287,000     BAIC Motor Corp Ltd – Class H     177,863  
    695,000     Bank of Communications Co Ltd – Class H     544,668  
    12,000     China Cinda Asset Management Co Ltd – Class H     2,788  
    878,000     China CITIC Bank Corp Ltd – Class H     499,106  
Shares     Description       
Value ($)
 
          China — continued  
    408,000     China Communications Services Corp Ltd – Class H     305,080  
    286,000     China Construction Bank Corp – Class H     226,412  
    44,000     China Lesso Group Holdings Ltd     28,076  
    26,000     China Lilang Ltd     23,111  
    96,500     China Minsheng Banking Corp Ltd – Class H     70,222  
    1,100     China Mobile Ltd Sponsored ADR     48,202  
    658,000     China Petroleum & Chemical Corp – Class H     437,191  
    62,000     China Pioneer Pharma Holdings Ltd *     5,217  
    396,500     China Railway Construction Corp Ltd – Class H     463,393  
    217,000     China Railway Group Ltd – Class H     162,374  
    182,500     China Resources Pharmaceutical Group Ltd     238,950  
    211,500     China Shenhua Energy Co Ltd – Class H     435,919  
    56,000     China Shineway Pharmaceutical Group Ltd     49,912  
    1,176,000     China Telecom Corp Ltd – Class H     590,959  
    800     China Yuchai International Ltd     11,128  
    20,000     Chongqing Rural Commercial Bank Co Ltd – Class H     10,239  
    68,000     Dah Chong Hong Holdings Ltd     20,918  
    390,000     Dongfeng Motor Group Co Ltd – Class H     320,843  
    164,400     Guangzhou R&F Properties Co Ltd – Class H     310,852  
    124,000     Haier Electronics Group Co Ltd *     317,039  
    68,000     Kingboard Holdings Ltd     178,792  
    164,000     Lonking Holdings Ltd     43,492  
    155,000     People’s Insurance Co Group of China Ltd (The) – Class H     60,957  
    613,000     Postal Savings Bank of China Co Ltd – Class H     366,622  
    17,000     Road King Infrastructure Ltd     34,479  
    70,600     Shanghai Pharmaceuticals Holding Co Ltd – Class H     139,390  
    177,500     Shimao Property Holdings Ltd     509,272  
    68,000     Tianneng Power International Ltd     55,358  
    153,000     Weichai Power Co Ltd – Class H     232,695  
    31,000     Xtep International Holdings Ltd     15,779  
     

 

 

 
    Total China         7,917,882  
     

 

 

 
          Denmark — 0.0%  
    1,581     Scandinavian Tobacco Group A/S     19,264  
     

 

 

 
          Finland — 0.2%  
    4,774     Neste Oyj     161,164  
    593     UPM-Kymmene Oyj     14,835  
     

 

 

 
    Total Finland         175,999  
     

 

 

 
          France — 1.5%  
    662     AXA SA     16,299  
    41     BNP Paribas SA     1,880  
    2,360     CNP Assurances     50,581  
    1,809     Coface SA     17,630  
    317     Kaufman & Broad SA     11,306  
    1,052     Lagardere SCA     25,602  
    1,173     Metropole Television SA     21,070  
    1,221     Neopost SA     26,726  
 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description       
Value ($)
 
          France — continued  
    755     Nexity SA     33,286  
    15,606     Peugeot SA     348,327  
    8,493     Sanofi     685,872  
    2,268     Television Francaise 1     21,620  
     

 

 

 
    Total France         1,260,199  
     

 

 

 
          Germany — 2.2%      
    3,140     Allianz SE (Registered)     695,292  
    914     BASF SE     60,318  
    511     Bayer AG (Registered)     30,217  
    5,343     Bayerische Motoren Werke AG     370,735  
    11,797     Deutsche Lufthansa AG (Registered)     223,692  
    4,685     Deutsche Pfandbriefbank AG     64,401  
    11,406     Deutsche Telekom AG (Registered)     192,031  
    1,200     Evonik Industries AG     31,454  
    143     Hannover Rueck SE     21,405  
    7     Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)     1,688  
    974     Software AG     31,826  
    930     Volkswagen AG     147,584  
     

 

 

 
    Total Germany     1,870,643  
     

 

 

 
          Greece — 0.0%      
    6,562     FF Group * (a)      
     

 

 

 
          Hong Kong — 0.3%      
    12,500     CK Asset Holdings Ltd     90,468  
    1,000     HKT Trust & HKT Ltd – Class SS     1,577  
    8,500     Kerry Properties Ltd     32,309  
    16,000     NWS Holdings Ltd     31,528  
    4,000     PCCW Ltd     2,277  
    32,000     SJM Holdings Ltd     35,474  
    11,000     Wharf Real Estate Investment Co Ltd     75,274  
     

 

 

 
    Total Hong Kong     268,907  
     

 

 

 
          Hungary — 0.0%  
    26,274     Magyar Telekom Telecommunications Plc     37,602  
     

 

 

 
          India — 1.8%  
    34     Firstsource Solutions Ltd     27  
    25,382     HCL Technologies Ltd     397,576  
    24,861     ITC Ltd     99,550  
    2,167     Karnataka Bank Ltd (The)     3,512  
    7,611     KPIT Engineering Ltd *     10,763  
    3,579     Larsen & Toubro Infotech Ltd     91,568  
    3,888     Mahindra & Mahindra Ltd     36,309  
    11,088     Mphasis Ltd     157,458  
    4,243     NIIT Technologies Ltd     79,990  
    19,045     PC Jeweller Ltd     21,024  
    127,408     Power Finance Corp Ltd     227,903  
    35,479     PTC India Ltd     35,280  
    139,039     REC Ltd     288,376  
Shares     Description       
Value ($)
 
          India — continued  
    16,694     Reliance Capital Ltd     29,128  
    5,060     Reliance Infrastructure Ltd     7,573  
    3,740     Tech Mahindra Ltd     40,983  
     

 

 

 
    Total India         1,527,020  
     

 

 

 
          Indonesia — 0.0%  
    21,700     Indo Tambangraya Megah Tbk PT     26,616  
     

 

 

 
          Ireland — 0.0%  
    820     Bank of Ireland Group Plc     4,383  
     

 

 

 
          Israel — 0.2%  
    1,201     Bank Hapoalim BM     8,649  
    9,994     Bank Leumi Le-Israel BM     66,962  
    912     First International Bank of Israel Ltd *     21,882  
    2,324     Harel Insurance Investments & Financial Services Ltd     17,500  
    5,500     Israel Discount Bank Ltd – Class A     20,988  
    35,794     Oil Refineries Ltd *     17,509  
     

 

 

 
    Total Israel     153,490  
     

 

 

 
          Italy — 1.3%  
    48,749     A2A SPA     79,456  
    672     ASTM SPA     18,246  
    5,347     Enav SPA     28,920  
    26,409     Enel SPA     164,243  
    233     ERG SPA     4,526  
    4,467     EXOR NV     279,494  
    1,800     Fiat Chrysler Automobiles NV     22,716  
    3,570     FinecoBank Banca Fineco SPA     36,888  
    25,328     Iren SPA     62,772  
    10,300     Mediobanca Banca di Credito Finanziario SPA     94,831  
    11,363     Poste Italiane SPA     110,143  
    7,414     Snam SPA     37,236  
    5,116     Societa Cattolica di Assicurazioni SC     41,282  
    2,296     Societa Iniziative Autostradali e Servizi SPA     39,842  
    4,038     Unipol Gruppo SPA     18,570  
     

 

 

 
    Total Italy         1,039,165  
     

 

 

 
          Japan — 6.7%  
    2,500     Aisin Seiki Co Ltd     82,321  
    1,100     Alfresa Holdings Corp     27,506  
    2,000     Amada Holdings Co Ltd     20,509  
    25,000     Asahi Kasei Corp     256,088  
    800     Bandai Namco Holdings Inc     39,167  
    500     Bridgestone Corp     18,596  
    500     Dai Nippon Printing Co Ltd     10,799  
    5,200     Fuji Electric Co Ltd     172,182  
    3,900     FUJIFILM Holdings Corp     185,835  
    5,200     Hachijuni Bank Ltd (The)     21,568  
    400     Hakuhodo DY Holdings Inc     6,245  
    200     Haseko Corp     1,985  
 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description       
Value ($)
 
          Japan — continued  
    3,600     Hiroshima Bank Ltd (The)     18,341  
    6,900     Hitachi Ltd     232,343  
    19,800     Honda Motor Co Ltd     486,953  
    2,700     Isuzu Motors Ltd     29,661  
    27,200     ITOCHU Corp     499,347  
    100     Kaneka Corp     3,431  
    15,400     KDDI Corp     394,439  
    500     Kitz Corp     3,271  
    18,800     Konica Minolta Inc     164,943  
    1,200     Kurita Water Industries Ltd     28,627  
    18,900     Marubeni Corp     118,028  
    8,480     Mebuki Financial Group Inc     21,191  
    52,200     Mitsubishi Chemical Holdings Corp     340,185  
    11,500     Mitsubishi Corp     298,038  
    8,300     Mitsubishi Electric Corp     103,087  
    5,500     Mitsubishi Tanabe Pharma Corp     64,678  
    27,200     Mitsubishi UFJ Financial Group Inc     124,925  
    3,200     Mitsubishi UFJ Lease & Finance Co Ltd     15,878  
    1,600     Mitsui Chemicals Inc     34,910  
    6,000     NEC Corp     221,510  
    1,800     NET One Systems Co Ltd     47,861  
    800     Nichiha Corp     20,880  
    1,000     Nippon Flour Mills Co Ltd     16,351  
    12,100     Nippon Telegraph & Telephone Corp     541,367  
    2,000     Nisshin Seifun Group Inc     46,444  
    1,800     Nomura Real Estate Holdings Inc     36,879  
    100     Ricoh Co Ltd     966  
    1,700     Shinmaywa Industries Ltd     20,221  
    59,500     Sojitz Corp     190,006  
    68,900     Sumitomo Chemical Co Ltd     296,096  
    1,200     Sumitomo Dainippon Pharma Co Ltd     24,519  
    1,100     Sumitomo Mitsui Financial Group Inc     38,117  
    1,050     Suzuken Co Ltd     64,571  
    100     Taisho Pharmaceutical Holdings Co Ltd     8,126  
    4,000     Teijin Ltd     65,021  
    800     Tocalo Co Ltd     5,168  
    1,400     Tosoh Corp     17,629  
    3,600     Toyota Tsusho Corp     103,250  
     

 

 

 
    Total Japan         5,590,059  
     

 

 

 
          Malaysia — 0.0%  
    12,300     RHB Capital Berhad * (b)      
    99,000     Supermax Corp Berhad     38,228  
     

 

 

 
    Total Malaysia     38,228  
     

 

 

 
          Mexico — 0.7%  
    215,800     Wal-Mart de Mexico SAB de CV     607,251  
     

 

 

 
          Netherlands — 1.2%      
    10,083     ABN AMRO Group NV CVA     213,022  
    2,576     ASR Nederland NV     97,603  
    44,549     ING Groep NV     481,187  
Shares     Description       
Value ($)
 
          Netherlands — continued      
    4,549     Koninklijke Ahold Delhaize NV     102,028  
    2,362     Signify NV     63,159  
     

 

 

 
    Total Netherlands     956,999  
     

 

 

 
          New Zealand — 0.0%  
    5,816     Meridian Energy Ltd     16,099  
     

 

 

 
          Norway — 0.9%      
    817     Aker ASA – A Shares     46,925  
    3,492     Aker Solutions ASA *     13,833  
    2,110     Austevoll Seafood ASA     22,137  
    16,014     DNB ASA     271,477  
    14,719     Equinor ASA     281,160  
    3,396     Leroy Seafood Group ASA     23,287  
    361     Mowi ASA     8,377  
    553     Salmar ASA     25,262  
    2,110     SpareBank 1 SR-Bank ASA     24,599  
    3,193     Storebrand ASA     23,102  
     

 

 

 
    Total Norway     740,159  
     

 

 

 
          Poland — 0.1%  
    3,523     Asseco Poland SA     46,913  
    21,652     Energa SA *     43,661  
     

 

 

 
    Total Poland     90,574  
     

 

 

 
          Portugal — 0.2%  
    2,392     Altri SGPS SA     16,207  
    71,879     Banco Comercial Portugues SA – Class R     20,202  
    2,441     Galp Energia SGPS SA     36,668  
    3,051     NOS SGPS SA     19,269  
    35,375     Sonae SGPS SA     35,164  
     

 

 

 
    Total Portugal     127,510  
     

 

 

 
          Russia — 1.5%  
    161,754     Gazprom PJSC Sponsored ADR     1,059,488  
    1,708     LUKOIL PJSC Sponsored ADR     137,237  
    1,793     Novolipetsk Steel PJSC GDR     47,084  
    2     Sberbank of Russia Sponsored ADR     29  
     

 

 

 
    Total Russia         1,243,838  
     

 

 

 
          Singapore — 0.1%  
    18,700     Golden Agri-Resources Ltd     3,605  
    17,700     Keppel DC REIT     20,089  
    2,800     Singapore Airlines Ltd     18,585  
    900     United Overseas Bank Ltd     15,417  
    51,200     Yangzijiang Shipbuilding Holdings Ltd     51,100  
     

 

 

 
    Total Singapore     108,796  
     

 

 

 
          South Africa — 2.2%  
    51,690     Absa Group Ltd     599,685  
    25,897     Liberty Holdings Ltd     193,917  
 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description       
Value ($)
 
          South Africa — continued  
    21,583     Metair Investments Ltd     34,967  
    150,292     MMI Holdings Ltd     193,786  
    6,090     Mondi Ltd     125,436  
    25,470     Nedbank Group Ltd     458,407  
    10,647     Reunert Ltd     50,231  
    20,838     Telkom SA SOC Ltd     131,710  
    5,606     Wilson Bayly Holmes-Ovcon Ltd     42,224  
     

 

 

 
    Total South Africa     1,830,363  
     

 

 

 
          South Korea — 3.8%  
    21     Daelim Industrial Co Ltd     1,826  
    43     Dongbu Insurance Co Ltd     2,223  
    90     GS Home Shopping Inc     12,526  
    18,859     Hana Financial Group Inc     574,458  
    108     Hyundai Home Shopping Network Corp     8,289  
    6,140     Hyundai Marine & Fire Insurance Co Ltd     158,652  
    43,782     Industrial Bank of Korea     508,984  
    5,907     Kia Motors Corp     195,129  
    929     Korea United Pharm Inc     18,422  
    4,781     Korean Reinsurance Co     33,669  
    442     Kwang Dong Pharmaceutical Co Ltd     2,544  
    1,828     LF Corp     33,256  
    4,721     LG Corp     290,375  
    1,247     LOTTE Himart Co Ltd     44,856  
    162     POSCO     32,270  
    899     Samjin Pharmaceutical Co Ltd     24,488  
    17,402     Shinhan Financial Group Co Ltd     647,276  
    83     SK Holdings Co Ltd     16,100  
    17,700     SK Telecom Co Ltd Sponsored ADR     411,171  
    9,650     Woori Financial Group Inc     112,706  
     

 

 

 
    Total South Korea         3,129,220  
     

 

 

 
          Spain — 1.1%  
    2,746     ACS Actividades de Construccion y Servicios SA     112,787  
    1,560     Almirall SA     26,831  
    5,501     Banco Santander SA     24,116  
    916     Cia de Distribucion Integral Logista Holdings SA     20,235  
    3,197     Enagas SA     87,383  
    530     Ence Energia y Celulosa SA     2,213  
    11,251     Endesa SA     280,279  
    9,119     Iberdrola SA     84,786  
    30,871     International Consolidated Airlines Group SA     175,224  
    1,384     Naturgy Energy Group SA     39,468  
    1,304     Red Electrica Corp SA     27,639  
    1,182     Siemens Gamesa Renewable Energy SA     18,332  
     

 

 

 
    Total Spain     899,293  
     

 

 

 
          Sweden — 1.1%  
    3,377     Alfa Laval AB     69,242  
    3,180     Betsson AB *     20,093  
    3,180     Betsson AB – Redemption *     1,302  
Shares     Description       
Value ($)
 
          Sweden — continued  
    225     Fabege AB     3,376  
    3,667     Hemfosa Fastigheter AB     33,816  
    780     Investor AB – A Shares     33,723  
    152     Kindred Group Plc SDR     1,184  
    2,064     Peab AB     16,262  
    5,673     Resurs Holding AB     33,051  
    5,226     Skandinaviska Enskilda Banken AB – Class A     46,362  
    3,612     SSAB AB – Series A     11,091  
    28,031     Svenska Cellulosa AB SCA – Class B     213,958  
    17,787     Swedbank AB – A Shares     255,101  
    1,959     Telefonaktiebolaget LM Ericsson – B Shares     18,849  
    9,631     Volvo AB – B Shares     134,462  
     

 

 

 
    Total Sweden     891,872  
     

 

 

 
          Switzerland — 0.5%  
    699     Alcon, Inc. *     40,652  
    387     BKW AG     25,585  
    243     Huber + Suhner AG (Registered)     18,644  
    3,493     Novartis AG (Registered)     300,181  
     

 

 

 
    Total Switzerland     385,062  
     

 

 

 
          Taiwan — 3.9%  
    28,000     Asustek Computer Inc     192,475  
    16,775     China Life Insurance Co Ltd     12,960  
    79,000     Coretronic Corp     101,164  
    31,000     Formosa Chemicals & Fibre Corp     105,157  
    11,000     Fubon Financial Holding Co Ltd     15,042  
    66,000     Gigabyte Technology Co Ltd     95,282  
    168,000     Grand Pacific Petrochemical     111,638  
    31,000     Holtek Semiconductor Inc     65,759  
    62,000     Inventec Corp     46,711  
    34,000     Lite-On Semiconductor Corp     32,318  
    132,210     Mitac Holdings Corp     122,718  
    272,000     Nan Ya Plastics Corp     675,494  
    98,000     Novatek Microelectronics Corp     521,455  
    16,000     Phison Electronics Corp     144,760  
    376,000     Pou Chen Corp     426,781  
    89,000     Radiant Opto-Electronics Corp     280,018  
    4,000     Sitronix Technology Corp     15,902  
    43,350     Synnex Technology International Corp     52,472  
    1,600     United Integrated Services Co Ltd     7,358  
    220,000     Walsin Lihwa Corp     109,297  
    151,000     Yuanta Financial Holding Co Ltd     84,778  
     

 

 

 
    Total Taiwan         3,219,539  
     

 

 

 
          Thailand — 1.2%  
    254,700     PTT Global Chemical Pcl (Foreign Registered)     488,758  
    306,600     PTT Pcl (Foreign Registered)     447,315  
    44,900     Thanachart Capital Pcl (Foreign Registered)     75,345  
     

 

 

 
    Total Thailand     1,011,418  
     

 

 

 
 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description       
Value ($)
 
          Turkey — 0.6%      
    144,098     KOC Holding AS     397,782  
    130,517     Turkiye Is Bankasi – Class C     114,804  
     

 

 

 
    Total Turkey     512,586  
     

 

 

 
          United Kingdom — 5.1%  
    20,753     3i Group Plc     275,497  
    825     Admiral Group Plc     21,472  
    575     AVEVA Group Plc     26,866  
    7,315     BAE Systems Plc     41,819  
    25,272     Barratt Developments Plc     178,264  
    3,480     Bellway Plc     120,846  
    1,231     Berkeley Group Holdings Plc (The)     54,417  
    2,200     British American Tobacco Plc Sponsored ADR     76,274  
    3,632     Britvic Plc     40,842  
    23,320     BT Group Plc     56,869  
    9,711     Direct Line Insurance Group Plc     38,822  
    3,552     Electrocomponents Plc     27,233  
    2,429     Evraz Plc     18,032  
    10,448     Ferrexpo Plc     30,354  
    17,300     GlaxoSmithKline Plc Sponsored ADR     668,472  
    4,243     Grainger Plc     13,471  
    33,674     HSBC Holdings Plc     274,489  
    3,600     HSBC Holdings Plc Sponsored ADR     146,772  
    9,671     IG Group Holdings Plc     66,963  
    8,124     Imperial Brands Plc     196,441  
    1,222     Investec Plc     7,099  
    137,940     Legal & General Group Plc     446,970  
    627,897     Lloyds Banking Group Plc     453,845  
    5,436     Meggitt Plc     33,614  
    1,538     Mondi Plc     31,836  
    3,561     National Express Group Plc     17,873  
    575     Next Plc     41,915  
    2,538     Northgate Plc     10,400  
    101     Pearson Plc     1,005  
    11,074     Persimmon Plc     275,468  
    3,577     Plus500 Ltd     28,610  
    13,438     QinetiQ Group Plc     49,368  
    788     Royal Dutch Shell Plc – A Shares     24,408  
    206     Royal Dutch Shell Plc – B Shares     6,415  
    7,428     Royal Dutch Shell Plc – Class A     230,353  
    100     Royal Dutch Shell Plc – Class B Sponsored ADR     6,286  
    1,515     Savills Plc     16,249  
    1,970     Spectris Plc     61,770  
    7,981     Tate & Lyle Plc     72,851  
    9,595     Taylor Wimpey Plc     20,047  
    4,554     Vesuvius Plc     28,748  
     

 

 

 
    Total United Kingdom         4,239,345  
     

 

 

 
          United States — 31.9%  
    1,400     1-800-Flowers.com, Inc. – Class A     25,564  
    15,100     ACCO Brands Corp.     110,985  
Shares     Description       
Value ($)
 
          United States — continued  
    3,200     Acushnet Holdings Corp.     75,168  
    5,300     ADTRAN, Inc.     83,104  
    7,900     AG Mortgage Investment Trust, Inc. (REIT)     121,818  
    500     Agilysys, Inc.     10,900  
    3,800     AgroFresh Solutions, Inc. *     9,158  
    1,000     Alamo Group, Inc.     94,930  
    200     Allied Motion Technologies, Inc.     6,494  
    1,700     Alpha & Omega Semiconductor Ltd. *     14,518  
    1,900     Ameresco, Inc. – Class A *     27,550  
    1,000     America’s Car-Mart, Inc. *     86,100  
    100     American National Bankshares, Inc.     3,488  
    2,013     American Public Education, Inc. *     56,324  
    1,000     American Vanguard Corp.     13,280  
    24,200     Arbor Realty Trust, Inc. (REIT)     297,902  
    12,700     Archrock, Inc.     112,649  
    4,400     Ares Commercial Real Estate Corp. (REIT)     64,592  
    1,200     Armstrong Flooring, Inc.     12,648  
    3,400     Atkore International Group, Inc.     79,526  
    2,500     Avaya Holdings Corp. *     31,450  
    6,800     AVX Corp.     100,572  
    1,000     BancFirst Corp.     52,230  
    1,600     BankFinancial Corp.     22,240  
    6,800     Banner Corp.            343,128  
    1,700     Bassett Furniture Industries, Inc.     24,973  
    420     BCB Bancorp, Inc.     5,141  
    700     Bel Fuse, Inc. – Class B     12,096  
    1,600     Benchmark Electronics, Inc.     35,344  
    528     Berkshire Hills Bancorp, Inc.     15,412  
    400     Berry Petroleum Corp.     4,300  
    12,100     Bloomin’ Brands, Inc.     233,651  
    10,400     Brady Corp. – Class A     481,520  
    9,000     Braemar Hotels & Resorts, Inc. (REIT)     93,960  
    6,500     Briggs & Stratton Corp.     61,100  
    900     Cabot Corp.     35,946  
    6,200     Calix, Inc. *     37,510  
    3,600     Camden National Corp.     152,460  
    10,200     Carrols Restaurant Group, Inc. *     86,904  
    300     Cedar Realty Trust, Inc. (REIT)     849  
    4,900     Central Garden & Pet Co. *     137,935  
    4,100     Central Garden & Pet Co. – Class A *     104,837  
    700     Century Bancorp, Inc. – Class A     62,727  
    200     Chemung Financial Corp.     8,960  
    11,000     Ciena Corp. *     384,340  
    1,100     Civista Bancshares, Inc.     23,870  
    3,200     Clarus Corp.     40,800  
    700     CNB Financial Corp.     17,325  
    18,900     CNO Financial Group, Inc.     296,919  
    1,000     Community Trust Bancorp, Inc.     39,590  
    6,800     Comtech Telecommunications Corp.     143,820  
    600     Consolidated Water Co. Ltd.     8,130  
    4,200     Core-Mark Holding Co., Inc.     154,896  
    18,500     CoreCivic, Inc. (REIT)     405,150  
 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description       
Value ($)
 
          United States — continued  
    4,300     CorePoint Lodging, Inc. (REIT)     52,116  
    300     CRA International, Inc.     11,232  
    5,249     CSG Systems International, Inc.     235,418  
    15,400     Designer Brands, Inc. – Class A     278,586  
    1,800     Digi International, Inc. *     19,602  
    1,900     Diodes, Inc. *     58,767  
    400     Donegal Group, Inc. – Class A     5,780  
    1,000     Ducommun, Inc. *     45,130  
    29,700     Dynex Capital, Inc. (REIT)     163,350  
    600     El Paso Electric Co.     34,920  
    1,000     Employers Holdings, Inc.     41,540  
    5,700     Ennis, Inc.     105,564  
    14,400     Enova International, Inc. *     307,440  
    700     Escalade, Inc.     7,791  
    700     ESSA Bancorp, Inc.     10,605  
    2,300     Essent Group Ltd. *     107,985  
    2,300     Evolution Petroleum Corp.     14,053  
    1,100     Farmers National Banc Corp.     14,795  
    8,460     Federal Signal Corp.     202,109  
    11,700     Federated Investors, Inc. – Class B     357,201  
    2,800     FedNat Holding Co.     37,856  
    1,600     Financial Institutions, Inc.     43,248  
    1,922     First Community Bankshares, Inc.     62,965  
    5,100     First Defiance Financial Corp.     138,210  
    1,100     First Financial Corp.     41,613  
    700     First Financial Northwest, Inc.     10,612  
    13,500     Flagstar Bancorp, Inc.     424,980  
    200     Flexsteel Industries, Inc.     3,430  
    100     Flushing Financial Corp.     2,103  
    400     FONAR Corp. *     7,680  
    1,000     FTI Consulting, Inc. *     83,920  
    38,700     Fulton Financial Corp.            609,912  
    2,400     FutureFuel Corp.     24,912  
    32,200     Gannett Co., Inc.     253,092  
    1,600     Genie Energy Ltd. – Class B     14,944  
    22,000     GEO Group, Inc. (The) (REIT)     482,460  
    3,400     Global Brass & Copper Holdings, Inc.     148,342  
    1,300     Gorman-Rupp Co. (The)     38,571  
    200     Graham Holdings Co. – Class B     136,108  
    600     Great Southern Bancorp, Inc.     33,132  
    5,800     Griffon Corp.     83,404  
    2,200     Group 1 Automotive, Inc.     158,818  
    300     Hallmark Financial Services, Inc. *     3,537  
    6,400     Haverty Furniture Cos, Inc.     111,424  
    3,200     Helen of Troy Ltd. *     427,552  
    15,263     Herman Miller, Inc.     541,684  
    17,400     Hersha Hospitality Trust (REIT)     296,670  
    800     HomeTrust Bancshares, Inc.     19,584  
    200     Hurco Cos, Inc.     7,012  
    4,300     Hyster-Yale Materials Handling, Inc.     189,114  
    1,800     ICF International, Inc.     131,202  
    4,300     IDACORP, Inc.     431,161  
Shares     Description       
Value ($)
 
          United States — continued  
    100     Independence Holding Co.     3,733  
    6,266     Independent Bank Corp.     132,526  
    4,300     Information Services Group, Inc. *     13,373  
    1,600     Ingles Markets, Inc. – Class A     47,696  
    2,800     Innospec, Inc.     225,988  
    5,400     Insight Enterprises, Inc. *     277,992  
    4,216     Inter Parfums, Inc.     273,112  
    6,300     International Bancshares Corp.     229,698  
    1,600     INTL. FCStone, Inc. *     55,616  
    2,700     iStar, Inc. (REIT)     29,727  
    1,623     Johnson Outdoors, Inc. – Class A     119,794  
    11,097     K12, Inc. *     339,235  
    1,700     Kimball Electronics, Inc. *     24,225  
    1,700     Kimball International, Inc. – Class B     26,248  
    2,800     Knoll, Inc.     54,992  
    1,100     Lantheus Holdings, Inc. *     26,389  
    7,200     Laureate Education, Inc. – Class A *     115,632  
    1,100     LCNB Corp.     18,667  
    900     Leaf Group Ltd. *     6,471  
    7,500     Liberty TripAdvisor Holdings, Inc. – Class A *     79,875  
    2,000     Macatawa Bank Corp.     20,300  
    12,700     Mallinckrodt Plc *     110,363  
    4,600     Marcus Corp. (The)     160,816  
    300     Marlin Business Services Corp.     6,690  
    4,100     Materion Corp.            247,845  
    3,000     Matrix Service Co. *     54,300  
    2,600     Meritor, Inc. *     52,416  
    6,500     MGIC Investment Corp. *     88,075  
    100     MidWestOne Financial Group, Inc.     2,784  
    800     Miller Industries, Inc.     21,240  
    1,500     Modine Manufacturing Co. *     19,275  
    300     Monarch Casino & Resort, Inc. *     12,909  
    3,600     Monotype Imaging Holdings, Inc.     58,644  
    6,900     Moog, Inc. – Class A     568,698  
    5,500     Movado Group, Inc.     141,680  
    800     MutualFirst Financial, Inc.     23,904  
    5,800     National General Holdings Corp.     131,776  
    4,000     Natural Grocers by Vitamin Cottage, Inc. *     41,080  
    6,100     Nautilus, Inc. *     16,409  
    600     Northrim BanCorp, Inc.     20,058  
    18,600     Northwest Bancshares, Inc.     311,922  
    700     NorthWestern Corp.     49,658  
    77,100     Office Depot, Inc.     151,116  
    6,500     OFG Bancorp     122,070  
    100     Oil-Dri Corp. of America     2,939  
    6,600     Old National Bancorp     105,204  
    800     Old Second Bancorp, Inc.     9,760  
    2,300     Olympic Steel, Inc.     28,474  
    3,700     Oppenheimer Holdings, Inc. – Class A     91,168  
    300     Orrstown Financial Services, Inc.     6,372  
    300     Park-Ohio Holdings Corp.     9,366  
    3,000     PC Connection, Inc.     95,220  
 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description       
Value ($)
 
          United States — continued  
    500     PCM, Inc. *     12,775  
    46,600     PDL BioPharma, Inc. *     131,412  
    10,300     PennyMac Financial Services, Inc.     218,463  
    1,800     PennyMac Mortgage Investment Trust (REIT)     37,440  
    400     Peoples Bancorp, Inc.     12,364  
    18,600     Piedmont Office Realty Trust, Inc. – Class A (REIT)     378,138  
    3,800     PNM Resources, Inc.     179,018  
    9,900     Popular, Inc.     516,879  
    6,700     Portland General Electric Co.     354,162  
    200     Preformed Line Products Co.     9,402  
    1,000     Premier Financial Bancorp, Inc.     15,610  
    1,300     Protective Insurance Corp. – Class B     22,295  
    3,000     Provident Financial Services, Inc.     71,520  
    100     Quanex Building Products Corp.     1,551  
    2,400     Radiant Logistics, Inc. *     15,264  
    800     Rambus, Inc. *     9,088  
    1,000     Republic Bancorp, Inc. – Class A     45,840  
    100     REX American Resources Corp. *     6,747  
    6,600     Ribbon Communications, Inc. *     28,182  
    1,200     Riverview Bancorp, Inc.     9,300  
    900     Rocky Brands, Inc.     22,014  
    1,000     RR Donnelley & Sons Co.     2,220  
    1,200     RTI Surgical Holdings, Inc. *     5,076  
    1,600     Rudolph Technologies, Inc. *     36,912  
    12,200     Sanmina Corp. *     324,398  
    1,300     Seneca Foods Corp. – Class A *     32,110  
    800     Shiloh Industries, Inc. *     3,232  
    6,600     Shoe Carnival, Inc.     169,554  
    3,000     Sierra Bancorp     74,400  
    900     SilverBow Resources, Inc. *     12,843  
    1,300     Smart & Final Stores, Inc. *     8,463  
    2,400     Sonic Automotive, Inc. – Class A     41,832  
    800     Southwest Gas Holdings, Inc. *     68,112  
    20,600     Southwestern Energy Co. *     73,954  
    728     Speedway Motorsports, Inc.     13,220  
    11,000     Spok Holdings, Inc.     169,950  
    1,200     Star Group LP     11,628  
    19,900     Steelcase Inc – Class A     319,196  
    2,400     Stepan Co.            203,664  
    6,000     SunCoke Energy, Inc. *     44,040  
    33,300     Sunstone Hotel Investors, Inc. (REIT)     446,886  
    1,700     Sykes Enterprises, Inc. *     42,092  
    5,500     Tech Data Corp. *     498,575  
    32,500     TEGNA, Inc.     492,050  
    1,300     Telenav, Inc. *     9,698  
    14,700     Telephone & Data Systems, Inc.     423,507  
    1,600     Territorial Bancorp, Inc.     43,040  
    300     Timberland Bancorp, Inc.     7,314  
    12,000     Timken Co. (The)     528,120  
    7,800     Tower International, Inc.     135,954  
    3,400     Tredegar Corp.     53,006  
    3,400     Tribune Publishing Co. *     33,388  
Shares     Description       
Value ($)
 
          United States — continued  
    4,000     TriCo Bancshares     149,200  
    2,800     Trinseo SA     103,152  
    600     Triple-S Management Corp. – Class B *     14,700  
    600     Twin Disc, Inc. *     8,652  
    16,000     Unisys Corp. *     155,200  
    700     United Security Bancshares     7,140  
    1,300     United States Cellular Corp. *     56,615  
    5,700     Universal Corp.     322,164  
    400     Universal Forest Products, Inc.     12,900  
    2,000     Valhi, Inc.     4,000  
    2,861     Vectrus, Inc. *     100,965  
    5,500     Vera Bradley, Inc. *     60,225  
    1,900     Veritiv Corp. *     33,554  
    10,100     Verso Corp. – Class A *     173,922  
    731     Village Super Market, Inc. – Class A     19,357  
    30,100     Vishay Intertechnology, Inc.     458,724  
    2,578     Vishay Precision Group, Inc. *     92,344  
    52,400     W&T Offshore, Inc. *     220,080  
    3,146     Waterstone Financial, Inc.     51,940  
    1,000     Watts Water Technologies, Inc. – Class A     81,390  
    1,400     Weis Markets, Inc.     52,920  
    700     West Bancorporation, Inc.     14,560  
    1,400     Weyco Group, Inc.     35,028  
    7,800     World Fuel Services Corp.     227,292  
    26,977     Xenia Hotels & Resorts, Inc. (REIT)     564,089  
    9,200     Zumiez, Inc. *     181,976  
     

 

 

 
    Total United States         26,551,526  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $76,958,504)
    69,993,235  
     

 

 

 
          PREFERRED STOCKS (c) — 0.8%  
          Brazil — 0.2%  
        20,000     Banco do Estado do Rio Grande do Sul SA – Class B     121,052  
     

 

 

 
          Colombia — 0.0%      
    1,939     Grupo Aval Acciones y Valores SA     674  
     

 

 

 
          Germany — 0.2%      
    206     Sixt SE     14,366  
    873     Volkswagen AG     135,716  
     

 

 

 
    Total Germany     150,082  
     

 

 

 
          South Korea — 0.4%  
    9,272     Samsung Electronics Co Ltd     270,177  
    115     Samsung Electronics Co Ltd GDR     82,783  
     

 

 

 
    Total South Korea     352,960  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $627,577)
    624,768  
     

 

 

 
 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Par Value† /
Shares
    Description   Value ($)  
    DEBT OBLIGATIONS — 9.0%  
          United States — 9.0%      
        3,500,000     U.S. Treasury Note, Variable Rate, USBM + 0.14%, 2.49%, due 04/30/21     3,499,404  
    4,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.37%, due 10/31/20 (d)     3,997,691  
     

 

 

 
    Total United States         7,497,095  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $7,499,043)
    7,497,095  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Spain — 0.0%  
    1,560     Almirall SA, Expires 06/04/19 *     348  
     

 

 

 
          Thailand — 0.0%      
    3,633     BTS Group Holdings Pcl (Foreign Registered), Expires 12/31/19 *     98  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $355)
    446  
     

 

 

 
    

    
Shares

    Description   Value ($)  
          MUTUAL FUNDS — 4.4%  
          United States — 4.4%  
    Affiliated Issuers — 4.4%  
    727,315     GMO U.S. Treasury Fund     3,636,576  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $3,636,576)
    3,636,576  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.6%  
          Money Market Funds — 0.6%  
    518,274     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30 % (e)     518,274  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $518,274)
    518,274  
     

 

 

 
    TOTAL INVESTMENTS — 98.9%
(Cost $89,240,329)
    82,270,394  
    Other Assets and Liabilities (net) — 1.1%     953,011  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $83,223,405  
     

 

 

 
 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

 

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Apprecia-
tion
(Deprecia-
tion)
($)
 
06/17/2019   BOA     AUD       1,368,865       USD       955,317       5,335  
06/17/2019   BCLY     CHF       412,092       USD       411,097       (993
08/20/2019   BCLY     EUR       6,357,551       USD       7,168,124       20,277  
08/20/2019   BCLY     GBP       3,326,692       USD       4,277,743       56,008  
07/19/2019   MSCI     JPY       847,977,854       USD       7,626,935       (226,364
06/17/2019   BCLY     NOK       6,923,852       USD       795,522       3,976  
06/17/2019   GS     SEK       9,926,248       USD       1,033,504       (13,897
07/19/2019   BCLY     USD       353,742       JPY       38,600,000       3,741  
07/19/2019   BOA     USD       1,332,934       JPY       148,179,600       39,388  
           

 

 

 
            $ (112,529
           

 

 

 

Futures Contracts

 

Number
of
Contracts +

  Type   Expiration
Date
  Notional
Amount
($)
    Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Sales        
479   S&P 500 E-Mini   June 2019   $ 65,924,770     $ 479,394  
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

 

Sales - Fund is short the futures contract.

 

 

As of May 31, 2019, 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:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

*

Non-income producing security.

 


GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

 

(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.

 

(b)

Investment valued using significant unobservable inputs.

 

(c)

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

 

(d)

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

 

(e)

The rate disclosed is the 7 day net yield as of May 31, 2019.

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

 

 

Currency Abbreviations:

 

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

 
 


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares /
Par Value†
    Description   Value ($)  
    COMMON STOCKS — 22.8%  
          United States — 22.8%  
    23,276     Anadarko Petroleum Corp.     1,637,932  
    23,913     Celgene Corp. * (a) (b)     2,242,800  
    44,377     Centene Corp. * (a) (b) (c)     2,562,772  
    23,342     Discovery, Inc. – Class C *     598,489  
    46,384     Finisar Corp. *     973,136  
    101,152     First Data Corp. * (a)     2,571,284  
    16,004     L3 Technologies, Inc. (b)     3,873,928  
    6,920     Liberty Expedia Holdings, Inc. – Class A * (b)     285,312  
    42,939     Liberty Global Plc – Series C * (c)     1,040,841  
    12,393     Liberty Media Corp.-Liberty SiriusXM –
Class C * (a)
    447,883  
    6,696     Mellanox Technologies Ltd *     735,087  
    21,491     Nielsen Holdings Plc (b) (c)     488,490  
    43,233     Pacific Biosciences of California, Inc. *     289,661  
    9,100     Red Hat, Inc. * (a)     1,677,130  
    65,561     SunTrust Banks, Inc. (b)     3,934,316  
    46,054     TCF Financial Corp. (a)     877,789  
    43,100     Versum Materials, Inc. (a)     2,213,185  
    44,203     Viacom, Inc. – Class B (b) (c)     1,283,213  
    12,700     WABCO Holdings, Inc. * (a)     1,662,557  
    6,271     WellCare Health Plans, Inc. *     1,731,988  
    34,958     Worldpay, Inc. – Class A * (a)     4,252,291  
    34,550     Zayo Group Holdings, Inc. * (a)     1,129,785  
     

 

 

 
    Total United States     36,509,869  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $37,006,969)
    36,509,869  
     

 

 

 
          INVESTMENT FUNDS — 3.3%  
          United States — 3.3%  
    90,100     Altaba, Inc. *     5,333,920  
     

 

 

 
    TOTAL INVESTMENT FUNDS
(COST $6,680,468)
    5,333,920  
     

 

 

 
Par Value† /
Shares
    Description       
Value ($)
 
          DEBT OBLIGATIONS — 37.3%  
          United States — 37.3%  
    U.S. Government — 37.3%

 

    30,000,000     U.S. Treasury Note, 1.50%, due 10/31/19     29,889,844  
    30,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.14%, 2.49%, due 04/30/21 (a)     29,994,893  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $59,886,058)
    59,884,737  
     

 

 

 
          MUTUAL FUNDS — 10.0%  
          United States — 10.0%  
    Affiliated Issuers — 10.0%

 

    831,785     GMO Alpha Only Fund, Class IV     16,070,093  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $16,120,000)
    16,070,093  
     

 

 

 
          SHORT-TERM INVESTMENTS — 38.4%  
          Money Market Funds — 0.3%  
    466,235     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (d)     466,235  
     

 

 

 
          Repurchase Agreements — 38.1%  
    61,019,700     Daiwa Capital Markets America Inc. Repurchase Agreement, dated 5/31/19, maturing on 6/3/19 with a maturity value of $61,032,260 and an effective yield of 2.47%, collateralized by a U.S. Treasury Note with maturity date 11/30/25 and a market value of $62,441,072.     61,019,700  
     

 

 

 
   

TOTAL SHORT-TERM INVESTMENTS

(COST $61,485,935)

    61,485,935  
     

 

 

 
 

 

PURCHASED OPTIONS — 0.0%

 

Description    Exercise
Price
     Expiration
Date
       Number of
Contracts
       Notional
Amount
       Value ($)

Index Options – Puts — 0.0%

                           

S&P 500 Index

   2,700.00        07/19/19          USD        4          USD       400                 19,120
                           

 

  

TOTAL PURCHASED OPTIONS (COST $6,804)

 

       19,120
                           

 

   TOTAL INVESTMENTS — 111.8%
(Cost $181,186,234)

 

       179,303,674
                           

 

 


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    SECURITIES SOLD SHORT — (15.1)%

 

          Common Stocks — (15.1)%  
    China — (2.9)%

 

    (30,817   Alibaba Group Holding Ltd Sponsored ADR *     (4,599,745
     

 

 

 
          United States — (12.2)%  
    (84,902   BB&T Corp.     (3,969,169
    (23,913   Bristol-Myers Squibb Co.     (1,084,933
    (21,196   Centene Corp. * (c)     (1,224,069
    (23,389   Chemical Financial Corp.     (885,508
    (21,811   Discovery, Inc. – Class A *     (594,568
    (2,492   Expedia Group, Inc.     (286,580
    (32,467   Fidelity National Information Services, Inc.     (3,905,780
    (30,645   Fiserv, Inc. *     (2,631,179
    (20,805   Harris Corp.     (3,894,488
    
Shares
    Description   Value ($)  
          United States — continued  
    (10,288   II-VI, Inc. *     (323,352
    (6,830   Occidental Petroleum Corp.     (339,929
    (85,580   Sirius XM Holdings, Inc.     (454,430
     

 

 

 
  Total United States     (19,593,985
     

 

 

 
    TOTAL COMMON STOCKS
(PROCEEDS $25,594,723)
    (24,193,730
     

 

 

 
    TOTAL SECURITIES SOLD SHORT
(PROCEEDS $25,594,723)
    (24,193,730
    Other Assets and Liabilities (net) — 3.3%     5,295,109  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $160,405,053  
     

 

 

 
 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Apprecia-
tion
(Deprecia-
tion)
($)
 
07/22/2019   MSCI     AUD       5,871,755       USD       4,076,593       (2,484
08/06/2019   BCLY     AUD       487,000       USD       337,367       (1,093
08/06/2019   BOA     AUD       21,350,000       USD       15,052,620       214,580  
08/06/2019   JPM     AUD       480,000       USD       336,605       3,009  
06/04/2019   JPM     BRL       2,200,000       USD       559,227       (1,432
06/04/2019   MSCI     BRL       4,792,856       USD       1,207,261       (14,176
07/02/2019   MSCI     BRL       3,496,428       USD       865,656       (23,148
06/04/2019   MSCI     CAD       542,377       USD       400,799       (496
06/17/2019   BCLY     CHF       12,800,000       USD       12,769,099       (30,837
07/22/2019   BOA     CHF       272,503       USD       270,895       (2,515
07/22/2019   JPM     CHF       8,943,078       USD       8,905,017       (67,836
07/22/2019   MSCI     CHF       218,979       USD       217,976       (1,731
09/04/2019   JPM     CHF       9,336,853       USD       9,360,000       (45,513
07/17/2019   BCLY     CLP       1,020,900,000       USD       1,505,752       67,818  
07/17/2019   MSCI     CLP       167,496,000       USD       240,000       4,082  
07/16/2019   BCLY     COP       5,427,900,000       USD       1,672,696       69,800  
06/13/2019   BOA     CZK       21,300,000       USD       935,158       14,077  
07/22/2019   BCLY     EUR       5,413,974       USD       6,101,248       28,604  
08/20/2019   SSB     EUR       5,000,000       USD       5,648,401       26,860  
08/23/2019   MSCI     EUR       2,160,000       USD       2,423,758       (5,336
06/17/2019   GS     GBP       800,000       USD       1,044,067       31,995  
07/22/2019   BCLY     GBP       1,004,839       USD       1,293,542       20,079  
06/13/2019   BOA     HUF       386,400,000       USD       1,343,568       14,551  
06/10/2019   BCLY     IDR       6,540,700,000       USD       453,680       (4,593
06/10/2019   BOA     IDR       2,322,944,000       USD       161,125       (1,631
06/10/2019   MSCI     IDR       8,863,644,000       USD       615,959       (5,071
06/07/2019   BOA     JPY       38,344,425       USD       350,000       (3,925
06/07/2019   GS     JPY       162,033,581       USD       1,490,000       (5,595
06/10/2019   BCLY     KRW       221,103,000       USD       190,000       4,088  
06/10/2019   JPM     KRW       1,759,200,000       USD       1,514,958       35,755  
09/10/2019   BCLY     KRW       1,980,303,000       USD       1,669,592       (1,950
07/08/2019   BCLY     NOK       4,112,970       USD       470,000       (558
06/05/2019   GS     NZD       7,800,000       USD       5,191,912       89,153  
06/17/2019   BOA     NZD       3,099,834       USD       2,056,002       27,546  
09/05/2019   GS     NZD       870,000       USD       567,362       (2,966
06/07/2019   JPM     PHP       17,100,000       USD       329,693       1,899  
09/09/2019   JPM     PHP       17,100,000       USD       325,342       (39
06/13/2019   GS     PLN       1,500,000       USD       394,622       3,159  
07/30/2019   BOA     RON       5,200,000       USD       1,223,863       1,892  
08/06/2019   BCLY     SEK       31,451,719       USD       3,310,000       (21,175

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Apprecia-
tion
(Deprecia-
tion)
($)
 
06/17/2019   JPM     SGD       900,000       USD       657,907       2,633  
06/11/2019   JPM     TWD       43,400,000       USD       1,405,554       29,742  
09/11/2019   BCLY     TWD       43,400,000       USD       1,373,809       (3,780
06/04/2019   BOA     USD       4,706,044       CAD       6,300,000       (44,793
06/04/2019   CITI     USD       403,942       CAD       542,377       (2,648
06/04/2019   JPM     USD       558,276       BRL       2,200,000       2,383  
06/04/2019   MSCI     USD       1,196,692       BRL       4,792,856       24,744  
06/04/2019   MSCI     USD       1,000,000       CAD       1,345,879       (4,209
06/05/2019   GS     USD       1,309,834       NZD       2,000,000       (1,435
06/05/2019   MSCI     USD       3,774,408       NZD       5,800,000       19,951  
06/07/2019   BOA     USD       2,383,492       JPY       264,400,000       56,962  
06/07/2019   JPM     USD       327,775       PHP       17,100,000       19  
06/10/2019   BCLY     USD       457,616       IDR       6,540,700,000       657  
06/10/2019   BCLY     USD       1,664,400       KRW       1,980,303,000       716  
06/10/2019   BOA     USD       160,000       IDR       2,322,944,000       2,757  
06/10/2019   MSCI     USD       614,805       IDR       8,863,644,000       6,224  
06/11/2019   BCLY     USD       1,372,549       TWD       43,400,000       3,263  
06/13/2019   BOA     USD       1,176,412       THB       37,600,000       11,912  
06/14/2019   JPM     USD       1,077,281       INR       75,400,000       5,571  
06/17/2019   BCLY     USD       1,660,956       GBP       1,320,000       8,962  
06/17/2019   BOA     USD       1,637,152       GBP       1,290,000       (5,187
06/17/2019   MSCI     USD       68,316       NZD       104,159       (157
06/20/2019   BCLY     USD       1,619,748       TRY       10,000,000       79,681  
07/08/2019   DB     USD       9,437,277       NOK       81,300,000       (135,878
07/22/2019   BCLY     USD       529,218       GBP       415,703       (2,385
07/22/2019   JPM     USD       314,344       EUR       280,413       184  
07/26/2019   JPM     USD       1,657,383       RUB       108,600,000       (9,606
07/30/2019   BCLY     USD       230,000       ZAR       3,343,763       (2,010
08/06/2019   BOA     USD       1,261,171       AUD       1,810,000       (3,239
08/06/2019   BOA     USD       12,729,371       SEK       120,100,000       (9,109
08/06/2019   MSCI     USD       401,419       CAD       542,377       490  
08/21/2019   BOA     USD       1,632,905       MXN       31,800,000       (31,439
08/23/2019   BOA     USD       2,136,453       EUR       1,900,000       250  
08/28/2019   MSCI     USD       606,974       IDR       8,863,644,000       4,362  
09/04/2019   BOA     USD       4,190,000       CAD       5,666,640       11,475  
09/04/2019   JPM     USD       8,960,000       NOK       78,464,512       32,871  
07/30/2019   GS     ZAR       7,500,000       USD       517,114       5,735  
           

 

 

 
  $ 470,516  
           

 

 

 
 


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Futures Contracts

 

Number
of
Contracts +

 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Buys        
13   Australian Government Bond 10 Yr.   June 2019     1,278,863       33,348  
60   CAC40 10 Euro   June 2019     3,461,354       (39,067
12   DAX Index   June 2019     3,914,341       (179,470
110   FTSE 100 Index   June 2019     9,895,759       (240,554
30   Hang Seng Index   June 2019     5,113,654       (93,874
135   Mini MSCI Emerging Markets   June 2019     6,751,350       (525,278
46   MSCI Singapore   June 2019     1,167,414       (22,166
6   SPI 200   June 2019     663,772       6,940  
     

 

 

   

 

 

 
      $ 32,246,507     $ (1,060,121
     

 

 

   

 

 

 

Number
of
Contracts +

 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Sales        
37   Canadian Government Bond 10 Yr.   September 2019   $ 3,909,645     $ (40,704
40   Euro Bund   June 2019     7,503,587       (134,553
40   Euro Bund   September 2019     7,612,348       (4,429
29   FTSE/JSE TOP 40   June 2019     990,109       56,078  
63   Gilt Long Bond   September 2019     10,294,884       (44,527
5   Japanese Government Bond 10 Yr. (OSE)   June 2019     7,055,013       (20,283
15   MSCI Taiwan Index   June 2019     568,820       (7,020
97   S&P 500 E-Mini   June 2019     13,350,110       841,305  
15   TOPIX Index   June 2019     2,066,153       69,227  
26   U.S. Treasury Note 10 Yr. (CBT)   September 2019     3,295,500       (34,803
     

 

 

   

 

 

 
      $ 56,646,169     $ 680,291  
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

 

Sales - Fund is short the futures contract.

 

 

Written Options

Equity Options

 

Description

   Exercise
Price
     Expiration
Date
     Number of
Contracts
   

Notional

Amount

    Value ($)  

Equity Options – Calls

               

Nielsen Holdings Plc (c)

     25.00        08/16/19        (214   USD      (55,286,134     (22,470

Viacom, Inc. (c)

     27.50        09/20/19        (245   USD      (711,235     (68,600

Liberty Global Plc (c)

     25.00        10/18/19        (605   USD      (1,488,300     (111,925

Centene Corp. (c)

     55.00        12/20/19        (198   USD      (114,345     (174,240

Viacom, Inc. (c)

     30.00        12/20/19        (247   USD      (717,041     (51,870

Centene Corp. (c)

     50.00        12/20/19        (247   USD      (1,426,425     (298,870
               

 

 

 
     TOTAL WRITTEN EQUITY OPTIONS – CALLS     $ (727,975
               

 

 

 

Equity Options – Puts

               

Nielsen Holdings Plc (c)

     24.00        06/21/19        (320   USD      (727,360     (73,600

Liberty Global Plc (c)

     22.50        10/18/19        (403   USD      (991,380     (56,420

Liberty Global Plc (c)

     25.00        10/18/19        (202   USD      (496,920     (51,510

Viacom, Inc. (c)

     27.50        12/20/19        (247   USD      (717,041     (51,870
               

 

 

 
     TOTAL WRITTEN EQUITY OPTIONS – PUTS     $ (233,400
               

 

 

 


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Index Options – Puts

 

Description

   Counterparty    Exercise
Price
     Expiration
Date
     Number of
Contracts
   Notional
Amount
     Value ($)  

S&P 500 Index

   MSLC      2,805.00        06/03/19        (3   USD      (825,618      (15,789

S&P 500 Index

   MSLC      2,785.00        06/05/19        (3   USD      (825,618      (12,540

S&P 500 Index

   MSLC      2,755.00        06/07/19        (6   USD      (1,651,236      (17,976

FTSE 100 Index

   MSLC      7,300.00        06/21/19        (17   GBP      (1,217,491      (39,875

S&P 500 Index

   MSLC      2,855.00        06/21/19        (23   USD      (6,329,738      (253,690

S&P 500 Index

   MSLC      2,755.00        06/21/19        (6   USD      (1,651,236      (27,780

S&P 500 Index

   MSLC      2,805.00        06/21/19        (3   USD      (825,618      (21,810

FTSE 100 Index

   MSLC      7,275.00        06/21/19        (4   GBP      (286,468      (8,476

FTSE 100 Index

   MSLC      7,350.00        06/21/19        (14   GBP      (1,002,639      (39,779

S&P 500 Index

   MSLC      2,785.00        06/21/19        (3   USD      (825,618      (18,330
                   

 

 

 
  

TOTAL INDEX OPTIONS – PUTS

     $ (456,045
                   

 

 

 
   TOTAL WRITTEN OPTIONS
(Premiums $1,025,523)
     $ (1,417,420
                   

 

 

 

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) ($)
 

2.12%

   3 Month CAD LIBOR    CAD      5,845,000        06/18/2029      Semi-Annually            (74,345     (74,345

3 Month CAD LIBOR

   2.18%    CAD      57,500,000        06/18/2029      Semi-Annually      63,230       979,589       916,359  

3 Month SEK STIBOR

   0.78%    SEK      27,257,000        06/19/2029      Quarterly      5,244       24,451       19,207  

3 Month SEK STIBOR

   0.78%    SEK      45,451,000        06/19/2029      Quarterly            41,240       41,240  

2.21%

   3 Month USD LIBOR    USD      1,808,000        06/20/2029      Quarterly            (18,784     (18,784

2.28%

   3 Month USD LIBOR    USD      3,197,000        06/20/2029      Quarterly            (53,754     (53,754

2.31%

   3 Month USD LIBOR    USD      3,107,000        06/20/2029      Quarterly            (60,452     (60,452

2.34%

   3 Month USD LIBOR    USD      4,497,000        06/20/2029      Quarterly            (98,767     (98,767

2.42%

   3 Month USD LIBOR    USD      3,506,000        06/20/2029      Quarterly            (104,160     (104,160

2.45%

   3 Month USD LIBOR    USD      4,649,000        06/20/2029      Quarterly            (150,193     (150,193

3 Month USD LIBOR

   2.52%    USD      1,338,000        06/20/2029      Quarterly            51,883       51,883  

3 Month USD LIBOR

   2.37%    USD      3,592,000        06/20/2029      Quarterly            90,348       90,348  

3 Month USD LIBOR

   2.50%    USD      40,200,000        06/20/2029      Quarterly      (13,364     1,481,893       1,495,257  

3 Month CAD LIBOR

   2.12%    CAD      12,192,000        09/17/2029      Semi-Annually      (900     148,992       149,892  

3 Month NZD Bank Bill Rate

   1.99%    NZD      27,502,000        09/18/2029      Quarterly            71,190       71,190  

3 Month NZD Bank Bill Rate

   1.98%    NZD      19,770,000        09/18/2029      Quarterly      (4,030     42,925       46,955  

1.91%

   6 Month AUD BBSW    AUD      4,629,000        06/19/2029      Semi-Annually      2,388       (53,549     (55,937

6 Month CHF LIBOR

   (0.00)%    CHF      3,956,000        06/19/2029      Semi-Annually            44,752       44,752  

0.53%

   6 Month EURIBOR    EUR      14,500,000        06/20/2029      Semi-Annually      1,424       (303,641     (305,065

1.23%

   6 Month GBP LIBOR    GBP      7,704,000        06/20/2029      Semi-Annually      2,678       (111,997     (114,675

1.25%

   6 Month GBP LIBOR    GBP      2,580,000        06/20/2029      Semi-Annually            (42,050     (42,050

6 Month EURIBOR

   0.43%    EUR      3,390,000        06/20/2029      Semi-Annually            31,043       31,043  

1.78%

   6 Month AUD BBSW    AUD      34,414,000        09/18/2029      Semi-Annually            (54,814     (54,814

1.81%

   6 Month AUD BBSW    AUD      34,875,000        09/18/2029      Semi-Annually            (130,848     (130,848

1.83%

   6 Month AUD BBSW    AUD      4,441,000        09/18/2029      Semi-Annually            (21,486     (21,486

1.14%

   6 Month GBP LIBOR    GBP      2,582,000        09/19/2029      Semi-Annually            (3,297     (3,297

1.21%

   6 Month GBP LIBOR    GBP      2,941,000        09/19/2029      Semi-Annually            (28,529     (28,529
                 

 

 

   

 

 

   

 

 

 
   $ 56,670     $ 1,697,640     $ 1,640,970  
                 

 

 

   

 

 

   

 

 

 


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

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 Bloomberg Commodity Index (e)

  1 Month Fed
Funds Rate
minus 1.50%
  MSCI     USD       711,719       01/10/2020       Monthly     $     $ 16,989     $ 16,989  
             

 

 

   

 

 

   

 

 

 

As of May 31, 2019, 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:

ADR - American Depositary Receipt

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

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

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

EURIBOR - Euro Interbank Offered Rate

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

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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.

 

(b)

All or a portion of this security is out on loan.

 

(c)

All or a portion of this investment is held in connection with one or more holdings within the Fund.

 

(d)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(e)

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.

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

MSLC - Morgan Stanley & Co. LLC

SSB - State Street Bank and Trust Company

 

Currency Abbreviations:

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 
 


GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%  
    Affiliated Issuers — 100.0%  
    15,656,637     GMO Emerging Country Debt Fund, Class IV     425,547,385  
    7,401,241     GMO High Yield Fund, Class VI     151,207,350  
    633,217,896     GMO Implementation Fund     8,263,493,538  
    19,939,237     GMO Opportunistic Income Fund, Class VI     532,577,029  
    9,826,717     GMO Risk Premium Fund, Class VI     264,436,955  
    24,519,115     GMO SGM Major Markets Fund, Class VI     790,005,896  
    13,704,953     GMO Special Opportunities Fund, Class VI     248,607,841  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $10,729,888,427)
    10,675,875,994  
     

 

 

 
    SHORT-TERM INVESTMENTS — 0.1%

 

    Money Market Funds — 0.1%  
    6,345,382     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (a)     6,345,382  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $6,345,382)     6,345,382  
     

 

 

 
    TOTAL INVESTMENTS — 100.1%
(Cost $10,736,233,809)
    10,682,221,376  
    Other Assets and Liabilities (net) — (0.1%)     (5,552,267
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $10,676,669,109  
     

 

 

 

Notes to Schedule of Investments:

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
    COMMON STOCKS — 47.5%

 

          Australia — 0.9%  
    226,149     Accent Group Ltd     232,549  
    38,235     Adairs Ltd     55,812  
    57,491     Alliance Aviation Services Ltd     105,247  
    15,825     Altium Ltd     336,316  
    65,697     Appen Ltd     1,175,704  
    59,542     Austal Ltd     120,357  
    5,755     Australia & New Zealand Banking Group Ltd     110,882  
    291,360     Australian Pharmaceutical Industries Ltd     262,263  
    65,176     Aventus Group (REIT)     104,400  
    164,957     Beach Energy Ltd     205,718  
    43,242     Bravura Solutions Ltd     168,307  
    63,152     Brickworks Ltd     713,200  
    146,123     Caltex Australia Ltd     2,669,863  
    6,453     Charter Hall Education Trust (REIT)     16,205  
    55,063     Charter Hall Group (REIT)     395,368  
    119,201     Charter Hall Retail (REIT)     365,170  
    40,010     Codan Ltd     90,615  
    25,626     CSR Ltd     70,626  
    5,268     Dexus (REIT)     47,146  
    246,602     Downer EDI Ltd     1,213,877  
    32,529     ERM Power Ltd     43,308  
    283,268     Fortescue Metals Group Ltd     1,575,181  
    113,244     GDI Property Group (REIT)     103,928  
    37,950     Genworth Mortgage Insurance Australia Ltd     70,900  
    186     GPT Group (The) (REIT)     744  
    120,333     Macquarie Group Ltd     10,012,008  
    16,608     Mineral Resources Ltd     172,654  
    141,313     Mirvac Group (REIT)     297,793  
    146,532     Mount Gibson Iron Ltd     123,639  
    351,434     New Hope Corp Ltd     636,898  
    5,776     Nine Entertainment Co Holdings Ltd     8,303  
    74,372     OZ Minerals Ltd     465,341  
    275,921     Sandfire Resources NL     1,175,459  
    526,749     Scentre Group (REIT)     1,390,367  
    45,958     Service Stream Ltd     78,917  
    360,498     Southern Cross Media Group Ltd     310,502  
    11,625     Stockland (REIT)     35,683  
    84,313     Super Retail Group Ltd     540,261  
    3,972     Virtus Health Ltd     10,896  
    332,516     Viva Energy (REIT)     597,153  
    256,854     Viva Energy Group Ltd     379,965  
    58,381     Whitehaven Coal Ltd     158,270  
     

 

 

 
    Total Australia     26,647,795  
     

 

 

 
          Austria — 0.0%  
    14,851     OMV AG     697,020  
    3,082     S IMMO AG     70,239  
    12,983     Vienna Insurance Group AG Wiener Versicherung Gruppe     317,701  
     

 

 

 
    Total Austria     1,084,960  
     

 

 

 
     Shares     Description       
Value ($)
 
          Belgium — 0.1%  
    12,499     AGFA-Gevaert NV *     50,801  
    4,529     Barco NV     880,733  
    1,729     D’ieteren SA     74,830  
    1,883     KBC Group NV     123,597  
    35,035     UCB SA     2,678,416  
     

 

 

 
    Total Belgium     3,808,377  
     

 

 

 
          Brazil — 1.9%  
    49,800     Atacadao SA     293,803  
    4,980     Banco Bradesco SA     41,437  
    302,800     Banco BTG Pactual SA     3,606,021  
    229,300     Banco do Brasil SA     3,029,907  
    739,800     Banco Santander Brasil SA     8,616,027  
    890,700     Cia de Saneamento Basico do Estado de Sao Paulo     10,035,257  
    71,900     Cia de Saneamento Basico do Estado de Sao Paulo ADR     807,437  
    5,000     Cia Paranaense de Energia     58,742  
    26,400     Construtora Tenda SA     137,451  
    19,400     Enauta Participacoes SA     63,036  
    46,700     Estacio Participacoes SA     350,493  
    94,700     Grendene SA     170,385  
    2,996,300     JBS SA     16,692,139  
    73,800     Mahle-Metal Leve SA     429,001  
    427,200     MRV Engenharia e Participacoes SA     1,872,562  
    1,228,440     Petrobras Distribuidora SA     7,998,737  
    3,300     Transmissora Alianca de Energia Eletrica SA     22,311  
    61,100     Tupy SA     305,815  
     

 

 

 
    Total Brazil     54,530,561  
     

 

 

 
          Canada — 1.5%  
    12,800     Absolute Software Corp     79,455  
    18,300     AGF Management Ltd – Class B     68,781  
    46,600     Bank of Montreal     3,383,626  
    25,637     BRP Inc Sub Voting     767,061  
    28,400     Canaccord Genuity Group Inc     104,640  
    65,100     Canadian National Railway Co     5,767,209  
    1,700     Canadian Solar Inc *     32,453  
    11,700     Canfor Corp *     76,176  
    29,800     Canfor Pulp Products Inc     246,276  
    6,200     Celestica Inc *     38,991  
    1,900     Centerra Gold Inc *     10,880  
    3,800     Cogeco Inc     237,486  
    23,900     Dundee Precious Metals Inc *     66,133  
    25,200     Enerflex Ltd     305,212  
    4,000     Enghouse Systems Ltd     99,645  
    7,700     Labrador Iron Ore Royalty Corp     179,568  
    9,900     Martinrea International Inc     71,635  
    4,500     Morguard North American Residential Real Estate Investment Trust     60,129  
    10,300     Rogers Sugar Inc     44,581  
    208,700     Royal Bank of Canada     15,684,926  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Canada — continued  
    56,500     Russel Metals Inc     892,479  
    72,200     Sun Life Financial Inc (a)     2,805,692  
    3,900     Teck Resources Ltd – Class B     79,264  
    29,900     TFI International Inc     911,423  
    175,800     Toronto-Dominion Bank (The)     9,612,030  
    35,400     Transcontinental Inc – Class A     374,272  
    3,900     Valener Inc     75,080  
    11,200     Wajax Corp     125,872  
    10,200     West Fraser Timber Co Ltd     397,631  
    22,500     Westshore Terminals Investment Corp     369,063  
     

 

 

 
    Total Canada     42,967,669  
     

 

 

 
          Chile — 0.0%  
    9,600     Enel Americas SA ADR     76,704  
    1,606     Inversiones La Construccion SA     26,233  
     

 

 

 
    Total Chile     102,937  
     

 

 

 
          China — 6.1%  
    88,000     361 Degrees International Ltd     16,326  
    586,000     7Road Holdings Ltd     102,556  
    35,500     AAC Technologies Holdings Inc     188,480  
    2,909,668     Agile Group Holdings Ltd     3,672,478  
    922,500     Agricultural Bank of China Ltd – Class A     491,414  
    30,692,000     Agricultural Bank of China Ltd – Class H     13,171,226  
    5,400     Alibaba Group Holding Ltd Sponsored ADR * (b)     806,004  
    103,400     Anhui Conch Cement Co Ltd – Class A     590,921  
    203,500     Anhui Conch Cement Co Ltd – Class H     1,192,376  
    20,500     Anhui Expressway Co Ltd – Class A     18,323  
    31,500     Anhui Xinhua Media Co Ltd – Class A     27,620  
    6,926,000     BAIC Motor Corp Ltd – Class H     4,292,259  
    3,559,000     Bank of China Ltd – Class H     1,475,672  
    13,540,000     Bank of Communications Co Ltd – Class H     10,611,235  
    11,000     Baoye Group Co Ltd – Class H *     6,735  
    214,700     Beijing North Star Co Ltd – Class A     112,002  
    48,000     BYD Electronic International Co Ltd     63,249  
    175,000     Cabbeen Fashion Ltd     44,667  
    41,000     CAR Inc *     32,264  
    37,000     CGN Power Co Ltd – Class H     10,187  
    4,000     Changyou.com Ltd ADR *     73,440  
    11,000     China Aoyuan Group Ltd     11,898  
    4,999,000     China CITIC Bank Corp Ltd – Class H     2,841,722  
    7,042,000     China Communications Services Corp Ltd – Class H     5,265,617  
    658,900     China Construction Bank Corp – Class A     665,392  
    3,413,000     China Construction Bank Corp – Class H     2,701,905  
    974,000     China Everbright Bank Co Ltd – Class H     440,049  
    28,000     China Evergrande Group     74,568  
    1,058,000     China Greenfresh Group Co Ltd *     118,858  
    646,000     China Huarong Asset Management Co Ltd – Class H     109,617  
    510,000     China Jinmao Holdings Group Ltd     294,448  
    2,992,000     China Lesso Group Holdings Ltd     1,909,149  
     Shares     Description       
Value ($)
 
          China — continued  
    573,000     China Lilang Ltd     509,333  
    2,517,000     China Machinery Engineering Corp – Class H     1,108,387  
    1,665,000     China Minsheng Banking Corp Ltd – Class H     1,211,608  
    131,500     China Mobile Ltd     1,148,647  
    47,000     China National Chemical Engineering Co Ltd – Class A     41,190  
    64,000     China Oriental Group Co Ltd     37,116  
    506,000     China Overseas Land & Investment Ltd     1,753,209  
    1,300     China Petroleum & Chemical Corp ADR     85,943  
    269,098     China Petroleum & Chemical Corp – Class A     210,742  
    12,004,000     China Petroleum & Chemical Corp – Class H     7,975,748  
    162,000     China Pioneer Pharma Holdings Ltd *     13,632  
    8,046,000     China Railway Construction Corp Ltd – Class H     9,403,430  
    3,544,042     China Railway Group Ltd – Class H     2,651,898  
    287,000     China Reinsurance Group Corp – Class H     52,353  
    170,000     China Resources Cement Holdings Ltd     147,403  
    18,000     China Resources Gas Group Ltd     86,307  
    326,000     China Resources Land Ltd     1,326,160  
    2,470,000     China Resources Pharmaceutical Group Ltd     3,234,005  
    402,000     China SCE Group Holdings Ltd     181,899  
    218,579     China Shenhua Energy Co Ltd – Class A     581,802  
    880,500     China Shenhua Energy Co Ltd – Class H     1,814,785  
    840,000     China Shineway Pharmaceutical Group Ltd     748,679  
    121,255     China South Publishing & Media Group Co Ltd – Class A     228,135  
    22,366,000     China Telecom Corp Ltd – Class H     11,239,272  
    388,000     China Travel International Investment Hong Kong Ltd     79,145  
    207,589     China Vanke Co Ltd – Class A     800,544  
    110,900     China Vanke Co Ltd – Class H     393,530  
    322,497     China Yangtze Power Co Ltd – Class A     826,913  
    28,100     China Yuchai International Ltd     390,871  
    51,600     Chinese Universe Publishing and Media Group Co Ltd – Class A *     100,505  
    92,100     Chongqing Changan Automobile Co Ltd – Class A     93,252  
    16,500     Chongqing Department Store Co Ltd – Class A     69,830  
    446,000     Chongqing Rural Commercial Bank Co Ltd – Class H     228,334  
    82,000     CIFI Holdings Group Co Ltd     49,103  
    237,000     CNOOC Ltd     385,050  
    400     CNOOC Ltd Sponsored ADR     64,948  
    499,000     Country Garden Holdings Co Ltd     674,339  
    112,000     CRRC Corp Ltd – Class A     128,086  
    100,000     Dah Chong Hong Holdings Ltd     30,761  
    651,099     Daqin Railway Co Ltd – Class A     787,928  
    5,292,000     Dongfeng Motor Group Co Ltd – Class H     4,353,598  
    52,500     Fangda Carbon New Material Co Ltd – Class A *     135,511  
    117,760     Fangda Special Steel Technology Co Ltd – Class A     154,911  
    27,300     Gemdale Corp – Class A     45,691  
    105,000     Genertec Universal Medical Group Co Ltd     79,674  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          China — continued  
    50,100     Gree Electric Appliances Inc of Zhuhai – Class A     379,737  
    91,000     Greentown China Holdings Ltd     60,429  
    82,600     GRG Banking Equipment Co Ltd – Class A     78,831  
    514,000     Guangdong Investment Ltd     1,010,402  
    9,185     Guangdong Provincial Expressway Development Co Ltd – Class A     11,867  
    942,000     Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H     3,942,401  
    3,969,879     Guangzhou R&F Properties Co Ltd – Class H     7,506,345  
    1,886,000     Haier Electronics Group Co Ltd *     4,822,061  
    18,000     Haitian International Holdings Ltd     35,632  
    110,000     Harbin Electric Co Ltd – Class H     63,953  
    46,600     Henan Shuanghui Investment & Development Co Ltd – Class A     168,722  
    250,489     Hisense Home Appliances Group Co Ltd – Class A     448,200  
    61,000     Hisense Home Appliances Group Co Ltd – Class H     72,505  
    103,183     HLA Corp Ltd – Class A     130,151  
    2,300     Hollysys Automation Technologies Ltd     40,986  
    2,478,000     Huabao International Holdings Ltd     1,036,883  
    45,000     Huaxin Cement Co Ltd – Class A     175,615  
    4,300     Huayu Automotive Systems Co Ltd – Class A     12,477  
    877,000     IGG Inc     1,041,982  
    942,900     Industrial & Commercial Bank of China Ltd – Class A     765,218  
    2,195,000     Industrial & Commercial Bank of China Ltd – Class H     1,568,847  
    6,900     Inner Mongolia First Machinery Group Co Ltd – Class A     10,700  
    192,000     Jiayuan International Group Ltd     89,347  
    647,000     Kingboard Holdings Ltd     1,701,150  
    52,500     Kingboard Laminates Holdings Ltd     44,800  
    344,000     Kunlun Energy Co Ltd     316,174  
    396,680     Livzon Pharmaceutical Group Inc – Class H     1,239,897  
    186,400     Logan Property Holdings Co Ltd     275,333  
    53,577     Loncin Motor Co Ltd – Class A     32,227  
    72,000     Longfor Group Holdings Ltd     265,233  
    2,307,000     Lonking Holdings Ltd     611,799  
    30,000     Midea Group Co Ltd – Class A     215,020  
    237,000     People’s Insurance Co Group of China Ltd (The) – Class H     93,205  
    504,000     PICC Property & Casualty Co Ltd – Class H     545,254  
    27,300     Ping An Insurance Group Co of China Ltd – Class A     312,174  
    30,000     Poly Developments and Holdings Group Co Ltd – Class A     52,685  
    10,117,000     Postal Savings Bank of China Co Ltd – Class H     6,050,749  
    558,000     Powerlong Real Estate Holdings Ltd     253,186  
    102,000     Qingling Motors Co Ltd – Class H     28,754  
    86,000     Red Star Macalline Group Corp Ltd – Class H     76,461  
    220,100     RiseSun Real Estate Development Co Ltd – Class A     299,334  
     Shares     Description       
Value ($)
 
          China — continued  
    175,000     Road King Infrastructure Ltd     354,927  
    9,600     Shaanxi Coal Industry Co Ltd – Class A     12,119  
    316,000     Shanghai Jin Jiang International Hotels Group Co Ltd – Class H     66,093  
    26,280     Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A     55,231  
    11,100     Shanghai Mechanical and Electrical Industry Co Ltd – Class A     26,554  
    43,099     Shanghai Oriental Pearl Group Co Ltd – Class A     63,300  
    2,341,200     Shanghai Pharmaceuticals Holding Co Ltd – Class H     4,622,386  
    23,500     Shanghai Shimao Co Ltd – Class A     15,491  
    158,825     Shanghai SMI Holding Co Ltd – Class A     155,603  
    27,400     Shanxi Lu’an Environmental Energy Development Co Ltd – Class A     30,602  
    8,900     Shenzhen Expressway Co Ltd – Class A     13,370  
    110,000     Shenzhen Investment Ltd     40,518  
    27,775     Shenzhen World Union Group Inc – Class A     18,691  
    3,522,500     Shimao Property Holdings Ltd     10,106,546  
    113,273     Sinopec Shanghai Petrochemical Co Ltd – Class A     85,715  
    3,670,000     Sinopec Shanghai Petrochemical Co Ltd – Class H     1,601,836  
    315,200     Sinopharm Group Co Ltd – Class H     1,181,444  
    1,329,500     Sinotruk Hong Kong Ltd     2,518,714  
    814,000     SSY Group Ltd     647,473  
    214,421     Suning Universal Co Ltd – Class A     107,262  
    9,600     Suzhou Gold Mantis Construction Decoration Co Ltd – Class A     13,402  
    31,900     Tencent Holdings Ltd     1,330,154  
    5,000     Tencent Holdings Ltd ADR     208,800  
    267,500     Texhong Textile Group Ltd     307,729  
    646,000     Tianjin Port Development Holdings Ltd     65,125  
    2,156,000     Tianneng Power International Ltd     1,755,186  
    386,000     Times China Holdings Ltd     639,309  
    50,200     Weichai Power Co Ltd – Class A     84,850  
    1,385,000     Weichai Power Co Ltd – Class H     2,106,425  
    65,400     Weifu High-Technology Group Co Ltd – Class A     185,900  
    523,000     Xinhua Winshare Publishing and Media Co Ltd – Class H     357,563  
    2,364,500     Xtep International Holdings Ltd     1,203,504  
    61,586     Youngor Group Co Ltd – Class A     84,571  
    58,000     Yuexiu Property Co Ltd     13,158  
    1,016,358     Yuzhou Properties Co Ltd     463,105  
    7,500     Zhejiang Daily Digital Culture Group Co Ltd – Class A     10,302  
    202,000     Zhejiang Expressway Co Ltd – Class H     210,943  
    43,586     Zhejiang Weixing New Building Materials Co Ltd – Class A     125,639  
    30,600     Zhengzhou Yutong Bus Co Ltd – Class A     55,318  
    5,500     Zhuzhou CRRC Times Electric Co Ltd – Class H     29,591  
     

 

 

 
    Total China     173,958,039  
     

 

 

 
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Colombia — 0.0%  
    129,114     Almacenes Exito SA     538,926  
     

 

 

 
          Czech Republic — 0.0%  
    47     Philip Morris CR AS     28,059  
     

 

 

 
          Denmark — 0.2%  
    649     ALK-Abello A/S *     149,124  
    10,818     Matas A/S     114,148  
    50,800     Novo Nordisk A/S Sponsored ADR     2,397,760  
    6,126     Novo Nordisk A/S – Class B     288,279  
    23,064     Royal Unibrew A/S     1,638,456  
    31,874     Scandinavian Tobacco Group A/S     388,370  
    1,244     Spar Nord Bank A/S     11,016  
     

 

 

 
    Total Denmark     4,987,153  
     

 

 

 
          Finland — 0.4%  
    3,573     Aktia Bank Oyj     33,469  
    2,441     Cramo Oyj     48,846  
    249,409     Neste Oyj (a)     8,419,701  
    757     Tieto Oyj     21,315  
    9,960     Tokmanni Group Corp     82,231  
    102,047     UPM-Kymmene Oyj     2,552,953  
     

 

 

 
    Total Finland     11,158,515  
     

 

 

 
          France — 2.0%  
    3,147     AKWEL     53,314  
    13,292     Alten SA     1,348,185  
    24,071     BNP Paribas SA     1,103,797  
    1,005     Bonduelle SCA     31,190  
    69,345     CNP Assurances     1,486,239  
    22,510     Coface SA     219,372  
    7,418     Dassault Systemes SE     1,100,645  
    10,780     Gaztransport Et Technigaz SA     979,684  
    1,517     Hermes International     1,007,987  
    3,661     Interparfums SA     168,217  
    3,444     Ipsen SA     411,449  
    12,909     IPSOS (a)     355,452  
    776     Jacquet Metal Service SA     13,904  
    5,082     Kaufman & Broad SA     181,253  
    62,106     L’Oreal SA     16,661,801  
    24,915     Lagardere SCA     606,342  
    555     Mersen SA     18,388  
    29,377     Metropole Television SA     527,688  
    21,691     Neopost SA     474,791  
    344,528     Peugeot SA     7,689,893  
    6,283     Rothschild & Co     184,205  
    22,858     Safran SA     2,999,079  
    167,236     Sanofi     13,505,528  
    37,400     Sanofi ADR     1,512,082  
    2,359     SCOR SE     97,051  
    17,132     Societe Generale SA     428,586  
     Shares     Description       
Value ($)
 
          France — continued  
    44,207     STMicroelectronics NV     668,460  
    245,800     STMicroelectronics NV – NY Shares (b)     3,696,832  
    56,921     Television Francaise 1     542,611  
    675     Vilmorin & Cie SA     37,649  
     

 

 

 
    Total France     58,111,674  
     

 

 

 
          Germany — 1.7%  
    71,090     Allianz SE (Registered)     15,741,489  
    1,244     Amadeus Fire AG     160,051  
    127     BASF SE     8,381  
    28,792     Bayer AG (Registered)     1,702,580  
    110,967     Bayerische Motoren Werke AG     7,699,668  
    34,813     Borussia Dortmund GmbH & Co KGaA     331,903  
    12,303     Carl Zeiss Meditec AG     1,156,359  
    3,324     Cewe Stiftung & Co KGaA     305,987  
    24,881     Covestro AG     1,087,244  
    1,961     Daimler AG (Registered Shares)     101,636  
    311,075     Deutsche Lufthansa AG (Registered)     5,898,521  
    75,782     Deutsche Pfandbriefbank AG (a)     1,041,722  
    278,910     Deutsche Telekom AG (Registered) (a)     4,695,718  
    55,501     Deutz AG     458,956  
    22,166     Dialog Semiconductor Plc *     700,928  
    2,227     Eckert & Ziegler Strahlen- und Medizintechnik AG     238,080  
    4,615     Elmos Semiconductor AG     109,933  
    10,279     Hamburger Hafen und Logistik AG     243,642  
    3,744     Hannover Rueck SE     560,417  
    2,542     Henkel AG & Co KGaA     220,210  
    7,048     Knorr-Bremse AG *     775,126  
    12,201     SAP SE     1,502,993  
    17,248     Software AG (a)     563,582  
    6,648     Takkt AG     93,303  
    5,109     Talanx AG *     202,464  
    23,208     Volkswagen AG     3,682,930  
    3,511     Wacker Neuson SE     81,553  
    654     Washtec AG     45,319  
     

 

 

 
    Total Germany     49,410,695  
     

 

 

 
          Greece — 0.0%  
    12,055     FF Group * (c)      
     

 

 

 
          Hong Kong — 0.3%  
    32,500     BOC Hong Kong Holdings Ltd     124,913  
    550,400     Champion (REIT)     448,025  
    41,700     Dah Sing Banking Group Ltd     72,263  
    24,000     Dah Sing Financial Holdings Ltd     112,091  
    240,000     I-CABLE Communications Ltd *     2,972  
    15,000     Johnson Electric Holdings Ltd     28,475  
    30,000     Kerry Logistics Network Ltd     48,730  
    54,800     Luk Fook Holdings International Ltd     175,973  
    56,000     NewOcean Energy Holdings Ltd *     13,359  
    49,000     NWS Holdings Ltd     96,554  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Hong Kong — continued  
    1,469,900     SJM Holdings Ltd     1,629,494  
    5,426,000     WH Group Ltd     4,884,118  
    223,100     Wharf Holdings Ltd (The)     570,046  
    34,000     Wharf Real Estate Investment Co Ltd     232,663  
    183,500     Wheelock & Co Ltd     1,211,337  
    39,425     Xinyi Automobile Glass Hong Kong Enterprises Ltd *     8,054  
    32,500     Yue Yuen Industrial Holdings Ltd     91,310  
     

 

 

 
    Total Hong Kong     9,750,377  
     

 

 

 
          Hungary — 0.0%  
    733,294     Magyar Telekom Telecommunications Plc     1,049,455  
     

 

 

 
          India — 1.2%  
    414,636     Aurobindo Pharma Ltd     3,988,341  
    420,818     Balrampur Chini Mills Ltd     936,715  
    26,957     Cadila Healthcare Ltd     96,082  
    18,517     Divi’s Laboratories Ltd     424,381  
    6,655     Dr Reddy’s Laboratories Ltd     254,810  
    7,800     Dr Reddy’s Laboratories Ltd ADR     297,258  
    793,164     HCL Technologies Ltd     12,423,897  
    76,658     ITC Ltd     306,959  
    83,790     Just Dial Ltd *     899,937  
    21,206     KPIT Engineering Ltd *     29,987  
    25,893     Larsen & Toubro Infotech Ltd     662,468  
    102,752     Mahindra & Mahindra Ltd     959,581  
    104,518     Mphasis Ltd     1,484,239  
    92,232     NIIT Technologies Ltd     1,738,776  
    400,540     PC Jeweller Ltd     442,167  
    1,172,362     Power Finance Corp Ltd *     2,097,078  
    725,397     PTC India Ltd     721,333  
    12,399     Rajesh Exports Ltd     117,230  
    2,498,922     REC Ltd     5,182,919  
    21,524     Reliance Capital Ltd     37,555  
    39,108     Sonata Software Ltd     200,546  
    74,511     Tech Mahindra Ltd     816,488  
    22,302     Wipro Ltd     91,641  
     

 

 

 
    Total India     34,210,388  
     

 

 

 
          Indonesia — 0.1%  
    162,400     Astra International Tbk PT     85,120  
    1,018,300     Bukit Asam Persero Tbk PT     218,505  
    915,700     Erajaya Swasembada Tbk PT     75,349  
    645,200     Indo Tambangraya Megah Tbk PT     791,352  
    1,112,400     Mitra Pinasthika Mustika Tbk PT *     109,996  
    999,700     Panin Financial Tbk PT *     24,559  
    794,000     Ramayana Lestari Sentosa Tbk PT     90,196  
    70,100     Tower Bersama Infrastructure Tbk PT *     17,987  
     

 

 

 
    Total Indonesia     1,413,064  
     

 

 

 
          Ireland — 0.0%  
    13,500     CRH Plc Sponsored ADR     423,225  
     Shares     Description       
Value ($)
 
          Ireland — continued  
    252     Flutter Entertainment Plc     17,914  
    5,800     ICON Plc *     821,048  
     

 

 

 
    Total Ireland     1,262,187  
     

 

 

 
          Israel — 0.1%  
    5,581     AudioCodes Ltd     85,533  
    27,667     Bank Hapoalim BM     199,241  
    48,969     Bank Leumi Le-Israel BM     328,105  
    8,692     Discount Investment Corp Ltd (Registered)     19,102  
    2,782     First International Bank of Israel Ltd *     66,750  
    2,045     Fox Wizel Ltd     53,063  
    3,351     Harel Insurance Investments & Financial Services Ltd     25,234  
    1,340     Israel Corp Ltd (The)     294,565  
    40,817     Israel Discount Bank Ltd – Class A     155,756  
    3,027     Nova Measuring Instruments Ltd *     76,772  
    794,563     Oil Refineries Ltd *     388,661  
     

 

 

 
    Total Israel     1,692,782  
     

 

 

 
          Italy — 0.9%  
    31,247     ACEA SPA     581,609  
    7,810     ASTM SPA     212,055  
    93,324     Cofide SPA     51,110  
    4,091     El.En. SPA     73,460  
    59,360     Enav SPA     321,050  
    970,988     Enel SPA     6,038,777  
    14,667     ERG SPA     284,925  
    151,137     EXOR NV     9,456,445  
    328,300     Fiat Chrysler Automobiles NV     4,143,146  
    8,732     Fiera Milano SPA     38,390  
    49,768     Hera SPA     180,797  
    550,678     Iren SPA     1,364,770  
    8,260     La Doria SPA     73,340  
    7,006     MARR SPA     158,228  
    87,359     Mediobanca Banca di Credito Finanziario SPA     804,308  
    302,373     Saras SPA     433,907  
    77,892     Snam SPA     391,207  
    89,720     Societa Cattolica di Assicurazioni SC     723,959  
    11,408     Societa Iniziative Autostradali e Servizi SPA     197,961  
    3,642     Unieuro SPA *     57,546  
    185,389     Unipol Gruppo SPA     852,580  
    138,697     UnipolSai Assicurazioni SPA     337,179  
     

 

 

 
    Total Italy     26,776,749  
     

 

 

 
          Japan — 5.6%  
    16,700     Aisin Seiki Co Ltd     549,901  
    1,300     Alfresa Holdings Corp     32,507  
    16,000     AOKI Holdings Inc (a)     150,585  
    953,100     Asahi Kasei Corp     9,763,099  
    5,800     Asahi Yukizai Corp     73,412  
    899,900     Astellas Pharma Inc (a)     12,059,501  
    55,200     Bandai Namco Holdings Inc     2,702,535  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Japan — continued  
    209,700     Brother Industries Ltd     3,567,954  
    6,000     Cawachi Ltd     101,492  
    5,500     Central Glass Co Ltd     120,264  
    1,300     Dai Nippon Printing Co Ltd     28,078  
    70,900     Daicel Corp     601,114  
    12,500     Daiwabo Holdings Co Ltd     520,498  
    10,260     Denka Co Ltd     291,360  
    13,000     DTS Corp     526,149  
    8,200     Ehime Bank Ltd (The)     81,828  
    14,000     Elecom Co Ltd     452,201  
    96,300     Fancl Corp     2,582,651  
    80,500     Fuji Electric Co Ltd     2,665,511  
    17,300     Fuji Media Holdings Inc     234,388  
    1,800     Fujicco Co Ltd     35,418  
    129,400     FUJIFILM Holdings Corp     6,165,894  
    13,900     Fujitsu Ltd     937,065  
    2,200     Fukuyama Transporting Co Ltd     78,175  
    8,700     Furuno Electric Co Ltd     73,638  
    500     Fuyo General Lease Co Ltd     24,220  
    2,200     G-7 Holdings Inc     60,817  
    55,500     Hakuhodo DY Holdings Inc     866,558  
    1,600     Hamakyorex Co Ltd     53,050  
    7,160     Hanwa Co Ltd (a)     180,093  
    11,100     Haseko Corp     110,165  
    2,600     Heiwado Co Ltd     45,581  
    397,100     Hitachi Ltd     13,371,519  
    403,800     Honda Motor Co Ltd     9,930,883  
    500     Hosokawa Micron Corp     21,264  
    31,600     House Foods Group Inc     1,284,129  
    7,600     Infocom Corp     164,085  
    97,000     Isuzu Motors Ltd     1,065,611  
    544,900     ITOCHU Corp     10,003,456  
    5,400     Itochu Enex Co Ltd     41,519  
    2,700     Japan Aviation Electronics Industry Ltd     37,360  
    7,900     Jeol Ltd     167,237  
    3,800     Kajima Corp     51,904  
    700     Kaken Pharmaceutical Co Ltd     33,061  
    72,200     Kanematsu Corp     810,178  
    114,500     KDDI Corp     2,932,680  
    17,700     Keihin Corp     228,581  
    13,600     Kitz Corp     88,962  
    481,774     Konica Minolta Inc     4,226,878  
    1,800     Maeda Kosen Co Ltd     31,434  
    3,300     Makino Milling Machine Co Ltd     112,820  
    353,200     Marubeni Corp (a)     2,205,679  
    48,200     MCJ Co Ltd     300,702  
    1,600     Medipal Holdings Corp     34,536  
    1,715,400     Mitsubishi Chemical Holdings Corp     11,179,175  
    34,300     Mitsubishi Corp     888,930  
    71,800     Mitsubishi Electric Corp (a)     891,762  
    77,300     Mitsubishi Gas Chemical Co Inc     957,185  
    43,400     Mitsubishi Tanabe Pharma Corp     510,368  
     Shares     Description       
Value ($)
 
          Japan — continued  
    88,900     Mitsubishi UFJ Financial Group Inc     408,302  
    3,600     Mitsubishi UFJ Lease & Finance Co Ltd     17,863  
    40,200     Mitsui Chemicals Inc (a)     877,125  
    6,000     Mitsui Sugar Co Ltd     126,247  
    32,700     NEC Corp     1,207,229  
    10,000     NET One Systems Co Ltd     265,893  
    21,500     Nichias Corp     358,070  
    14,600     Nichiha Corp     381,064  
    12,300     Nippon Corp     238,969  
    5,400     Nippon Flour Mills Co Ltd     88,297  
    9,200     Nippon Light Metal Holdings Co Ltd     19,379  
    300     Nippon Shokubai Co Ltd     17,906  
    3,200     Nippon Soda Co Ltd     76,071  
    377,300     Nippon Telegraph & Telephone Corp     16,880,821  
    3,300     Nisshin Oillio Group Ltd (The)     95,823  
    2,100     Nisshinbo Holdings Inc     14,518  
    900     Nissin Corp     14,453  
    9,100     Nomura Real Estate Holdings Inc     186,446  
    100     Noritake Co Ltd     4,190  
    1,800     North Pacific Bank Ltd     4,182  
    9,900     NTT DOCOMO Inc     227,561  
    1,600     Oki Electric Industry Co Ltd     19,651  
    7,300     Osaki Electric Co Ltd     42,558  
    9,900     Prima Meat Packers Ltd     192,983  
    1,900     Rion Co Ltd     36,605  
    34,600     Rohto Pharmaceutical Co Ltd     937,753  
    6,600     Roland DG Corp     147,328  
    1,900     Ryobi Ltd     34,437  
    7,200     Seiko Holdings Corp     133,360  
    78,900     Sekisui Chemical Co Ltd (a)     1,154,307  
    200     Shinmaywa Industries Ltd     2,379  
    44,700     Shionogi & Co Ltd (a)     2,437,282  
    34,700     Showa Corp     422,735  
    1,913,900     Sojitz Corp     6,111,810  
    69,800     Sony Corp     3,345,075  
    1,880,300     Sumitomo Chemical Co Ltd     8,080,532  
    12,300     Sumitomo Dainippon Pharma Co Ltd (a)     251,324  
    11,100     Sumitomo Mitsui Trust Holdings Inc     405,560  
    500     Suzuken Co Ltd     30,748  
    28,200     T-Gaia Corp     454,078  
    300     Taisho Pharmaceutical Holdings Co Ltd     24,377  
    8,200     Taiyo Yuden Co Ltd     148,395  
    1,800     Takara Holdings Inc     19,423  
    5,700     Tatsuta Electric Wire and Cable Co Ltd     22,831  
    25,500     Teijin Ltd     414,509  
    10,700     Tocalo Co Ltd     69,128  
    1,600     Tokyo Electron Ltd     215,336  
    15,400     Tokyu Construction Co Ltd     108,040  
    27,100     Tosoh Corp     341,244  
    3,300     Towa Pharmaceutical Co Ltd     78,802  
    56,500     Toyota Tsusho Corp (a)     1,620,444  
    6,400     TPR Co Ltd     103,360  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Japan — continued  
    35,400     TS Tech Co Ltd (a)     858,840  
    7,500     UKC Holdings Corp     102,570  
    11,300     Wacoal Holdings Corp     279,752  
    4,900     YAMABIKO Corp     41,193  
    2,200     Yamaya Corp     40,484  
    12,300     Yuasa Trading Co Ltd     332,173  
     

 

 

 
    Total Japan     157,879,415  
     

 

 

 
          Malaysia — 0.1%  
    77,400     Bermaz Auto Berhad     42,485  
    683,000     DRB-Hicom Berhad     339,043  
    112,000     IOI Properties Group Berhad     35,842  
    314,600     Magnum Berhad     181,578  
    2,470,600     Supermax Corp Berhad     954,011  
    92,500     Syarikat Takaful Malaysia Keluarga Berhad     138,706  
     

 

 

 
    Total Malaysia     1,691,665  
     

 

 

 
          Mexico — 0.6%  
    25,600     Bolsa Mexicana de Valores SAB de CV     46,697  
    57,300     El Puerto de Liverpool SAB de CV – Class C1     320,725  
    53,500     Gentera SAB de CV     47,198  
    127,942     Grupo Herdez SAB de CV     264,256  
    256,200     Megacable Holdings SAB de CV CPO     1,057,023  
    210,800     Nemak SAB de CV     97,663  
    12,000     Unifin Financiera SAB de CV SOFOM ENR     27,185  
    4,867,438     Wal-Mart de Mexico SAB de CV     13,696,751  
     

 

 

 
    Total Mexico     15,557,498  
     

 

 

 
          Netherlands — 1.3%  
    163,514     ABN AMRO Group NV CVA     3,454,542  
    78,907     ASR Nederland NV     2,989,735  
    6,733     BinckBank NV     47,495  
    43,800     Coca-Cola European Partners Plc *     2,426,520  
    7,112     Flow Traders     200,573  
    3,492     ForFarmers NV     27,615  
    29,697     Heineken Holding NV     2,938,297  
    1,158     IMCD NV     94,369  
    632,683     ING Groep NV     6,833,791  
    7,679     Intertrust NV     145,306  
    394,180     Koninklijke Ahold Delhaize NV     8,840,960  
    979     Koninklijke Volkerwessels NV     17,770  
    45,599     Signify NV (a)     1,219,302  
    107,043     Wolters Kluwer NV     7,467,650  
     

 

 

 
    Total Netherlands     36,703,925  
     

 

 

 
          New Zealand — 0.0%  
    594,603     Air New Zealand Ltd     1,009,282  
    16,081     Synlait Milk Ltd *     92,550  
     

 

 

 
    Total New Zealand     1,101,832  
     

 

 

 
          Norway — 0.7%  
    7,641     Aker ASA – A Shares     438,866  
     Shares     Description       
Value ($)
 
          Norway — continued  
    97,321     Aker Solutions ASA *     385,516  
    123,100     Austevoll Seafood ASA     1,291,464  
    8,754     Bakkafrost P/F (a)     464,051  
    353,672     DNB ASA     5,995,619  
    40,387     Elkem ASA     123,456  
    310,105     Equinor ASA     5,923,583  
    28,108     Grieg Seafood ASA     398,598  
    58,790     Kvaerner ASA     84,632  
    257,764     Leroy Seafood Group ASA     1,767,536  
    5,156     Mowi ASA     119,647  
    40,088     Salmar ASA     1,831,282  
    5,489     Selvaag Bolig ASA     26,642  
    24,497     SpareBank 1 Nord Norge     185,523  
    70,526     SpareBank 1 SR-Bank ASA     822,205  
    48,616     Storebrand ASA     351,750  
    9,651     TGS NOPEC Geophysical Co ASA     241,345  
     

 

 

 
    Total Norway     20,451,715  
     

 

 

 
          Pakistan — 0.0%  
    14,410     Engro Corp Ltd     27,670  
    58,500     Engro Fertilizers Ltd     27,335  
    4,700     Lucky Cement Ltd     13,471  
    44,200     Nishat Mills Ltd     31,986  
    146,600     Oil & Gas Development Co Ltd     134,648  
    7,620     Pakistan Oilfields Ltd     22,570  
    4,900     Pakistan State Oil Co Ltd     6,614  
    10,800     United Bank Ltd     11,588  
     

 

 

 
    Total Pakistan     275,882  
     

 

 

 
          Philippines — 0.0%  
    13,570     Globe Telecom Inc     564,607  
    26,710     Manila Electric Co     197,373  
    324,700     Megaworld Corp     36,764  
    1,228,185     Nickel Asia Corp     53,327  
    38,285     Pilipinas Shell Petroleum Corp     30,778  
    95,250     Semirara Mining & Power Corp     40,194  
     

 

 

 
    Total Philippines     923,043  
     

 

 

 
          Poland — 0.2%  
    108,611     Asseco Poland SA     1,446,300  
    2,050     Bank Handlowy w Warszawie SA     28,690  
    16,706     Bank Polska Kasa Opieki SA     463,258  
    2,441     Budimex SA     85,507  
    3,910     Ciech SA     43,469  
    2,201     Cyfrowy Polsat SA *     14,974  
    161,572     Energa SA *     325,806  
    10,132     Grupa Lotos SA     232,266  
    60,510     Impexmetal SA *     67,739  
    389     KRUK SA *     16,321  
    1,456     Lubelski Wegiel Bogdanka SA *     13,436  
    40,274     Polski Koncern Naftowy ORLEN SA     1,016,199  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Poland — continued  
    398,296     Polskie Gornictwo Naftowe i Gazownictwo SA     581,839  
    21,897     Powszechna Kasa Oszczednosci Bank Polski SA     224,514  
    157,008     Powszechny Zaklad Ubezpieczen SA     1,695,853  
    386     Santander Bank Polska SA     36,702  
    684     Stalprodukt SA     43,556  
    4,357     Warsaw Stock Exchange     45,397  
     

 

 

 
    Total Poland     6,381,826  
     

 

 

 
          Portugal — 0.1%  
    67,559     Altri SGPS SA     457,750  
    103,869     EDP – Energias de Portugal SA     378,546  
    97,054     Galp Energia SGPS SA     1,457,912  
    16,523     NOS SGPS SA     104,353  
    4,585     Semapa-Sociedade de Investimento e Gestao     63,689  
    636,620     Sonae SGPS SA     632,822  
     

 

 

 
    Total Portugal     3,095,072  
     

 

 

 
          Qatar — 0.1%  
    16,539     Barwa Real Estate Co     162,552  
    8,041     Doha Bank QPSC     51,295  
    19,829     Ezdan Holding Group QSC *     40,046  
    7,007     Gulf International Services QSC *     36,517  
    746     Masraf Al Rayan QSC     7,403  
    1,036     Qatar Electricity & Water Co QSC     47,066  
    13,840     Qatar Gas Transport Co Ltd     81,314  
    3,820     Qatar Insurance Co SAQ     36,498  
    3,257     Qatar International Islamic Bank QSC     65,026  
    677     Qatar Islamic Bank SAQ     31,108  
    12,516     Qatar National Bank QPSC     642,971  
    3,200     Qatar National Cement Co QSC     55,519  
    1,678     Qatar Navigation QSC     29,027  
     

 

 

 
    Total Qatar     1,286,342  
     

 

 

 
          Russia — 1.9%  
    185,790     Aeroflot PJSC     266,420  
    990,430     Alrosa PJSC     1,334,033  
    124,750     Gazprom Neft PJSC     709,747  
    3,343,097     Gazprom PJSC Sponsored ADR     21,897,265  
    18,080     Globaltrans Investment Plc Sponsored GDR (Registered)     157,138  
    8,135,000     Inter RAO UES PJSC     499,035  
    88,117     LUKOIL PJSC Sponsored ADR     7,080,142  
    14,840     M.Video PJSC *     96,307  
    11,656     Magnit PJSC Sponsored GDR (Registered)     162,330  
    668,900     Magnitogorsk Iron & Steel Works PJSC     455,907  
    4,588     Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)     40,149  
    58,724     MMC Norilsk Nickel PJSC ADR     1,225,390  
    4,200     Mobile TeleSystems PJSC Sponsored ADR     32,844  
    475,080     Moscow Exchange MICEX-RTS PJSC     615,019  
    3,410     Novatek PJSC     68,920  
    8,144     Novatek PJSC Sponsered GDR (Registered)     1,662,824  
     Shares     Description       
Value ($)
 
          Russia — continued  
    61,350     Novolipetsk Steel PJSC     161,528  
    96,474     Novolipetsk Steel PJSC GDR     2,533,417  
    1,180     PhosAgro PJSC GDR (Registered)     15,161  
    969     Polyus PJSC GDR (Registered)     38,358  
    12,800     QIWI Plc Sponsored ADR     215,296  
    13,680     Raspadskaya OJSC *     28,352  
    5,776,000     ROSSETI PJSC     109,610  
    164,200     Rostelecom PJSC     193,083  
    1,611     Rostelecom PJSC Sponsored ADR     11,303  
    1,704,000     RusHydro PJSC     14,058  
    5,210     Safmar Financial Investment     40,352  
    800,884     Sberbank of Russia Sponsored ADR     11,541,342  
    1,890     Severstal PJSC     29,904  
    28,818     Severstal PJSC GDR (Registered)     454,083  
    568,000     Surgutneftegas PJSC     216,435  
    8,454     Surgutneftegas PJSC Sponsored ADR     31,724  
    37,760     Tatneft PJSC     431,310  
    24,518     Tatneft PJSC Sponsored ADR     1,663,649  
    7,529     TCS Group Holding Plc GDR (Registered)     142,980  
     

 

 

 
    Total Russia     54,175,415  
     

 

 

 
          Singapore — 0.2%  
    94,000     Accordia Golf Trust     40,268  
    36,500     CapitaLand Commercial Trust (REIT)     51,357  
    195,200     CapitaLand Ltd     458,033  
    48,900     CapitaLand Mall Trust (REIT)     85,852  
    58,200     China Sunsine Chemical Holdings Ltd     48,648  
    250,300     ComfortDelGro Corp Ltd     448,534  
    9,500     DBS Group Holdings Ltd     168,155  
    41,100     Frasers Centrepoint Trust (REIT) *     72,352  
    284,400     Japfa Ltd     112,610  
    10,000     Jardine Cycle & Carriage Ltd     246,351  
    165,600     Mapletree Greater China Commercial Trust (REIT)     159,175  
    60,300     Mapletree Logistics Trust (REIT)     64,204  
    29,000     Parkway Life Real Estate Investment Trust     63,117  
    23,700     Singapore Airlines Ltd     157,308  
    16,600     Singapore Exchange Ltd     89,279  
    47,100     Singapore Technologies Engineering Ltd     134,265  
    13,800     Suntec Real Estate Investment Trust     18,313  
    6,400     United Overseas Bank Ltd     109,634  
    24,500     Venture Corp Ltd     268,939  
    2,065,799     Yangzijiang Shipbuilding Holdings Ltd     2,061,745  
    461,800     Yanlord Land Group Ltd     400,400  
     

 

 

 
    Total Singapore     5,258,539  
     

 

 

 
          South Africa — 1.4%  
    887,863     Absa Group Ltd     10,300,605  
    5,906     Anglo American Platinum Ltd     296,703  
    54,625     Astral Foods Ltd     620,148  
    31,902     AVI Ltd     196,233  
    16,046     Barloworld Ltd     145,902  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          South Africa — continued  
    1,088,248     Blue Label Telecoms Ltd *     283,025  
    6,190     Capitec Bank Holdings Ltd     560,636  
    5,342     Coronation Fund Managers Ltd     17,127  
    81,255     Delta Property Fund Ltd (REIT)     11,054  
    11,202     Discovery Ltd     106,604  
    70,955     Emira Property Fund Ltd (REIT)     67,063  
    113,030     FirstRand Ltd     518,964  
    74,195     Fortress REIT Ltd – Class B     60,329  
    8,645     Foschini Group Ltd (The)     104,433  
    231,115     Growthpoint Properties Ltd (REIT)     383,095  
    20,248     Hyprop Investments Ltd (REIT)     98,252  
    11,552     Imperial Holdings Ltd     47,590  
    12,353     Investec Ltd     72,839  
    37,200     Invicta Holdings Ltd     66,666  
    1,647     JSE Ltd     16,457  
    105,112     Kumba Iron Ore Ltd     3,191,571  
    13,918     Lewis Group Ltd     35,854  
    323,202     Liberty Holdings Ltd     2,420,136  
    1,434,339     Merafe Resources Ltd     121,195  
    33,464     Metair Investments Ltd     54,216  
    96,111     MMI Holdings Ltd     123,925  
    172,686     Mondi Ltd     3,556,808  
    32,353     Motus Holdings Ltd     191,786  
    72,387     Mr Price Group Ltd     979,668  
    373,979     Murray & Roberts Holdings Ltd     365,559  
    727     Naspers Ltd – N Shares     163,903  
    349,352     Nedbank Group Ltd     6,287,603  
    93,333     Old Mutual Ltd     134,667  
    111,426     Pepkor Holdings Ltd     136,205  
    1,241     PSG Group Ltd     20,701  
    4,611     Rand Merchant Investment Holdings Ltd     10,419  
    99,539     Raubex Group Ltd     134,268  
    124,410     Redefine Properties Ltd (REIT)     77,436  
    1,466     Remgro Ltd     18,625  
    18,353     Resilient REIT Ltd     74,227  
    243,187     Reunert Ltd     1,147,333  
    96,766     RMB Holdings Ltd     546,981  
    63,788     Sanlam Ltd (d)     333,442  
    1,864     Santam Ltd (d)     38,778  
    3,420     SPAR Group Ltd (The)     44,910  
    52,361     Standard Bank Group Ltd     714,768  
    527,839     Telkom SA SOC Ltd     3,336,282  
    166,775     Truworths International Ltd     821,993  
    90,743     Tsogo Sun Holdings Ltd     133,553  
    33,277     Wilson Bayly Holmes-Ovcon Ltd     250,643  
    12,488     Woolworths Holdings Ltd     39,227  
     

 

 

 
    Total South Africa     39,480,407  
     

 

 

 
          South Korea — 2.2%  
    22,583     Aju Capital Co Ltd     203,888  
    40,177     Cheil Worldwide Inc     890,705  
    332     Cuckoo Holdings Co Ltd     36,583  
     Shares     Description       
Value ($)
 
          South Korea — continued  
    13,924     DGB Financial Group Inc     94,445  
    8,717     Dongbu Insurance Co Ltd     450,699  
    21,573     Dongwha Pharm Co Ltd     166,594  
    24,043     Dongwon Development Co Ltd     94,153  
    1,937     GOLFZON Co Ltd     95,717  
    5,443     GS Home Shopping Inc     757,545  
    249,505     Hana Financial Group Inc     7,600,096  
    2,492     Hankook Technology Group Co Ltd     33,819  
    6,813     Hansae Yes24 Holdings Co Ltd     47,832  
    11,932     Huons Co Ltd     557,417  
    9,651     Hyundai Home Shopping Network Corp     740,704  
    6,384     Hyundai Hy Communications & Network Co Ltd     21,272  
    3,475     Hyundai Marine & Fire Insurance Co Ltd     89,791  
    6,722     Hyundai Motor Co     758,858  
    4,270     Il Dong Pharmaceutical Co Ltd     69,706  
    589,811     Industrial Bank of Korea     6,856,806  
    29,493     JB Financial Group Co Ltd     138,039  
    11,505     Kangwon Land Inc     299,793  
    64,126     KB Financial Group Inc     2,359,024  
    2,800     KB Financial Group Inc ADR     103,376  
    294,694     Kia Motors Corp     9,734,769  
    11,280     Korea Asset In Trust Co Ltd     37,613  
    25,988     Korea Autoglass Corp     442,032  
    71,800     KT Corp Sponsored ADR     864,472  
    7,637     KT Hitel Co Ltd *     27,659  
    5,621     KT Skylife Co Ltd     48,823  
    964     KT&G Corp     81,739  
    3,224     Kyobo Securities Co Ltd     28,806  
    42,469     LF Corp     772,615  
    12,832     LG Corp     789,260  
    22,463     LG Electronics Inc     1,480,374  
    67,711     LG Uplus Corp     793,862  
    24,898     LOTTE Himart Co Ltd     895,606  
    4,095     Meritz Fire & Marine Insurance Co Ltd     75,157  
    22,873     Mirae Asset Life Insurance Co Ltd     89,098  
    536     NCSoft Corp     214,656  
    2,709     Orange Life Insurance Ltd     82,642  
    2,043     POSCO     406,956  
    2,200     POSCO Sponsored ADR     109,406  
    28,512     Samjin Pharmaceutical Co Ltd     776,636  
    16,290     Samsung Electronics Co Ltd     579,954  
    6,418     Sebang Global Battery Co Ltd     224,665  
    175,534     Shinhan Financial Group Co Ltd     6,529,074  
    10,940     SK Holdings Co Ltd     2,122,127  
    77,726     SK Hynix Inc     4,249,401  
    259,200     SK Telecom Co Ltd Sponsored ADR     6,021,216  
    16,122     SL Corp     302,302  
    164,775     Woori Financial Group Inc     1,924,465  
     

 

 

 
    Total South Korea     62,172,247  
     

 

 

 
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Spain — 1.1%  
    1,853     Acciona SA     198,038  
    66,267     ACS Actividades de Construccion y Servicios SA     2,721,805  
    11,799     Aena SME SA (a)     2,166,592  
    62,811     Almirall SA     1,080,313  
    3,475     Banco Bilbao Vizcaya Argentaria SA     18,842  
    91,455     Banco Santander SA     400,936  
    25,456     Cia de Distribucion Integral Logista Holdings SA     562,351  
    72,141     Enagas SA     1,971,805  
    24,781     Ence Energia y Celulosa SA     103,459  
    331,533     Endesa SA     8,258,968  
    7,572     Faes Farma SA     33,041  
    564,627     Iberdrola SA     5,249,764  
    991,671     International Consolidated Airlines Group SA     5,628,741  
    8,502     Naturgy Energy Group SA     242,454  
    52,686     Red Electrica Corp SA     1,116,696  
    1,182     Siemens Gamesa Renewable Energy SA     18,332  
    9,814     Telefonica SA     78,414  
    11,038     Unicaja Banco SA     10,748  
     

 

 

 
    Total Spain     29,861,299  
     

 

 

 
          Sweden — 1.1%  
    659     Alfa Laval AB     13,512  
    1,315     Atrium Ljungberg AB – B Shares     22,747  
    177,222     Betsson AB *     1,119,793  
    177,222     Betsson AB – Redemption *     72,578  
    11,765     Bufab AB     120,469  
    1,138     Electrolux AB Series – B     24,655  
    2,404     Fabege AB     36,065  
    3,129     Granges AB     29,391  
    4,084     Hemfosa Fastigheter AB     37,662  
    5,973     Instalco Intressenter AB     53,500  
    1,090     Investor AB – A Shares     47,125  
    55,387     Klovern AB – B Shares     83,188  
    4,438     KNOW IT AB     94,206  
    46,317     Nobina AB     258,608  
    8,266     Oriflame Holding AG *     194,088  
    47,818     Peab AB     376,758  
    53,177     Resurs Holding AB     309,810  
    325,003     Sandvik AB     5,016,966  
    6,718     Skandinaviska Enskilda Banken AB – Class A     59,599  
    3,392     SkiStar AB     41,528  
    9,175     SSAB AB – Series A     28,173  
    817,633     Svenska Cellulosa AB SCA – Class B     6,240,930  
    137,923     Swedbank AB – A Shares     1,978,090  
    66,049     Swedish Match AB     2,981,435  
    5,157     Tethys Oil AB     33,472  
    5,157     Tethys Oil AB – Redemption *     3,262  
    24,788     Volvo AB – A Shares     350,269  
    894,003     Volvo AB – B Shares     12,481,514  
    777     Wihlborgs Fastigheter AB     11,291  
     

 

 

 
    Total Sweden     32,120,684  
     

 

 

 
     Shares     Description       
Value ($)
 
          Switzerland — 1.1%  
    4,359     Alcon, Inc. *     253,508  
    3,840     ALSO Holding AG (Registered) *     499,031  
    8     Belimo Holding AG (Registered)     41,861  
    92     Bell Food Group AG (Registered) *     27,042  
    10,876     BKW AG     719,017  
    3,427     Bobst Group SA (Registered)     215,536  
    467     Coltene Holding AG (Registered) *     40,750  
    1,080     Feintool International Holding AG (Registered) *     69,914  
    1,954     Georg Fischer AG (Registered)     1,654,383  
    30     Gurit Holding AG     30,360  
    6,097     Huber + Suhner AG (Registered)     467,799  
    158     Inficon Holding AG (Registered)     89,416  
    66     Interroll Holding AG (Registered)     139,976  
    3,339     Kardex AG (Registered)     513,560  
    739     Komax Holding AG (Registered)     152,515  
    1,932     Liechtensteinische Landesbank AG     124,817  
    600     Luxoft Holding Inc *     34,542  
    16,123     Mobilezone Holding AG (Registered) *     156,248  
    17,057     Nestle SA (Registered)     1,692,033  
    52,813     Novartis AG (Registered)     4,538,638  
    2,116     Orior AG *     161,222  
    10,984     Roche Holding AG     2,880,814  
    60,465     Roche Holding AG – Genusschein     15,881,252  
    14     Schweizerische Nationalbank (Registered)     71,751  
    7,032     SIG Combibloc Group AG *     71,927  
    67     Zehnder Group AG – Class RG     2,244  
     

 

 

 
    Total Switzerland     30,530,156  
     

 

 

 
          Taiwan — 2.7%  
    32,000     Actron Technology Corp     98,973  
    37,000     Advantech Co Ltd     309,817  
    100,000     Asia Vital Components Co Ltd     105,745  
    268,000     Asustek Computer Inc     1,842,261  
    13,000     Aten International Co Ltd     37,171  
    8,400     Aurora Corp     25,575  
    191,000     Catcher Technology Co Ltd     1,152,580  
    172,000     Cathay Financial Holding Co Ltd     222,176  
    215,560     Chailease Holding Co Ltd     794,359  
    3,000     Chaun-Choung Technology Corp     15,166  
    33,000     Chicony Electronics Co Ltd     78,254  
    110,000     Chin-Poon Industrial Co Ltd     111,776  
    625,000     China Development Financial Holding Corp     183,619  
    74,000     China Life Insurance Co Ltd     57,170  
    306,000     China Motor Corp     266,108  
    2,000     Chlitina Holding Ltd     16,468  
    14,000     Chong Hong Construction Co Ltd     40,022  
    7,000     Cleanaway Co Ltd     37,407  
    1,606,000     Coretronic Corp     2,056,564  
    1,206,000     CTBC Financial Holding Co Ltd     800,553  
    18,000     CTCI Corp     26,687  
    96,000     Cyberlink Corp     219,027  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Taiwan — continued  
    47,700     Elan Microelectronics Corp     109,303  
    26,000     Elite Material Co Ltd     70,616  
    172,000     Far Eastern Department Stores Ltd     95,392  
    97,000     Farglory Land Development Co Ltd     121,644  
    265,000     Feng TAY Enterprise Co Ltd     2,007,861  
    84,000     FLEXium Interconnect Inc     208,651  
    56,000     Formosa Advanced Technologies Co Ltd     60,483  
    524,000     Formosa Chemicals & Fibre Corp     1,777,496  
    100,000     Formosa Petrochemical Corp     365,715  
    103,000     Formosa Plastics Corp     359,797  
    503,000     Formosa Taffeta Co Ltd     619,140  
    320,000     Foxconn Technology Co Ltd     622,832  
    491,000     Fubon Financial Holding Co Ltd     671,412  
    15,000     Fusheng Precision Co Ltd     84,795  
    1,573,000     Gigabyte Technology Co Ltd     2,270,892  
    24,000     Global Mixed Mode Technology Inc     70,222  
    61,000     Globalwafers Co Ltd     589,017  
    2,695,000     Grand Pacific Petrochemical     1,790,862  
    1,519,400     Great Wall Enterprise Co Ltd     1,850,993  
    75,000     HannStar Display Corp     16,469  
    141,000     Highwealth Construction Corp     217,678  
    17,000     Hiroca Holdings Ltd     34,638  
    70,000     Holiday Entertainment Co Ltd     147,653  
    687,000     Holtek Semiconductor Inc     1,457,304  
    273,000     Hon Hai Precision Industry Co Ltd     638,031  
    5,000     Hotai Motor Co Ltd     79,956  
    49,000     Huaku Development Co Ltd     132,554  
    74,700     IEI Integration Corp     76,742  
    86,000     International Games System Co Ltd     725,577  
    1,976,000     Inventec Corp     1,488,736  
    113,000     Kinpo Electronics     36,602  
    601,000     Lite-On Semiconductor Corp     571,268  
    93,000     Lite-On Technology Corp     132,740  
    41,000     Makalot Industrial Co Ltd     268,812  
    53,202     Mercuries Life Insurance Co Ltd *     18,150  
    1,760,232     Mitac Holdings Corp     1,633,854  
    3,363,000     Nan Ya Plastics Corp     8,351,786  
    34,000     Nantex Industry Co Ltd     37,994  
    455,000     Nanya Technology Corp     887,433  
    1,021,000     Novatek Microelectronics Corp     5,432,711  
    11,000     On-Bright Electronics Inc     50,685  
    135,105     OptoTech Corp     88,525  
    133,000     Pegatron Corp     216,295  
    161,000     Phison Electronics Corp     1,456,644  
    4,460,000     Pou Chen Corp     5,062,353  
    336,000     Quanta Computer Inc     625,484  
    2,021,000     Radiant Opto-Electronics Corp     6,358,614  
    145,000     Realtek Semiconductor Corp     916,868  
    66,600     Ruentex Development Co Ltd     86,095  
    578,000     Ruentex Industries Ltd     1,264,996  
    76,000     Sampo Corp     41,402  
    2,000     Sercomm Corp     4,166  
     Shares     Description       
Value ($)
 
          Taiwan — continued  
    10,000     Shanghai Commercial & Savings Bank Ltd (The)     18,366  
    80,000     Shinkong Insurance Co Ltd     102,149  
    25,000     Sigurd Microelectronics Corp     22,648  
    35,800     Simplo Technology Co Ltd     276,916  
    5,000     Sinbon Electronics Co Ltd     16,827  
    31,050     Sinmag Equipment Corp     114,636  
    11,000     Sitronix Technology Corp     43,731  
    85,000     Soft-World International Corp     190,647  
    47,000     Standard Chemical & Pharmaceutical Co Ltd     48,730  
    956,000     Sunplus Technology Co Ltd     370,108  
    109,500     Syncmold Enterprise Corp     280,383  
    32,700     TaiDoc Technology Corp     143,683  
    102,000     Taiwan PCB Techvest Co Ltd     115,355  
    79,000     Taiwan Sakura Corp     109,984  
    191,000     Taiwan Semiconductor Manufacturing Co Ltd     1,411,556  
    95,642     Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)     3,667,871  
    453,000     Taiwan Surface Mounting Technology Corp     752,961  
    16,000     Test Research Inc     27,833  
    33,000     Tong Hsing Electronic Industries Ltd     105,985  
    181,843     TOPBI International Holdings Ltd     485,185  
    145,485     Topco Scientific Co Ltd     377,403  
    47,000     Topkey Corp     220,529  
    24,000     Transcend Information Inc     54,403  
    69,000     Tripod Technology Corp     218,205  
    22,000     TXC Corp     23,332  
    801,000     Uni-President Enterprises Corp     2,058,641  
    44,600     United Integrated Services Co Ltd     205,090  
    14,000     Vanguard International Semiconductor Corp     26,713  
    29,000     Wah Lee Industrial Corp     48,932  
    1,038,000     Walsin Lihwa Corp     515,683  
    100,000     Waterland Financial Holdings Co Ltd     33,205  
    40,000     YC INOX Co Ltd     33,948  
    1,000     Youngtek Electronics Corp     1,342  
    3,950,000     Yuanta Financial Holding Co Ltd     2,217,706  
    6,000     Yulon Finance Corp     21,149  
    4,000     Yulon Nissan Motor Co Ltd     34,275  
    102,000     Yungtay Engineering Co Ltd     219,444  
    31,000     Zeng Hsing Industrial Co Ltd     143,334  
    24,000     Zhen Ding Technology Holding Ltd     70,496  
     

 

 

 
    Total Taiwan     75,632,800  
     

 

 

 
          Thailand — 0.4%  
    196,800     AP Thailand Pcl NVDR     48,219  
    87,200     Bangkok Dusit Medical Services Pcl NVDR     70,381  
    430,100     Com7 Pcl NVDR     265,705  
    18,789     Delta Electronics Thailand Pcl (Foreign Registered)     37,768  
    61,300     Land & Houses Pcl NVDR     20,540  
    376,100     Mega Lifesciences Pcl NVDR     416,680  
    147,500     Pruksa Holding Pcl NVDR     94,274  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Thailand — continued  
    2,643,200     PTT Global Chemical Pcl NVDR     5,072,182  
    1,675,000     PTT Pcl (Foreign Registered)     2,443,748  
    12,700     Siam Cement Pcl (The) (Foreign Registered)     181,646  
    384,900     Siamgas & Petrochemicals Pcl NVDR     114,318  
    149,700     Somboon Advance Technology Pcl NVDR     84,033  
    204,800     Sri Trang Agro-Industry Pcl NVDR     75,683  
    802,200     Star Petroleum Refining Pcl     236,826  
    74,250     Supalai Pcl (Foreign Registered)     52,320  
    17,475     Supalai Pcl NVDR     12,314  
    765,700     Thanachart Capital Pcl (Foreign Registered)     1,284,895  
    351,200     Thanachart Capital Pcl NVDR     589,471  
    223,500     TTW Pcl NVDR     94,719  
     

 

 

 
    Total Thailand     11,195,722  
     

 

 

 
          Turkey — 0.7%  
    1,062,633     Akbank TAS     1,093,359  
    19,588     Aksa Akrilik Kimya Sanayii AS     28,861  
    79,723     Anadolu Cam Sanayii AS     36,966  
    8,000     Arcelik AS *     23,927  
    77,070     Aselsan Elektronik Sanayi Ve Ticaret AS     241,583  
    61,736     BIM Birlesik Magazalar AS     845,134  
    645,724     Dogan Sirketler Grubu Holding AS *     118,701  
    72,752     EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS     28,861  
    2,204,744     Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)     431,431  
    149,004     Enerjisa Enerji AS     136,836  
    135,485     Enka Insaat ve Sanayi AS     123,263  
    344,862     Eregli Demir ve Celik Fabrikalari TAS     429,369  
    41,065     Ford Otomotiv Sanayi AS     388,237  
    362,172     Haci Omer Sabanci Holding AS     481,837  
    1,678,212     KOC Holding AS     4,632,692  
    22,679     Kordsa Teknik Tekstil AS     46,504  
    33,728     Koza Altin Isletmeleri AS *     275,623  
    10,524     Mavi Giyim Sanayi Ve Ticaret AS – Class B     61,786  
    5,302     Otokar Otomotiv Ve Savunma Sanayi AS     94,040  
    133,197     Petkim Petrokimya Holding AS *     110,679  
    112,494     Selcuk Ecza Deposu Ticaret ve Sanayi AS     90,569  
    634,659     Soda Sanayii AS     757,108  
    72,049     TAV Havalimanlari Holding AS     314,837  
    112,278     Tekfen Holding AS     479,876  
    6,508     Tofas Turk Otomobil Fabrikasi AS     18,914  
    157,433     Trakya Cam Sanayii AS     76,225  
    45,403     Tupras-Turkiye Petrol Rafineriler AS     1,021,831  
    1,433,004     Turkiye Garanti Bankasi AS     1,947,337  
    542,418     Turkiye Halk Bankasi AS     493,751  
    3,533,311     Turkiye Is Bankasi – Class C     3,107,935  
    845,604     Turkiye Sinai Kalkinma Bankasi AS     98,771  
    18,023     Turkiye Sise ve Cam Fabrikalari AS     16,094  
    1,007,207     Turkiye Vakiflar Bankasi TAO – Class D     638,263  
    13,496     Vestel Beyaz Esya Sanayi ve Ticaret AS     31,967  
    30,766     Vestel Elektronik Sanayi ve Ticaret AS *     51,493  
     Shares     Description       
Value ($)
 
          Turkey — continued  
    1,645,800     Yapi ve Kredi Bankasi AS *     562,297  
     

 

 

 
    Total Turkey     19,336,957  
     

 

 

 
          United Arab Emirates — 0.0%  
    10,230     Abu Dhabi Commercial Bank PJSC     24,841  
    100,514     Air Arabia PJSC     28,334  
    83,756     Al Waha Capital PJSC     21,866  
    97,332     DAMAC Properties Dubai Co PJSC *     22,434  
    206,172     Dana Gas PJSC     55,435  
    33,252     Dubai Islamic Bank PJSC     45,329  
    186,985     Emaar Properties PJSC     226,475  
    342,641     RAK Properties PJSC *     39,978  
     

 

 

 
    Total United Arab Emirates     464,692  
     

 

 

 
          United Kingdom — 3.6%  
    599,358     3i Group Plc     7,956,493  
    702     Admiral Group Plc     18,271  
    73,582     Ashtead Group Plc     1,727,371  
    47,569     AstraZeneca Plc     3,505,468  
    27,784     AVEVA Group Plc     1,298,185  
    23,159     BAE Systems Plc     132,396  
    470,189     Barratt Developments Plc     3,316,623  
    80,805     Bellway Plc     2,806,017  
    110,021     Berkeley Group Holdings Plc (The)     4,863,578  
    46,128     Bovis Homes Group Plc     569,193  
    208,045     BP Plc     1,409,664  
    170,550     British American Tobacco Plc     5,924,194  
    35,400     British American Tobacco Plc Sponsored ADR     1,227,318  
    97,730     Britvic Plc     1,098,969  
    273,919     BT Group Plc     667,983  
    14,934     Close Brothers Group Plc     259,479  
    17,232     CMC Markets Plc     18,944  
    67,471     Coca-Cola HBC AG *     2,428,859  
    29,667     Compass Group Plc     671,213  
    55,918     Computacenter Plc     885,114  
    13,723     Dart Group Plc     155,438  
    178     Derwent London Plc (REIT)     7,233  
    4,275     Direct Line Insurance Group Plc     17,090  
    29,591     Drax Group Plc     110,277  
    4,682     Dunelm Group Plc     52,685  
    42,737     EI Group Plc *     113,903  
    268,996     Electrocomponents Plc     2,062,356  
    13,850     EMIS Group Plc     208,399  
    227,812     Evraz Plc     1,691,145  
    519,293     Ferrexpo Plc     1,508,676  
    39,869     Galliford Try Plc     314,509  
    185,435     GlaxoSmithKline Plc     3,580,001  
    132,200     GlaxoSmithKline Plc Sponsored ADR     5,108,208  
    3,611     Go-Ahead Group Plc (The)     85,026  
    5,303     Grainger Plc     16,836  
    29,186     Greene King Plc     235,605  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          United Kingdom — continued  
    7,405     Greggs Plc     203,208  
    5,417     Hikma Pharmaceuticals Plc     107,981  
    19,600     HSBC Holdings Plc Sponsored ADR     799,092  
    9,302     Hunting Plc     59,506  
    255,290     IG Group Holdings Plc     1,767,663  
    146,469     Imperial Brands Plc     3,541,673  
    67,498     Inchcape Plc     498,982  
    91,983     Indivior Plc *     52,948  
    15,804     Intermediate Capital Group Plc     262,056  
    105,176     JD Sports Fashion Plc     819,534  
    77,063     John Laing Group Plc     378,304  
    1,460,035     Legal & General Group Plc     4,730,981  
    3,083,800     Lloyds Banking Group Plc     2,228,976  
    21,385     Lookers Plc     23,138  
    97,845     Meggitt Plc     605,037  
    132,021     Mondi Plc     2,732,797  
    57,877     Morgan Advanced Materials Plc     181,087  
    4,604     Morgan Sindall Group Plc     74,974  
    69,095     National Express Group Plc     346,789  
    22,032     Next Plc     1,606,030  
    38,000     Nomad Foods Ltd *     806,360  
    23,094     Numis Corp Plc     78,588  
    27,681     OneSavings Bank Plc     140,380  
    63,171     Pagegroup Plc     406,135  
    6,603     Paragon Banking Group Plc     36,166  
    2,081     Pennon Group Plc     19,322  
    394,664     Persimmon Plc     9,817,356  
    13,827     Phoenix Group Holdings Plc     116,982  
    135,505     Plus500 Ltd     1,083,795  
    479,569     QinetiQ Group Plc     1,761,832  
    15,722     Reckitt Benckiser Group Plc     1,261,916  
    32,291     Redrow Plc     222,094  
    6,323     Royal Dutch Shell Plc – Class A     196,086  
    3,800     Royal Dutch Shell Plc – Class A Sponsored ADR     234,878  
    12,100     Royal Dutch Shell Plc – Class B Sponsored ADR     760,606  
    12,791     RPS Group Plc     29,118  
    3,697     Segro Plc (REIT)     32,546  
    22,473     Softcat Plc     257,805  
    16,649     Spectris Plc     522,037  
    110,474     Spirent Communications Plc     219,276  
    27,030     SSP Group Plc *     228,751  
    4,815     St Modwen Properties Plc     26,422  
    36,890     Stock Spirits Group Plc     109,328  
    390,713     Tate & Lyle Plc     3,566,435  
    10,727     Taylor Wimpey Plc     22,412  
    24,744     Unilever Plc     1,509,526  
    86,685     Vesuvius Plc     547,213  
     

 

 

 
    Total United Kingdom     101,086,840  
     

 

 

 
     Shares     Description       
Value ($)
 
          United States — 5.0%  
    4,000     1-800-Flowers.com, Inc. – Class A *     73,040  
    13,049     3M Co. (b)     2,084,578  
    11,974     Abbott Laboratories (b)     911,581  
    7,700     Abercrombie & Fitch Co. – Class A     133,210  
    12,682     Accenture Plc – Class A (b)     2,258,284  
    54,403     ACCO Brands Corp.     399,862  
    600     ACI Worldwide, Inc. * (b)     18,876  
    10,700     Acushnet Holdings Corp. (b)     251,343  
    16,300     ADTRAN, Inc.     255,584  
    22,600     AG Mortgage Investment Trust, Inc. (REIT)     348,492  
    2,200     Agilysys, Inc. *     47,960  
    2,700     AgroFresh Solutions, Inc. * (b)     6,507  
    4,300     Alamo Group, Inc.     408,199  
    500     Allied Motion Technologies, Inc.     16,235  
    4,700     Alpha & Omega Semiconductor Ltd. *     40,138  
    3,296     Alphabet, Inc. – Class C *     3,637,564  
    5,240     Ameresco, Inc.– Class A *     75,980  
    4,700     America’s Car-Mart, Inc. *     404,670  
    16,794     American Express Co. (a)     1,926,440  
    200     American National Bankshares, Inc.     6,976  
    6,800     American Public Education, Inc. *     190,264  
    2,600     Amkor Technology, Inc. *     16,848  
    6,004     Amphenol Corp. – Class A (b)     522,348  
    6,755     Anthem, Inc.     1,877,755  
    21,877     Apple, Inc.     3,830,006  
    81,700     Arbor Realty Trust, Inc. (REIT) (b)     1,005,727  
    37,000     Archrock, Inc.     328,190  
    13,500     Ares Commercial Real Estate Corp. (REIT)     198,180  
    4,700     Armstrong Flooring, Inc. *     49,538  
    600     Arrow Financial Corp.     19,302  
    10,500     Atkore International Group, Inc. *     245,595  
    8,800     Avaya Holdings Corp. *     110,704  
    10,900     Avid Technology, Inc. * (b)     84,475  
    23,600     AVX Corp.     349,044  
    1,300     Axcelis Technologies, Inc. *     19,279  
    3,600     BancFirst Corp.     188,028  
    6,000     BankFinancial Corp.     83,400  
    21,000     Banner Corp.     1,059,660  
    800     Bar Harbor Bankshares     18,904  
    4,700     Bassett Furniture Industries, Inc.     69,043  
    817     BCB Bancorp, Inc.     10,000  
    2,734     Becton Dickinson and Co.     638,225  
    1,800     Bel Fuse, Inc. – Class B     31,104  
    7,600     Benchmark Electronics, Inc.     167,884  
    1,488     Berkshire Hills Bancorp, Inc.     43,435  
    2,400     Berry Petroleum Corp.     25,800  
    2,000     BlackRock TCP Capital Corp.     28,540  
    46,100     Bloomin’ Brands, Inc.     890,191  
    489     Booking Holdings, Inc. *     809,891  
    33,700     Brady Corp. – Class A     1,560,310  
    25,600     Braemar Hotels & Resorts, Inc. (REIT)     267,264  
    22,100     Briggs & Stratton Corp.     207,740  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          United States — continued  
    100     BRT Apartments Corp. (REIT)     1,262  
    400     Cabot Corp. (b)     15,976  
    13,000     Calix, Inc. *     78,650  
    10,300     Camden National Corp.     436,205  
    1,500     Care.com, Inc. * (b)     21,435  
    700     Carpenter Technology Corp. (b)     28,392  
    31,300     Carrols Restaurant Group, Inc. *     266,676  
    14,700     Cedar Realty Trust, Inc. (REIT)     41,601  
    15,700     Central Garden & Pet Co. *     441,955  
    12,700     Central Garden & Pet Co. – Class A *     324,739  
    2,100     Century Bancorp, Inc. – Class A     188,181  
    1,500     Chatham Lodging Trust (REIT) (b)     28,560  
    53,100     Ciena Corp. * (a)     1,855,314  
    2,700     Cirrus Logic, Inc. *     100,899  
    29,099     Cisco Systems, Inc. (b)     1,514,021  
    600     Citi Trends, Inc.     8,208  
    4,000     Civista Bancshares, Inc.     86,800  
    9,200     Clarus Corp.     117,300  
    2,000     CNB Financial Corp.     49,500  
    63,400     CNO Financial Group, Inc. (b)     996,014  
    23,775     Coca-Cola Co. (The)     1,168,066  
    23,816     Cognizant Technology Solutions Corp. – Class A (b)     1,474,925  
    600     Columbia Sportswear Co.     56,268  
    3,600     Community Trust Bancorp, Inc.     142,524  
    20,100     Comtech Telecommunications Corp.     425,115  
    1,590     Consolidated Water Co. Ltd. (b)     21,544  
    12,400     Core-Mark Holding Co., Inc.     457,312  
    59,400     CoreCivic, Inc. (REIT)     1,300,860  
    14,600     CorePoint Lodging, Inc. (REIT)     176,952  
    8,366     Costco Wholesale Corp. (b)     2,004,326  
    1,315     CRA International, Inc.     49,234  
    15,000     CSG Systems International, Inc. (b)     672,750  
    2,800     Daktronics, Inc.     17,388  
    44,400     Designer Brands, Inc. – Class A (a)     803,196  
    5,100     Digi International, Inc. *     55,539  
    1,400     Dime Community Bancshares, Inc. (b)     24,892  
    7,300     Diodes, Inc. * (b)     225,789  
    1,100     Donegal Group, Inc. – Class A     15,895  
    2,800     Donnelley Financial Solutions, Inc. *     34,524  
    3,700     Ducommun, Inc. *     166,981  
    84,800     Dynex Capital, Inc. (REIT) (b)     466,400  
    3,000     El Paso Electric Co.     174,600  
    4,600     Employers Holdings, Inc.     191,084  
    20,300     Ennis, Inc.     375,956  
    41,234     Enova International, Inc. * (a)     880,346  
    1,800     Escalade, Inc.     20,034  
    1,900     ESSA Bancorp, Inc. (b)     28,785  
    12,200     Essent Group Ltd. *     572,790  
    6,700     Ethan Allen Interiors, Inc.     142,174  
    2,300     EVERTEC Inc     65,918  
    7,400     Evolution Petroleum Corp.     45,214  
     Shares     Description       
Value ($)
 
          United States — continued  
    1,600     Exantas Capital Corp. (REIT)     17,440  
    8,767     Facebook, Inc. – Class A * (a)     1,555,879  
    5,600     Farmers National Banc Corp.     75,320  
    24,200     Federal Signal Corp.     578,138  
    33,800     Federated Investors, Inc. – Class B (b)     1,031,914  
    7,900     FedNat Holding Co.     106,808  
    4,800     Financial Institutions, Inc.     129,744  
    5,900     First Community Bankshares, Inc.     193,284  
    15,400     First Defiance Financial Corp.     417,340  
    3,200     First Financial Corp. (b)     121,056  
    1,800     First Financial Northwest, Inc.     27,288  
    800     First of Long Island Corp. (The)     17,080  
    46,200     Flagstar Bancorp, Inc. (b)     1,454,376  
    200     Flexsteel Industries, Inc.     3,430  
    1,800     Flushing Financial Corp.     37,854  
    1,000     FONAR Corp. *     19,200  
    5,100     FTI Consulting, Inc. * (b)     427,992  
    118,800     Fulton Financial Corp. (b)     1,872,288  
    6,800     FutureFuel Corp.     70,584  
    100,100     Gannett Co., Inc. (a) (b)     786,786  
    7,700     Genie Energy Ltd. – Class B     71,918  
    67,000     GEO Group, Inc. (The) (REIT) (a)     1,469,310  
    9,557     Global Brass & Copper Holdings, Inc.     416,972  
    4,400     Gorman-Rupp Co. (The)     130,548  
    526     Graham Holdings Co. – Class B     357,964  
    2,100     Great Southern Bancorp, Inc.     115,962  
    4,400     Greif, Inc. – Class A (b)     155,936  
    16,200     Griffon Corp.     232,956  
    7,600     Group 1 Automotive, Inc.     548,644  
    900     Hallmark Financial Services, Inc. *     10,611  
    7,300     Harmonic, Inc. * (b)     38,106  
    18,400     Haverty Furniture Cos, Inc.     320,344  
    500     Hawkins, Inc.     17,780  
    10,000     Helen of Troy Ltd. * (b)     1,336,100  
    50,630     Herman Miller, Inc.     1,796,859  
    54,500     Hersha Hospitality Trust (REIT) (a)     929,225  
    700     HMS Holdings Corp. *     21,301  
    500     Home Bancorp, Inc.     17,825  
    2,100     HomeTrust Bancshares, Inc.     51,408  
    5,410     Honeywell International, Inc. (b)     888,917  
    900     Hub Group, Inc. – Class A *     35,064  
    600     Hurco Cos, Inc.     21,036  
    12,200     Hyster-Yale Materials Handling, Inc.     536,556  
    6,500     ICF International, Inc.     473,785  
    13,000     IDACORP, Inc. (a) (b)     1,303,510  
    400     Independence Holding Co.     14,932  
    19,446     Independent Bank Corp.     411,283  
    12,200     Information Services Group, Inc. *     37,942  
    3,900     Ingles Markets, Inc. – Class A     116,259  
    8,105     Innospec, Inc.     654,154  
    18,900     Insight Enterprises, Inc. * (b)     972,972  
    11,800     Inter Parfums, Inc.     764,404  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          United States — continued  
    21,100     International Bancshares Corp. (a)     769,306  
    5,800     INTL. FCStone, Inc. * (b)     201,608  
    18,100     Invesco Mortgage Capital, Inc. (REIT)     278,559  
    16,700     iStar, Inc. (REIT)     183,867  
    4,200     Johnson Outdoors, Inc. – Class A     310,002  
    13,992     Johnson & Johnson     1,835,051  
    31,226     K12, Inc. * (a)     954,579  
    5,000     Kimball Electronics, Inc. *     71,250  
    4,900     Kimball International, Inc. – Class B     75,656  
    14,900     Knoll, Inc.     292,636  
    5,100     La-Z-Boy, Inc.     164,169  
    9,800     Lantheus Holdings, Inc. * (b)     235,102  
    25,100     Laureate Education, Inc. – Class A *     403,106  
    3,000     LCNB Corp.     50,910  
    2,600     Leaf Group Ltd. *     18,694  
    3,500     Liberty Expedia Holdings, Inc. – Class A *     144,305  
    20,300     Liberty TripAdvisor Holdings, Inc. – Class A *     216,195  
    4,100     M/I Homes, Inc. *     112,258  
    7,300     Macatawa Bank Corp.     74,095  
    40,000     Mallinckrodt Plc *     347,600  
    17,600     Marcus Corp. (The)     615,296  
    1,308     Marlin Business Services Corp. (b)     29,168  
    2,722     Mastercard, Inc. – Class A     684,556  
    11,500     Materion Corp. (a)     695,175  
    12,277     Matrix Service Co. *     222,214  
    24,111     Medtronic Plc     2,232,196  
    21,939     Merck & Co., Inc. (a)     1,737,788  
    1,300     Meridian Bancorp, Inc.     22,451  
    1,100     Meridian Bioscience, Inc. (b)     12,430  
    7,400     Meritor, Inc. * (b)     149,184  
    55,600     MGIC Investment Corp. *     753,380  
    33,099     Microsoft Corp.     4,093,684  
    600     MidWestOne Financial Group, Inc.     16,704  
    2,400     Miller Industries, Inc.     63,720  
    6,200     Modine Manufacturing Co. *     79,670  
    1,700     Monarch Casino & Resort, Inc. *     73,151  
    15,800     Monotype Imaging Holdings, Inc.     257,382  
    23,400     Moog, Inc. – Class A     1,928,628  
    17,800     Movado Group, Inc.     458,528  
    2,100     Mueller Industries, Inc. (b)     56,595  
    2,200     MutualFirst Financial, Inc.     65,736  
    600     NACCO Industries, Inc. – Class A     29,976  
    8,000     National CineMedia, Inc. (b)     52,400  
    20,700     National General Holdings Corp.     470,304  
    11,200     Natural Grocers by Vitamin Cottage, Inc. *     115,024  
    13,300     Nautilus, Inc. * (b)     35,777  
    2,100     NIC, Inc.     33,516  
    300     Nicolet Bankshares, Inc. *     17,547  
    1,742     Northrim BanCorp, Inc.     58,235  
    60,100     Northwest Bancshares, Inc.     1,007,877  
    222,300     Office Depot, Inc.     435,708  
     Shares     Description       
Value ($)
 
          United States — continued  
    25,400     OFG Bancorp (b)     477,012  
    200     Oil-Dri Corp. of America     5,878  
    26,900     Old National Bancorp (b)     428,786  
    6,700     Olympic Steel, Inc. (b)     82,946  
    11,206     Oppenheimer Holdings, Inc. – Class A     276,116  
    70,811     Oracle Corp. (b)     3,583,036  
    500     Orrstown Financial Services, Inc.     10,620  
    10,700     Outfront Media, Inc. (REIT)     263,755  
    1,100     Owens-Illinois, Inc.     17,600  
    600     Park-Ohio Holdings Corp.     18,732  
    9,400     PC Connection, Inc.     298,356  
    800     PCM, Inc. *     20,440  
    142,400     PDL BioPharma, Inc. * (b)     401,568  
    400     Penns Woods Bancorp, Inc.     16,736  
    30,500     PennyMac Financial Services, Inc. (b)     646,905  
    21,600     PennyMac Mortgage Investment Trust (REIT)     449,280  
    1,200     Peoples Bancorp, Inc.     37,092  
    2,837     PepsiCo, Inc.     363,136  
    9,836     Philip Morris International, Inc.     758,651  
    58,500     Piedmont Office Realty Trust, Inc. – Class A (REIT) (b)     1,189,305  
    15,300     PNM Resources, Inc. (b)     720,783  
    3,100     PolyOne Corp.     77,903  
    33,500     Popular, Inc. (a)     1,749,035  
    26,800     Portland General Electric Co.     1,416,648  
    400     Preformed Line Products Co.     18,804  
    2,900     Premier Financial Bancorp, Inc.     45,269  
    4,700     Prestige Consumer Healthcare, Inc. * (b)     136,441  
    3,600     Protective Insurance Corp. – Class B     61,740  
    8,300     Provident Financial Services, Inc.     197,872  
    3,600     Quanex Building Products Corp.     55,836  
    10,400     Radiant Logistics, Inc. *     66,144  
    17,100     Rambus, Inc. *     194,256  
    2,600     Republic Bancorp, Inc. – Class A     119,184  
    1,500     Resources Connection, Inc.     23,025  
    19,100     Ribbon Communications, Inc. *     81,557  
    3,665     Riverview Bancorp, Inc.     28,404  
    2,600     Rocky Brands, Inc.     63,596  
    7,500     RTI Surgical Holdings, Inc. * (b)     31,725  
    9,700     Rudolph Technologies, Inc. *     223,779  
    500     Rush Enterprises, Inc. – Class A     17,635  
    35,100     Sanmina Corp. *     933,309  
    3,700     Seneca Foods Corp. – Class A *     91,390  
    20,900     Shoe Carnival, Inc.     536,921  
    8,500     Sierra Bancorp     210,800  
    2,500     SilverBow Resources, Inc. *     35,675  
    3,800     Smart & Final Stores, Inc. *     24,738  
    5,900     Sonic Automotive, Inc. – Class A (b)     102,837  
    500     Southern Missouri Bancorp, Inc.     16,287  
    1,200     Southern National Bancorp of Virginia, Inc.     16,572  
    1,600     Southwest Gas Holdings, Inc. *     136,224  
    193,200     Southwestern Energy Co. *     693,588  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          United States — continued  
    2,800     SpartanNash Co.     32,312  
    3,000     Speedway Motorsports, Inc.     54,480  
    31,400     Spok Holdings, Inc.     485,130  
    2,400     SPX Corp. *     71,376  
    1,200     Standard Motor Products, Inc.     50,856  
    4,000     Star Group LP     38,760  
    600     State Auto Financial Corp.     20,514  
    57,100     Steelcase Inc – Class A (a)     915,884  
    6,800     Stepan Co. (a)     577,048  
    3,100     Stoneridge, Inc. * (b)     80,693  
    17,100     SunCoke Energy, Inc. *     125,514  
    126,100     Sunstone Hotel Investors, Inc. (REIT) (b)     1,692,262  
    9,300     Sykes Enterprises, Inc. * (b)     230,268  
    900     Systemax, Inc. (b)     18,531  
    15,800     Tech Data Corp. *     1,432,270  
    118,636     TEGNA, Inc.     1,796,149  
    3,800     Telenav, Inc. *     28,348  
    49,900     Telephone & Data Systems, Inc.     1,437,619  
    4,500     Territorial Bancorp, Inc.     121,050  
    17,419     Texas Instruments, Inc. (b)     1,816,976  
    700     Timberland Bancorp, Inc.     17,066  
    39,300     Timken Co. (The)     1,729,593  
    29,448     TJX Cos., Inc. (The) (a)     1,480,940  
    22,400     Tower International, Inc.     390,432  
    9,800     Tredegar Corp.     152,782  
    9,700     Tribune Publishing Co. *     95,254  
    13,300     TriCo Bancshares     496,090  
    8,500     Trinseo SA     313,140  
    1,300     Triple-S Management Corp. – Class B *     31,850  
    2,400     TrustCo Bank Corp. NY     17,712  
    1,200     Twin Disc, Inc. *     17,304  
    45,500     Unisys Corp. *     441,350  
    1,200     United Community Financial Corp.     10,992  
    1,254     United Security Bancshares     12,791  
    3,200     United States Cellular Corp. * (b)     139,360  
    9,026     UnitedHealth Group, Inc. (a)     2,182,487  
    5,474     United Technologies Corp. (b)     691,366  
    16,400     Universal Corp. (b)     926,928  
    2,800     Universal Forest Products, Inc.     90,300  
    700     Univest Financial Corp     16,716  
    40,843     US Bancorp (b)     2,050,319  
    5,800     Valhi, Inc.     11,600  
    8,000     Vectrus, Inc. *     282,320  
    15,900     Vera Bradley, Inc. * (b)     174,105  
    6,600     Veritiv Corp. *     116,556  
    29,400     Verso Corp. – Class A * (a)     506,268  
    1,900     Village Super Market, Inc. – Class A     50,312  
    3,700     Visa, Inc. – Class A     596,921  
    92,600     Vishay Intertechnology, Inc. (a) (b)     1,411,224  
    7,653     Vishay Precision Group, Inc. *     274,130  
    161,900     W&T Offshore, Inc. *     679,980  
    8,600     Waterstone Financial, Inc.     141,986  
     Shares     Description       
Value ($)
 
          United States — continued  
    4,000     Watts Water Technologies, Inc. – Class A     325,560  
    3,700     Weis Markets, Inc. (b)     139,860  
    41,199     Wells Fargo & Co.     1,828,000  
    2,100     West Bancorporation, Inc.     43,680  
    3,900     Weyco Group, Inc.     97,578  
    500     Willis Lease Finance Corp. *     24,900  
    29,000     World Fuel Services Corp. (a)     845,060  
    80,704     Xenia Hotels & Resorts, Inc. (REIT) (b)     1,687,521  
    7,400     Zix Corp. * (b)     66,304  
    29,500     Zumiez, Inc. *     583,510  
     

 

 

 
    Total United States     143,260,708  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $1,418,290,995)
    1,353,415,043  
     

 

 

 
          PREFERRED STOCKS (e)— 0.8%  
          Brazil — 0.2%  
    159,100     Banco do Estado do Rio Grande do Sul SA – Class B     962,965  
    374,400     Braskem SA – Class A     4,081,814  
    7,400     Cia Paranaense de Energia – Class B     90,521  
    2,100     Companhia de Transmissao de Energia Eletrica Paulista     12,095  
    26,800     Telefonica Brasil SA     328,174  
     

 

 

 
    Total Brazil     5,475,569  
     

 

 

 
          Colombia — 0.0%  
    2,263     Banco Davivienda SA     25,564  
    30,990     Grupo Aval Acciones y Valores SA     10,779  
     

 

 

 
    Total Colombia     36,343  
     

 

 

 
          Germany — 0.1%  
    1,054     Bayerische Motoren Werke AG     62,368  
    742     Draegerwerk AG & Co KGaA     40,010  
    9,257     Henkel AG & Co KGaA     845,947  
    6,090     Sixt SE     424,689  
    6,941     Volkswagen AG     1,079,043  
     

 

 

 
    Total Germany     2,452,057  
     

 

 

 
          Russia — 0.1%  
    91     AK Transneft PJSC     224,459  
    6,817     Bashneft PJSC     177,901  
    722,020     Sberbank of Russia PJSC     2,263,249  
    1,825,300     Surgutneftegas PJSC     1,130,192  
     

 

 

 
    Total Russia     3,795,801  
     

 

 

 
          South Korea — 0.4%  
    1,212     Hyundai Motor Co (d)     79,768  
    1,114     Hyundai Motor Co (d)     80,111  
    38,442     LG Electronics Inc     1,025,265  
    316,358     Samsung Electronics Co Ltd     9,218,370  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares /
Par Value†
    Description   Value ($)  
          South Korea — continued  
    1,079     Samsung Electronics Co Ltd GDR     776,717  
     

 

 

 
    Total South Korea     11,180,231  
     

 

 

 
          Sweden — 0.0%  
    2,374     Akelius Residential Property AB     86,184  
     

 

 

 
          Taiwan — 0.0%  
    14,463     CTBC Financial Holding Co Ltd (f)     29,365  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $23,830,744)
    23,055,550  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Singapore — 0.0%  
    1,274     Frasers Centrepoint Trust (REIT), Expires 06/10/19 * (f)     65  
     

 

 

 
          Spain — 0.0%  
    62,811     Almirall SA, Expires 06/04/19 *     14,034  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $14,291)
    14,099  
     

 

 

 
          INVESTMENT FUNDS — 0.0%  
          United States — 0.0%  
    12,938     iShares Core MSCI Emerging Markets ETF     635,515  
     

 

 

 
    TOTAL INVESTMENT FUNDS
(COST $663,461)
    635,515  
     

 

 

 
          DEBT OBLIGATIONS — 14.2%  
          United States — 14.2%  
          Asset-Backed Securities — 1.1%  
    3,056,888     AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.64%, due 01/25/23     2,999,725  
    154,898     AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.43%, due 11/02/30     154,994  
    283,218     AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.53%, due 07/24/29     283,497  
    362,558     AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.53%, due 07/25/29     362,551  
    63,590     Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.50%, due 07/15/30     63,620  
    597,850     Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 04/15/31     597,275  
    271,250     Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     271,246  
     Par Value†     Description       
Value ($)
 
          United States — continued  
          Asset-Backed Securities — continued  
    217,000     Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 05/15/30     216,998  
    291,207     Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.13%, due 11/17/27     291,205  
    253,179     Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.34%, due 07/26/31     253,175  
    188,243     Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.72%, due 01/18/25     188,433  
    374,831     Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.68%, due 04/25/26     374,886  
    664,232     Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.74%, due 07/20/25     664,274  
    260,400     Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 04/15/30     260,396  
    739,495     Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.43%, due 10/25/37     735,772  
    461,119     Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 3.28%, due 04/25/36     460,876  
    67,122     Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.44%, due 07/20/29     67,134  
    38,750     Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.58%, due 04/24/29     38,767  
    325,500     BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.14%, due 04/20/30     325,495  
    217,000     BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     216,996  
    228,230     Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 01/17/28     228,226  
    420,592     Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.30%, due 07/15/31     420,585  
    247,836     Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/22/30     247,800  
    309,795     CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/18/30     309,774  
    86,800     CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.39%, due 07/20/30     86,811  
    397,842     CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.33%, due 10/24/30     397,890  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Par Value†     Description       
Value ($)
 
          United States — continued  
          Asset-Backed Securities — continued  
    2,459,799     Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35     98,392  
    457,734     Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     457,727  
    224,014     CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.75%, due 01/16/26     224,049  
    304,330     Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 11/15/28     304,327  
    713,333     Elevation CLO Ltd., Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.38%, due 10/25/31     713,270  
    103,265     Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/15/29     103,263  
    118,755     Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/15/30     118,889  
    419,244     Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 05/16/31     419,207  
    141,388     GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.81%, due 05/25/26     140,913  
    527,195     Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 11/28/30     527,138  
    285,338     Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 01/18/31     285,311  
    361,427     Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.23%, due 01/27/31     361,385  
    78,486     Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.75%, due 04/15/25     78,511  
    52,227     Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Variable Rate, 3 mo. LIBOR + 1.15%, 3.75%, due 04/15/25     52,244  
    278,303     Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.22%, due 02/05/31     278,299  
    51,633     Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.40%, due 07/18/29     51,638  
    103,265     Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.24%, due 10/20/29     103,277  
    429,660     ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.15%, due 01/15/31     429,653  
    206,530     Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.49%, due 07/17/29     206,611  
     Par Value†     Description       
Value ($)
 
          United States — continued  
          Asset-Backed Securities — continued  
    188,449     KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.84%, due 05/25/29     187,679  
    667,200     KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.89%, due 07/25/29     660,430  
    29,860     KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.92%, due 09/27/35     29,856  
    386,531     Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.29%, due 04/20/31     386,525  
    81,525     KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.55%, due 07/15/30     81,549  
    454,328     LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     454,320  
    308,164     LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.54%, due 07/20/30     308,434  
    206,857     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.68%, due 02/25/30     204,545  
    460,112     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.86%, due 04/25/31     457,745  
    1,160,623     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.70%, due 06/25/37     1,146,287  
    520,800     Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/19/30     520,777  
    427,091     Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.58%, due 07/25/26     427,147  
    1,707,244     Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.49%, due 05/20/30     1,711,373  
    433,713     Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 01/16/31     432,381  
    338,274     Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.35%, due 10/12/30     336,821  
    1,398,308     National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.66%, due 03/26/29     1,388,715  
    33,513     Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26     33,654  
    114,115     Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/15/29     114,107  
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Par Value†     Description       
Value ($)
 
          United States — continued  
          Asset-Backed Securities — continued  
    92,293     Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.59%, due 04/22/29     92,331  
    162,166     Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39     162,115  
    129,217     Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.39%, due 07/19/30     129,222  
    389,416     Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.18%, due 01/25/31     389,410  
    88,513     OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.45%, due 08/16/29     88,545  
    163,050     OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 01/21/30     163,034  
    227,183     OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.24%, due 10/22/30     227,167  
    65,764     OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.33%, due 10/30/30     65,768  
    258,163     Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 07/15/30     258,158  
    331,515     Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.69%, due 05/15/26     331,859  
    51,633     Telos CLO Ltd., Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.59%, due 07/17/19     51,652  
    636,533     Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.34%, due 04/17/28     636,522  
    578,284     Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.34%, due 01/17/30     578,274  
    51,538     THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.49%, due 07/20/30     51,564  
    278,816     THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 11/20/30     278,814  
    703,700     TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.22%, due 04/26/28     703,700  
    283,975     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47     282,297  
    490,186     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.68%, due 05/25/47     491,540  
    154,898     Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.39%, due 07/20/30     154,890  
Par Value† /
Shares
    Description       
Value ($)
 
          United States — continued  
          Asset-Backed Securities — continued  
    464,692     Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 10/15/30     464,685  
    206,150     Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.23%, due 04/18/31     206,146  
     

 

 

 
    Total Asset-Backed Securities     30,162,543  
     

 

 

 
          U.S. Government — 13.1%  
    24,976,755     U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (g)     25,223,824  
    17,301,858     U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (g)     17,224,366  
    65,236,734     U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (g)     66,419,934  
    69,635,360     U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (g)     69,695,431  
    31,714,789     U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (g)     32,031,714  
    78,651,673     U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a) (g)     87,710,778  
    4,814,485     U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (g)     4,985,652  
    5,782,630     U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (g)     6,045,477  
    53,411,702     U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (g)     63,939,601  
     

 

 

 
    Total U.S. Government     373,276,777  
     

 

 

 
    Total United States     403,439,320  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $396,748,167)
    403,439,320  
     

 

 

 
          MUTUAL FUNDS — 33.6%  
          United States — 33.6%  
          Affiliated Issuers — 33.6%  
    4,723,676     GMO Emerging Country Debt Fund, Class IV     128,389,522  
    10,839,176     GMO Emerging Markets Fund, Class VI     337,315,154  
    6,889,905     GMO Opportunistic Income Fund, Class VI     184,029,366  
    3,369,990     GMO Risk Premium Fund, Class VI     90,686,436  
    3,981,325     GMO SGM Major Markets Fund, Class VI     128,278,283  
    4,898,738     GMO Special Opportunities Fund, Class VI     88,863,097  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $927,659,457)
    957,561,858  
     

 

 

 
          SHORT-TERM INVESTMENTS — 4.9%  
          Money Market Funds — 0.3%  
    7,175,688     State Street Institutional Treasury Money Market Fund-Premier Class, 2.30% (h)     7,175,688  
     

 

 

 
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Par Value† /
Shares
    Description       
Value ($)
 
          Repurchase Agreements — 4.6%  
    131,319,166     Nomura Securities International Inc. Repurchase Agreement, dated 05/31/19, maturing on 06/03/19 with a maturity value of $131,345,977 and an effective yield of 2.45%, collateralized by a U.S. Treasury Note with maturity date 05/31/23 and a market value of $134,313,885.     131,319,166  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $138,494,854)     138,494,854  
     

 

 

 
    TOTAL INVESTMENTS — 101.0%
(Cost $2,905,701,969)
    2,876,616,239  
     

 

 

 
          SECURITIES SOLD SHORT — (1.1)%  
          Common Stocks — (1.1)%  
          Austria — (0.0)%  
    (5,255   IMMOFINANZ AG *     (133,573
    (1,078   Schoeller-Bleckmann Oilfield Equipment AG     (84,925
     

 

 

 
    Total Austria     (218,498
     

 

 

 
          Brazil — (0.2)%  
    (152,100   Pagseguro Digital Ltd. – Class A *     (4,870,242
    (12,400   StoneCo Ltd. – Class A *     (312,480
     

 

 

 
    Total Brazil     (5,182,722
     

 

 

 
          Canada — (0.1)%  
    (56,400   Agnico Eagle Mines Ltd     (2,458,476
    (8,550   Algonquin Power & Utilities Corp     (99,608
    (78,900   AltaGas Ltd     (1,138,901
     

 

 

 
    Total Canada     (3,696,985
     

 

 

 
          Denmark — (0.1)%  
    (18,266   Ambu A/S – Class B     (282,497
    (112   AP Moller – Maersk A/S – Class A     (113,780
    (382   AP Moller – Maersk A/S – Class B     (407,931
    (4,263   Demant A/S *     (142,371
    (2,319   Dfds A/S     (88,220
    (764   Drilling Co of 1972 A/S (The) *     (48,802
    (3,000   FLSmidth & Co A/S     (117,867
    (9,825   ISS A/S     (276,739
    (9,277   Jyske Bank A/S (Registered)     (350,803
    (2,356   Orsted A/S     (187,536
    (1,403   Ringkjoebing Landbobank A/S     (92,349
    (824   Rockwool International A/S – B Shares     (209,617
    (4,270   Sydbank A/S     (80,056
    (1,445   Tryg A/S     (45,164
     

 

 

 
    Total Denmark     (2,443,732
     

 

 

 
          France — (0.0)%  
    (1,605   Iliad SA     (185,233
    (1,646   Wendel SA     (209,494
     

 

 

 
    Total France     (394,727
     

 

 

 
     Shares     Description       
Value ($)
 
          Germany — (0.1)%  
    (235,187   Deutsche Bank AG (Registered)     (1,594,935
    (17,400   QIAGEN NV *     (662,592
     

 

 

 
    Total Germany     (2,257,527
     

 

 

 
          Israel — (0.0)%  
    (23,100   Tower Semiconductor Ltd *     (344,190
     

 

 

 
          Italy — (0.1)%  
    (40,704   Brembo SPA     (436,994
    (7,850   Cerved Group SPA     (68,841
    (553,553   Saipem SPA *     (2,356,699
     

 

 

 
    Total Italy     (2,862,534
     

 

 

 
          Japan — (0.3)%  
    (18,000   Acom Co Ltd     (59,977
    (900   Cosmos Pharmaceutical Corp     (142,019
    (4,000   CyberAgent Inc     (152,937
    (143   Invincible Investment Corp (REIT)     (76,101
    (38,300   Japan Lifeline Co Ltd     (607,307
    (29,400   JGC Corp     (389,785
    (2,400   JINS Inc     (142,633
    (54,000   Kansai Paint Co Ltd     (1,016,702
    (13,500   Keikyu Corp     (227,771
    (17,900   Kyushu Electric Power Co Inc     (176,640
    (23   Mitsui Fudosan Logistics Park Inc (REIT)     (73,118
    (61,900   Mitsui OSK Lines Ltd     (1,308,908
    (7,000   Nihon M&A Center Inc     (172,594
    (12,000   Nippon Paint Holdings Co Ltd     (471,321
    (47,000   Nippon Yusen KK     (706,429
    (1,100   Nitori Holdings Co Ltd     (130,531
    (205,600   Orient Corp     (211,106
    (2,000   Park24 Co Ltd     (37,504
    (3,200   Saizeriya Co Ltd     (71,298
    (200   Shochiku Co Ltd     (23,321
    (5,200   Sysmex Corp     (359,497
    (3,600   Tsuruha Holdings Inc     (287,360
    (4,600   Universal Entertainment Corp     (133,845
    (8,400   Welcia Holdings Co Ltd     (293,806
    (5,900   ZOZO Inc     (100,853
     

 

 

 
    Total Japan     (7,373,363
     

 

 

 
          Netherlands — (0.0)%  
    (14,700   InterXion Holding NV *     (1,083,537
     

 

 

 
          Norway — (0.0)%  
    (12,133   Wallenius Wilhelmsen ASA     (33,982
     

 

 

 
          Peru — (0.0)%  
    (18,200   Southern Copper Corp.     (613,886
     

 

 

 
 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description       
Value ($)
 
          Singapore — (0.0)%  
    (134,600   Singapore Post Ltd     (90,675
    (1,300   UOL Group Ltd     (6,404
     

 

 

 
    Total Singapore     (97,079
     

 

 

 
          Spain — (0.0)%  
    (120   Bolsas y Mercados Espanoles SHMSF SA     (3,146
    (7,606   Cellnex Telecom SA *     (266,532
    (426   Inmobiliaria Colonial Socimi SA (REIT)     (4,715
    (9,390   Masmovil Ibercom SA *     (208,934
    (24,747   Merlin Properties Socimi SA (REIT)     (329,171
     

 

 

 
    Total Spain     (812,498
     

 

 

 
          Sweden — (0.1)%  
    (9,300   Spotify Technology SA *     (1,167,894
     

 

 

 
          Switzerland — (0.0)%  
    (68,581   Credit Suisse Group AG (Registered) *     (775,987
     

 

 

 
          United Kingdom — (0.1)%  
    (40,135   Cobham Plc *     (50,536
    (17,211   Dechra Pharmaceuticals Plc     (592,465
    (65,418   G4S Plc     (172,815
    (43,956   GVC Holdings Plc     (332,159
     Shares     Description       
Value ($)
 
          United Kingdom — continued  
    (68,106   Just Eat Plc *     (517,143
    (9,422   Mediclinic International Plc     (35,890
    (204,483   Melrose Industries Plc     (422,270
    (792   Rhi Magnesita NV     (47,900
    (1,074   Ted Baker Plc     (18,405
    (85,270   TP ICAP Plc     (295,546
    (6,664   Travis Perkins Plc     (103,530
     

 

 

 
    Total United Kingdom     (2,588,659
     

 

 

 
          United States — (0.0)%  
    (1   Newmont Goldcorp Corp.     (19
     

 

 

 
    TOTAL COMMON STOCKS
(PROCEEDS $34,007,078)
    (31,947,819
     

 

 

 
    TOTAL SECURITIES SOLD SHORT
(PROCEEDS $34,007,078)
    (31,947,819
    Other Assets and Liabilities (net) — 0.1%     2,360,322  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $2,847,028,742  
     

 

 

 
 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

 

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appre-
ciation
(Depre-
ciation)
($)
 
06/17/2019   BOA     AUD       5,914,251       USD       4,127,497       23,050  
06/17/2019   BCLY     CHF       2,084,405       USD       2,079,373       (5,022
08/20/2019   BCLY     EUR       27,538,236       USD       31,049,298       87,831  
08/20/2019   BCLY     GBP       16,052,177       USD       20,641,253       270,253  
07/19/2019   MSCI     JPY       2,874,631,956       USD       25,855,192       (767,371
06/17/2019   BCLY     NOK       33,568,132       USD       3,856,838       19,277  
06/17/2019   GS     SEK       46,163,916       USD       4,806,508       (64,630
07/19/2019   GS     USD       2,179,601       JPY       236,572,600       11,347  
           

 

 

 
            $ (425,265
           

 

 

 

Futures Contracts

 

Number of
Contracts +

  

Type

   Expiration
Date
   Notional
Amount
($)
     Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Buys            
56    Mini MSCI Emerging Markets    June 2019    $ 2,800,560      $ (101,132
        

 

 

    

 

 

 
Sales            
1,739    S&P 500 E-Mini    June 2019    $ 239,338,570      $ 1,465,511  
        

 

 

    

 

 

 

 

+

Buys - Fund is long the futures contract.

 

Sales - Fund is short the futures contract.

 


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Reverse Repurchase Agreements

 

Average balance outstanding   $ (13,875,000

Average interest rate (net)

    (2.59 )% 
Maximum balance outstanding   $ (13,875,000

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. The Fund had no reverse repurchase agreements at the end of the period.

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 (i)

    
1 Month Federal Funds
Rate minus 1.00%
 
 
   MORD      USD       902,798        05/18/2020        Monthly               (32,105     (32,105

Total Return on Equity Basket (i)

    
1 Month Federal Funds
Rate minus 1.00%
 
 
   MORD      USD       7,804,186        05/18/2020        Monthly               19,226       19,226  

Total Return on Equity Basket (i)

    
1 Month Federal Funds
Rate minus 0.40%
 
 
   MORD      USD       6,494,482        05/18/2020        Monthly               (122,533     (122,533

Total Return on Equity Basket (i)

    
1 Month Federal Funds
Rate minus 1.75%
 
 
   MORD      USD       2,568,780        05/18/2020        Monthly               (4,112     (4,112

Total Return on Equity Basket (i)

    
1 Month Federal Funds
Rate minus 0.40%
 
 
   MORD      USD       1,463,460        05/18/2020        Monthly               (24,150     (24,150

Total Return on Equity Basket (i)

    
1 Month Federal Funds
Rate minus 0.75%
 
 
   MORD      USD       263,813        05/18/2020        Monthly               19,418       19,418  

Total Return on Equity Basket (i)

    
1 Month Federal Funds
Rate minus 0.75%
 
 
   MORD      USD       32,893        05/18/2020        Monthly               (416     (416

Total Return on Equity Basket (i)

    
1 Month Federal Funds
Rate minus 0.40%
 
 
   MORD      USD       607,276        05/18/2020        Monthly               (7,953     (7,953
                   

 

 

    

 

 

   

 

 

 
                    $      $ (152,625   $ (152,625
                   

 

 

    

 

 

   

 

 

 

As of May 31, 2019, 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.


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Notes to Schedule of Investments:

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

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

CVA - Certificaaten van aandelen (Share Certificates)

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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.

 

(b)

All or a portion of this security is out on loan.

 

(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.

 

(d)

Securities are traded on separate exchanges for the same entity.

 

(e)

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

 

(f)

Investment valued using significant unobservable inputs.

 

(g)

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

 

(h)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(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.

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

 

 

Currency Abbreviations:

 

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

 
 


GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares /
Par Value†
    Description   Value ($)  
    MUTUAL FUNDS — 100.0%

 

    Affiliated Issuers — 100.0%

 

    929,286     GMO Alpha Only Fund, Class IV     17,953,808  
    8,057,809     GMO Alternative Allocation Fund, Class VI     160,189,234  
    8,003,484     GMO Asset Allocation Bond Fund, Class VI     179,998,348  
    12,370,075     GMO Core Plus Bond Fund, Class IV     270,780,936  
    2,341,656     GMO Emerging Country Debt Fund, Class IV     63,646,209  
    10,499,888     GMO Emerging Markets Fund, Class VI     326,756,501  
    19,044,520     GMO International Equity Fund, Class IV     370,987,254  
    1,368,013     GMO Opportunistic Income Fund, Class VI     36,539,616  
    6,083,063     GMO Quality Fund, Class VI     137,233,908  
    651,076     GMO Risk Premium Fund, Class VI     17,520,444  
    10,541,935     GMO U.S. Equity Fund, Class VI     131,985,027  
    5,609,961     GMO U.S. Treasury Fund     28,049,807  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $1,773,812,641)
    1,741,641,092  
     

 

 

 
          DEBT OBLIGATIONS — 0.0%  
          Asset-Backed Securities — 0.0%  
    27,955     ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 2.71%, due 02/25/36     13,382  
    17,859     GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.93%, due 10/25/34     16,783  
    16,783     Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.68%, due 02/26/34     15,956  
     

 

 

 
    Total Asset-Backed Securities     46,121  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $42,464)
    46,121  
     

 

 

 
         
Shares
    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 0.0%

 

          Money Market Funds — 0.0%  
         209,145     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (a)     209,145  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $209,145)
    209,145  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $1,774,064,250)
    1,741,896,358  
    Other Assets and Liabilities (net) — (0.0%)     (34,289
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $1,741,862,069  
     

 

 

 

Notes to Schedule of Investments:

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.

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

LIBOR - London Interbank Offered Rate

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%

 

          Affiliated Issuers — 100.0%  
    1,388,375     GMO Emerging Markets Fund, Class VI     43,206,244  
    10,316,449     GMO International Equity Fund, Class IV     200,964,425  
    4,127,808     GMO Quality Fund, Class VI     93,123,339  
    7,473,506     GMO U.S. Equity Fund, Class VI     93,568,293  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $452,526,101)
    430,862,301  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.0%  
          Money Market Funds — 0.0%  
    182,058     State Street Institutional Treasury Money Market Fund – Premier Class 2.30% (a)     182,058  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $182,058)
    182,058  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $452,708,159)
    431,044,359  
    Other Assets and Liabilities (net) — (0.0%)     (57,688
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $430,986,671  
     

 

 

 

Notes to Schedule of Investments:

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%

 

    Affiliated Issuers — 100.0%

 

    13,368,774     GMO Emerging Markets Fund, Class VI     416,036,246  
    31,786,574     GMO International Equity Fund, Class IV     619,202,455  
    9,485,972     GMO Quality Fund, Class VI     214,003,533  
    20,922,453     GMO U.S. Equity Fund, Class VI     261,949,111  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $1,630,670,140)
    1,511,191,345  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.0%  
          Money Market Funds — 0.0%  
    541,067     State Street Institutional Treasury Money Market Fund – Premier Class 2.30% (a)     541,067  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $541,067)     541,067  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $1,631,211,207)
    1,511,732,412  
    Other Assets and Liabilities (net) — (0.0%)     (86,326
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $1,511,646,086  
     

 

 

 

Notes to Schedule of Investments:

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    COMMON STOCKS — 71.7%

 

          Australia — 1.1%  
    665,888     Accent Group Ltd     684,731  
    200,546     Adairs Ltd     292,737  
    116,735     Alliance Aviation Services Ltd     213,703  
    64,203     Altium Ltd     1,364,455  
    194,877     Appen Ltd     3,487,491  
    121,663     Austal Ltd     245,928  
    21,698     Australia & New Zealand Banking Group Ltd     418,058  
    1,120,157     Australian Pharmaceutical Industries Ltd     1,008,290  
    74,668     Aventus Group (REIT)     119,604  
    1,038,875     Beach Energy Ltd     1,295,580  
    179,104     Bravura Solutions Ltd     697,112  
    198,495     Brickworks Ltd     2,241,681  
    534,509     Caltex Australia Ltd     9,766,196  
    51,898     Charter Hall Education Trust (REIT)     130,325  
    212,551     Charter Hall Group (REIT)     1,526,178  
    290,978     Charter Hall Retail (REIT)     891,406  
    112,691     Codan Ltd     255,225  
    487,962     Cromwell Property Group (REIT)     390,951  
    44,228     CSR Ltd     121,893  
    11,287     Dexus (REIT)     101,013  
    524,823     Downer EDI Ltd     2,583,396  
    997,003     Fortescue Metals Group Ltd     5,544,077  
    448,224     GDI Property Group (REIT)     411,350  
    399,270     Genworth Mortgage Insurance Australia Ltd     745,937  
    20,424     GPT Group (The) (REIT)     81,713  
    61,648     GWA Group Ltd     149,316  
    86,251     IDP Education Ltd     1,018,494  
    400,312     Macquarie Group Ltd     33,306,965  
    74,804     Mineral Resources Ltd     777,651  
    339,327     Mirvac Group (REIT)     715,073  
    427,885     Mount Gibson Iron Ltd     361,036  
    847,292     New Hope Corp Ltd     1,535,532  
    285,896     OZ Minerals Ltd     1,788,835  
    462,084     Sandfire Resources NL     1,968,538  
    2,805,465     Scentre Group (REIT)     7,405,093  
    86,765     Service Stream Ltd     148,989  
    1,089,593     Southern Cross Media Group Ltd     938,483  
    182,403     Stockland (REIT)     559,886  
    185,047     Super Retail Group Ltd     1,185,744  
    298,897     Tassal Group Ltd     997,712  
    25,343     Virtus Health Ltd     69,518  
    750,451     Viva Energy (REIT)     1,347,707  
    652,246     Viva Energy Group Ltd     964,870  
    212,551     Whitehaven Coal Ltd     576,223  
    29,016     WiseTech Global Ltd     485,974  
     

 

 

 
    Total Australia          90,920,669  
     

 

 

 
    
Shares
    Description   Value ($)  
    Austria — 0.1%

 

    20,243     FACC AG     286,020  
    112,602     OMV AG     5,284,888  
    7,001     POLYTEC Holding AG     70,480  
    14,552     S IMMO AG     331,643  
    36,912     Vienna Insurance Group AG Wiener Versicherung Gruppe     903,255  
     

 

 

 
    Total Austria     6,876,286  
     

 

 

 
          Belgium — 0.1%  
    287,437     AGFA-Gevaert NV *     1,168,268  
    9,106     Barco NV     1,770,801  
    4,497     KBC Group NV     295,175  
    88,687     UCB SA     6,780,096  
     

 

 

 
    Total Belgium     10,014,340  
     

 

 

 
          Brazil — 2.1%  
    191,700     Atacadao SA     1,130,966  
    408     Banco Bradesco SA     3,395  
    848,400     Banco BTG Pactual SA     10,103,526  
    738,300     Banco do Brasil SA     9,755,694  
    2,047,200     Banco Santander Brasil SA     23,842,567  
    2,632,800     Cia de Saneamento Basico do Estado de Sao Paulo     29,662,990  
    250,300     Cia de Saneamento Basico do Estado de Sao Paulo ADR     2,810,869  
    115,700     Cia de Saneamento de Minas Gerais-COPASA     1,832,235  
    32,800     Cia Hering     245,669  
    50,200     Construtora Tenda SA     261,366  
    281,900     Enauta Participacoes SA     915,971  
    195,200     Estacio Participacoes SA     1,465,014  
    437,000     Grendene SA     786,254  
    57,600     Guararapes Confeccoes SA     228,994  
    9,502,200     JBS SA     52,935,968  
    122,400     Kroton Educacional SA     322,536  
    196,100     Mahle-Metal Leve SA     1,139,933  
    1,820,300     MRV Engenharia e Participacoes SA     7,978,990  
    1,702,864     Oi SA     3,116,241  
    3,957,700     Petrobras Distribuidora SA     25,769,756  
    19,900     Porto Seguro SA     268,785  
    50,700     Transmissora Alianca de Energia Eletrica SA     342,785  
    372,700     Tupy SA     1,865,423  
     

 

 

 
    Total Brazil        176,785,927  
     

 

 

 
          Canada — 1.6%  
    139,500     AGF Management Ltd – Class B     524,312  
    14,800     Bank of Montreal (a)     1,074,413  
    151,400     Bank of Montreal (a)     10,993,154  
    97,100     Bird Construction Inc     404,464  
    72,748     BRP Inc     2,176,627  
    69,200     Canaccord Genuity Group Inc     254,969  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Canada — continued

 

    169,400     Canadian National Railway Co     15,007,146  
    74,600     Canfor Corp *     485,706  
    82,600     Canfor Pulp Products Inc     682,629  
    46,200     Celestica Inc *     290,545  
    11,800     Cogeco Inc     737,456  
    52,100     Dundee Precious Metals Inc *     144,165  
    44,700     Enerflex Ltd     541,387  
    54,700     Magna International Inc (a)     2,342,840  
    10,000     Magna International Inc (a)     429,400  
    13,500     Morguard North American Residential Real Estate Investment Trust     180,386  
    403,700     Rogers Sugar Inc     1,747,296  
    576,100     Royal Bank of Canada (a)     43,297,009  
    71,400     Royal Bank of Canada (a)     5,365,710  
    140,500     Russel Metals Inc     2,219,351  
    203,600     Sun Life Financial Inc     7,911,896  
    60,800     TFI International Inc     1,853,329  
    635,700     Toronto-Dominion Bank (The)     34,757,495  
    79,400     Transat AT Inc *     703,180  
    121,420     Transcontinental Inc – Class A     1,283,732  
    20,400     Wajax Corp     229,266  
    29,400     West Fraser Timber Co Ltd     1,146,113  
    31,200     Westshore Terminals Investment Corp     511,767  
     

 

 

 
    Total Canada        137,295,743  
     

 

 

 
          Chile — 0.0%  
    50,600     Enel Americas SA ADR     404,294  
     

 

 

 
          China — 10.3%  
    4,958,000     361 Degrees International Ltd     919,808  
    994,000     7Road Holdings Ltd     173,960  
    510,000     AAC Technologies Holdings Inc     2,707,746  
    13,787,000     Agile Group Holdings Ltd     17,401,455  
    14,904,600     Agricultural Bank of China Ltd – Class A     7,939,650  
    110,998,000     Agricultural Bank of China Ltd – Class H     47,633,901  
    80,000     Alibaba Group Holding Ltd Sponsored ADR * (b)     11,940,800  
    1,248,419     Anhui Conch Cement Co Ltd – Class A     7,134,594  
    2,776,000     Anhui Conch Cement Co Ltd – Class H     16,265,534  
    234,600     Anhui Expressway Co Ltd – Class A     209,684  
    425,600     Anhui Xinhua Media Co Ltd – Class A     373,172  
    56,000     ANTA Sports Products Ltd     344,864  
    19,240,000     BAIC Motor Corp Ltd – Class H     11,923,629  
    47,664,000     Bank of China Ltd – Class H     19,762,969  
    40,104,000     Bank of Communications Co Ltd – Class H     31,429,319  
    284,000     Beijing Enterprises Water Group Ltd. *     150,740  
    3,265,075     Beijing North Star Co Ltd – Class A     1,703,282  
    756,500     BYD Electronic International Co Ltd     996,835  
    557,000     CAR Inc *     438,320  
    552,000     CGN Power Co Ltd – Class H     151,972  
    30,100     Changyou.com Ltd ADR *     552,636  
    
Shares
    Description   Value ($)  
    China — continued

 

    21,188,000     China CITIC Bank Corp Ltd – Class H     12,044,491  
    23,024,000     China Communications Services Corp Ltd – Class H     17,216,071  
    17,818,503     China Construction Bank Corp – Class A     17,994,071  
    24,564,000     China Construction Bank Corp – Class H     19,446,113  
    2,787,000     China Everbright Bank Co Ltd – Class H     1,259,156  
    389,000     China Evergrande Group     1,035,963  
    3,659,000     China Greenfresh Group Co Ltd *     411,059  
    3,807,000     China Huarong Asset Management Co Ltd – Class H     645,994  
    6,884,000     China Jinmao Holdings Group Ltd     3,974,476  
    8,954,000     China Lesso Group Holdings Ltd     5,713,408  
    93,000     China Life Insurance Co Ltd – Class H     216,625  
    1,571,000     China Lilang Ltd     1,396,443  
    7,870,000     China Machinery Engineering Corp – Class H     3,465,637  
    6,216,000     China Minsheng Banking Corp Ltd – Class H     4,523,337  
    1,772,000     China Mobile Ltd     15,478,344  
    588,940     China National Chemical Engineering Co Ltd – Class A     516,131  
    1,708,000     China Oriental Group Co Ltd     990,543  
    292,000     China Overseas Grand Oceans Group Ltd     126,564  
    6,876,000     China Overseas Land & Investment Ltd     23,824,243  
    13,500     China Petroleum & Chemical Corp ADR     892,485  
    4,284,745     China Petroleum & Chemical Corp – Class A     3,355,565  
    42,476,000     China Petroleum & Chemical Corp – Class H     28,222,084  
    25,506,200     China Railway Construction Corp Ltd – Class H     29,809,317  
    7,585,000     China Railway Group Ltd – Class H     5,675,622  
    2,234,000     China Resources Cement Holdings Ltd     1,937,051  
    240,000     China Resources Gas Group Ltd     1,150,754  
    4,522,000     China Resources Land Ltd     18,395,386  
    8,504,500     China Resources Pharmaceutical Group Ltd     11,135,060  
    4,113,000     China SCE Group Holdings Ltd     1,861,071  
    2,460,863     China Shenhua Energy Co Ltd – Class A     6,550,200  
    6,323,000     China Shenhua Energy Co Ltd – Class H     13,032,238  
    2,616,000     China Shineway Pharmaceutical Group Ltd     2,331,601  
    1,603,945     China South Publishing & Media Group Co Ltd – Class A     3,017,742  
    70,324,000     China Telecom Corp Ltd – Class H     35,338,932  
    8,276,000     China Travel International Investment Hong Kong Ltd     1,688,162  
    2,779,493     China Vanke Co Ltd – Class A     10,718,804  
    1,614,100     China Vanke Co Ltd – Class H     5,727,647  
    4,418,802     China Yangtze Power Co Ltd – Class A     11,330,235  
    36,200     China Yuchai International Ltd     503,542  
    696,100     Chinese Universe Publishing and Media Group Co
Ltd – Class A *
    1,355,841  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    China — continued

 

    1,260,500     Chongqing Changan Automobile Co Ltd – Class A     1,276,262  
    385,730     Chongqing Department Store Co Ltd – Class A     1,632,457  
    1,796,000     Chongqing Rural Commercial Bank Co Ltd – Class H     919,478  
    654,000     CIFI Holdings Group Co Ltd     391,624  
    2,579,000     CNOOC Ltd     4,190,056  
    6,728,000     Country Garden Holdings Co Ltd     9,092,095  
    1,356,700     CRRC Corp Ltd – Class A     1,551,557  
    385,000     Dah Chong Hong Holdings Ltd     118,432  
    8,830,097     Daqin Railway Co Ltd – Class A     10,685,749  
    15,126,000     Dongfeng Motor Group Co Ltd – Class H     12,443,788  
    119,000     Dongyue Group Ltd     80,094  
    739,912     Fangda Carbon New Material Co Ltd – Class A *     1,909,836  
    1,684,100     Fangda Special Steel Technology Co Ltd – Class A     2,215,397  
    82,500     Foxconn Industrial Internet Co Ltd – Class A *     162,678  
    7,600     Fuyao Glass Industry Group Co Ltd – Class H     22,687  
    1,925,000     Geely Automobile Holdings Ltd     3,153,990  
    340,200     Gemdale Corp – Class A     569,382  
    532,000     Gemdale Properties & Investment Corp. Ltd.     63,846  
    619,500     Genertec Universal Medical Group Co Ltd     470,074  
    599,369     Gree Electric Appliances Inc of Zhuhai – Class A     4,542,968  
    1,224,500     Greentown China Holdings Ltd     813,131  
    711,400     GRG Banking Equipment Co Ltd – Class A     678,941  
    7,716,000     Guangdong Investment Ltd     15,167,831  
    80,584     Guangdong Provincial Expressway Development Co Ltd – Class A     104,115  
    2,844,000     Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H     11,902,535  
    12,625,200     Guangzhou R&F Properties Co Ltd – Class H     23,872,040  
    4,846,000     Haier Electronics Group Co Ltd *     12,390,089  
    473,700     Harbin Electric Co Ltd – Class H     275,403  
    76,500     Hebei Construction Group Corp Ltd – Class H *     52,856  
    590,761     Henan Shuanghui Investment & Development Co Ltd – Class A     2,138,938  
    3,527,790     Hisense Home Appliances Group Co Ltd – Class A     6,312,276  
    194,000     Hisense Kelon Electrical Holdings Co Ltd – Class H     230,590  
    1,468,331     HLA Corp Ltd – Class A     1,852,094  
    28,400     Hollysys Automation Technologies Ltd     506,088  
    54,000     Hopson Development Holdings Ltd     53,988  
    10,147,000     Huabao International Holdings Ltd     4,245,862  
    618,100     Huaxin Cement Co Ltd – Class A     2,412,172  
    
Shares
    Description   Value ($)  
    China — continued

 

    61,500     Huayu Automotive Systems Co Ltd – Class A     178,447  
    2,857,000     IGG Inc     3,394,460  
    13,216,446     Industrial & Commercial Bank of China Ltd – Class A     10,725,913  
    26,853,000     Industrial & Commercial Bank of China Ltd – Class H     19,192,824  
    103,800     Inner Mongolia First Machinery Group Co Ltd – Class A     160,962  
    95,800     Inner Mongolia Yitai Coal Co Ltd – Class H     83,160  
    2,580,000     Jiayuan International Group Ltd     1,200,597  
    265,000     JNBY Design Ltd     458,632  
    822,000     Ju Teng International Holdings Ltd     204,417  
    16,100     Jumei International Holding Ltd ADR *     38,962  
    2,353,500     Kingboard Chemical Holdings Ltd     6,188,031  
    950,500     Kingboard Laminates Holdings Ltd     811,102  
    3,232,000     Kunlun Energy Co Ltd     2,970,563  
    654,000     KWG Property Holding Ltd     656,060  
    1,175,630     Livzon Pharmaceutical Group Inc – Class H     3,674,650  
    2,590,000     Logan Property Holdings Co Ltd     3,825,717  
    725,790     Loncin Motor Co Ltd – Class A     436,566  
    923,000     Longfor Properties Co Ltd     3,400,139  
    7,349,000     Lonking Holdings Ltd     1,948,899  
    433,960     Midea Group Co Ltd – Class A     3,110,336  
    1,000     Nexteer Automotive Group Ltd     1,225  
    3,710,000     People’s Insurance Co Group of China Ltd (The) – Class H *     1,459,028  
    6,897,000     PICC Property & Casualty Co Ltd – Class H     7,461,539  
    357,225     Ping An Insurance Group Co of China Ltd – Class A     4,084,846  
    32,000     Ping An Insurance Group Co of China Ltd – Class H     355,079  
    343,400     Poly Developments and Holdings Group Co Ltd – Class A     603,072  
    29,650,000     Postal Savings Bank of China Co Ltd – Class H     17,732,996  
    365,000     Powerlong Real Estate Holdings Ltd     165,614  
    134,000     Red Star Macalline Group Corp Ltd – Class H     119,137  
    2,648,535     RiseSun Real Estate Development Co Ltd – Class A     3,601,980  
    49,000     Road King Infrastructure Ltd     99,380  
    178,100     Shaanxi Coal Industry Co Ltd – Class A     224,828  
    1,108,000     Shanghai Jin Jiang International Hotels Group Co
Ltd – Class H
    231,745  
    325,080     Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A     683,196  
    158,100     Shanghai Mechanical and Electrical Industry Co Ltd – Class A     378,216  
    583,687     Shanghai Oriental Pearl Group Co Ltd – Class A     857,274  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares 
    Description   Value ($)  
    China — continued

 

    7,239,300     Shanghai Pharmaceuticals Holding Co Ltd – Class H     14,293,029  
    216,260     Shanghai Shimao Co Ltd – Class A     142,559  
    2,210,226     Shanghai SMI Holding Co Ltd – Class A     2,165,387  
    401,619     Shanxi Lu’an Environmental Energy Development Co Ltd – Class A     448,556  
    76,560     Shenzhen Expressway Co Ltd – Class A     115,013  
    600,000     Shenzhen Expressway Co Ltd – Class H     693,689  
    224,100     Shenzhen World Union Group Inc – Class A     150,803  
    12,187,576     Shimao Property Holdings Ltd     34,967,863  
    298,500     Shui On Land Ltd     67,675  
    64,500     Sinopec Engineering Group Co Ltd – Class H     52,535  
    1,652,596     Sinopec Shanghai Petrochemical Co Ltd – Class A     1,250,539  
    18,604,000     Sinopec Shanghai Petrochemical Co Ltd – Class H     8,120,044  
    997,600     Sinopharm Group Co Ltd – Class H     3,739,239  
    1,049,500     Sinotruk Hong Kong Ltd     1,988,259  
    1,968,000     SSY Group Ltd     1,565,390  
    2,876,571     Suning Universal Co Ltd – Class A     1,438,983  
    136,700     Suzhou Gold Mantis Construction Decoration Co Ltd – Class A     190,844  
    396,700     Tencent Holdings Ltd     16,541,449  
    119,600     Tencent Holdings Ltd ADR     4,994,496  
    1,631,000     Texhong Textile Group Ltd     1,876,284  
    654,000     Tianjin Development Holdings Ltd     210,576  
    914,000     Tianjin Port Development Holdings Ltd     92,143  
    7,804,000     Tianneng Power International Ltd     6,353,186  
    1,564,000     Times China Holdings Ltd     2,590,362  
    512,000     TravelSky Technology Ltd – Class H     1,061,141  
    466,000     Weichai Power Co Ltd – Class A     787,651  
    7,092,000     Weichai Power Co Ltd – Class H     10,786,114  
    872,490     Weifu High-Technology Group Co Ltd – Class A     2,480,053  
    5,655,500     XTEP International Holdings Ltd     2,878,587  
    720,579     Youngor Group Co Ltd – Class A     989,508  
    628,000     Yuexiu Property Co Ltd     142,468  
    4,718,000     Yuzhou Properties Co Ltd     2,149,761  
    104,100     Zhejiang Daily Digital Culture Group Co Ltd – Class A     142,992  
    2,692,000     Zhejiang Expressway Co Ltd – Class H     2,811,176  
    603,672     Zhejiang Weixing New Building Materials Co Ltd – Class A     1,740,120  
    430,379     Zhengzhou Yutong Bus Co Ltd – Class A     778,023  
    122,000     Zhenro Properties Group Ltd.     73,289  
    78,100     Zhuzhou CRRC Times Electric Co Ltd – Class H     420,186  
     

 

 

 
    Total China        874,973,841  
     

 

 

 
          Colombia — 0.0%  
    378,276     Almacenes Exito SA     1,578,935  
     

 

 

 
    
Shares 
    Description   Value ($)  
    Czech Republic — 0.0%

 

    115,763     Moneta Money Bank AS     378,079  
     

 

 

 
          Denmark — 0.2%  
    1,198     ALK-Abello A/S *     275,270  
    53,258     Matas A/S     561,961  
    153,100     Novo Nordisk A/S Sponsored ADR     7,226,320  
    66,341     Royal Unibrew A/S     4,712,835  
    102,885     Scandinavian Tobacco Group A/S     1,253,606  
    16,309     Spar Nord Bank A/S     144,414  
     

 

 

 
    Total Denmark          14,174,406  
     

 

 

 
          Finland — 0.4%  
    780,653     Neste Oyj     26,353,760  
    8,911     Sanoma Oyj     80,396  
    6,522     Tieto Oyj     183,640  
    40,928     Tokmanni Group Corp     337,908  
    353,568     UPM-Kymmene Oyj (c)     8,845,360  
     

 

 

 
    Total Finland     35,801,064  
     

 

 

 
          France — 2.2%  
    30,494     Alten SA     3,092,955  
    100,208     BNP Paribas SA     4,595,126  
    205,347     CNP Assurances     4,401,106  
    19,770     Coface SA     192,670  
    42,798     Dassault Systemes SE (c)     6,350,150  
    35,607     Gaztransport Et Technigaz SA     3,235,955  
    10,490     Interparfums SA     481,999  
    5,786     Ipsen SA     691,243  
    23,665     IPSOS     651,620  
    18,749     Kaufman & Broad SA     668,697  
    196,947     L’Oreal SA     52,836,950  
    41,579     Lagardere SCA     1,011,884  
    2,934     LVMH Moet Hennessy Louis Vuitton SE     1,107,126  
    7,900     Mersen SA     261,745  
    81,172     Metropole Television SA     1,458,063  
    64,385     Neopost SA     1,409,313  
    1,090,027     Peugeot SA     24,329,490  
    3,353     Rothschild & Co     98,303  
    77,708     Safran SA     10,195,662  
    552,089     Sanofi     44,585,219  
    71,200     Sanofi ADR (c)     2,878,616  
    2,801     Sartorius Stedim Biotech     388,059  
    66,007     Societe Generale SA     1,651,275  
    461,269     STMicroelectronics NV     6,974,909  
    666,100     STMicroelectronics NV – NY Shares (b)     10,018,144  
    134,321     Television Francaise 1     1,280,443  
    3,484     Vilmorin & Cie SA     194,325  
     

 

 

 
    Total France     185,041,047  
     

 

 

 
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Germany — 1.9%

 

    251,880     Allianz SE (Registered)     55,773,896  
    4,605     Amadeus Fire AG     592,471  
    48,429     BASF SE     3,196,016  
    3,675     Bauer AG     94,781  
    118,166     Bayer AG (Registered)     6,987,602  
    362,289     Bayerische Motoren Werke AG     25,138,148  
    86,466     Borussia Dortmund GmbH & Co KGaA     824,357  
    33,480     Carl Zeiss Meditec AG     3,146,785  
    1,429     Cewe Stiftung & Co KGaA     131,545  
    58,123     Covestro AG     2,539,846  
    7,509     Daimler AG (Registered Shares)     389,180  
    1,031,755     Deutsche Lufthansa AG (Registered)     19,563,861  
    266,075     Deutsche Pfandbriefbank AG (c)     3,657,546  
    236,402     Deutsche Telekom AG (Registered)     3,980,055  
    69,600     Deutz AG     575,545  
    69,312     Dialog Semiconductor Plc *     2,191,767  
    7,829     Eckert & Ziegler Strahlen- und Medizintechnik AG     836,969  
    8,393     Elmos Semiconductor AG     199,929  
    1,522     Evonik Industries AG     39,895  
    2,718     Gesco AG     73,615  
    29,141     Hamburger Hafen und Logistik AG     690,725  
    6,405     Hannover Rueck SE     958,726  
    12,344     Henkel AG & Co KGaA     1,069,344  
    30,131     Knorr-Bremse AG *     3,313,753  
    2,835     OHB SE     100,516  
    52,273     SAP SE     6,439,306  
    37,740     Software AG     1,233,162  
    2,606     Takkt AG     36,575  
    37,778     Talanx AG *     1,497,103  
    69,782     Volkswagen AG     11,073,862  
    36,446     Wacker Neuson SE     846,562  
    25,101     Wuestenrot & Wuerttembergische AG     525,798  
     

 

 

 
    Total Germany        157,719,241  
     

 

 

 
          Greece — 0.0%  
    5,662     Motor Oil Hellas Corinth Refineries SA     144,007  
     

 

 

 
          Hong Kong — 0.3%  
    570,000     Agritrade Resources Ltd.     78,496  
    520,000     Dah Sing Banking Group Ltd     901,126  
    337,200     Dah Sing Financial Holdings Ltd     1,574,881  
    134,000     Hysan Development Co Ltd     697,888  
    1,600,213     I-CABLE Communications Ltd *     19,817  
    271,000     Johnson Electric Holdings Ltd     514,449  
    94,000     Kerry Properties Ltd     357,299  
    636,000     NewOcean Energy Holdings Ltd *     151,724  
    622,000     NWS Holdings Ltd     1,225,646  
    536,000     Singamas Container Holdings Ltd     76,133  
    4,856,000     SJM Holdings Ltd     5,383,240  
    30,500     SmarTone Telecommunications Holdings Ltd     29,941  
    
Shares
    Description   Value ($)  
    Hong Kong — continued

 

    10,766,500     WH Group Ltd     9,691,274  
    541,000     Wharf Holdings Ltd (The)     1,382,316  
    98,000     Wharf Real Estate Investment Co Ltd     670,618  
    725,000     Wheelock & Co Ltd     4,785,936  
    160,500     Xinyi Automobile Glass Hong Kong Enterprises Ltd *     32,787  
    132,500     Yue Yuen Industrial Holdings Ltd     372,263  
     

 

 

 
    Total Hong Kong          27,945,834  
     

 

 

 
          Hungary — 0.0%  
    2,257,270     Magyar Telekom Telecommunications Plc     3,230,496  
     

 

 

 
          India — 1.3%  
    1,341,195     Aurobindo Pharma Ltd     12,900,816  
    1,123,689     Balrampur Chini Mills Ltd     2,501,261  
    362,514     Cadila Healthcare Ltd     1,292,103  
    13,714     Divi’s Laboratories Ltd     314,304  
    35,374     Dr Reddy’s Laboratories Ltd     1,354,417  
    23,600     Dr Reddy’s Laboratories Ltd ADR     899,396  
    762,659     Firstsource Solutions Ltd     601,789  
    2,404,397     HCL Technologies Ltd     37,661,797  
    272,848     ITC Ltd     1,092,556  
    319,919     Just Dial Ltd *     3,436,053  
    75,929     Larsen & Toubro Infotech Ltd     1,942,630  
    694,708     Mahindra & Mahindra Ltd     6,487,743  
    434,171     Mphasis Ltd     6,165,574  
    163,444     NIIT Technologies Ltd     3,081,278  
    1,222,235     PC Jeweller Ltd     1,349,259  
    5,786,884     Power Finance Corp Ltd *     10,351,366  
    1,696,951     PTC India Ltd     1,687,445  
    89,056     Rajesh Exports Ltd     842,004  
    7,664,581     REC Ltd     15,896,816  
    177,382     Sonata Software Ltd     909,617  
    283,715     Tech Mahindra Ltd     3,108,934  
    45,968     TV Today Network Ltd     190,732  
    37,188     Zuari Agro Chemicals Ltd *     91,059  
     

 

 

 
    Total India     114,158,949  
     

 

 

 
          Indonesia — 0.1%  
    2,789,700     Astra International Tbk PT     1,462,184  
    12,073,600     Bukit Asam Persero Tbk PT     2,590,729  
    3,976,500     Erajaya Swasembada Tbk PT     327,210  
    2,540,600     Gajah Tunggal Tbk PT *     118,877  
    3,121,600     Indo Tambangraya Megah Tbk PT     3,828,714  
    57,757,200     Panin Financial Tbk PT *     1,418,880  
    942,300     Tower Bersama Infrastructure Tbk PT *     241,781  
     

 

 

 
    Total Indonesia     9,988,375  
     

 

 

 
          Ireland — 0.1%  
    32,400     CRH Plc Sponsored ADR     1,015,740  
    1,459     Flutter Entertainment Plc     103,715  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Ireland — continued

 

    25,200     ICON Plc * (c)     3,567,312  
    1,290     Smurfit Kappa Group Plc     35,628  
     

 

 

 
    Total Ireland     4,722,395  
     

 

 

 
          Israel — 0.1%  
    12,365     AudioCodes Ltd     189,502  
    143,988     Bank Hapoalim BM     1,036,913  
    123,430     Bank Leumi Le-Israel BM     827,013  
    14,016     First International Bank of Israel Ltd *     336,294  
    24,876     Harel Insurance Investments & Financial Services Ltd     187,322  
    549     Israel Corp Ltd (The)     120,684  
    66,279     Israel Discount Bank Ltd – Class A     252,918  
    2,200     Nice Ltd Sponsored ADR *     307,670  
    20,891     Nova Measuring Instruments Ltd *     529,843  
    1,956,877     Oil Refineries Ltd *     957,209  
     

 

 

 
    Total Israel     4,745,368  
     

 

 

 
          Italy — 1.2%  
    178,721     Arnoldo Mondadori Editore SPA *     288,554  
    37,693     ASTM SPA     1,023,432  
    15,946     Credito Emiliano SPA     79,207  
    152,973     Enav SPA     827,359  
    4,780,201     Enel SPA     29,729,066  
    50,545     ERG SPA     981,902  
    469,335     EXOR NV     29,365,680  
    456,305     Falck Renewables SPA     1,878,795  
    1,028,024     Fiat Chrysler Automobiles NV (b)     12,973,663  
    283,097     Hera SPA     1,028,433  
    154,487     IMMSI SPA *     92,280  
    1,816,109     Iren SPA     4,500,944  
    27,487     La Doria SPA     244,056  
    191,921     Mediobanca Banca di Credito Finanziario SPA     1,767,003  
    107,125     Piaggio & C SPA     308,554  
    13,622     Prima Industrie SPA     239,363  
    3,343     Reply SPA     214,671  
    4,202     Sabaf SPA     66,400  
    697,874     Saras SPA     1,001,453  
    2,368     Sesa SPA     69,761  
    416,092     Snam SPA     2,089,791  
    416,827     Societa Cattolica di Assicurazioni SC     3,363,417  
    47,803     Societa Iniziative Autostradali e Servizi SPA     829,515  
    2,262,500     Telecom Italia SPA *     1,112,269  
    2,221,500     Telecom Italia SPA-RSP     1,037,808  
    554,365     Unipol Gruppo SPA     2,549,454  
    439,620     UnipolSai Assicurazioni SPA     1,068,738  
     

 

 

 
    Total Italy          98,731,568  
     

 

 

 
    
Shares
    Description   Value ($)  
    Japan — 6.4%

 

    60,700     Aisin Seiki Co Ltd     1,998,742  
    2,600     Alfresa Holdings Corp     65,015  
    65,200     AOKI Holdings Inc     613,632  
    2,626,000     Asahi Kasei Corp (c)     26,899,484  
    3,007,700     Astellas Pharma Inc     40,305,992  
    167,900     Bandai Namco Holdings Inc     8,220,212  
    5,400     Bank of the Ryukyus Ltd     56,933  
    599,500     Brother Industries Ltd     10,200,231  
    17,600     Central Glass Co Ltd     384,843  
    2,800     Chukyo Bank Ltd (The)     56,992  
    7,300     Dai Nippon Printing Co Ltd     157,671  
    170,900     Daicel Corp     1,448,948  
    4,300     Daito Pharmaceutical Co Ltd     132,750  
    32,600     Daiwabo Holdings Co Ltd     1,357,459  
    59,600     DCM Holdings Co Ltd     593,562  
    33,600     Denka Co Ltd     954,160  
    3,600     DTS Corp     145,703  
    240,600     Fancl Corp     6,452,605  
    30,300     FJ Next Co Ltd     266,777  
    281,100     Fuji Electric Co Ltd     9,307,766  
    41,300     Fuji Media Holdings Inc     559,550  
    6,600     Fuji Pharma Co Ltd     87,022  
    12,900     Fuji Soft Inc     546,731  
    490,700     FUJIFILM Holdings Corp (c)     23,381,796  
    141,500     Fujitsu Ltd     9,539,185  
    9,100     Fukuyama Transporting Co Ltd     323,361  
    22,400     Furuno Electric Co Ltd     189,597  
    12,000     Furyu Corp     112,752  
    3,100     Fuyo General Lease Co Ltd     150,161  
    5,700     G-7 Holdings Inc     157,571  
    20,100     Hachijuni Bank Ltd (The)     83,368  
    175,000     Hakuhodo DY Holdings Inc     2,732,390  
    5,400     Hamakyorex Co Ltd     179,045  
    74,600     Haseko Corp     740,391  
    9,000     Heiwado Co Ltd     157,780  
    1,214,100     Hitachi Ltd     40,882,301  
    20,300     Hochiki Corp     211,794  
    1,414,200     Honda Motor Co Ltd     34,780,225  
    4,200     Hosokawa Micron Corp     178,617  
    90,600     House Foods Group Inc (c)     3,681,711  
    17,200     Infocom Corp     371,350  
    10,200     Information Services International-Dentsu Ltd     316,925  
    78,800     Isuzu Motors Ltd (c)     865,672  
    2,087,100     ITOCHU Corp     38,315,678  
    23,100     Japan Aviation Electronics Industry Ltd     319,632  
    30,900     Jeol Ltd     654,128  
    3,300     JSP Corp     59,582  
    9,700     JSR Corp     137,093  
    4,000     Kaken Pharmaceutical Co Ltd     188,918  
    7,700     Kamei Corp     80,241  
    234,700     Kanematsu Corp     2,633,641  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Japan — continued

 

    2,400     Kato Sangyo Co Ltd     74,267  
    340,800     KDDI Corp     8,728,885  
    64,400     Keihin Corp (c)     831,672  
    6,600     Kirin Holdings Co Ltd     142,743  
    113,400     Kitz Corp     741,785  
    1,433,989     Konica Minolta Holdings Inc     12,581,203  
    26,200     Kose Corp     4,118,797  
    2,600     Krosaki Harima Corp     142,899  
    20,800     Kyosan Electric Manufacturing Co Ltd     67,040  
    5,400     Maeda Kosen Co Ltd     94,302  
    26,200     Makino Milling Machine Co Ltd     895,721  
    2,402,700     Marubeni Corp (c)     15,004,486  
    74,700     MCJ Co Ltd     466,025  
    2,500     Medipal Holdings Corp     53,963  
    4,749,800     Mitsubishi Chemical Holdings Corp     30,954,206  
    389,700     Mitsubishi Corp (c)     10,099,596  
    217,600     Mitsubishi Electric Corp     2,702,609  
    203,400     Mitsubishi Gas Chemical Co Inc     2,518,648  
    205,900     Mitsubishi Tanabe Pharma Corp (c)     2,421,310  
    357,100     Mitsubishi UFJ Financial Group Inc     1,640,098  
    157,200     Mitsui Chemicals Inc     3,429,951  
    39,600     Modec Inc     992,088  
    24,100     MTI Ltd     146,865  
    132,100     NEC Corp (c)     4,876,909  
    113,900     NET One Systems Co Ltd     3,028,516  
    70,000     Nichias Corp     1,165,809  
    23,100     Nichiha Corp     602,916  
    74,400     Nippon Corp     1,445,468  
    8,100     Nippon Flour Mills Co Ltd     132,445  
    38,400     Nippon Light Metal Holdings Co Ltd     80,887  
    1,296,300     Nippon Telegraph & Telephone Corp     57,997,902  
    29,200     Nisshin Oillio Group Ltd (The)     847,892  
    13,300     Nisshin Seifun Group Inc     308,856  
    37,100     Nisshinbo Holdings Inc     256,485  
    8,200     NOF Corp     293,583  
    98,200     Nomura Real Estate Holdings Inc     2,011,979  
    180,300     NTT DOCOMO Inc (c)     4,144,377  
    3,200     Oki Electric Industry Co Ltd     39,302  
    11,800     Osaki Electric Co Ltd     68,792  
    25,300     Prima Meat Packers Ltd     493,178  
    79,200     Rohto Pharmaceutical Co Ltd     2,146,533  
    8,700     Ryoden Corp     122,719  
    18,500     Sanoh Industrial Co Ltd     65,475  
    19,600     Seikitokyu Kogyo Co Ltd     110,962  
    310,800     Sekisui Chemical Co Ltd     4,547,005  
    10,500     Shin-Etsu Polymer Co Ltd     71,178  
    11,300     Shinnihon Corp     91,264  
    134,800     Shionogi & Co Ltd (c)     7,350,014  
    126,800     Showa Corp     1,544,748  
    5,961,600     Sojitz Corp     19,037,653  
    243,300     Sony Corp     11,659,840  
    5,901,700     Sumitomo Chemical Co Ltd     25,362,375  
    
Shares
    Description   Value ($)  
    Japan — continued

 

    59,300     Sumitomo Dainippon Pharma Co Ltd (c)     1,211,667  
    21,600     Sumitomo Mitsui Financial Group Inc (c)     748,481  
    6,300     Sumitomo Mitsui Trust Holdings Inc     230,182  
    200     Sushiro Global Holdings Ltd     13,874  
    15,500     T-Gaia Corp (c)     249,582  
    1,800     Taikisha Ltd     53,362  
    8,800     Takasago Thermal Engineering Co Ltd     134,859  
    50,400     Tatsuta Electric Wire and Cable Co Ltd     201,874  
    150,700     Teijin Ltd     2,449,669  
    23,100     Tocalo Co Ltd     149,238  
    7,600     Token Corp     442,245  
    31,800     Tokyo Electron Ltd (c)     4,279,798  
    49,300     Tokyu Construction Co Ltd (c)     345,867  
    5,600     Toshiba TEC Corp     137,536  
    8,100     Towa Pharmaceutical Co Ltd     193,424  
    3,800     Toyo Ink SC Holdings Co Ltd     78,626  
    3,100     Toyo Suisan Kaisha Ltd     121,096  
    278,200     Toyota Tsusho Corp     7,978,894  
    129,300     TS Tech Co Ltd     3,136,950  
    16,200     Unipres Corp     253,979  
    18,800     Vital KSK Holdings Inc     179,398  
    17,300     Wacoal Holdings Corp     428,293  
    23,000     Warabeya Nichiyo Holdings Co Ltd     346,649  
    1,300     Yamazen Corp     11,994  
    9,200     Yellow Hat Ltd     117,636  
     

 

 

 
    Total Japan        544,487,079  
     

 

 

 
          Malaysia — 0.1%  
    1,914,100     DRB-Hicom Berhad     950,163  
    1,505,700     IOI Properties Group Berhad     481,852  
    122,500     Petronas Chemicals Group Bhd     243,321  
    58,300     PPB Group Bhd     261,285  
    6,551,400     Supermax Corp Berhad     2,529,794  
    355,400     Ta Ann Holdings Berhad     192,247  
     

 

 

 
    Total Malaysia     4,658,662  
     

 

 

 
          Mexico — 0.6%  
    943,046     Bolsa Mexicana de Valores SAB de CV     1,720,206  
    117,000     Credito Real SAB de CV SOFOM ER     136,648  
    180,700     El Puerto de Liverpool SAB de CV – Class C1     1,011,431  
    1,006,500     Gentera SAB de CV     887,934  
    43,600     Grupo Financiero Inbursa SAB de CV     57,974  
    247,513     Grupo Herdez SAB de CV     511,223  
    768,600     Megacable Holdings SAB de CV CPO     3,171,069  
    227,200     Unifin Financiera SAB de CV SOFOM ENR     514,710  
    15,154,500     Wal-Mart de Mexico SAB de CV     42,644,081  
     

 

 

 
    Total Mexico     50,655,276  
     

 

 

 
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Netherlands — 1.4%

 

    752,034     ABN AMRO Group NV CVA     15,888,140  
    278,984     ASR Nederland NV (c)     10,570,524  
    15,635     BinckBank NV     110,290  
    116,700     Coca-Cola European Partners Plc * (b)     6,465,180  
    20,196     Flow Traders     569,570  
    58,952     ForFarmers NV     466,196  
    81,767     Heineken Holding NV     8,090,237  
    3,667     IMCD NV     298,834  
    2,109,355     ING Groep NV     22,783,749  
    8,600     Intertrust NV     162,734  
    1,278,078     Koninklijke Ahold Delhaize NV (c)     28,665,677  
    104,018     Signify NV     2,781,406  
    347,941     Wolters Kluwer NV     24,273,437  
     

 

 

 
    Total Netherlands        121,125,974  
     

 

 

 
          New Zealand — 0.0%  
    1,165,087     Air New Zealand Ltd     1,977,625  
     

 

 

 
          Norway — 0.8%  
    31,316     Aker ASA – A Shares     1,798,656  
    311,733     Aker Solutions ASA *     1,234,863  
    420,078     Austevoll Seafood ASA     4,407,113  
    21,228     Bakkafrost P/F     1,125,301  
    162,657     BW LPG Ltd *     682,719  
    844,113     DNB ASA     14,309,812  
    192,030     Elkem ASA     587,000  
    1,197,760     Equinor ASA (c)     22,879,445  
    22,132     Grieg Seafood ASA     313,853  
    384,556     Kongsberg Automotive ASA *     272,023  
    32,660     Kvaerner ASA     47,016  
    878,843     Leroy Seafood Group ASA     6,026,392  
    63,808     Mowi ASA     1,480,693  
    148,614     Salmar ASA     6,788,918  
    24,632     Selvaag Bolig ASA     119,555  
    91,439     SpareBank 1 Nord Norge     692,494  
    188,764     SpareBank 1 SR-Bank ASA     2,200,646  
    313,866     Storebrand ASA     2,270,907  
    32,220     TGS NOPEC Geophysical Co ASA     805,735  
     

 

 

 
    Total Norway     68,043,141  
     

 

 

 
          Pakistan — 0.1%  
    85,460     Engro Corp Ltd     164,097  
    1,490,500     Engro Fertilizers Ltd     696,466  
    981,000     Fauji Cement Co Ltd     112,175  
    134,500     Fauji Fertilizer Co Ltd     84,562  
    64,300     Habib Bank Ltd     53,752  
    125,000     Hub Power Co Ltd (The)     67,057  
    97,100     Lucky Cement Ltd     278,314  
    125,900     Nishat Mills Ltd     91,110  
    1,905,200     Oil & Gas Development Co Ltd     1,749,870  
    239,370     Pakistan Oilfields Ltd     708,992  
    
Shares
    Description   Value ($)  
    Pakistan — continued

 

    250,700     Pakistan Petroleum Ltd     277,809  
    144,600     Pakistan State Oil Co Ltd     195,181  
    164,500     SUI Northern Gas Pipeline     84,371  
    228,000     United Bank Ltd     244,645  
     

 

 

 
    Total Pakistan     4,808,401  
     

 

 

 
          Philippines — 0.1%  
    55,185     Globe Telecom Inc     2,296,082  
    525,730     Manila Electric Co     3,884,865  
    11,851,800     Megaworld Corp     1,341,935  
    13,951,551     Nickel Asia Corp     605,765  
    1,337,825     Semirara Mining & Power Corp     564,541  
     

 

 

 
    Total Philippines     8,693,188  
     

 

 

 
          Poland — 0.8%  
    7,645     Alior Bank SA *     105,296  
    354,683     Asseco Poland SA     4,723,077  
    34,112     Bank Handlowy w Warszawie SA     477,402  
    50,243     Bank Millennium SA *     125,261  
    303,199     Bank Polska Kasa Opieki SA     8,407,728  
    32,899     Budimex SA     1,152,434  
    55,787     Ciech SA     620,200  
    131,788     Cyfrowy Polsat SA *     896,567  
    922,241     Energa SA *     1,859,674  
    48,130     EPP NV     60,885  
    135,941     Grupa Lotos SA     3,116,306  
    6,263     KRUK SA *     262,767  
    55     LPP SA     105,231  
    25,914     Lubelski Wegiel Bogdanka SA *     239,137  
    758     mBank SA     79,553  
    585,316     Polski Koncern Naftowy ORLEN SA     14,768,775  
    5,317,426     Polskie Gornictwo Naftowe i Gazownictwo SA     7,767,803  
    402,312     Powszechna Kasa Oszczednosci Bank Polski SA     4,124,982  
    1,663,253     Powszechny Zaklad Ubezpieczen SA     17,964,898  
    4,906     Santander Bank Polska SA     466,483  
    9,472     Stalprodukt SA     603,164  
    60,778     Warsaw Stock Exchange     633,269  
     

 

 

 
    Total Poland          68,560,892  
     

 

 

 
          Portugal — 0.1%  
    162,235     Altri SGPS SA     1,099,233  
    352,552     EDP – Energias de Portugal SA     1,284,860  
    264,253     Galp Energia SGPS SA     3,969,517  
    38,447     Jeronimo Martins SGPS SA     584,797  
    73,166     Navigator Co SA (The)     261,425  
    50,796     NOS SGPS SA     320,808  
    12,401     Semapa-Sociedade de Investimento e Gestao     172,259  
    1,956,109     Sonae SGPS SA     1,944,440  
     

 

 

 
    Total Portugal     9,637,339  
     

 

 

 
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Qatar — 0.3%

 

    283,958     Barwa Real Estate Co     2,790,851  
    88,639     Doha Bank QPSC     565,446  
    266,651     Ezdan Holding Group QSC *     538,523  
    96,321     Gulf International Services QSC *     501,979  
    20,915     Masraf Al Rayan QSC     207,547  
    21,424     Qatar Electricity & Water Co QSC     973,298  
    248,995     Qatar Gas Transport Co Ltd     1,462,918  
    82,933     Qatar Insurance Co SAQ     792,386  
    40,740     Qatar International Islamic Bank QSC     813,371  
    20,773     Qatar Islamic Bank SAQ     954,503  
    277,277     Qatar National Bank QPSC     14,244,261  
    45,111     Qatar National Cement Co QSC     782,665  
    24,511     Qatar Navigation QSC     424,004  
    22,578     United Development Co QSC     84,478  
     

 

 

 
    Total Qatar          25,136,230  
     

 

 

 
          Russia — 4.2%  
    2,214,120     Aeroflot PJSC     3,175,017  
    11,442,930     Alrosa PJSC     15,412,748  
    1,155,900     Credit Bank of Moscow PJSC *     105,231  
    49,262     Etalon Group Plc     92,370  
    57,410,000     Federal Grid Co Unified Energy System PJSC     151,506  
    567,820     Gazprom Neft PJSC     3,230,529  
    13,630,100     Gazprom PJSC Sponsored ADR     89,277,073  
    287,914     Globaltrans Investment Plc Sponsored GDR (Registered)     2,502,334  
    65,373,000     Inter RAO UES PJSC     4,010,250  
    13,217     LSR Group PJSC (a)     140,038  
    24,695     LSR Group PJSC (a)     51,290  
    804,547     LUKOIL PJSC Sponsored ADR     64,644,816  
    225,260     M.Video PJSC *     1,461,875  
    234,916     Magnit PJSC Sponsored GDR (Registered)     3,271,620  
    3,502,700     Magnitogorsk Iron & Steel Works PJSC     2,387,362  
    64,280     Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)     562,510  
    614,636     MMC Norilsk Nickel PJSC ADR     12,825,566  
    6,502,200     Moscow Exchange MICEX-RTS PJSC     8,417,477  
    113,755     Novatek PJSC Sponsered GDR (Registered)     23,226,239  
    1,039,290     Novolipetsk Steel PJSC     2,736,337  
    483,035     Novolipetsk Steel PJSC GDR     12,684,548  
    87,145     PhosAgro PJSC GDR (Registered)     1,119,639  
    11,805     Polyus PJSC GDR (Registered)     467,299  
    172,092     QIWI Plc Sponsored ADR     2,894,587  
    89,210     Raspadskaya OJSC *     184,891  
    24,177,000     ROSSETI PJSC     458,802  
    17,780     Rostelecom PJSC     20,908  
    5,007     Rostelecom PJSC Sponsored ADR     35,130  
    27,392,000     RusHydro PJSC     225,976  
    71,630     Safmar Financial Investment     554,775  
    
Shares
    Description   Value ($)  
    Russia — continued

 

    3,478,261     Sberbank of Russia Sponsored ADR     50,124,360  
    10,320     Severstal PJSC     163,286  
    431,253     Severstal PJSC GDR (Registered)     6,795,222  
    5,799,100     Surgutneftegas PJSC     2,209,737  
    2,132,215     Surgutneftegas PJSC Sponsored ADR     8,001,133  
    505,070     Tatneft PJSC     5,769,113  
    352,185     Tatneft PJSC Sponsored ADR     23,897,230  
    82,429     TCS Group Holding Plc GDR (Registered)     1,565,371  
    54,150     TMK PJSC     48,812  
    20,727     TMK PJSC GDR (Registered)     73,844  
    5,307,000     Unipro PJSC     202,069  
     

 

 

 
    Total Russia        355,178,920  
     

 

 

 
          Singapore — 0.3%  
    146,000     CapitaLand Commercial Trust (REIT)     205,430  
    618,600     CapitaLand Ltd     1,451,532  
    190,300     CapitaLand Mall Trust (REIT)     334,104  
    846,200     ComfortDelGro Corp Ltd     1,516,377  
    31,600     DBS Group Holdings Ltd     559,336  
    631,000     Japfa Ltd     249,848  
    49,400     Jardine Cycle & Carriage Ltd     1,216,975  
    274,200     Mapletree Greater China Commercial Trust (REIT)     263,562  
    657,900     Mapletree Logistics Trust (REIT)     700,499  
    73,500     Singapore Airlines Ltd     487,855  
    303,900     Singapore Technologies Engineering Ltd     866,307  
    184,000     Sino Grandness Food Industry Group Ltd *     6,149  
    30,800     United Overseas Bank Ltd     527,614  
    289,100     Wilmar International Ltd     692,275  
    14,961,900     Yangzijiang Shipbuilding Holdings Ltd     14,932,536  
    1,486,000     Yanlord Land Group Ltd     1,288,426  
     

 

 

 
    Total Singapore     25,298,825  
     

 

 

 
          South Africa — 2.3%  
    3,475,746     Absa Group Ltd     40,324,113  
    39,768     AECI Ltd     259,402  
    1,494,532     African Phoenix Investments Ltd *     58,355  
    10,972     Anglo American Platinum Ltd     551,207  
    240,837     Astral Foods Ltd     2,734,181  
    599,457     AVI Ltd     3,687,332  
    249,577     Barloworld Ltd     2,269,339  
    3,415,879     Blue Label Telecoms Ltd *     888,382  
    84,601     Capitec Bank Holdings Ltd     7,662,413  
    23,136     Coronation Fund Managers Ltd     74,174  
    1,099,978     Delta Property Fund Ltd (REIT)     149,643  
    127,423     Discovery Ltd     1,212,623  
    878,461     Emira Property Fund Ltd (REIT)     830,280  
    1,437,606     FirstRand Ltd     6,600,603  
    997,753     Fortress REIT Ltd – Class B     811,286  
    144,986     Foschini Group Ltd (The)     1,751,449  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    South Africa — continued

 

    3,402,438     Growthpoint Properties Ltd (REIT)     5,639,856  
    272,284     Hyprop Investments Ltd (REIT)     1,321,244  
    210,504     Imperial Holdings Ltd     867,207  
    152,316     Investec Ltd     898,131  
    208,284     Invicta Holdings Ltd     373,263  
    45,120     JSE Ltd     450,847  
    637,391     Kumba Iron Ore Ltd     19,353,437  
    369,184     Lewis Group Ltd     951,058  
    872,272     Liberty Holdings Ltd     6,531,572  
    222,090     MMI Holdings Ltd     286,361  
    518,488     Mondi Ltd     10,679,281  
    195,499     Motus Holdings Ltd     1,158,902  
    773,500     Mr Price Group Ltd     10,468,357  
    952,078     Murray & Roberts Holdings Ltd     930,642  
    3,614     Naspers Ltd – N Shares     814,782  
    858,806     Nedbank Group Ltd     15,456,706  
    943,904     Old Mutual Ltd     1,361,922  
    592,113     Pepkor Holdings Ltd     723,785  
    1,539,826     Redefine Properties Ltd (REIT)     958,433  
    10,176     Remgro Ltd     129,280  
    246,810     Resilient REIT Ltd     998,201  
    779,380     Reunert Ltd     3,677,040  
    1,390,583     RMB Holdings Ltd     7,860,436  
    1,492,474     SA Corporate Real Estate Ltd (REIT)     299,581  
    788,482     Sanlam Ltd (a)     4,121,670  
    39,167     Santam Ltd (a)     814,814  
    79,705     SPAR Group Ltd (The)     1,046,643  
    196,534     Standard Bank Group Ltd     2,682,839  
    1,711,139     Telkom SA SOC Ltd     10,815,500  
    2,314,259     Truworths International Ltd     11,406,410  
    267,529     Tsogo Sun Holdings Ltd     393,742  
    251,322     Wilson Bayly Holmes-Ovcon Ltd     1,892,959  
    113,625     Woolworths Holdings Ltd     356,917  
     

 

 

 
    Total South Africa        195,586,600  
     

 

 

 
          South Korea — 2.6%  
    50,007     Aju Capital Co Ltd     451,483  
    148,243     Cheil Worldwide Inc     3,286,477  
    899     Chong Kun Dang Pharmaceutical Corp     69,359  
    348     Dae Han Flour Mills Co Ltd     61,669  
    187,250     DGB Financial Group Inc     1,270,099  
    113,154     Dongbu Insurance Co Ltd     5,850,450  
    2,789     DongKook Pharmaceutical Co Ltd     136,663  
    74,571     Dongwha Pharm Co Ltd     575,862  
    486,367     Dongwon Development Co Ltd     1,904,624  
    2,842     F&F Co Ltd     188,956  
    2,331     GOLFZON Co Ltd     115,187  
    11,918     GS Home Shopping Inc     1,658,721  
    883,792     Hana Financial Group Inc     26,920,919  
    7,554     Handsome Co Ltd     260,249  
    19,572     Hankook Technology Group Co Ltd     265,613  
    
Shares
    Description   Value ($)  
    South Korea — continued

 

    9,609     Hankook Tire & Technology Co Ltd     282,471  
    42,074     Huons Co Ltd     1,965,534  
    38,282     Hyundai Home Shopping Network Corp     2,938,105  
    116,246     Hyundai Hy Communications & Network Co Ltd     387,344  
    63,240     Hyundai Marine & Fire Insurance Co Ltd     1,634,062  
    47,546     Hyundai Motor Co     5,367,548  
    12,612     Il Dong Pharmaceutical Co Ltd     205,887  
    1,474,103     Industrial Bank of Korea     17,137,080  
    274,892     JB Financial Group Co Ltd     1,286,605  
    126,163     Kangwon Land Inc     3,287,514  
    192,283     KB Financial Group Inc     7,073,578  
    17,400     KB Financial Group Inc ADR     642,408  
    856,298     Kia Motors Corp     28,286,504  
    124,298     Korea Asset In Trust Co Ltd     414,469  
    44,974     Korea Autoglass Corp     764,967  
    7,187     Korean Reinsurance Co     50,613  
    121,400     KT Corp Sponsored ADR     1,461,656  
    67,372     KT Hitel Co Ltd *     243,999  
    3,082     KT&G Corp     261,328  
    105,630     Kwang Dong Pharmaceutical Co Ltd     608,010  
    50,245     Kyobo Securities Co Ltd     448,927  
    34,866     Kyungdong Pharm Co Ltd     262,683  
    121,187     LF Corp     2,204,688  
    112,655     LG Corp     6,929,092  
    24,164     LG Electronics Inc     1,592,474  
    302,107     LG Uplus Corp     3,541,983  
    86,067     LOTTE Himart Co Ltd     3,095,917  
    28,523     Mirae Asset Life Insurance Co Ltd     111,106  
    1,434     NCSoft Corp     574,284  
    8,514     Orange Life Insurance Ltd     259,734  
    5,453     POSCO     1,086,213  
    7,500     POSCO Sponsored ADR     372,975  
    84,715     Samjin Pharmaceutical Co Ltd     2,307,546  
    268,017     Samsung Electronics Co Ltd     9,541,894  
    1,000     Samsung Electronics Co Ltd GDR     890,114  
    7,859     Samsung SDS Co Ltd     1,365,886  
    8,508     Sebang Global Battery Co Ltd     297,826  
    1,531     Seohan Co Ltd     2,018  
    6,817     SFA Engineering Corp     227,145  
    738,341     Shinhan Financial Group Co Ltd     27,462,958  
    55,424     SK Holdings Co Ltd     10,751,075  
    214,441     SK Hynix Inc     11,723,821  
    798,541     SK Telecom Co Ltd Sponsored ADR     18,550,108  
    33,798     SL Corp     633,743  
    180     Taekwang Industrial Co Ltd     199,885  
    288,042     Woori Financial Group Inc     3,364,143  
     

 

 

 
    Total South Korea        225,114,251  
     

 

 

 
          Spain — 1.2%  
    290,984     Abengoa Yield Plc     6,241,607  
    11,071     Acciona SA     1,183,204  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Spain — continued

 

    251,651     ACS Actividades de Construccion y Servicios SA     10,336,141  
    14,090     Aena SME SA     2,587,277  
    206,742     Almirall SA     3,555,843  
    501,104     Banco Santander SA     2,196,823  
    51,487     Cia de Distribucion Integral Logista Holdings SA     1,137,404  
    198,486     Enagas SA     5,425,148  
    110,178     Ence Energia y Celulosa SA     459,987  
    971,013     Endesa SA     24,189,343  
    59,491     Faes Farma SA     259,594  
    1,676,951     Iberdrola SA     15,591,880  
    3,805,655     International Consolidated Airlines Group SA     21,600,960  
    153,373     Mapfre SA     449,575  
    189,496     Naturgy Energy Group SA     5,403,914  
    205,787     Red Electrica Corp SA     4,361,719  
    4,804     Siemens Gamesa Renewable Energy SA     74,507  
    31,095     Telefonica SA     248,451  
    110,652     Unicaja Banco SA     107,749  
     

 

 

 
    Total Spain        105,411,126  
     

 

 

 
          Sweden — 1.3%  
    605,352     Betsson AB *     3,824,970  
    605,352     Betsson AB – Redemption *     247,912  
    10,344     Bufab AB     105,918  
    12,849     Dustin Group AB     110,167  
    9,958     Fabege AB     149,392  
    26,837     Granges AB     252,080  
    42,036     Hemfosa Fastigheter AB     387,644  
    4,276     Investor AB – A Shares     184,870  
    100,180     Kindred Group Plc SDR     780,037  
    245,936     Klovern AB – B Shares     369,383  
    14,982     Lindab International AB     154,641  
    17,891     Mr. Green & Co AB (d)     130,131  
    19,900     New Wave Group AB-Class B     129,853  
    78,156     Nobina AB     436,379  
    51,154     Oriflame Holding AG *     1,201,107  
    158,754     Peab AB     1,250,823  
    231,475     Resurs Holding AB     1,348,579  
    1,019,483     Sandvik AB     15,737,428  
    210,030     SAS AB *     293,834  
    78,172     Skandinaviska Enskilda Banken AB – Class A     693,502  
    708     SSAB AB – Series A     2,174  
    2,623,914     Svenska Cellulosa AB SCA – Class B     20,028,135  
    564,217     Swedbank AB – A Shares     8,091,994  
    231,957     Swedish Match AB     10,470,480  
    78,900     Telefonaktiebolaget LM Ericsson – B Shares     759,151  
    77,332     Volvo AB – A Shares     1,092,746  
    2,886,307     Volvo AB – B Shares     40,296,822  
     

 

 

 
    Total Sweden     108,530,152  
     

 

 

 
    
Shares
    Description   Value ($)  
    Switzerland — 1.2%

 

    240     Alcon Inc * (a)     13,963  
    18,129     Alcon, Inc. * (a)     1,054,334  
    12,612     ALSO Holding AG (Registered) *     1,639,006  
    51     Belimo Holding AG (Registered)     266,863  
    30,409     BKW AG     2,010,351  
    9,705     Bobst Group SA (Registered)     610,381  
    8,623     Georg Fischer AG (Registered)     7,300,790  
    119     Gurit Holding AG     120,427  
    18,184     Huber + Suhner AG (Registered)     1,395,187  
    348     Inficon Holding AG (Registered)     196,943  
    76     Interroll Holding AG (Registered)     161,185  
    10,870     Kardex AG (Registered)     1,671,877  
    47,081     Mobilezone Holding AG (Registered) *     456,263  
    59,459     Nestle SA (Registered)     5,898,257  
    1,200     Novartis AG     102,768  
    211,335     Novartis AG (Registered)     18,161,687  
    6,613     Orior AG *     503,858  
    4,086     Panalpina Welttransport Holding AG (Registered) *     868,719  
    32,735     Roche Holding AG     8,585,528  
    200,256     Roche Holding AG – Genusschein     52,597,634  
    37,361     SIG Combibloc Group AG *     382,147  
    5,835     Zehnder Group AG – Class RG     195,397  
     

 

 

 
    Total Switzerland        104,193,565  
     

 

 

 
          Taiwan — 5.3%  
    302,000     Ability Enterprise Co Ltd     144,509  
    156,000     Actron Technology Corp     482,493  
    522,000     Advantech Co Ltd     4,370,935  
    235,000     Asia Vital Components Co Ltd     248,501  
    3,225,799     Asustek Computer Inc     22,174,487  
    57,000     Aten International Co Ltd     162,982  
    2,599,000     Catcher Technology Co Ltd     15,683,539  
    1,813,000     Cathay Financial Holding Co Ltd     2,341,892  
    114,000     Cathay Real Estate Development Co Ltd     105,427  
    2,868,000     Chailease Holding Co Ltd     10,568,856  
    23,000     Chaun-Choung Technology Corp     116,275  
    565,660     Chicony Electronics Co Ltd     1,341,376  
    1,096,000     Chin-Poon Industrial Co Ltd     1,113,698  
    8,498,000     China Development Financial Holding Corp     2,496,625  
    1,018,000     China Life Insurance Co Ltd     786,467  
    566,000     China Motor Corp     492,213  
    23,000     Chlitina Holding Ltd     189,383  
    368,000     Chong Hong Construction Co Ltd     1,051,995  
    124,000     Cleanaway Co Ltd     662,641  
    5,849,000     Coretronic Corp     7,489,941  
    17,778,000     CTBC Financial Holding Co Ltd     11,801,190  
    466,000     CTCI Corp     690,908  
    61,000     Depo Auto Parts Ind Co Ltd     133,475  
    428,500     Elan Microelectronics Corp     981,891  
    403,000     Elite Material Co Ltd     1,094,540  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Taiwan — continued

 

    642,000     Elitegroup Computer Systems Co Ltd *     247,781  
    639,000     Everlight Electronics Co Ltd     571,802  
    505,000     Far Eastern Department Stores Ltd     280,076  
    553,000     Farglory Land Development Co Ltd     693,495  
    1,086,000     Feng TAY Enterprise Co Ltd     8,228,443  
    1,101,000     FLEXium Interconnect Inc     2,734,821  
    244,000     Formosa Advanced Technologies Co Ltd     263,533  
    2,179,000     Formosa Chemicals & Fibre Corp     7,391,534  
    1,375,000     Formosa Petrochemical Corp     5,028,575  
    1,484,000     Formosa Plastics Corp     5,183,870  
    1,357,000     Formosa Taffeta Co Ltd     1,670,323  
    4,774,000     Foxconn Technology Co Ltd     9,291,871  
    626,000     Fubon Financial Holding Co Ltd     856,016  
    51,000     Fusheng Precision Co Ltd     288,303  
    35,000     Giant Manufacturing Co Ltd     248,871  
    7,049,000     Gigabyte Technology Co Ltd     10,176,427  
    540,000     Globalwafers Co Ltd     5,214,247  
    10,313,000     Grand Pacific Petrochemical     6,853,120  
    3,283,830     Great Wall Enterprise Co Ltd     4,000,492  
    494,000     Greatek Electronics Inc     645,685  
    973,000     HannStar Display Corp     213,663  
    1,893,000     Highwealth Construction Corp     2,922,436  
    121,000     Holiday Entertainment Co Ltd     255,229  
    1,969,000     Holtek Semiconductor Inc     4,176,757  
    2,972,600     Hon Hai Precision Industry Co Ltd     6,947,294  
    18,000     Hotai Motor Co Ltd     287,841  
    524,000     Huaku Development Co Ltd     1,417,518  
    583,300     IEI Integration Corp     599,249  
    267,000     International Games System Co Ltd     2,252,663  
    4,185,000     Inventec Corp     3,153,016  
    34,000     King Slide Works Co Ltd     326,935  
    370,000     Kinik Co     698,580  
    139,000     Kung Long Batteries Industrial Co Ltd     722,857  
    29,000     Lion Travel Service Co Ltd     78,670  
    1,671,000     Lite-On Semiconductor Corp     1,588,335  
    1,155,000     Lite-On Technology Corp     1,648,541  
    205,000     Makalot Industrial Co Ltd     1,344,059  
    3,227,088     Mercuries Life Insurance Co Ltd *     1,100,922  
    61,000     Mirle Automation Corp     89,742  
    3,415,899     Mitac Holdings Corp     3,170,651  
    9,202,000     Nan Ya Plastics Corp     22,852,553  
    434,000     Nantex Industry Co Ltd     484,981  
    6,395,000     Nanya Technology Corp     12,472,825  
    6,324,000     Novatek Microelectronics Corp     33,649,820  
    306,000     On-Bright Electronics Inc     1,409,955  
    209,000     OptoTech Corp     136,943  
    212,000     Pegatron Corp     344,771  
    1,258,000     Phison Electronics Corp     11,381,729  
    13,201,566     Pou Chen Corp     14,984,525  
    3,547,000     Quanta Computer Inc     6,602,955  
    218,000     Quanta Storage Inc     294,757  
    9,681,020     Radiant Opto-Electronics Corp     30,459,115  
    
Shares
    Description   Value ($)  
    Taiwan — continued

 

    1,716,000     Realtek Semiconductor Corp     10,850,657  
    742,240     Ruentex Development Co Ltd     959,502  
    3,021,600     Ruentex Industries Ltd     6,612,995  
    218,000     Sercomm Corp     454,088  
    105,000     Shanghai Commercial & Savings Bank Ltd (The)     192,845  
    672,000     Sheng Yu Steel Co Ltd     391,582  
    256,000     Shin Zu Shing Co Ltd     882,554  
    215,000     Shinkong Insurance Co Ltd     274,525  
    463,400     Simplo Technology Co Ltd     3,584,443  
    382,000     Sinbon Electronics Co Ltd     1,285,597  
    180,000     Sitronix Technology Corp     715,590  
    416,000     Soft-World International Corp     933,047  
    141,000     Standard Chemical & Pharmaceutical Co Ltd     146,191  
    2,213,000     Sunplus Technology Co Ltd     856,745  
    531,750     Syncmold Enterprise Corp     1,361,585  
    126,000     TaiDoc Technology Corp     553,641  
    399,000     Taiwan PCB Techvest Co Ltd     451,242  
    2,728,000     Taiwan Semiconductor Manufacturing Co Ltd     20,160,863  
    871,323     Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)     33,415,237  
    404,000     Taiwan Styrene Monomer     310,608  
    2,458,000     Taiwan Surface Mounting Technology Corp     4,085,605  
    454,000     Teco Electric and Machinery Co Ltd     328,256  
    385,000     Tong Hsing Electronic Industries Ltd     1,236,497  
    560,700     TOPBI International Holdings Ltd     1,496,033  
    982,188     Topco Scientific Co Ltd     2,547,897  
    194,000     Topkey Corp     910,271  
    571,000     Transcend Information Inc     1,294,336  
    1,049,000     Tripod Technology Corp     3,317,351  
    323,000     TXC Corp     342,561  
    2,453,000     Uni-President Enterprises Corp     6,304,426  
    615,800     United Integrated Services Co Ltd     2,831,719  
    61,000     Vanguard International Semiconductor Corp     116,392  
    176,000     Wah Lee Industrial Corp     296,969  
    6,630,000     Walsin Lihwa Corp     3,293,812  
    1,274,000     Waterland Financial Holdings Co Ltd     423,025  
    528,000     YC INOX Co Ltd     448,116  
    603,000     Youngtek Electronics Corp     808,975  
    22,187,000     Yuanta Financial Holding Co Ltd     12,456,772  
    21,000     Yulon Nissan Motor Co Ltd     179,945  
    11,000     Zeng Hsing Industrial Co Ltd     50,860  
    280,000     Zhen Ding Technology Holding Ltd     822,449  
     

 

 

 
    Total Taiwan        452,651,215  
     

 

 

 
          Thailand — 0.6%  
    1,095,400     AP Thailand Pcl (Foreign Registered)     268,392  
    169,400     AP Thailand Pcl NVDR     41,506  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Thailand — continued

 

    1,058,200     Com7 Pcl NVDR     653,730  
    252,939     Delta Electronics Thailand Pcl (Foreign Registered)     508,435  
    3,368,900     Home Product Center Pcl NVDR     1,798,647  
    406,500     Land & Houses Pcl NVDR     136,204  
    466,600     Mega Lifesciences Pcl NVDR     516,945  
    388,600     Pruksa Holding Pcl (Foreign Registered)     248,372  
    1,649,200     Pruksa Holding Pcl NVDR     1,054,077  
    9,310,400     PTT Global Chemical Pcl NVDR     17,866,240  
    9,123,900     PTT Pcl (Foreign Registered)     13,311,348  
    52,600     PTT Pcl NVDR     76,741  
    849,700     SC Asset Corp Pcl (Foreign Registered)     74,858  
    10,800     Siam Cement Pcl (The) (Foreign Registered)     154,471  
    207,800     Somboon Advance Technology Pcl NVDR     116,646  
    8,729,000     Star Petroleum Refining Pcl     2,576,979  
    2,313,400     Star Petroleum Refining Pcl (Foreign Registered)     682,963  
    1,235,225     Supalai Pcl (Foreign Registered)     870,395  
    164,650     Supalai Pcl NVDR     116,020  
    4,036,200     Thanachart Capital Pcl (Foreign Registered)     6,773,008  
    171,000     Thanachart Capital Pcl NVDR     287,015  
    1,520,100     TTW Pcl (Foreign Registered)     644,221  
    1,332,300     TTW Pcl NVDR     564,630  
     

 

 

 
    Total Thailand          49,341,843  
     

 

 

 
          Turkey — 2.1%  
    14,050,431     Akbank TAS     14,456,701  
    256,687     Aksa Akrilik Kimya Sanayii AS     378,209  
    1,114,815     Anadolu Cam Sanayii AS     516,916  
    98,921     Arcelik AS *     295,858  
    827,377     Aselsan Elektronik Sanayi Ve Ticaret AS     2,593,484  
    57,600     Aygaz AS     87,630  
    854,940     BIM Birlesik Magazalar AS     11,703,695  
    16,982     Coca-Cola Icecek AS     79,483  
    8,439,142     Dogan Sirketler Grubu Holding AS *     1,551,335  
    2,195,665     EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS     871,044  
    37,172,281     Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)     7,273,988  
    2,058,949     Enerjisa Enerji AS     1,890,816  
    1,037,939     Enka Insaat ve Sanayi AS     944,310  
    4,880,204     Eregli Demir ve Celik Fabrikalari TAS     6,076,072  
    232,133     Ford Otomotiv Sanayi AS     2,194,634  
    4,910,805     Haci Omer Sabanci Holding AS     6,533,383  
    4,904,291     KOC Holding AS     13,538,261  
    338,433     Kordsa Teknik Tekstil AS     693,961  
    452,754     Koza Altin Isletmeleri AS *     3,699,875  
    209,965     Mavi Giyim Sanayi Ve Ticaret AS – Class B     1,232,699  
    31,520     Otokar Otomotiv Ve Savunma Sanayi AS     559,063  
    
Shares
    Description   Value ($)  
    Turkey — continued

 

    1,791,193     Petkim Petrokimya Holding AS *     1,488,375  
    438,415     Selcuk Ecza Deposu Ticaret ve Sanayi AS     352,967  
    9,189,127     Soda Sanayii AS     10,962,042  
    755,923     TAV Havalimanlari Holding AS     3,303,207  
    1,181,929     Tekfen Holding AS     5,051,559  
    81,415     Tofas Turk Otomobil Fabrikasi AS     236,614  
    2,348,880     Trakya Cam Sanayii AS     1,137,270  
    607,097     Tupras-Turkiye Petrol Rafineriler AS     13,663,205  
    12,448     Turk Traktor ve Ziraat Makineleri AS     58,664  
    246,976     Turkcell Iletisim Hizmetleri AS     493,777  
    71,200     Turkcell Iletisim Hizmetleri AS ADR     352,440  
    19,050,323     Turkiye Garanti Bankasi AS     25,887,850  
    9,013,928     Turkiye Halk Bankasi AS     8,205,172  
    17,961,379     Turkiye Is Bankasi – Class C *     15,799,005  
    13,292,368     Turkiye Sinai Kalkinma Bankasi AS     1,552,621  
    212,513     Turkiye Sise ve Cam Fabrikalari AS     189,766  
    13,382,473     Turkiye Vakiflar Bankasi TAO – Class D     8,480,415  
    28,968     Ulker Biskuvi Sanayi AS *     94,811  
    371,649     Vestel Elektronik Sanayi ve Ticaret AS *     622,026  
    21,635,126     Yapi ve Kredi Bankasi AS *     7,391,759  
    327,245     Zorlu Enerji Elektrik Uretim AS *     64,117  
     

 

 

 
    Total Turkey        182,559,079  
     

 

 

 
          United Arab Emirates — 0.1%  
    138,045     Abu Dhabi Commercial Bank PJSC     335,208  
    1,275,399     Air Arabia PJSC     359,531  
    1,139,197     Al Waha Capital PJSC     297,403  
    1,199,940     DAMAC Properties Dubai Co PJSC *     276,572  
    2,875,716     Dana Gas PJSC     773,215  
    528,671     Dubai Islamic Bank PJSC     720,676  
    2,464,878     Emaar Properties PJSC     2,985,450  
    4,696,149     RAK Properties PJSC *     547,931  
     

 

 

 
    Total United Arab Emirates     6,295,986  
     

 

 

 
          United Kingdom — 4.1%  
    1,784,238     3i Group Plc     23,685,806  
    29,707     Admiral Group Plc     773,169  
    13,916     AG Barr Plc     166,626  
    137,577     Ashtead Group Plc     3,229,683  
    221,435     AstraZeneca Plc     16,318,051  
    81,474     AVEVA Group Plc     3,806,807  
    133,331     BAE Systems Plc     762,231  
    1,393,220     Barratt Developments Plc     9,827,506  
    260,220     Bellway Plc     9,036,344  
    297,190     Berkeley Group Holdings Plc (The)     13,137,552  
    167,155     Bovis Homes Group Plc     2,062,596  
    379,768     British American Tobacco Plc     13,191,552  
    155,000     British American Tobacco Plc Sponsored ADR     5,373,850  
    219,708     Britvic Plc     2,470,605  
    949,471     BT Group Plc     2,315,395  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United Kingdom — continued

 

    52,589     Close Brothers Group Plc     913,735  
    30,109     CMC Markets Plc     33,100  
    280,587     Coca-Cola HBC AG *     10,100,729  
    311,723     Compass Group Plc     7,052,706  
    115,046     Computacenter Plc     1,821,038  
    27,320     Dart Group Plc     309,449  
    27,200     Diageo Plc Sponsored ADR     4,571,232  
    11,920     Diploma Plc     223,360  
    39,279     Direct Line Insurance Group Plc     157,027  
    138,025     Drax Group Plc     514,378  
    12,131     Dunelm Group Plc     136,507  
    295,509     EI Group Plc *     787,595  
    813,220     Electrocomponents Plc     6,234,848  
    22,782     EMIS Group Plc     342,797  
    857,433     Evraz Plc     6,365,090  
    1,618,526     Ferrexpo Plc     4,702,224  
    80,532     Galliford Try Plc     635,282  
    5,796     Games Workshop Group Plc     326,742  
    4,607     GlaxoSmithKline Plc     88,943  
    755,900     GlaxoSmithKline Plc Sponsored ADR     29,207,976  
    5,492     Go-Ahead Group Plc (The)     129,317  
    42,536     Grafton Group Plc     456,924  
    39,430     Grainger Plc     125,182  
    125,786     Greene King Plc     1,015,413  
    22,832     Greggs Plc     626,556  
    87,000     HSBC Holdings Plc Sponsored ADR(b)     3,546,990  
    1,015,215     IG Group Holdings Plc     7,029,488  
    353,686     Imperial Brands Plc     8,552,255  
    470,474     Inchcape Plc     3,478,000  
    503,200     Indivior Plc *     289,655  
    18,116     Intermediate Capital Group Plc     300,392  
    39,779     International Personal Finance Plc     79,870  
    303,934     JD Sports Fashion Plc     2,368,260  
    255,836     John Laing Group Plc     1,255,906  
    6,226,292     Legal & General Group Plc     20,175,178  
    12,803,528     Lloyds Banking Group Plc     9,254,414  
    41,784     Lookers Plc     45,210  
    138,383     McBride Plc     149,917  
    196,546     Meggitt Plc     1,215,367  
    472,589     Mondi Plc     9,782,456  
    13,588     Morgan Advanced Materials Plc     42,514  
    56,323     Morgan Sindall Group Plc     917,196  
    196,771     National Express Group Plc     987,598  
    109,023     Next Plc     7,947,265  
    154,800     Nomad Foods Ltd *     3,284,856  
    26,860     Numis Corp Plc     91,404  
    84,947     OneSavings Bank Plc     430,797  
    96,005     Pagegroup Plc     617,230  
    70,168     Paragon Banking Group Plc     384,328  
    8,595     Pennon Group Plc     79,806  
    1,233,933     Persimmon Plc     30,694,362  
    111,838     Phoenix Group Holdings Plc     946,197  
    
Shares
    Description   Value ($)  
    United Kingdom — continued

 

    398,428     Plus500 Ltd     3,186,704  
    1,517,784     QinetiQ Group Plc     5,576,007  
    89,789     Reckitt Benckiser Group Plc     7,206,857  
    142,925     Redrow Plc     983,021  
    40,264     Royal Dutch Shell Plc – Class A     1,248,647  
    11,200     Royal Dutch Shell Plc – Class A Sponsored ADR     692,272  
    51,200     Royal Dutch Shell Plc – Class B Sponsored ADR     3,218,432  
    32,336     Safestore Holdings Plc (REIT)     259,346  
    24,595     Savills Plc     263,796  
    47,105     Segro Plc (REIT)     414,680  
    97,210     Softcat Plc     1,115,169  
    107,567     Spectris Plc     3,372,812  
    322,592     Spirent Communications Plc     640,302  
    19,097     Stagecoach Group Plc     30,135  
    189,169     Stock Spirits Group Plc     560,625  
    1,197,962     Tate & Lyle Plc     10,935,019  
    362,315     Taylor Wimpey Plc     756,999  
    106,004     Unilever Plc     6,466,851  
    495,751     Vesuvius Plc     3,129,510  
     

 

 

 
    Total United Kingdom        347,040,018  
     

 

 

 
          United States — 12.6%  
    26,700     1-800-Flowers.com, Inc. – Class A * (b)     487,542  
    55,890     3M Co. (b) (c)     8,928,428  
    51,457     Abbott Laboratories (b)     3,917,421  
    49,200     Abercrombie & Fitch Co. – Class A (b)     851,160  
    54,255     Accenture Plc – Class A (c)     9,661,188  
    261,900     ACCO Brands Corp.     1,924,965  
    4,600     ACI Worldwide, Inc. * (b)     144,716  
    44,900     Acushnet Holdings Corp. (b)     1,054,701  
    77,600     ADTRAN, Inc.     1,216,768  
    4,300     AdvanSix, Inc. *     104,834  
    104,000     AG Mortgage Investment Trust, Inc. (REIT)     1,603,680  
    3,300     Agilysys, Inc. *     71,940  
    46,900     AgroFresh Solutions, Inc. * (b)     113,029  
    20,200     Alamo Group, Inc.     1,917,586  
    2,200     Allied Motion Technologies, Inc.     71,434  
    18,200     Alpha & Omega Semiconductor Ltd. *     155,428  
    14,144     Alphabet, Inc. – Class C *     15,609,743  
    23,700     Ameresco, Inc.– Class A *     343,650  
    20,100     America’s Car-Mart, Inc. *     1,730,610  
    71,793     American Express Co. (b)     8,235,375  
    300     American National Bankshares, Inc.     10,464  
    29,544     American Public Education, Inc. *     826,641  
    13,200     American Vanguard Corp.     175,296  
    36,200     Amkor Technology, Inc. *     234,576  
    25,577     Amphenol Corp. – Class A (b)     2,225,199  
    232,182     Anadarko Petroleum Corp.     16,338,647  
    28,979     Anthem, Inc.     8,055,582  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    93,853     Apple, Inc.     16,430,845  
    426,200     Arbor Realty Trust, Inc. (REIT) (b)     5,246,522  
    199,900     Archrock, Inc.     1,773,113  
    58,500     Ares Commercial Real Estate Corp. (REIT) (b)     858,780  
    15,900     Armstrong Flooring, Inc. *     167,586  
    1,300     Arrow Financial Corp.     41,821  
    19,700     Atkore International Group, Inc. *     460,783  
    55,500     Avaya Holdings Corp. * (b)     698,190  
    40,100     Avid Technology, Inc. * (b)     310,775  
    96,900     AVX Corp. (b)     1,433,151  
    8,200     Axcelis Technologies, Inc. * (b)     121,606  
    21,100     BancFirst Corp.     1,102,053  
    26,100     BankFinancial Corp.     362,790  
    91,800     Banner Corp.     4,632,228  
    1,700     Bar Harbor Bankshares (b)     40,171  
    20,100     Bassett Furniture Industries, Inc.     295,269  
    3,200     BCB Bancorp, Inc.     39,168  
    11,781     Becton Dickinson and Co. (b)     2,750,157  
    9,830     Bel Fuse, Inc. – Class B     169,862  
    323,330     Bemis Co., Inc.     18,866,305  
    32,800     Benchmark Electronics, Inc.     724,552  
    6,480     Berkshire Hills Bancorp, Inc.     189,151  
    30,000     Berry Petroleum Corp.     322,500  
    15,200     BlackRock TCP Capital Corp.     216,904  
    209,800     Bloomin’ Brands, Inc. (b)     4,051,238  
    2,209     Booking Holdings, Inc. * (c)     3,658,590  
    8,800     Boston Private Financial Holdings, Inc.     90,200  
    148,000     Brady Corp. – Class A            6,852,400  
    110,600     Braemar Hotels & Resorts, Inc. (REIT)     1,154,664  
    114,700     Briggs & Stratton Corp.     1,078,180  
    100     BRT Apartments Corp. (REIT)     1,262  
    13,400     Cabot Corp. (b)     535,196  
    2,400     CACI International, Inc. – Class A * (b)     488,448  
    61,600     Calix, Inc. *     372,680  
    44,600     Camden National Corp.     1,888,810  
    6,100     Carpenter Technology Corp. (b)     247,416  
    153,600     Carrols Restaurant Group, Inc. *     1,308,672  
    336,900     Cars.com, Inc. * (b)     7,132,173  
    67,800     Cedar Realty Trust, Inc. (REIT)     191,874  
    243,400     Celgene Corp. * (b)     22,828,486  
    450,000     Centene Corp. * (b) (e)     25,987,500  
    72,100     Central Garden & Pet Co. *     2,029,615  
    70,500     Central Garden & Pet Co. – Class A *     1,802,685  
    8,900     Century Bancorp, Inc. – Class A     797,529  
    17,900     Chatham Lodging Trust (REIT) (b)     340,816  
    1,000     Chemung Financial Corp.     44,800  
    280,600     Ciena Corp. * (b)     9,804,164  
    19,200     Cirrus Logic, Inc. *     717,504  
    124,604     Cisco Systems, Inc.     6,483,146  
    7,400     Citi Trends, Inc.     101,232  
    16,000     Civista Bancshares, Inc.     347,200  
    
Shares
    Description   Value ($)  
    United States — continued

 

    38,600     Clarus Corp.     492,150  
    8,600     CNB Financial Corp.     212,850  
    328,500     CNO Financial Group, Inc. (b)     5,160,735  
    101,954     Coca-Cola Co. (The)     5,009,000  
    102,196     Cognizant Technology Solutions Corp. – Class A (b) (c)     6,328,998  
    2,800     Columbia Sportswear Co. (c)     262,584  
    15,700     Community Trust Bancorp, Inc.     621,563  
    87,100     Comtech Telecommunications Corp.     1,842,165  
    12,400     Consolidated Water Co. Ltd.     168,020  
    222,285     Contra Clementia Pharma (d)     300,085  
    1,200     Cooper-Standard Holding, Inc. *     46,392  
    64,900     Core-Mark Holding Co., Inc.     2,393,512  
    258,100     CoreCivic, Inc. (REIT)     5,652,390  
    81,100     CorePoint Lodging, Inc. (REIT) (c)     982,932  
    35,865     Costco Wholesale Corp.     8,592,537  
    8,800     CRA International, Inc.     329,472  
    65,200     CSG Systems International, Inc. (b)     2,924,220  
    25,400     Daktronics, Inc.     157,734  
    191,200     Designer Brands, Inc. – Class A     3,458,808  
    21,800     Digi International, Inc. *     237,402  
    12,100     Dime Community Bancshares, Inc.     215,138  
    51,700     Diodes, Inc. * (b)     1,599,081  
    238,769     Discovery, Inc. – Class C *            6,122,037  
    4,047     Donegal Group, Inc. – Class A     58,479  
    16,500     Donnelley Financial Solutions, Inc. *     203,445  
    14,200     Ducommun, Inc. *     640,846  
    367,400     Dynex Capital, Inc. (REIT) (b)     2,020,700  
    14,700     El Paso Electric Co.     855,540  
    8,400     El Pollo Loco Holdings, Inc. * (b)     88,032  
    3,200     EMCOR Group, Inc. (c)     257,792  
    24,200     Employers Holdings, Inc.     1,005,268  
    87,800     Ennis, Inc.     1,626,056  
    178,725     Enova International, Inc. *     3,815,779  
    3,700     EnPro Industries, Inc.     205,313  
    7,400     Escalade, Inc.     82,362  
    8,300     ESSA Bancorp, Inc. (b)     125,745  
    59,400     Essent Group Ltd. *     2,788,830  
    39,200     Ethan Allen Interiors, Inc.     831,824  
    17,200     EVERTEC Inc (c)     492,952  
    1,888,723     EveryWare Global, Inc. (d)     2,984,182  
    33,300     Evolution Petroleum Corp.     203,463  
    42,400     Exantas Capital Corp. (REIT)     462,160  
    37,697     Facebook, Inc. – Class A * (c)     6,690,087  
    24,400     Farmers National Banc Corp.     328,180  
    104,900     Federal Signal Corp.     2,506,061  
    159,100     Federated Investors, Inc. – Class B (b)     4,857,323  
    34,300     FedNat Holding Co.     463,736  
    20,930     Financial Institutions, Inc.     565,738  
    456,987     Finisar Corp. *     9,587,587  
    25,326     First Community Bankshares, Inc.     829,680  
    1,024,958     First Data Corp.*     26,054,432  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    66,500     First Defiance Financial Corp.     1,802,150  
    14,000     First Financial Corp. (b)     529,620  
    7,900     First Financial Northwest, Inc. (b)     119,764  
    1,900     First of Long Island Corp. (The)     40,565  
    219,500     Flagstar Bancorp, Inc. (b)     6,909,860  
    475     Flexsteel Industries, Inc.     8,146  
    8,200     Flushing Financial Corp.     172,446  
    7,800     FONAR Corp. *     149,760  
    38,505     FTI Consulting, Inc. * (b)     3,231,340  
    516,300     Fulton Financial Corp. (b)     8,136,888  
    30,400     FutureFuel Corp.     315,552  
    497,500     Gannett Co., Inc. (b)     3,910,350  
    22,100     Genie Energy Ltd. – Class B (b)     206,414  
    306,300     GEO Group, Inc. (The) (REIT)     6,717,159  
    79,497     Gibson Equity (d)     8,744,670  
    41,619     Global Brass & Copper Holdings, Inc.     1,815,837  
    15,800     Gorman-Rupp Co. (The)     468,786  
    1,800     Graham Holdings Co. – Class B     1,224,972  
    7,900     Great Southern Bancorp, Inc.     436,238  
    19,400     Greif, Inc. – Class A (b)     687,536  
    72,600     Griffon Corp. (b)     1,043,988  
    37,900     Group 1 Automotive, Inc.     2,736,001  
    4,000     Hallmark Financial Services, Inc. *     47,160  
    66,800     Harmonic, Inc. * (b)     348,696  
    79,300     Haverty Furniture Cos, Inc.     1,380,613  
    53,500     Helen of Troy Ltd. * (b)     7,148,135  
    219,236     Herman Miller, Inc.     7,780,686  
    273,900     Hersha Hospitality Trust (REIT)     4,669,995  
    8,100     HMS Holdings Corp. *     246,483  
    9,600     HomeTrust Bancshares, Inc.     235,008  
    23,098     Honeywell International, Inc.            3,795,232  
    2,600     Hurco Cos, Inc.     91,156  
    52,900     Hyster-Yale Materials Handling, Inc.     2,326,542  
    36,400     ICF International, Inc. (c)     2,653,196  
    51,200     IDACORP, Inc. (b)     5,133,824  
    1,200     Independence Holding Co.     44,796  
    84,563     Independent Bank Corp.     1,788,507  
    52,600     Information Services Group, Inc. *     163,586  
    17,662     Ingles Markets, Inc. – Class A     526,504  
    37,500     Innospec, Inc.     3,026,625  
    83,300     Insight Enterprises, Inc. *     4,288,284  
    51,600     Inter Parfums, Inc.     3,342,648  
    97,800     International Bancshares Corp.     3,565,788  
    18,757     INTL. FCStone, Inc. * (c)     651,993  
    94,900     Invesco Mortgage Capital, Inc. (REIT)     1,460,511  
    91,700     iStar, Inc. (REIT) (b) (c)     1,009,617  
    19,200     Johnson Outdoors, Inc. – Class A     1,417,152  
    59,914     Johnson & Johnson     7,857,721  
    135,600     K12, Inc. *     4,145,292  
    3,300     Kaiser Aluminum Corp. (b)     294,096  
    21,700     Kimball Electronics, Inc. *     309,225  
    21,000     Kimball International, Inc. – Class B     324,240  
    
Shares
    Description   Value ($)  
    United States — continued

 

    72,900     Knoll, Inc.     1,431,756  
    162,900     L3 Technologies, Inc. (b)     39,431,574  
    28,400     La-Z-Boy, Inc.     914,196  
    3,400     Lakeland Financial Corp.     149,430  
    35,800     Lantheus Holdings, Inc.* (b)     858,842  
    133,400     Laureate Education, Inc. – Class A *     2,142,404  
    12,800     LCNB Corp.     217,216  
    17,600     Leaf Group Ltd. *     126,544  
    83,544     Liberty Expedia Holdings, Inc. – Class A * (c)     3,444,519  
    434,500     Liberty Global Plc – Series C * (e)     10,532,280  
    131,527     Liberty Media Corp.-Liberty SiriusXM – Class C *     4,753,386  
    104,000     Liberty TripAdvisor Holdings, Inc. – Class A *     1,107,600  
    17,000     M/I Homes, Inc. *     465,460  
    31,500     Macatawa Bank Corp.     319,725  
    168,200     Mallinckrodt Plc *     1,461,658  
    76,300     Marcus Corp. (The) (b)     2,667,448  
    5,700     Marlin Business Services Corp. (b)     127,110  
    11,786     Mastercard, Inc. – Class A (b)     2,964,061  
    50,000     Materion Corp. (c)     3,022,500  
    43,500     Matrix Service Co. *     787,350  
    103,448     Medtronic Plc     9,577,216  
    24,700     Meet Group , Inc. (The) * (b)     95,589  
    65,973     Mellanox Technologies Ltd *     7,242,516  
    94,208     Merck & Co., Inc. (b) (c)     7,462,216  
    6,500     Meridian Bancorp, Inc.     112,255  
    2,600     Meridian Bioscience, Inc. (b)     29,380  
    44,900     Meritor, Inc. * (b)     905,184  
    276,500     MGIC Investment Corp. *     3,746,575  
    141,908     Microsoft Corp.          17,551,181  
    700     MicroStrategy Inc-Class A *     93,037  
    2,500     MidWestOne Financial Group, Inc.     69,600  
    10,100     Miller Industries, Inc.     268,155  
    32,600     Modine Manufacturing Co. *     418,910  
    6,400     Monarch Casino & Resort, Inc. *     275,392  
    57,500     Monotype Imaging Holdings, Inc.     936,675  
    111,400     Moog, Inc. – Class A     9,181,588  
    77,400     Movado Group, Inc.     1,993,824  
    19,700     Mueller Industries, Inc. (b)     530,915  
    9,700     MutualFirst Financial, Inc.     289,836  
    100     NACCO Industries, Inc. – Class A     4,996  
    10,600     National CineMedia, Inc. (b)     69,430  
    89,700     National General Holdings Corp.     2,037,984  
    50,200     Natural Grocers by Vitamin Cottage, Inc. *     515,554  
    57,500     Nautilus, Inc. * (b)     154,675  
    1,400     Nicolet Bankshares, Inc. *     81,886  
    218,750     Nielsen Holdings Plc (b) (e)     4,972,188  
    7,337     Northrim BanCorp, Inc.     245,276  
    272,400     Northwest Bancshares, Inc. (b)     4,568,148  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    8,200     NorthWestern Corp.     581,708  
    962,100     Office Depot, Inc. (b)     1,885,716  
    94,300     OFG Bancorp (b)     1,770,954  
    657     Oil-Dri Corp. of America     19,309  
    234,100     Old National Bancorp (b)     3,731,554  
    9,700     Old Second Bancorp, Inc.     118,340  
    28,900     Olympic Steel, Inc. (b)     357,782  
    5,600     One Liberty Properties, Inc. (REIT) (c)     159,824  
    1,960,195     OneMarket Ltd. *     1,079,508  
    48,342     Oppenheimer Holdings, Inc. – Class A     1,191,147  
    303,542     Oracle Corp. (b)          15,359,225  
    1,201     Orrstown Financial Services, Inc.     25,509  
    3,500     Otter Tail Corp.     173,845  
    62,000     Outfront Media, Inc. (REIT)     1,528,300  
    426,900     Pacific Biosciences of California, Inc. * (b)     2,860,230  
    1,900     Park-Ohio Holdings Corp.     59,318  
    40,900     PC Connection, Inc. (c)     1,298,166  
    10,200     PCM, Inc. *     260,610  
    616,800     PDL BioPharma, Inc. * (b)     1,739,376  
    26,000     Penn Virginia Corp. *     793,000  
    1,100     Penns Woods Bancorp, Inc.     46,024  
    131,900     PennyMac Financial Services, Inc. (b) (c)     2,797,599  
    105,500     PennyMac Mortgage Investment Trust (REIT)     2,194,400  
    5,200     Peoples Bancorp, Inc.     160,732  
    12,310     PepsiCo, Inc.     1,575,680  
    42,089     Philip Morris International, Inc.     3,246,325  
    342,000     Piedmont Office Realty Trust, Inc. – Class A (REIT) (b)     6,952,860  
    84,400     PNM Resources, Inc.     3,976,084  
    15,800     PolyOne Corp.     397,054  
    159,400     Popular, Inc.     8,322,274  
    105,400     Portland General Electric Co. (b)     5,571,444  
    1,900     Preformed Line Products Co.     89,319  
    12,500     Premier Financial Bancorp, Inc.     195,125  
    31,500     Prestige Consumer Healthcare, Inc. * (b)     914,445  
    15,700     Protective Insurance Corp. – Class B     269,255  
    47,200     Provident Financial Services, Inc.     1,125,248  
    12,400     Quanex Building Products Corp.     192,324  
    49,500     Radian Group, Inc.     1,111,275  
    45,200     Radiant Logistics, Inc. *     287,472  
    51,800     Rambus, Inc. * (b)     588,448  
    89,900     Red Hat, Inc. * (c)     16,568,570  
    11,133     Republic Bancorp, Inc. – Class A     510,337  
    19,000     Resolute Forest Products, Inc.     122,170  
    13,000     Resources Connection, Inc.     199,550  
    1,300     REX American Resources Corp. *     87,711  
    82,100     Ribbon Communications, Inc. *     350,567  
    15,400     Riverview Bancorp, Inc.     119,350  
    11,400     Rocky Brands, Inc.     278,844  
    64,600     RR Donnelley & Sons Co. (b)     143,412  
    32,600     RTI Surgical Holdings, Inc. * (b)     137,898  
    
Shares
    Description   Value ($)  
    United States — continued

 

    37,300     Rudolph Technologies, Inc. *     860,511  
    10,400     Rush Enterprises, Inc. – Class A     366,808  
    169,400     Sanmina Corp. *     4,504,346  
    7,800     Schweitzer-Mauduit International, Inc.     244,062  
    15,776     Seneca Foods Corp. – Class A *     389,667  
    9,400     Shiloh Industries, Inc. * (b)     37,976  
    90,700     Shoe Carnival, Inc.     2,330,083  
    36,700     Sierra Bancorp     910,160  
    11,000     SilverBow Resources, Inc. *     156,970  
    6,000     SkyWest, Inc.     352,320  
    16,600     Smart & Final Stores, Inc. *     108,066  
    24,500     Sonic Automotive, Inc. – Class A (b)     427,035  
    1,200     Southern First Bancshares, Inc.*     42,756  
    1,300     Southern Missouri Bancorp, Inc.     42,348  
    3,100     Southern National Bancorp of Virginia, Inc.     42,811  
    20,000     Southwest Gas Holdings, Inc. *     1,702,800  
    780,900     Southwestern Energy Co. * (b)     2,803,431  
    5,700     SpartanNash Co.     65,778  
    6,600     Speedway Motorsports, Inc. (b)     119,856  
    136,200     Spok Holdings, Inc.     2,104,290  
    17,000     SPX Corp. *     505,580  
    6,700     Standard Motor Products, Inc.     283,946  
    17,400     Star Group LP     168,606  
    2,400     State Auto Financial Corp.     82,056  
    247,952     Steelcase Inc – Class A     3,977,150  
    30,600     Stepan Co.     2,596,716  
    52,000     Stoneridge, Inc. * (b)     1,353,560  
    76,700     SunCoke Energy, Inc. *     562,978  
    587,000     Sunstone Hotel Investors, Inc. (REIT) (b)     7,877,540  
    667,300     SunTrust Banks, Inc. (b)          40,044,673  
    29,200     Sykes Enterprises, Inc. *     722,992  
    3,000     Systemax, Inc.     61,770  
    468,759     TCF Financial Corp.     8,934,547  
    74,900     Tech Data Corp. *     6,789,685  
    527,400     TEGNA, Inc.     7,984,836  
    16,300     Telenav, Inc. *     121,598  
    237,300     Telephone & Data Systems, Inc.     6,836,613  
    19,300     Territorial Bancorp, Inc.     519,170  
    74,687     Texas Instruments, Inc.     7,790,601  
    3,300     Timberland Bancorp, Inc.     80,454  
    187,300     Timken Co. (The)     8,243,073  
    126,310     TJX Cos., Inc. (The) (c)     6,352,130  
    96,900     Tower International, Inc.     1,688,967  
    42,800     Tredegar Corp.     667,252  
    41,900     Tribune Publishing Co. *     411,458  
    57,700     TriCo Bancshares     2,152,210  
    48,300     Trinseo SA     1,779,372  
    11,100     Triple-S Management Corp. – Class B *     271,950  
    326,424     TRU TAJ (a) (f)     4,700,506  
    5,869     TRU TAJ (a) (d)     1,056,420  
    10,200     Trustmark Corp. (b)     324,054  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    4,100     Twin Disc, Inc. *     59,122  
    232,400     Unisys Corp. *     2,254,280  
    35,500     United Community Financial Corp.     325,180  
    5,421     United Security Bancshares     55,294  
    36,200     United States Cellular Corp. *     1,576,510  
    38,730     UnitedHealth Group, Inc.     9,364,914  
    23,516     United Technologies Corp. (b)     2,970,071  
    154,500     Uniti Group, Inc. (REIT)     1,484,745  
    75,300     Universal Corp. (b)     4,255,956  
    25,800     Universal Forest Products, Inc.     832,050  
    6,900     Univest Financial Corp     164,772  
    174,870     US Bancorp     8,778,474  
    25,100     Valhi, Inc.     50,200  
    33,657     Vectrus, Inc. *     1,187,756  
    85,700     Vera Bradley, Inc. * (b)     938,415  
    28,700     Veritiv Corp. * (b)     506,842  
    131,700     Verso Corp. – Class A * (c)     2,267,874  
    438,900     Versum Materials, Inc.     22,537,515  
    450,000     Viacom, Inc. – Class B (b) (e)     13,063,500  
    8,300     Village Super Market, Inc. – Class A     219,784  
    15,900     Visa, Inc. – Class A (c)     2,565,147  
    435,400     Vishay Intertechnology, Inc. (b)     6,635,496  
    32,400     Vishay Precision Group, Inc. *     1,160,568  
    757,500     W&T Offshore, Inc. *     3,181,500  
    129,700     WABCO Holdings, Inc. *     16,979,027  
    10,500     Warrior Met Coal, Inc.     271,005  
    37,425     Waterstone Financial, Inc.     617,887  
    24,800     Watts Water Technologies, Inc. – Class A     2,018,472  
    20,800     Weis Markets, Inc. (b)     786,240  
    62,554     WellCare Health Plans, Inc. *     17,276,789  
    176,582     Wells Fargo & Co. (c)     7,834,943  
    5,200     WesBanco, Inc.     184,756  
    107,060     Wesrmoreland and Mining Holdings (f)     829,715  
    9,400     West Bancorporation, Inc.     195,520  
    17,100     Weyco Group, Inc.     427,842  
    115,100     World Fuel Services Corp. (c)     3,354,014  
    355,819     Worldpay, Inc. – Class A *     43,281,823  
    359,600     Xenia Hotels & Resorts, Inc. (REIT) (b) (c)     7,519,236  
    340,399     Zayo Group Holdings, Inc. *     11,131,047  
    35,200     Zix Corp. * (b)     315,392  
    133,800     Zumiez, Inc. *     2,646,564  
     

 

 

 
    Total United States     1,075,365,346  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $6,377,767,892)
    6,095,981,597  
     

 

 

 
    PREFERRED STOCKS (g) — 1.1%

 

          Brazil — 0.2%  
    692,200     Banco do Estado do Rio Grande do Sul SA – Class B     4,189,592  
    1,005,000     Braskem SA – Class A     10,956,791  
    
Shares
    Description   Value ($)  
    Brazil — continued

 

    73,800     Cia de Saneamento do Parana     254,467  
    88,600     Cia Paranaense de Energia – Class B     1,083,806  
    17,600     Companhia de Transmissao de Energia Eletrica Paulista     101,367  
    113,600     Telefonica Brasil SA     1,391,068  
     

 

 

 
    Total Brazil     17,977,091  
     

 

 

 
          Colombia — 0.0%  
    30,537     Banco Davivienda SA     344,962  
     

 

 

 
          Germany — 0.1%  
    42,101     Bayerische Motoren Werke AG     2,491,210  
    2,261     Draegerwerk AG & Co KGaA     121,916  
    54,962     Henkel AG & Co KGaA     5,022,678  
    10,097     RWE AG     251,805  
    13,682     Sixt SE     954,121  
    8,982     Volkswagen AG     1,396,336  
     

 

 

 
    Total Germany     10,238,066  
     

 

 

 
          Russia — 0.3%  
    1,225     AK Transneft PJSC     3,021,559  
    108,094     Bashneft PJSC     2,820,897  
    2,102,740     Sberbank of Russia PJSC     6,591,265  
    21,887,300     Surgutneftegas PJSC     13,552,212  
     

 

 

 
    Total Russia     25,985,933  
     

 

 

 
          South Korea — 0.5%  
    211     CJ Corp * (f)     7,462  
    8,176     Hyundai Motor Co (a)     538,104  
    7,455     Hyundai Motor Co (a)     536,109  
    88,537     LG Electronics Inc     2,361,322  
    1,075,949     Samsung Electronics Co Ltd     31,352,127  
    4,895     Samsung Electronics Co Ltd GDR     3,523,659  
     

 

 

 
    Total South Korea          38,318,783  
     

 

 

 
          Sweden — 0.0%  
    15,394     Akelius Residential Property AB     558,855  
     

 

 

 
          Taiwan — 0.0%  
    201,277     CTBC Financial Holding Co Ltd (d)     408,660  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $106,473,293)
    93,832,350  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Spain — 0.0%      
    206,742     Almirall SA *     46,192  
     

 

 

 
          United States — 0.0%  
    2,616,810     Media General, Inc. CVR * (d)     130,841  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $47,038)
    177,033  
     

 

 

 
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

Shares /
Par Value†
    Description   Value ($)  
    INVESTMENT FUNDS — 0.8%

 

          United States — 0.8%  
    1,067,800     Altaba, Inc. *     63,213,760  
    15,488     iShares Core MSCI Emerging Markets ETF     760,771  
     

 

 

 
    Total United States          63,974,531  
     

 

 

 
    TOTAL INVESTMENT FUNDS
(COST $72,384,987)
    63,974,531  
     

 

 

 
          DEBT OBLIGATIONS — 22.8%  
          Italy — 0.0%  
          Corporate Debt — 0.0%  
    3,977,000     Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48     3,275,599  
     

 

 

 
    Total Corporate Debt     3,275,599  
     

 

 

 
          Jamaica — 0.1%  
          Corporate Debt — 0.1%  
    4,679,000     Digicel Ltd., Reg S, 6.75%, due 03/01/23     3,064,745  
    2,530,000     Digicel Ltd., 144A, 6.00%, due 04/15/21     2,118,875  
    1,567,000     Digicel Ltd., due 12/30/22     968,892  
     

 

 

 
    Total Jamaica     6,152,512  
     

 

 

 
          Luxembourg — 0.1%  
          Bank Loans — 0.1%  
    8,526,649     SkillSoft Corp., 1st Lien Term Loan, 7.19%, due 04/28/21 (d)     7,205,018  
     

 

 

 
          Puerto Rico — 0.1%  
          Asset-Backed Securities — 0.0%  
    2,320,000     Commonwealth of Puerto Rico, Series A, 5.38%, due 07/01/33 (h)     1,728,400  
    1,040,000     Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/20 (h)     774,800  
    3,720,000     Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/41 (h)     2,069,250  
     

 

 

 
    Total Asset-Backed Securities     4,572,450  
     

 

 

 
          Municipal Obligations — 0.1%  
    1,120,000     Puerto Rico Commonwealth Aqueduct & Sewer Authority, Series A, 6.10%, due 07/01/34     929,600  
    1,500,000     Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.05%, due 07/01/28     1,305,000  
    524,834     Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class A, 6.00%, due 07/01/44     524,834  
    6,320,000     Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27     6,027,700  
    
Par Value†
    Description   Value ($)  
          Puerto Rico — continued  
          Municipal Obligations — continued  
    1,518,000     Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28     1,320,660  
     

 

 

 
    Total Municipal Obligations          10,107,794  
     

 

 

 
    Total Puerto Rico     14,680,244  
     

 

 

 
          Saint Lucia — 0.1%  
          Bank Loans — 0.1%  
    5,486,079     Digicel International Finance Limited, 2017 Term Loan B, 5.78%, due 05/28/24 (d)     4,910,041  
     

 

 

 
          United Kingdom — 0.0%  
          Corporate Debt — 0.0%  
    1,500,000     Ardonagh Midco 3 Plc, 144A, 8.63%, due 07/15/23     1,372,500  
     

 

 

 
    Total Corporate Debt     1,372,500  
     

 

 

 
          United States — 22.4%  
          Asset-Backed Securities — 1.0%  
    11,498,426     AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.64%, due 01/25/23     11,283,407  
    424,365     AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.43%, due 11/02/30     424,631  
    775,918     AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.53%, due 07/24/29     776,683  
    993,282     AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.53%, due 07/25/29     993,263  
    174,213     Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.50%, due 07/15/30     174,297  
    454,145     Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/13/30     454,137  
    1,637,900     Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 04/15/31     1,636,324  
    745,000     Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     744,988  
    596,000     Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 05/15/30     595,994  
    797,806     Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.13%, due 11/17/27     797,799  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    695,368     Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.34%, due 07/26/31     695,357  
    532,163     Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.72%, due 01/18/25     532,698  
    1,029,489     Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.68%, due 04/25/26     1,029,641  
    2,012,232     Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.74%, due 07/20/25     2,012,360  
    715,200     Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 04/15/30     715,188  
    2,232,951     Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.43%, due 10/25/37     2,221,708  
    1,266,485     Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 3.28%, due 04/25/36     1,265,817  
    183,891     Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.44%, due 07/20/29     183,923  
    106,429     Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.58%, due 04/24/29     106,474  
    894,000     BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.14%, due 04/20/30     893,986  
    596,000     BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     595,990  
    625,420     Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 01/17/28     625,409  
    1,155,176     Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.30%, due 07/15/31     1,155,155  
    678,984     Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/22/30     678,886  
    848,730     CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/18/30     848,671  
    238,400     CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.39%, due 07/20/30     238,430  
    1,089,948     CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.33%, due 10/24/30     1,090,079  
    6,755,945     Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35     270,238  
    
Par Value†
    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    1,257,187     Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     1,257,167  
    613,720     CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.75%, due 01/16/26     613,816  
    833,870     Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 11/15/28     833,862  
    282,910     Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/15/29     282,905  
    325,346     Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/15/30     325,716  
    1,151,472     Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 05/16/31     1,151,372  
    388,327     GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.81%, due 05/25/26     387,025  
    1,444,330     Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 11/28/30     1,444,174  
    781,725     Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 01/18/31     781,652  
    990,185     Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.23%, due 01/27/31     990,068  
    143,445     Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Variable Rate, 3 mo. LIBOR + 1.15%, 3.75%, due 04/15/25     143,491  
    215,023     Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.75%, due 04/15/25     215,091  
    764,370     Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.22%, due 02/05/31     764,359  
    141,455     Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.40%, due 07/18/29     141,471  
    282,910     Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.24%, due 10/20/29     282,943  
    1,180,080     ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.15%, due 01/15/31     1,180,061  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    565,820     Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.49%, due 07/17/29     566,042  
    516,284     KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.84%, due 05/25/29     514,175  
    2,014,650     KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.89%, due 07/25/29     1,994,207  
    81,807     KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.92%, due 09/27/35     81,795  
    1,061,625     Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.46%, due 04/20/31     1,061,607  
    223,350     KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.74%, due 07/15/30     223,415  
    1,244,699     LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/20/31     1,244,679  
    844,263     LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.54%, due 07/20/30     845,003  
    568,108     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.68%, due 02/25/30     561,759  
    1,389,334     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.86%, due 04/25/31     1,382,186  
    3,187,702     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.70%, due 06/25/37     3,148,329  
    1,430,400     Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 04/19/30     1,430,337  
    1,293,833     Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.58%, due 07/25/26     1,294,006  
    5,531,517     Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.49%, due 05/20/30     5,544,892  
    1,188,222     Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 01/16/31     1,184,572  
    926,754     Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.35%, due 10/12/30     922,773  
    
Par Value†
    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    3,840,513     National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.66%, due 03/26/29     3,814,167  
    91,815     Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26     92,201  
    312,710     Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.25%, due 10/15/29     312,689  
    253,486     Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.59%, due 04/22/29     253,591  
    445,397     Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39     445,256  
    354,010     Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.56%, due 07/19/30     354,022  
    1,069,549     Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.18%, due 01/25/31     1,069,532  
    242,494     OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.45%, due 08/16/29     242,582  
    446,700     OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.19%, due 01/21/30     446,658  
    622,402     OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.24%, due 10/22/30     622,358  
    180,169     OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.33%, due 10/30/30     180,181  
    707,275     Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 07/15/30     707,263  
    910,520     Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.69%, due 05/15/26     911,464  
    141,455     Telos CLO Ltd., Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.59%, due 07/17/19     141,507  
    1,748,267     Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.34%, due 04/17/28     1,748,235  
    1,584,296     Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.34%, due 01/17/30     1,584,267  
    141,550     THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.49%, due 07/20/30     141,623  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    763,857     THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.12%, due 11/20/30     763,852  
    1,932,743     TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.22%, due 04/26/28     1,932,743  
    857,479     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47     852,412  
    2,441,211     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.68%, due 05/25/47     2,447,952  
    424,365     Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.39%, due 07/20/30     424,345  
    1,273,095     Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.20%, due 10/15/30     1,273,073  
    566,200     Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.23%, due 04/18/31     566,190  
     

 

 

 
    Total Asset-Backed Securities          87,164,646  
     

 

 

 
          Bank Loans — 1.1%  
    14,417,500     21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%,
8.74%, due 01/16/23 (d)
    12,471,137  
    6,300,000     California Resources Corporation, Second Out Term Loan, 12.80%, due 12/31/21 (d)     6,331,500  
    4,000,000     California Resources Corporation, 2017 1st Lien Term Loan, 7.18%, due 12/31/22 (d)     3,800,000  
    17,660,204     Communications Sales & Leasing, Inc., 2017 Term Loan B, 7.44%, due 10/24/22 (d)     17,108,323  
    1,400,000     Cumulus Media New Holdings Inc., Exit Term Loan, 6.94%, due 05/15/22 (d)     1,386,000  
    5,309,837     Foresight Energy, LLC, 2017 1st Lien Term Loan, 8.27%, due 03/28/22 (d)     4,685,931  
    5,486,041     Frontier Communications Corp., 2017 Term Loan B1, 6.19%, due 06/15/24 (d)     5,383,177  
    5,928,282     J.C. Penney Corporation, Inc., 2016 Term Loan B, 6.77%, due 06/23/23 (d)     4,979,757  
    4,189,119     Longview Power LLC, Term Loan B, 8.59%, due 04/13/21 (d)     3,644,534  
    5,489,148     Murray Energy Corporation, 2018 Term Loan B2, 9.77%, due 10/17/22 (d)     4,308,981  
    15,416,069     Quorum Health Corp., Term Loan B, 9.19%, due 04/29/22 (d)     15,300,448  
    6,000,000     Transform SR Holdings LLC, Term Loan, 9.68%, due 02/12/24 (d)     6,030,000  
    2,340,832     Tronox Finance LLC, Term Loan B, 5.44%, due 09/23/24 (d)     2,305,720  
    6,209,477     Westmoreland Coal Company, Term Loan, 20.50%, due 03/15/29 (d)     5,215,961  
     

 

 

 
    Total Bank Loans     92,951,469  
     

 

 

 
    
Par Value†
    Description   Value ($)  
          United States — continued  
    Corporate Debt — 0.6%

 

    875,000     CHS/Community Health Systems, Inc., 8.00%, due 11/15/19     866,250  
    500,000     CHS/Community Health Systems, Inc., 5.13%, due 08/01/21     488,750  
    508,000     CHS/Community Health Systems, Inc., 6.88%, due 02/01/22     337,820  
    3,715,000     CHS/Community Health Systems, Inc., 144A, 8.13%, due 06/30/24     2,749,100  
    634,000     Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21     559,505  
    1,250,000     Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 01/15/22     1,093,750  
    3,438,000     Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23 (i)     2,965,275  
    300,000     Frontier Communications Corp., 9.25%, due 07/01/21     246,000  
    5,198,000     Frontier Communications Corp., 6.25%, due 09/15/21     3,911,495  
    3,883,000     Frontier Communications Corp., 8.75%, due 04/15/22     2,688,977  
    991,000     Frontier Communications Corp., 7.13%, due 01/15/23     604,510  
    5,164,000     Frontier Communications Corp., 6.88%, due 01/15/25     2,930,570  
    8,500,000     JC Penney Corporation, Inc., 144A, 5.88%, due 07/01/23     6,757,500  
    1,517,000     JC Penney Corporation, Inc., 144A, 8.63%, due 03/15/25     758,500  
    1,899,000     Momentive Performance Materials, Inc., 4.69%, due 04/24/22     2,231,325  
    12,461,000     Murray Energy Corp., 144A, 11.25%, due 04/15/21     5,794,365  
    1,270,000     NGL Energy Partners LP/NGL Energy Finance Corp., 144A, 7.50%, due 04/15/26     1,289,050  
    1,400,000     Pacific Gas & Electric Co., 3.95%, due 12/01/47 (h)     1,183,000  
    4,330,000     Sprint Corp., 7.88%, due 09/15/23     4,651,156  
    1,600,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp., 144A, 6.88%, due 01/15/29     1,705,504  
    6,000,000     Tenet Healthcare Corp., 5.13%, due 05/01/25     5,955,000  
    4,800,000     United States Steel Corp., 6.25%, due 03/15/26     3,946,320  
     

 

 

 
    Total Corporate Debt          53,713,722  
     

 

 

 
          U.S. Government — 18.1%  
    106,735,128     U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (j)     107,790,948  
    75,237,974     U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (j)     74,900,996  
    224,850,131     U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (j)     228,928,245  
    238,746,513     U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (j)     238,952,468  
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Par Value†
    Description   Value ($)  
          United States — continued  
          U.S. Government — continued  
    140,936,069     U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (j)     142,344,439  
    196,918,525     U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (j)     219,599,614  
    24,046,100     U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (j)     24,900,999  
    19,763,609     U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (j)     20,661,958  
    155,882,385     U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (j)     186,608,122  
    5,000,000     U.S. Treasury Note, 1.38%, due 01/31/20     4,968,750  
    5,000,000     U.S. Treasury Note, 1.38%, due 04/30/20     4,958,984  
    83,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.36%, due 04/30/20 (c)     82,995,905  
    43,750,000     U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.37%, due 07/31/20 (c)     43,739,754  
    104,200,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.37%, due 10/31/20 (c)     104,139,852  
    50,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.44%, due 01/31/21 (c)     50,003,288  
     

 

 

 
    Total U.S. Government     1,535,494,322  
     

 

 

 
          U.S. Government Agency — 1.6%  
    48,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 2.47%, due 12/26/19     47,993,401  
    8,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 2.34%, due 02/10/20     7,993,858  
    5,000,000     Federal Home Loan Banks, Variable Rate, SOFR + 3.50, 2.44%, due 02/21/20     4,998,703  
    8,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 2.45%, due 04/20/20     7,997,438  
    64,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 2.32%, due 05/22/20     63,931,086  
     

 

 

 
    Total U.S. Government Agency     132,914,486  
     

 

 

 
    Total United States     1,902,238,645  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $1,926,686,299)
    1,939,834,559  
     

 

 

 
    
Par Value†
    Description   Value ($)  
  SHORT-TERM INVESTMENTS — 4.6%

 

      Foreign Government Obligations — 2.0%  

JPY

    2,365,000,000     Japan Treasury Discount Bill, Zero Coupon, due 06/03/19     21,824,390  

JPY

    3,400,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/01/19     31,379,019  

JPY

    6,900,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/16/19     63,684,981  

JPY

    890,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/22/19     8,214,647  

JPY

    1,100,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/29/19     10,153,235  

JPY

    1,700,000,000     Japan Treasury Discount Bill, Zero Coupon, due 08/19/19     15,692,754  

JPY

    2,365,000,000     Japan Treasury Discount Bill, Zero Coupon, due 08/26/19     21,832,035  
     

 

 

 
  Total Foreign Government Obligations    
   172,781,061
 
 
     

 

 

 
          Money Market Funds — 0.2%  
    16,112,439     State Street Institutional Treasury Money Market Fund-Premier Class, 2.30% (k) (l)     16,112,439  
     

 

 

 
          Repurchase Agreements — 1.3%  
    110,103,000     Daiwa Capital Markets America Inc. Repurchase Agreement, dated 5/31/19, maturing on 6/03/19 with a maturity value of $110,125,663 and an effective yield of 2.75%, collateralized by a U.S. Treasury Note with maturity date 11/30/25 and a market value of $112,667,702.     110,103,000  
     

 

 

 
          U.S. Government — 1.1%  
    50,550,000     U.S. Treasury Bill, 2.32%, due 10/03/19 (m) (l)     50,152,536  
    11,000,000     U.S. Treasury Note, 1.25%, due 02/29/20     10,911,914  
    28,000,000     U.S. Treasury Note, 1.13%, due 04/30/20     27,713,437  
     

 

 

 
    Total U.S. Government     88,777,887  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $383,879,973)
    387,774,387  
     

 

 

 
 

 

PURCHASED OPTIONS — 0.0%

 

Description   Exercise
Price
    Expiration
Date
    Number of
Contracts
  Notional
Amount
  Value ($)  

Index Options – Puts — 0.0%

 

         

S&P 500 E-Mini

    2,700.00       07/19/19     50     USD     13,760,300      239,000  
           

 

 

 
   
TOTAL PURCHASED OPTIONS
(COST $327,667)
    239,000  
           

 

 

 
   
TOTAL INVESTMENTS — 101.0%
(Cost $8,867,567,149)
    8,581,813,457  
           

 

 

 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    SECURITIES SOLD SHORT — (4.5)%

 

          Common Stocks — (4.2)%  
          Austria — (0.0)%  
    (13,224   IMMOFINANZ AG *     (336,134
    (3,309   Schoeller-Bleckmann Oilfield Equipment AG     (260,682
     

 

 

 
    Total Austria     (596,816
     

 

 

 
          Belgium — (0.0)%      
    (3,578   Euronav NV     (30,323
     

 

 

 
          Brazil — (0.2)%  
    (520,000   Pagseguro Digital Ltd. – Class A *     (16,650,400
    (7,300   StoneCo Ltd. – Class A *     (183,960
     

 

 

 
    Total Brazil     (16,834,360
     

 

 

 
          Canada — (0.1)%      
    (109,300   Agnico Eagle Mines Ltd     (4,764,387
    (64,850   Algonquin Power & Utilities Corp     (755,503
    (289,400   AltaGas Ltd     (4,177,415
    (20,100   Restaurant Brands International Inc     (1,322,580
     

 

 

 
    Total Canada     (11,019,885
     

 

 

 
          China — (0.7)%      
    (357,629   Alibaba Group Holding Ltd Sponsored ADR *     (53,379,705
     

 

 

 
          Denmark — (0.1)%      
    (50,217   Ambu A/S – Class B     (776,642
    (843   AP Moller - Maersk A/S – Class A     (856,400
    (479   AP Moller - Maersk A/S – Class B     (511,515
    (10,837   Demant A/S *     (361,922
    (7,051   Dfds A/S     (268,236
    (1,002   Drilling Co of 1972 A/S (The) *     (64,005
    (9,707   DSV A/S     (866,227
    (7,586   FLSmidth & Co A/S     (298,047
    (25,606   ISS A/S     (721,240
    (15,715   Jyske Bank A/S (Registered)     (594,251
    (3,431   Orsted A/S     (273,105
    (4,756   Pandora A/S     (176,359
    (2,549   Ringkjoebing Landbobank A/S     (167,781
    (2,505   Rockwool International A/S – B Shares     (637,246
    (6,638   Sydbank A/S     (124,452
    (16,094   Tryg A/S     (503,029
     

 

 

 
    Total Denmark     (7,200,457
     

 

 

 
          France — (0.1)%      
    (87,779   CGG SA *     (130,413
    (25,556   Iliad SA     (2,949,418
    (4,857   Wendel SA     (618,174
     

 

 

 
    Total France     (3,698,005
     

 

 

 
    
Shares
    Description   Value ($)  
          Germany — (0.1)%      
    (977,090   Deutsche Bank AG (Registered)     (6,626,195
    (36,400   QIAGEN NV *     (1,386,112
     

 

 

 
    Total Germany     (8,012,307
     

 

 

 
          Israel — (0.0)%      
    (63,100   Tower Semiconductor Ltd *     (940,190
     

 

 

 
          Italy — (0.1)%  
    (70,963   Cerved Group SPA     (622,312
    (1,756,093   Saipem SPA *     (7,476,399
     

 

 

 
    Total Italy     (8,098,711
     

 

 

 
          Japan — (0.3)%      
    (99,000   Acom Co Ltd     (329,873
    (11,400   CyberAgent Inc     (435,870
    (1,022   Daiwa House REIT Investment Corp     (2,415,753
    (200   FP Corp     (11,651
    (1,479   Invincible Investment Corp (REIT)     (787,082
    (137,500   Japan Lifeline Co Ltd     (2,180,280
    (76,600   JGC Corp     (1,015,561
    (2,500   JINS Inc     (148,576
    (53,400   Kansai Paint Co Ltd     (1,005,406
    (49,700   Keikyu Corp     (838,534
    (7,300   Kyushu Electric Power Co Inc     (72,038
    (83   Mitsui Fudosan Logistics Park Inc (REIT)     (263,860
    (186,200   Mitsui OSK Lines Ltd     (3,937,296
    (6,400   Nifco Inc     (159,780
    (17,000   Nihon M&A Center Inc     (419,156
    (3,400   Nippon Gas Co Ltd     (80,233
    (45,900   Nippon Paint Holdings Co Ltd     (1,802,803
    (138,400   Nippon Yusen KK     (2,080,208
    (631,300   Orient Corp     (648,207
    (6,000   Park24 Co Ltd     (112,511
    (21,600   Round One Corp     (319,418
    (9,400   Saizeriya Co Ltd     (209,438
    (4,000   Shima Seiki Manufacturing Ltd     (109,215
    (300   Shochiku Co Ltd     (34,981
    (4,700   Tsuruha Holdings Inc     (375,164
    (14,400   Universal Entertainment Corp     (418,991
    (19,700   Welcia Holdings Co Ltd     (689,046
    (53,100   ZOZO Inc     (907,680
     

 

 

 
    Total Japan     (21,808,611
     

 

 

 
          Netherlands — (0.0)%      
    (38,900   InterXion Holding NV *     (2,867,319
     

 

 

 
          Peru — (0.0)%  
    (56,600   Southern Copper Corp.     (1,909,118
     

 

 

 
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
          Singapore — (0.0)%  
    (241,500   Singapore Post Ltd     (162,690
    (9,200   UOL Group Ltd     (45,317
     

 

 

 
    Total Singapore     (208,007
     

 

 

 
          Spain — (0.0)%      
    (377   Bolsas y Mercados Espanoles SHMSF SA     (9,884
    (7,096   Cellnex Telecom SA *     (248,660
    (1,322   Inmobiliaria Colonial Socimi SA (REIT)     (14,633
    (40,475   Masmovil Ibercom SA *     (900,596
     

 

 

 
    Total Spain     (1,173,773
     

 

 

 
          Sweden — (0.0)%      
    (22,200   Spotify Technology SA *     (2,787,876
     

 

 

 
          Switzerland — (0.0)%  
    (118,800   Credit Suisse Group AG (Registered) *     (1,344,210
     

 

 

 
          United Kingdom — (0.1)%  
    (1,414,477   Cobham Plc *     (1,781,031
    (47,930   Dechra Pharmaceuticals Plc     (1,649,926
    (109,172   G4S Plc     (288,400
    (131,740   GVC Holdings Plc     (995,509
    (167,929   Just Eat Plc *     (1,275,119
    (1,238,090   Melrose Industries Plc     (2,556,734
    (593   Rhi Magnesita NV     (35,865
    (261,318   TP ICAP Plc     (905,728
     

 

 

 
    Total United Kingdom     (9,488,312
     

 

 

 
          United States — (2.4)%      
    (864,154   BB&T Corp.     (40,399,200
    (243,312   Bristol-Myers Squibb Co.     (11,039,065
    (211,433   Centene Corp. * (e)     (12,210,256
    (238,057   Chemical Financial Corp.     (9,012,838
    (1   CIGNA Corp. *     (148
    (1   CVS Health Corp.     (52
    (221,513   Discovery, Inc. – Class A *     (6,038,444
    (25,360   Expedia Group, Inc.     (2,916,400

Shares /

Par Value†

    Description   Value ($)  
          United States — continued      
    (330,451   Fidelity National Information Services, Inc.     (39,753,255
    (310,510   Fiserv, Inc. *     (26,660,389
    (211,822   Harris Corp.     (39,650,960
    (101,360   II-VI, Inc. *     (3,185,745
    (103   KLA-Tencor Corp.     (10,616
    (58,000   NGL Energy Partners LP     (860,720
    (68,123   Occidental Petroleum Corp.     (3,390,481
    (80,778   Seritage Growth Properties (REIT)     (3,378,136
    (871,967   Sirius XM Holdings, Inc.     (4,630,144
     

 

 

 
    Total United States     (203,136,849
     

 

 

 
    TOTAL COMMON STOCKS
(PROCEEDS $366,222,430)
    (354,534,834 )  
     

 

 

 
          DEBT OBLIGATIONS — (0.3)%  
          Corporate Debt — (0.3)%  
    (4,800,000   AK Steel Corp., 6.38%, due 10/15/25     (3,696,000
    (4,200,000   Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.63%, due 01/15/22     (3,916,500
    (4,633,900   Sprint Capital Corp., 6.88%, due 11/15/28     (4,847,058
    (6,000,000   Tenet Healthcare Corp., 6.75%, due 06/15/23     (6,022,019
    (2,400,000   Tronox, Inc., 144A, 6.50%, due 04/15/26     (2,271,000
    (4,200,000   U.S. Concrete, Inc., 6.38%, due 06/01/24     (4,315,500
     

 

 

 
  Total Corporate Debt     (25,068,077
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(PROCEEDS $24,388,819)
    (25,068,077 )  
     

 

 

 
    TOTAL SECURITIES SOLD SHORT (PROCEEDS $390,611,249)     (379,602,911 )  
    Other Assets and Liabilities (net) — 3.5%     298,410,763  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $8,500,621,309  
     

 

 

 
 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unreal-
ized
Apprecia-
tion
(Deprecia-
tion)
($)
 
06/17/2019   BOA     AUD       28,227,537       USD       19,699,716       110,014  
08/06/2019   BCLY     AUD       2,489,000       USD       1,724,243       (5,588
08/06/2019   BOA     AUD       8,323,000       USD       5,765,765       (18,638
08/06/2019   GS     AUD       99,375,050       USD       69,794,656       729,975  
08/06/2019   JPM     AUD       6,190,000       USD       4,340,799       38,810  
06/04/2019   JPM     BRL       2,169,854       USD       550,626       (2,350
06/04/2019   MSCI     BRL       55,637,116       USD       14,057,057       (121,798
06/04/2019   MSCI     BRL       6,787,674       USD       1,710,000       (19,806
07/02/2019   MSCI     BRL       30,127,468       USD       7,459,048       (199,462
06/17/2019   BCLY     CHF       75,735,558       USD       75,552,721       (182,459
09/04/2019   JPM     CHF       45,467,281       USD       45,580,000       (221,633
07/17/2019   MSCI     CLP       6,079,388,500       USD       9,130,079       567,280  
07/16/2019   BOA     COP       26,917,862,500       USD       8,624,065       675,036  
06/13/2019   BOA     CZK       116,970,980       USD       5,140,904       82,695  
08/20/2019   BCLY     EUR       123,786,091       USD       139,568,533       394,805  
08/23/2019   MSCI     EUR       10,790,000       USD       12,107,567       (26,655
06/17/2019   GS     GBP       4,411,300       USD       5,757,114       176,426  
08/20/2019   BCLY     GBP       72,573,950       USD       93,321,754       1,221,848  
06/13/2019   BOA     HUF       2,138,285,353       USD       7,670,979       316,379  
06/10/2019   BOA     IDR       20,035,392,000       USD       1,389,706       (14,070
06/10/2019   JPM     IDR       48,075,248,400       USD       3,334,622       (33,761
06/10/2019   MSCI     IDR       68,110,640,400       USD       4,744,888       (27,271
08/29/2019   BCLY     ILS       2,255,443       USD       628,965       3,209  
06/03/2019   BOA     JPY       2,365,000,000       USD       21,530,887       (293,503
06/07/2019   BOA     JPY       496,286,415       USD       4,530,000       (50,801
06/07/2019   GS     JPY       824,305,065       USD       7,580,000       (28,464
07/01/2019   JPM     JPY       3,400,000,000       USD       31,077,841       (366,403
07/16/2019   JPM     JPY       6,900,000,000       USD       62,222,950       (1,664,849
07/19/2019   MSCI     JPY       12,784,121,213       USD       114,983,731       (3,412,668
07/22/2019   JPM     JPY       890,000,000       USD       8,009,524       (234,826
07/29/2019   JPM     JPY       1,100,000,000       USD       9,902,915       (292,144
08/19/2019   BOA     JPY       1,700,000,000       USD       15,628,562       (152,166
08/26/2019   CITI     JPY       2,365,000,000       USD       21,710,543       (254,629
06/10/2019   BCLY     KRW       3,048,894,000       USD       2,620,000       56,372  
06/10/2019   BOA     KRW       7,003,027,705       USD       6,012,473       124,055  
09/10/2019   BCLY     KRW       10,051,921,705       USD       8,474,767       (9,897
06/17/2019   BCLY     NOK       139,820,284       USD       16,064,768       80,292  
07/08/2019   BCLY     NOK       33,078,780       USD       3,780,000       (4,489
06/05/2019   MSCI     NZD       43,611,250       USD       29,734,618       1,204,147  
09/05/2019   GS     NZD       4,451,250       USD       2,902,839       (15,177
07/16/2019   BOA     PEN       4,808,200       USD       1,450,000       31,391  
06/07/2019   MSCI     PHP       105,673,660       USD       2,034,925       9,245  
09/09/2019   JPM     PHP       105,673,660       USD       2,010,534       (242
06/13/2019   BCLY     PLN       19,408,960       USD       5,088,726       23,475  
07/30/2019   BCLY     RON       27,768,294       USD       6,519,680       (5,713
06/17/2019   GS     SEK       204,636,438       USD       21,306,395       (286,492
08/06/2019   BCLY     SEK       166,380,545       USD       17,510,000       (112,016
06/17/2019   JPM     SGD       4,899,280       USD       3,581,411       14,336  
06/11/2019   BCLY     TWD       207,137,910       USD       6,729,845       163,419  
09/11/2019   BCLY     TWD       207,137,910       USD       6,556,865       (18,043
06/04/2019   BOA     USD       1,620,000       CAD       2,169,449       (14,866
06/04/2019   GS     USD       2,350,000       CAD       3,135,839       (29,852
06/04/2019   JPM     USD       539,823       BRL       2,169,854       13,154  
06/04/2019   MSCI     USD       15,672,560       BRL       62,424,790       236,101  
06/04/2019   MSCI     USD       25,484,323       CAD       33,735,659       (523,948
06/05/2019   GS     USD       9,273,613       NZD       13,981,250       (127,082

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unreal-
ized
Apprecia-
tion
(Deprecia-
tion)
($)
 
06/05/2019   MSCI     USD       19,282,019       NZD       29,630,000       101,921  
06/07/2019   BOA     USD       7,140,000       JPY       789,011,216       142,697  
06/07/2019   GS     USD       7,743,107       JPY       860,433,448       198,828  
06/07/2019   JPM     USD       2,025,564       PHP       105,673,660       117  
06/10/2019   BCLY     USD       8,448,413       KRW       10,051,921,705       3,633  
06/10/2019   BOA     USD       1,380,000       IDR       20,035,392,000       23,776  
06/10/2019   JPM     USD       3,361,905       IDR       48,075,248,400       6,478  
06/10/2019   MSCI     USD       4,724,328       IDR       68,110,640,400       47,831  
06/11/2019   BCLY     USD       6,550,851       TWD       207,137,910       15,575  
06/13/2019   BCLY     USD       2,100,000       PLN       8,012,025       (9,063
06/13/2019   BCLY     USD       6,595,635       THB       208,784,832       2,873  
06/13/2019   BOA     USD       850,000       CZK       19,236,766       (18,139
06/13/2019   BOA     USD       1,210,000       HUF       334,634,575       (59,030
06/13/2019   MSCI     USD       1,170,000       PLN       4,474,643       (2,231
06/14/2019   JPM     USD       4,944,505       INR       345,695,090       20,171  
06/17/2019   BCLY     USD       8,518,691       GBP       6,770,000       45,964  
06/17/2019   BOA     USD       8,794,932       GBP       6,930,000       (27,863
06/20/2019   BCLY     USD       8,234,040       TRY       50,835,317       405,060  
07/08/2019   BCLY     USD       49,887,666       NOK       427,168,125       (1,016,065
07/16/2019   BOA     USD       1,167,336       PEN       3,861,780       (27,958
07/19/2019   GS     USD       10,095,148       JPY       1,095,721,300       52,554  
07/26/2019   BOA     USD       8,555,204       RUB       562,042,684       (27,385
07/30/2019   BCLY     USD       2,040,000       ZAR       29,657,724       (17,824
08/06/2019   BCLY     USD       65,502,769       SEK       620,363,622       202,376  
08/06/2019   BOA     USD       6,410,316       AUD       9,200,000       (16,406
08/20/2019   BOA     USD       475,000       EUR       422,031       (507
08/21/2019   BOA     USD       7,932,642       MXN       154,484,237       (152,732
08/23/2019   BOA     USD       10,637,288       EUR       9,460,000       1,243  
08/28/2019   MSCI     USD       3,128,579       IDR       45,686,644,400       22,484  
09/04/2019   BOA     USD       21,520,000       CAD       29,104,078       58,935  
09/04/2019   JPM     USD       45,980,000       NOK       402,656,056       168,686  
07/30/2019   BCLY     ZAR       50,776,522       USD       3,500,260       38,125  
           

 

 

 
  $ (2,315,173
           

 

 

 

Futures Contracts

 

Number
of
Contracts +

 

Type

  Expiration
Date
    Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys      
762   Mini MSCI Emerging Markets     June 2019     $ 38,107,620     $ (1,353,020
     

 

 

   

 

 

 
Sales      
7,877   S&P 500 E-Mini     June 2019     $ 1,084,111,510     $ 6,827,147  
     

 

 

   

 

 

 
+

Buys - Fund is long the futures contract.

  

Sales - Fund is short the futures contract.

 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Reverse Repurchase Agreements(n)

 

      

Description

   Value ($)  
USD     2,922,149      Barclays Bank plc, (2.50)%, dated 03/04/19 (collateral: Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23), to be repurchased on demand at face value plus accrued interest.      (2,922,149
       

 

 

 

 

Average balance outstanding   $ (6,706,521

Average interest rate (net)

    (0.30 )% 
Maximum balance outstanding   $ (29,762,783

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.

Written Options

Equity Options

 

Description

   Exercise
Price
    

Expiration
Date

   Number of
Contracts
    Notional
Amount
    Value
($)
 

Equity Options – Calls

               

Nielsen Holdings Plc (e)

     25.00      08/16/19      (2,178     USD        (4,950,594     (228,690

Viacom, Inc. (e)

     27.50      09/20/19      (2,500     USD        (7,257,500     (700,000

Liberty Global Plc (e)

     25.00      10/18/19      (6,150     USD        (14,907,600     (1,137,750

Centene Corp. (e)

     50.00      12/20/19      (2,500     USD        (14,437,500     (3,025,000

Viacom, Inc. (e)

     30.00      12/20/19      (2,500     USD        (7,257,500     (525,000

Centene Corp. (e)

     55.00      12/20/19      (2,000     USD        (11,550,000     (1,760,000
               

 

 

 
     Total Written Equity Options – Calls     $ (7,376,440
               

 

 

 

Equity Options – Puts

               

Nielsen Holdings Plc (e)

     24.00      06/21/19      (3,250     USD        (7,387,250     (747,500

Liberty Global Plc (e)

     22.50      10/18/19      (4,100     USD        (9,938,400     (574,000

Liberty Global Plc (e)

     25.00      10/18/19      (2,050     USD        (4,969,200     (522,750

Viacom, Inc. (e)

     27.50      12/20/19      (2,500     USD        (7,257,500     (525,000
               

 

 

 
     Total Written Equity Options – Puts     $ (2,369,250
               

 

 

 
    
TOTAL WRITTEN OPTIONS
(Premiums $7,662,544)

 
  $ (9,745,690
               

 

 

 

Swap Contracts

OTC Credit Default Swaps

 

Reference Entity

 

Counterparty

 

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^:

                 

Chesapeake Energy Corp.

  CITI   USD     1,528,000       5.00%       5.82%       N/A       12/20/2021       Quarterly       45,840       30,170       (15,670

Sell Protection^:

                 

J.C. Penney Corporation, Inc.

  MORD   USD     625,000       5.00%       38.50%       625,000 USD       06/20/2020       Quarterly       (118,750     (176,250     (57,500

J.C. Penney Corporation, Inc.

  GS   USD     1,017,000       5.00%       38.50%       1,017,000 USD       06/20/2020       Quarterly       (177,975     (286,875     (108,900

J.C. Penney Corporation, Inc.

  GS   USD     625,000       5.00%       38.50%       625,000 USD       06/20/2020       Quarterly       (131,250     (176,255     (45,005
                 

 

 

   

 

 

   

 

 

 
  $ (382,135   $ (609,210   $ (227,075
                 

 

 

   

 

 

   

 

 

 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

 

^

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 May 31, 2019, 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 Month NZD Bank Bill Rate

   2.07%   NZD      122,521,000        06/19/2024      Quarterly             1,974,816        1,974,816  

2.12%

   3 Month CAD LIBOR   CAD      12,961,000        06/18/2029      Semi-Annually             (164,856      (164,856

3 Month CAD LIBOR

   2.25%   CAD      100,261,000        06/18/2029      Semi-Annually      (16,415      2,171,817        2,188,232  

3 Month CAD LIBOR

   2.05%   CAD      106,245,000        06/18/2029      Semi-Annually             863,596        863,596  

3 Month CAD LIBOR

   2.16%   CAD      22,230,000        06/18/2029      Semi-Annually             349,776        349,776  

3 Month CAD LIBOR

   2.17%   CAD      20,927,000        06/18/2029      Semi-Annually             336,444        336,444  

3 Month CAD LIBOR

   2.26%   CAD      27,546,000        06/18/2029      Semi-Annually             610,848        610,848  

3 Month SEK STIBOR

   0.78%   SEK      219,603,000        06/19/2029      Quarterly      42,249        196,997        154,748  

3 Month SEK STIBOR

   0.78%   SEK      150,786,000        06/19/2029      Quarterly             136,816        136,816  

2.21%

   3 Month USD LIBOR   USD      9,038,000        06/20/2029      Quarterly             (93,897      (93,897

2.28%

   3 Month USD LIBOR   USD      16,322,000        06/20/2029      Quarterly             (274,438      (274,438

2.31%

   3 Month USD LIBOR   USD      15,866,000        06/20/2029      Quarterly             (308,702      (308,702

2.34%

   3 Month USD LIBOR   USD      22,850,000        06/20/2029      Quarterly             (501,853      (501,853

2.42%

   3 Month USD LIBOR   USD      17,982,000        06/20/2029      Quarterly             (534,230      (534,230

2.45%

   3 Month USD LIBOR   USD      21,338,000        06/20/2029      Quarterly             (689,354      (689,354

3 Month USD LIBOR

   2.52%   USD      16,727,000        06/20/2029      Quarterly             642,522        642,522  

3 Month USD LIBOR

   2.51%   USD      12,045,000        06/20/2029      Quarterly             458,834        458,834  

3 Month USD LIBOR

   2.52%   USD      18,822,000        06/20/2029      Quarterly             729,857        729,857  

3 Month USD LIBOR

   2.37%   USD      18,416,000        06/20/2029      Quarterly             463,209        463,209  

3 Month USD LIBOR

   2.55%   USD      161,690,000        06/20/2029      Quarterly      (141,380      6,697,138        6,838,518  

3 Month CAD LIBOR

   2.12%   CAD      62,390,000        09/17/2029      Semi-Annually      (4,603      762,438        767,041  

3 Month NZD Bank Bill Rate

   1.99%   NZD      104,523,000        09/18/2029      Quarterly             270,563        270,563  

3 Month NZD Bank Bill Rate

   1.98%   NZD      75,134,000        09/18/2029      Quarterly      (15,316      163,134        178,450  

0.07%

   6 Month CHF LIBOR   CHF      22,905,000        06/19/2029      Semi-Annually             (436,360      (436,360

0.10%

   6 Month CHF LIBOR   CHF      8,539,000        06/19/2029      Semi-Annually             (188,933      (188,933

1.91%

   6 Month AUD BBSW   AUD      23,729,000        06/19/2029      Semi-Annually      14,383        (274,503      (288,886

6 Month CHF LIBOR

   0.18%   CHF      33,793,000        06/19/2029      Semi-Annually      16,968        1,014,410        997,442  

6 Month CHF LIBOR

   (0.00)%   CHF      17,655,000        06/19/2029      Semi-Annually             199,716        199,716  

0.52%

   6 Month EURIBOR   EUR      9,710,000        06/20/2029      Semi-Annually             (188,079      (188,079

0.56%

   6 Month EURIBOR   EUR      6,386,000        06/20/2029      Semi-Annually             (153,436      (153,436

0.57%

   6 Month EURIBOR   EUR      12,459,000        06/20/2029      Semi-Annually             (314,732      (314,732

0.60%

   6 Month EURIBOR   EUR      14,358,000        06/20/2029      Semi-Annually             (407,014      (407,014

0.61%

   6 Month EURIBOR   EUR      21,414,000        06/20/2029      Semi-Annually             (635,872      (635,872

0.63%

   6 Month EURIBOR   EUR      17,132,000        06/20/2029      Semi-Annually             (546,213      (546,213

1.23%

   6 Month GBP LIBOR   GBP      39,320,000        06/20/2029      Semi-Annually      8,743        (571,614      (580,357

1.25%

   6 Month GBP LIBOR   GBP      13,233,000        06/20/2029      Semi-Annually             (215,682      (215,682

6 Month EURIBOR

   0.54%   EUR      9,138,000        06/20/2029      Semi-Annually             199,561        199,561  

6 Month EURIBOR

   0.43%   EUR      15,729,000        06/20/2029      Semi-Annually             144,035        144,035  

1.78%

   6 Month AUD BBSW   AUD      175,864,000        09/18/2029      Semi-Annually             (280,113      (280,113

1.81%

   6 Month AUD BBSW   AUD      178,797,000        09/18/2029      Semi-Annually             (670,830      (670,830

1.83%

   6 Month AUD BBSW   AUD      22,731,000        09/18/2029      Semi-Annually             (109,973      (109,973

1.14%

   6 Month GBP LIBOR   GBP      13,323,000        09/19/2029      Semi-Annually             (17,013      (17,013

1.21%

   6 Month GBP LIBOR   GBP      15,041,000        09/19/2029      Semi-Annually             (145,906      (145,906
                

 

 

    

 

 

    

 

 

 
   $ (95,371    $ 10,662,924      $ 10,758,295  
                

 

 

    

 

 

    

 

 

 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

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 (o)

  1 Month Federal
Funds Rate
minus 0.40%
  MORD     USD       22,493,854       05/18/2020       Monthly             (480,163     (480,163

Total Return on Equity Basket (o)

  1 Month Federal
Funds Rate
minus 1.75%
  MORD     USD       10,054,076       05/18/2020       Monthly             (96,752     (96,752

Total Return on Equity Basket (o)

  1 Month Federal
Funds Rate
minus 0.75%
  MORD     USD       830,380       05/18/2020       Monthly             61,122       61,122  

Total Return on Equity Basket (o)

  1 Month Federal
Funds Rate
minus 0.90%
  MORD     USD       2,346,137       05/18/2020       Monthly             22,010       22,010  

Total Return on Equity Basket (o)

  1 Month Federal
Funds Rate
minus 1.00%
  MORD     USD       24,863,963       05/18/2020       Monthly             (45,230     (45,230

Total Return on Equity Basket (o)

  1 Month Federal
Funds Rate
minus 1.00%
  MORD     USD       4,321,025       05/18/2020       Monthly             (248,023     (248,023

Total Return on Equity Basket (o)

  1 Month Federal
Funds Rate
minus 0.40%
  MORD     USD       18,787,838       10/15/2021       Monthly             (19,928     (19,928
             

 

 

   

 

 

   

 

 

 
  $     $ (806,964   $ (806,964
             

 

 

   

 

 

   

 

 

 

As of May 31, 2019, 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:

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.

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

CDO - Collateralized Debt Obligation

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

CLO - Collateralized Loan Obligation

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OJSC - Open Joint-Stock Company

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

SDR - Swedish Depository Receipt

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

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

SOFR - Secured Overnight Financing Rate

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

*

Non-income producing security.

 

(a)

Securities are traded on separate exchanges for the same entity.

 

(b)

All or a portion of this security is out on loan.

 

(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.

 

(d)

Investment valued using significant unobservable inputs.

 

(e)

All or a portion of this investment is held in connection with one or more holdings within the Fund.

 


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

 

(f)

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.

 

(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 has been pledged to cover collateral requirements on reverse repurchase agreements.

 

(j)

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

 

(k)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(l)

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.

 

(m)

The rate shown represents yield-to-maturity.

 

(n)

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

 

(o)

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.

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

 

 

Currency Abbreviations:

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 
 


GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    MUTUAL FUNDS — 99.9%

 

    Affiliated Issuers — 99.9%

 

    1,752,099     GMO Emerging Markets Fund, Class VI     54,525,312  
    24,566,227     GMO International Equity Fund, Class IV     478,550,106  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $603,481,562)     533,075,418  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.1%  
          Money Market Funds — 0.1%  
    322,628     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (a)     322,628  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $322,628)     322,628  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $603,804,190)
    533,398,046  
    Other Assets and Liabilities (net) — (0.0%)     (158,447
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $533,239,599  
     

 

 

 

Notes to Schedule of Investments:

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%

 

    Affiliated Issuers — 100.0%

 

    9,762,567     GMO Emerging Markets Fund, Class VI     303,811,073  
    28,585,217     GMO International Equity Fund, Class IV     556,840,035  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $946,112,779)     860,651,108  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.0%  
          Money Market Funds — 0.0%  
    319,178     State Street Institutional Treasury Money Market Fund – Premier Class 2.30% (a)     319,178  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $319,178)     319,178  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $946,431,957)
    860,970,286  
    Other Assets and Liabilities (net) — (0.0%)     (54,748
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $860,915,538  
     

 

 

 

Notes to Schedule of Investments:

 

(a)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 


GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

         
Par Value†
    Description   Value ($)  
  DEBT OBLIGATIONS — 76.7%

 

      United States — 76.7%  
    U.S. Government — 56.7%

 

    72,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.32%, due 01/31/20 (a)     71,982,392  
    63,000,000     U.S. Treasury Note, 1.38%, due 02/29/20 (b)     62,552,109  
    51,000,000     U.S. Treasury Note, 1.38%, due 04/30/20 (b)     50,581,641  
    227,697,400     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.36%, due 04/30/20 (a)     227,686,165  
    18,500,000     U.S. Treasury Note, 1.50%, due 05/31/20 (b)     18,366,309  
    120,258,800     U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.37%, due 07/31/20 (a) (b)     120,230,636  
    94,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.44%, due 01/31/21 (b)     94,006,182  
     

 

 

 
    Total U.S. Government     645,405,434  
     

 

 

 
          U.S. Government Agency — 20.0%  
    15,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.44%, due 06/12/19     15,000,246  
    75,000,000     Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.09%, 2.36%, due 07/12/19     74,994,286  
    15,500,000     Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.07%, 2.37%, due 01/23/20     15,493,081  
    30,530,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.41%, due 02/07/20     30,519,489  
    20,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 2.43%, due 04/03/20     19,999,408  
    27,500,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.36%, due 04/13/20     27,468,247  
    44,410,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.34%, due 05/04/20     44,358,774  
     

 

 

 
    Total U.S. Government Agency     227,833,531  
     

 

 

 
    Total United States     873,238,965  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $873,236,729)     873,238,965  
     

 

 

 
     Par Value† /
Shares
    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 23.5%

 

          Foreign Government Obligations — 15.0%  

JPY

    1,911,000,000     Japan Treasury Discount Bill, Zero Coupon, due 06/10/19     17,635,155  

JPY

    3,065,000,000     Japan Treasury Discount Bill, Zero Coupon, due 06/17/19     28,285,279  

JPY

    2,820,000,000     Japan Treasury Discount Bill, Zero Coupon, due 06/24/19     26,025,159  

JPY

    1,000,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/08/19     9,229,396  

JPY

    6,900,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/16/19     63,684,981  

JPY

    1,205,000,000     Japan Treasury Discount Bill, Zero Coupon, due 07/29/19     11,122,408  

JPY

    1,646,000,000     Japan Treasury Discount Bill, Zero Coupon, due 08/19/19     15,194,278  
     

 

 

 
    Total Foreign Government Obligations     171,176,656  
     

 

 

 
          Money Market Funds — 1.0%  
    3,656,344     SSgA USD Liquidity Fund-Class S2 Shares (b)     3,656,344  
    7,347,744     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (c)     7,347,744  
     

 

 

 
    Total Money Market Funds     11,004,088  
     

 

 

 
          U.S. Government — 7.5%  
    31,500,000     U.S. Treasury Bill,
2.31%, due 10/17/19 (b) (d)
    31,226,151  
    30,000,000     U.S. Treasury Note,
1.38%, due 03/31/20 (b)
    29,775,000  
    25,000,000     U.S. Treasury Note, 1.13%, due 04/30/20     24,744,141  
     

 

 

 
    Total U.S. Government     85,745,292  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $263,135,630)
    267,926,036  
     

 

 

 
    TOTAL INVESTMENTS — 100.2%
(Cost $1,136,372,359)
    1,141,165,001  
    Other Assets and Liabilities (net) — (0.2%)     (2,450,457
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $1,138,714,544  
     

 

 

 
 


GMO SGM Major Markets Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

A summary of outstanding financial instruments at May 31, 2019 is as follows:

 

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
  Currency
Purchased
    Net
Unreal-
ized
Apprecia-
tion
(Deprecia-
tion)
($)
 
06/24/2019   NAB   AUD      26,620,104     USD        19,170,915       692,955  
07/22/2019   MSCI   AUD      97,198,031     USD        67,481,842       (41,115
06/04/2019   MSCI   CAD      17,612,407     USD        13,081,275       50,189  
06/04/2019   SSB   CAD        2,904,167     USD          2,159,870       11,131  
06/28/2019   BOA   CHF      36,282,135     USD        36,855,271       534,364  
06/28/2019   JPM   CHF      34,954,314     USD        34,916,084       (75,583
06/28/2019   MSCI   CHF      21,175,766     USD        21,057,870       (140,525
06/28/2019   SSB   CHF        6,881,521     USD          6,799,695       (89,180
06/28/2019   UBS   CHF        1,758,226     USD          1,734,089       (26,016
07/22/2019   BOA   CHF        3,290,153     USD          3,270,738       (30,369
07/22/2019   JPM   CHF      48,205,492     USD        48,000,334       (365,655
07/22/2019   MSCI   CHF        3,715,778     USD          3,692,993       (35,156
08/28/2019   JPM   CHF      38,732,940     USD        39,002,761       9,646  
08/28/2019   MSCI   CHF        1,340,752     USD          1,342,934       (6,825
06/24/2019   BCLY   EUR        5,520,167     USD          6,242,560       65,272  
06/24/2019   JPM   EUR        1,524,593     USD          1,724,220       18,140  
06/24/2019   MSCI   EUR        2,402,336     USD          2,714,123       25,812  
06/24/2019   SSB   EUR      47,316,094     USD        53,975,831       1,027,228  
06/24/2019   UBS   EUR    124,937,057     USD      142,061,436       2,251,872  
07/22/2019   BCLY   EUR      17,258,561     USD        19,449,440       91,185  
08/20/2019   SSB   EUR      20,000,000     USD        22,593,604       107,438  
07/22/2019   BCLY   GBP      21,179,948     USD        27,265,218       423,216  
06/10/2019   JPM   JPY 1,911,000,000     USD        17,213,809       (429,004
06/17/2019   GS   JPY 3,065,000,000     USD        27,834,688       (478,379
06/24/2019   GS   JPY 2,820,000,000     USD        25,440,747       (624,291
07/08/2019   JPM   JPY 1,000,000,000     USD          9,033,142       (220,348
07/16/2019   JPM   JPY 6,900,000,000     USD        62,222,950       (1,664,849
07/29/2019   JPM   JPY 1,205,000,000     USD        10,848,193       (320,030
08/19/2019   BOA   JPY 1,646,000,000     USD        15,132,126       (147,332
06/17/2019   JPM   NZD      70,199,931     USD        47,485,227       1,548,087  
06/04/2019   SSB   USD      15,440,426     CAD        20,516,574       (260,601
06/17/2019   BOA   USD        2,352,116     NZD          3,546,285       (31,513
06/17/2019   JPM   USD           502,068     JPY        55,531,620       10,908  
06/17/2019   MSCI   USD        2,062,095     NZD          3,144,018       (4,726
06/17/2019   UBS   USD           889,161     NZD          1,311,401       (31,012
06/24/2019   DB   USD        2,089,934     AUD          3,015,603       3,304  
06/24/2019   JPM   USD        8,847,962     EUR          7,906,152       (662
07/22/2019   BCLY   USD      11,391,064     GBP          8,947,927       (51,080
08/06/2019   MSCI   USD        8,780,899     CAD        11,864,298       10,726  
       

 

 

 
        $ 1,807,222  
       

 

 

 

Futures Contracts

 

Number
of
Contracts +

 

Type

  Expiration
Date
  Notional
Amount
($)
    Value/Net
Unrealized
Appreciation
(Depreciation)
($)
 
Buys        
264   Australian Government Bond 10 Yr.   June 2019     25,970,764       1,125,256  
1,262   CAC40 10 Euro   June 2019     72,803,816       (817,596
2,073   Corn (b)   July 2019     44,258,550       5,886,542  
682   Crude Oil (b)   June 2019     36,487,000       (5,639,262
232   DAX Index   June 2019     75,677,253       (410,663
2,278   FTSE 100 Index   June 2019     204,932,165       2,335,614  
621   Hang Seng Index   June 2019     105,852,637       (1,943,050
2,812   Mini MSCI Emerging Markets   June 2019     140,628,120       (4,918,908
961   MSCI Singapore   June 2019     24,388,793       (462,936
22   S&P TSX 60 Index   June 2019     3,127,746       24,637  
142   SPI 200   June 2019     15,709,281       474,743  
     

 

 

   

 

 

 
      $ 749,836,125     $ (4,345,623
     

 

 

   

 

 

 
Sales        
763   Canadian Government Bond 10 Yr.   September 2019     80,623,225       (825,090
838   Euro Bund   June 2019     157,200,151       (3,859,319
835   Euro Bund   September 2019     158,907,759       (88,706
584   FTSE/JSE TOP 40   June 2019     19,938,742       488,306  
1,309   Gilt Long Bond   September 2019     213,904,816       (923,398
414   Gold 100 OZ (b)   August 2019     54,279,540       (846,448
110   Japanese Government Bond 10 Yr. (OSE)   June 2019     155,210,290       (514,820
328   MSCI Taiwan Index   June 2019     12,438,197       (153,528
2,019   S&P 500 E-Mini   June 2019     277,874,970       1,750,462  
419   Silver (b)   July 2019     30,517,865       1,436,464  
575   Soybean (b)   July 2019     25,235,313       967,227  
311   TOPIX Index   June 2019     42,838,231       1,429,861  
548   U.S. Treasury Note 10 Yr. (CBT)   September 2019     69,459,000       (736,002
     

 

 

   

 

 

 
      $ 1,298,428,099     $ (1,874,991
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

  

Sales - Fund is short the futures contract.

 


GMO SGM Major Markets Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

As of May 31, 2019, 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:

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2019, which are subject to change based on the terms of the security.

 

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

 

(a)

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

 

(b)

All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

 

(c)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(d)

The rate shown represents yield-to-maturity.

 

 

Counterparty Abbreviations:

 

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

NAB - National Australia Bank Limited

SSB - State Street Bank and Trust Company

UBS - UBS Securities LLC

 

 

Currency Abbreviations:

 

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

 


GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

     Shares /
Par Value†
    Description   Value ($)  
    COMMON STOCKS — 83.7%

 

    Canada — 0.0%

 

    6,000,000     Jagercor Energy Corp * (a) (b)     44,392  
     

 

 

 
          Netherlands — 4.8%  
    230,000     InterXion Holding NV *     16,953,300  
     

 

 

 
          Sweden — 0.8%  
    21,840     Spotify Technology SA *     2,742,667  
     

 

 

 
          United Kingdom — 4.8%  
    394,450     Blue Prism Group Plc *     9,065,017  
    384,000     Burford Capital Ltd     8,042,028  
     

 

 

 
    Total United Kingdom     17,107,045  
     

 

 

 
          United States — 73.3%  
    570,000     Ally Financial, Inc.     16,455,900  
    84,000     Berkshire Hathaway, Inc. – Class B *     16,583,280  
    920,350     Carvana Co. *     53,269,858  
    35,500     Credit Acceptance Corp. *     16,201,845  
    835,000     Eventbrite, Inc. – Class A *     13,076,100  
    920,000     General Motors Co.     30,672,800  
    498,772     Interactive Brokers Group, Inc. – Class A     25,337,618  
    1,018,900     Redfin Corp. *     16,057,864  
    225,000     Shake Shack, Inc. – Class A *     13,803,750  
    401,724     Wayfair, Inc. – Class A *     57,852,273  
     

 

 

 
    Total United States     259,311,288  
     

 

 

 
    TOTAL COMMON STOCKS (COST $218,515,453)     296,158,692  
     

 

 

 
          DEBT OBLIGATIONS — 5.9%  
          United States — 5.9%  
    21,000,000     U.S. Treasury Note, 1.38%, due 04/30/20     20,827,734  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $20,814,384)     20,827,734  
     

 

 

 
     Shares /
Par Value†
    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 9.3%

 

          Money Market Funds — 1.2%  
    4,325,373     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (c) (d)     4,325,373  
     

 

 

 
          U.S. Government — 8.1%  
    17,000,000     U.S. Treasury Bill, 2.05%, due 06/25/19 (e)     16,976,262  
    12,000,000     U.S. Treasury Bill, 2.31%, due 11/07/19 (e)     11,879,764  
     

 

 

 
    Total U.S. Government     28,856,026  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $33,173,125)
    33,181,399  
     

 

 

 
    TOTAL INVESTMENTS — 98.9%
(Cost $272,502,962)
    350,167,825  
    Other Assets and Liabilities (net) — 1.1%     3,844,265  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $354,012,090  
     

 

 

 

Notes to Schedule of Investments:

 

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

 

*

Non-income producing security.

 

(a)

Affiliated company.

 

(b)

Investment valued using significant unobservable inputs.

 

(c)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(d)

All or a portion of this security is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund.

 

(e)

The rate shown represents yield-to-maturity.

 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    COMMON STOCKS — 15.7%

 

          Australia — 0.1%  
    9,410     Appen Ltd     168,400  
    2,957     Brickworks Ltd     33,395  
    23,998     New Hope Corp Ltd     43,491  
    8,933     OZ Minerals Ltd     55,893  
    28,490     Sandfire Resources NL     121,371  
    1,523     Viva Energy (REIT)     2,735  
    9,767     Viva Energy Group Ltd     14,448  
    4,645     WiseTech Global Ltd     77,797  
     

 

 

 
    Total Australia     517,530  
     

 

 

 
          Belgium — 0.0%  
    4,800     AGFA-Gevaert NV *     19,509  
    700     Orange Belgium SA     13,332  
     

 

 

 
    Total Belgium     32,841  
     

 

 

 
          Brazil — 0.3%  
    40,600     Banco do Brasil SA     536,477  
    65,000     Cia de Saneamento Basico do Estado de Sao Paulo     732,336  
    181,200     JBS SA     1,009,450  
    70,600     Petrobras Distribuidora SA     459,698  
     

 

 

 
    Total Brazil     2,737,961  
     

 

 

 
          Canada — 0.1%  
    2,100     Canadian National Railway Co     186,039  
    1,900     Canfor Pulp Products Inc     15,702  
    3,000     Royal Bank of Canada     225,466  
    1,000     Russel Metals Inc     15,796  
    1,600     Toronto-Dominion Bank (The)     87,482  
    800     Westshore Terminals Investment Corp     13,122  
     

 

 

 
    Total Canada     543,607  
     

 

 

 
          China — 0.5%  
    132,000     Agile Group Holdings Ltd     166,606  
    2,025,000     Agricultural Bank of China Ltd – Class H     869,013  
    379,500     BAIC Motor Corp Ltd – Class H     235,188  
    347,000     Bank of Communications Co Ltd – Class H     271,942  
    280,000     China Communications Services Corp Ltd – Class H     209,369  
    28,000     China Lilang Ltd     24,889  
    1,092,000     China Petroleum & Chemical Corp – Class H     725,551  
    92,000     China Railway Construction Corp Ltd – Class H     107,521  
    148,000     China Resources Pharmaceutical Group Ltd     193,778  
    73,000     China SCE Group Holdings Ltd     33,031  
    34,000     China Shineway Pharmaceutical Group Ltd     30,304  
    152,000     China Telecom Corp Ltd – Class H     76,382  
    71,000     Chongqing Rural Commercial Bank Co Ltd – Class H     36,349  
    30,000     Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H     125,554  
    244,000     Guangzhou R&F Properties Co Ltd – Class H     461,361  
    
Shares
    Description   Value ($)  
    China — continued

 

    7,000     JNBY Design Ltd     12,115  
    2,500     Kingboard Holdings Ltd     6,573  
    47,000     Postal Savings Bank of China Co Ltd – Class H     28,110  
    24,000     Powerlong Real Estate Holdings Ltd     10,890  
    17,000     Red Star Macalline Group Corp Ltd – Class H     15,114  
    71,500     Shanghai Pharmaceuticals Holding Co Ltd – Class H     141,167  
    182,000     Shimao Property Holdings Ltd     522,184  
    126,000     Tianneng Power International Ltd     102,576  
    43,617     Yuzhou Properties Co Ltd     19,874  
     

 

 

 
    Total China     4,425,441  
     

 

 

 
          Denmark — 0.0%  
    8,800     Novo Nordisk A/S Sponsored ADR     415,360  
     

 

 

 
          France — 0.3%  
    1,868     Coface SA     18,205  
    638     Ipsen SA     76,221  
    5,163     L’Oreal SA     1,385,130  
    1,909     Metropole Television SA     34,290  
    1,200     Sanofi     96,909  
    2,000     Sanofi ADR     80,860  
    19,000     STMicroelectronics NV     287,301  
    17,200     STMicroelectronics NV – NY Shares     258,688  
     

 

 

 
    Total France     2,237,604  
     

 

 

 
          Germany — 0.1%  
    1,354     Allianz SE (Registered)     299,817  
    1,896     Deutz AG     15,679  
    466     Dialog Semiconductor Plc *     14,736  
    1,600     RHOEN-KLINIKUM AG     45,496  
    900     Software AG     29,408  
    1,100     Volkswagen AG     174,561  
     

 

 

 
    Total Germany     579,697  
     

 

 

 
          Hong Kong — 0.0%  
    18,500     Dah Sing Banking Group Ltd     32,059  
    3,600     Dah Sing Financial Holdings Ltd     16,814  
    12,700     Pacific Textiles Holdings Ltd     10,334  
    111,400     SJM Holdings Ltd     123,495  
     

 

 

 
    Total Hong Kong     182,702  
     

 

 

 
          India — 0.0%  
    18,368     Aurobindo Pharma Ltd     176,680  
    2,600     Dr Reddy’s Laboratories Ltd ADR     99,086  
    21,126     REC Ltd     43,817  
     

 

 

 
    Total India     319,583  
     

 

 

 
          Ireland — 0.0%  
    1,000     CRH Plc Sponsored ADR     31,350  
     

 

 

 
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    Italy — 0.2%

 

    16,043     EXOR NV     1,003,790  
    21,500     Fiat Chrysler Automobiles NV (a) (b)     271,330  
    40,032     Iren SPA     99,213  
    9,313     Saras SPA     13,364  
    20     Societa Iniziative Autostradali e Servizi SPA     347  
     

 

 

 
    Total Italy     1,388,044  
     

 

 

 
          Japan — 0.8%  
    52,000     Asahi Kasei Corp     532,663  
    90,500     Astellas Pharma Inc     1,212,785  
    1,900     Bandai Namco Holdings Inc     93,022  
    14,400     Brother Industries Ltd     245,010  
    400     Central Japan Railway Co     83,142  
    1,400     Dai Nippon Printing Co Ltd     30,238  
    1,200     Daiwabo Holdings Co Ltd     49,968  
    2,400     Fancl Corp     64,365  
    3,800     Fuji Electric Co Ltd     125,825  
    8,100     Fuji Media Holdings Inc     109,742  
    4,300     Fujitsu Ltd     289,883  
    200     Fukuyama Transporting Co Ltd     7,107  
    6,300     Hakuhodo DY Holdings Inc     98,366  
    15,560     Hitachi Ltd     523,951  
    1,600     House Foods Group Inc     65,019  
    800     Infocom Corp     17,272  
    8,900     Konica Minolta Inc     78,085  
    600     Kose Corp     94,324  
    700     K’s Holdings Corp     6,646  
    800     Makino Milling Machine Co Ltd     27,350  
    4,900     Marubeni Corp     30,600  
    88,900     Mitsubishi Chemical Holdings Corp     579,357  
    2,600     Mitsui Chemicals Inc     56,730  
    1,350     Nichias Corp     22,483  
    600     Nihon Unisys Ltd     19,492  
    21,700     Nippon Telegraph & Telephone Corp (b)     970,882  
    100     NOF Corp     3,580  
    3,100     NTT Data Corp     36,865  
    4,000     Rohto Pharmaceutical Co Ltd     108,411  
    7,900     Sekisui Chemical Co Ltd     115,577  
    1,300     Showa Corp     15,837  
    79,600     Sojitz Corp     254,193  
    88,400     Sumitomo Chemical Co Ltd     379,896  
    1,300     Sumitomo Dainippon Pharma Co Ltd     26,563  
    900     Sushiro Global Holdings Ltd     62,432  
    1,900     T-Gaia Corp     30,594  
    4,800     Toyota Tsusho Corp     137,666  
    2,600     TS Tech Co Ltd     63,079  
    1,400     Zeon Corp     13,152  
     

 

 

 
    Total Japan     6,682,152  
     

 

 

 
          Luxembourg — 0.0%  
    900     Orion Engineered Carbons SA     15,822  
     

 

 

 
    
Shares
    Description   Value ($)  
    Malta — 0.0%

 

    125,500     BGP Holdings Plc * (c)      
     

 

 

 
          Mexico — 0.0%  
    5,300     El Puerto de Liverpool SAB de CV – Class C1     29,666  
    4,800     Gentera SAB de CV     4,234  
     

 

 

 
    Total Mexico     33,900  
     

 

 

 
          Netherlands — 0.1%  
    1,450     ASR Nederland NV     54,940  
    707     Heineken Holding NV     69,952  
    23,060     ING Groep NV     249,078  
    1,600     Signify NV     42,783  
    8,350     Wolters Kluwer NV     582,522  
     

 

 

 
    Total Netherlands     999,275  
     

 

 

 
          Norway — 0.1%  
    1,063     Aker ASA – A Shares     61,054  
    12,636     Austevoll Seafood ASA     132,567  
    9     Bakkafrost P/F     477  
    14,602     DNB ASA     247,540  
    10,961     Elkem ASA     33,506  
    8,863     Leroy Seafood Group ASA     60,775  
    4,725     SpareBank 1 SR-Bank ASA     55,085  
    653     Storebrand ASA     4,725  
     

 

 

 
    Total Norway     595,729  
     

 

 

 
          Philippines — 0.0%  
    350     Globe Telecom Inc     14,562  
     

 

 

 
          Portugal — 0.0%  
    8,490     Altri SGPS SA     57,524  
    5,661     NOS SGPS SA     35,753  
    35,739     Sonae SGPS SA     35,526  
     

 

 

 
    Total Portugal     128,803  
     

 

 

 
          Russia — 0.1%  
    125,870     Gazprom PJSC Sponsored ADR     824,448  
    1,016     Novolipetsk Steel PJSC GDR     26,680  
     

 

 

 
    Total Russia     851,128  
     

 

 

 
          Singapore — 0.0%  
    1,600     Jardine Cycle & Carriage Ltd     39,416  
     

 

 

 
          South Africa — 0.1%  
    49,002     Absa Group Ltd     568,500  
    4,985     Liberty Holdings Ltd     37,328  
    1,551     Mondi Ltd     31,946  
    3,145     Motus Holdings Ltd     18,643  
    5,690     Reunert Ltd     26,845  
    32,511     Telkom SA SOC Ltd     205,490  
     

 

 

 
    Total South Africa     888,752  
     

 

 

 
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    South Korea — 0.2%

 

    6,149     Kia Motors Corp     203,123  
    4,500     KT Corp Sponsored ADR     54,180  
    1,962     LG Corp     120,677  
    5,329     LG Electronics Inc     351,196  
    6,297     LG Uplus Corp     73,828  
    893     Samsung SDS Co Ltd     155,202  
    392     SK Holdings Co Ltd     76,040  
    2,897     SK Hynix Inc     158,383  
    30,900     SK Telecom Co Ltd Sponsored ADR     717,807  
     

 

 

 
    Total South Korea     1,910,436  
     

 

 

 
          Spain — 0.1%  
    577     Acciona SA     61,667  
    3,665     Almirall SA     63,036  
    973     Cia de Distribucion Integral Logista Holdings SA     21,495  
    6,924     Enagas SA     189,251  
    17,572     Endesa SA     437,744  
    13,253     Iberdrola SA     123,223  
    46,802     International Consolidated Airlines Group SA     265,649  
    5,930     Red Electrica Corp SA     125,688  
     

 

 

 
    Total Spain     1,287,753  
     

 

 

 
          Sweden — 0.2%  
    5,837     Betsson AB *     36,882  
    5,837     Betsson AB – Redemption *     2,390  
    5,334     Granges AB     50,102  
    1,000     Kindred Group Plc SDR     7,786  
    3,615     Peab AB     28,483  
    2,597     Resurs Holding AB     15,130  
    14,704     Sandvik AB     226,981  
    120,670     Svenska Cellulosa AB SCA – Class B     921,065  
    4,271     Swedish Match AB     192,792  
    39,341     Volvo AB – B Shares (b)     549,255  
    800     Wihlborgs Fastigheter AB     11,625  
     

 

 

 
    Total Sweden     2,042,491  
     

 

 

 
          Switzerland — 0.0%  
    41     BKW AG     2,710  
    1     Huber + Suhner AG (Registered)     77  
    1,088     Roche Holding AG     285,354  
     

 

 

 
    Total Switzerland     288,141  
     

 

 

 
          Taiwan — 0.2%  
    24,000     Feng TAY Enterprise Co Ltd     181,844  
    20,000     Gigabyte Technology Co Ltd     28,873  
    232,000     Inventec Corp     174,791  
    94,000     Novatek Microelectronics Corp     500,171  
    3,000     Phison Electronics Corp     27,142  
    348,000     Pou Chen Corp     395,000  
    15,000     Radiant Opto-Electronics Corp     47,194  
    10,000     Realtek Semiconductor Corp     63,232  
    28,200     Ruentex Industries Ltd     61,718  
    
Shares
    Description   Value ($)  
    Taiwan — continued

 

    59,000     Walsin Lihwa Corp     29,312  
    49,000     Yuanta Financial Holding Co Ltd     27,511  
     

 

 

 
    Total Taiwan     1,536,788  
     

 

 

 
          Turkey — 0.0%  
    40,883     KOC Holding AS     112,857  
    12,484     TAV Havalimanlari Holding AS     54,552  
     

 

 

 
    Total Turkey     167,409  
     

 

 

 
          United Kingdom — 0.5%  
    34,305     3i Group Plc     455,400  
    869     AVEVA Group Plc     40,603  
    8,718     Barratt Developments Plc     61,495  
    1,264     Bellway Plc     43,894  
    3,346     Berkeley Group Holdings Plc (The)     147,913  
    11,739     British American Tobacco Plc     407,764  
    3,700     British American Tobacco Plc Sponsored ADR     128,279  
    1,875     Britvic Plc     21,084  
    4,656     Computacenter Plc     73,699  
    9,245     Electrocomponents Plc     70,880  
    27,481     Ferrexpo Plc     79,839  
    35,096     Firstgroup Plc *     51,165  
    3,258     Galliford Try Plc     25,701  
    39,419     GlaxoSmithKline Plc     761,022  
    4,271     Greene King Plc     34,478  
    34,940     IG Group Holdings Plc     241,929  
    8,176     Inchcape Plc     60,442  
    15,323     JD Sports Fashion Plc     119,397  
    3,195     National Express Group Plc     16,036  
    40,226     Persimmon Plc     1,000,631  
    9,515     Plus500 Ltd     76,103  
    49,512     QinetiQ Group Plc     181,896  
    4,397     Softcat Plc     50,441  
    1,033     Spectris Plc     32,390  
    11,516     Tate & Lyle Plc     105,118  
    6,436     Vesuvius Plc     40,628  
     

 

 

 
    Total United Kingdom     4,328,227  
     

 

 

 
          United States — 11.7%  
    3,800     1-800-Flowers.com, Inc. – Class A *     69,388  
    6,700     Abercrombie & Fitch Co. – Class A     115,910  
    69,129     ACCO Brands Corp.     508,098  
    10,900     Acushnet Holdings Corp.     256,041  
    5,300     Adobe, Inc. *     1,435,770  
    11,546     ADTRAN, Inc.     181,041  
    700     AdvanSix, Inc. *     17,066  
    7,900     Aflac, Inc. (b)     405,270  
    14,100     AG Mortgage Investment Trust, Inc. (REIT)     217,422  
    6,000     Agilent Technologies, Inc.     402,300  
    900     Agilysys, Inc. *     19,620  
    6,600     AgroFresh Solutions, Inc. * (a)     15,906  
    2,900     Alamo Group, Inc.     275,297  
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    300     Allied Motion Technologies, Inc.     9,741  
    4,100     Ally Financial, Inc.     118,367  
    1,500     Alpha & Omega Semiconductor Ltd. *     12,810  
    400     Alphabet, Inc. – Class C * (b)     441,452  
    300     Amazon.com, Inc. *     532,521  
    3,100     Ameresco, Inc.– Class A *     44,950  
    4,100     American Express Co. (a)     470,311  
    100     American National Bankshares, Inc.     3,488  
    200     American National Insurance Co.     22,674  
    3,800     American Public Education, Inc. *     106,324  
    1,700     American Vanguard Corp.     22,576  
    2,800     America’s Car-Mart, Inc. *     241,080  
    9,000     Ameriprise Financial, Inc.     1,244,070  
    3,900     Amgen, Inc.     650,130  
    3,800     Amkor Technology, Inc. *     24,624  
    60,300     Arbor Realty Trust, Inc. (REIT) (a) (b)     742,293  
    26,900     Archrock, Inc.     238,603  
    8,300     Ares Commercial Real Estate Corp. (REIT)     121,844  
    2,000     Armstrong Flooring, Inc. *     21,080  
    2,800     Arrow Electronics, Inc. *     175,448  
    6,100     Atkore International Group, Inc. *     142,679  
    5,800     Avaya Holdings Corp. *     72,964  
    4,800     Avery Dennison Corp. (a)     499,488  
    4,000     Avid Technology, Inc. * (a)     31,000  
    14,400     AVX Corp.     212,976  
    1,100     Axcelis Technologies, Inc. *     16,313  
    3,600     BancFirst Corp.     188,028  
    3,700     BankFinancial Corp.     51,430  
    12,500     Banner Corp.     630,750  
    2,900     Bassett Furniture Industries, Inc.     42,601  
    2,600     Baxter International, Inc. (a)     190,944  
    600     BCB Bancorp, Inc.     7,344  
    1,100     Bel Fuse, Inc. – Class B     19,008  
    4,100     Benchmark Electronics, Inc.     90,569  
    912     Berkshire Hills Bancorp, Inc.     26,621  
    4,000     Berry Petroleum Corp.     43,000  
    150     Biglari Holdings, Inc. – Class B *     13,590  
    1,300     BlackRock TCP Capital Corp.     18,551  
    29,200     Bloomin’ Brands, Inc.     563,852  
    22,000     Brady Corp. – Class A     1,018,600  
    15,600     Braemar Hotels & Resorts, Inc. (REIT)     162,864  
    20,800     Briggs & Stratton Corp.     195,520  
    7,600     Bristol-Myers Squibb Co. (a)     344,812  
    4,900     Brookfield Property REIT, Inc. – Class A (a)     90,356  
    4,000     Bruker Corp.     167,080  
    1,000     Byline Bancorp, Inc. *     18,660  
    1,900     Cabot Corp. (a)     75,886  
    200     CACI International, Inc. – Class A * (a)     40,704  
    9,300     Cadence Design Systems, Inc. *     591,201  
    9,800     Calix, Inc. *     59,290  
    6,300     Camden National Corp.     266,805  
    900     Care.com, Inc. * (a)     12,861  
    
Shares
    Description   Value ($)  
    United States — continued

 

    21,700     Carrols Restaurant Group, Inc. *     184,884  
    6,400     Caterpillar, Inc.     766,784  
    3,900     CBRE Group, Inc. – Class A * (b)     178,230  
    15,800     CBS Corp. – Class B NVDR     762,824  
    9,400     Cedar Realty Trust, Inc. (REIT)     26,602  
    9,900     Central Garden & Pet Co. *     278,685  
    10,100     Central Garden & Pet Co. – Class A *     258,257  
    1,300     Century Bancorp, Inc. – Class A     116,493  
    1,700     Chatham Lodging Trust (REIT) (a)     32,368  
    38,200     Ciena Corp. *     1,334,708  
    3,500     Cirrus Logic, Inc. *     130,795  
    6,700     Cisco Systems, Inc.     348,601  
    1,000     Citi Trends, Inc.     13,680  
    4,900     Citizens Financial Group, Inc.     159,642  
    1,900     Civista Bancshares, Inc.     41,230  
    5,400     Clarus Corp.     68,850  
    1,200     CNB Financial Corp.     29,700  
    46,900     CNO Financial Group, Inc. (a)     736,799  
    4,800     Columbia Sportswear Co.     450,144  
    6,300     Comcast Corp. – Class A     258,300  
    1,900     Community Trust Bancorp, Inc.     75,221  
    12,300     Comtech Telecommunications Corp.     260,145  
    1,000     Consolidated Water Co. Ltd.     13,550  
    300     Cooper-Standard Holding, Inc. * (b)     11,598  
    51,800     CoreCivic, Inc. (REIT) (b)     1,134,420  
    6,900     Core-Mark Holding Co., Inc.     254,472  
    10,700     CorePoint Lodging, Inc. (REIT)     129,684  
    1,200     CRA International, Inc.     44,928  
    9,900     CSG Systems International, Inc. (a)     444,015  
    7,700     Cummins, Inc. (a)     1,160,852  
    5,600     Curo Group Holdings Corp. *     52,472  
    1,600     Daktronics, Inc.     9,936  
    38,100     Dana, Inc. (a)     555,879  
    12,600     Danaher Corp. (a)     1,663,326  
    27,000     Designer Brands, Inc. – Class A     488,430  
    2,700     Digi International, Inc. *     29,403  
    1,000     Dime Community Bancshares, Inc. (a)     17,780  
    7,400     Diodes, Inc. * (a)     228,882  
    700     Donegal Group, Inc. – Class A     10,115  
    1,800     Ducommun, Inc. *     81,234  
    51,800     Dynex Capital, Inc. (REIT)     284,900  
    100     Eastman Chemical Co. (a)     6,492  
    2,100     El Paso Electric Co. (b)     122,220  
    1,400     El Pollo Loco Holdings, Inc. * (a)     14,672  
    1,000     Employers Holdings, Inc.     41,540  
    12,400     Ennis, Inc.     229,648  
    36,117     Enova International, Inc. *     771,098  
    1,200     Escalade, Inc.     13,356  
    1,200     ESSA Bancorp, Inc.     18,180  
    6,500     Essent Group Ltd. *     305,175  
    9,600     Estee Lauder Cos, Inc. (The) – Class A     1,545,888  
    5,500     Ethan Allen Interiors, Inc.     116,710  
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    2,400     EVERTEC Inc     68,784  
    1,800     Evolution Petroleum Corp.     10,998  
    5,400     Exantas Capital Corp. (REIT)     58,860  
    1,400     Exelon Corp.     67,312  
    700     Exterran Corp. *     9,660  
    3,400     Farmers National Banc Corp.     45,730  
    300     Federal Agricultural Mortgage Corp. – Class C (a)     20,529  
    14,300     Federal Signal Corp.     341,627  
    21,300     Federated Investors, Inc. – Class B (a)     650,289  
    4,800     FedNat Holding Co.     64,896  
    3,100     Financial Institutions, Inc.     83,793  
    2,400     First American Financial Corp. (a)     123,960  
    3,676     First Community Bankshares, Inc.     120,426  
    9,400     First Defiance Financial Corp. (b)     254,740  
    1,900     First Financial Corp. (a)     71,877  
    1,000     First Financial Northwest, Inc. (a)     15,160  
    31,000     Flagstar Bancorp, Inc. (a) (b)     975,880  
    200     Flexsteel Industries, Inc. (a)     3,430  
    1,000     Flushing Financial Corp.     21,030  
    600     FONAR Corp. *     11,520  
    5,400     FTI Consulting, Inc. * (a)     453,168  
    69,200     Fulton Financial Corp. (a)     1,090,592  
    4,100     FutureFuel Corp.     42,558  
    101,100     Gannett Co., Inc. (a)     794,646  
    4,000     Garmin Ltd. (a)     305,920  
    380     Garrett Motion, Inc. * (a)     5,844  
    2,700     Genie Energy Ltd. – Class B     25,218  
    46,500     GEO Group, Inc. (The) (REIT)     1,019,745  
    12,400     Gilead Sciences, Inc.     771,900  
    5,834     Global Brass & Copper Holdings, Inc.     254,538  
    2,200     Gorman-Rupp Co. (The)     65,274  
    500     Graham Holdings Co. – Class B     340,270  
    1,000     Great Southern Bancorp, Inc.     55,220  
    2,900     Greif, Inc. – Class A     102,776  
    9,900     Griffon Corp. (b)     142,362  
    6,000     Group 1 Automotive, Inc.     433,140  
    606     Hallmark Financial Services, Inc. *     7,145  
    5,100     Harmonic, Inc. * (a)     26,622  
    11,113     Haverty Furniture Cos, Inc.     193,477  
    2,200     Heidrick & Struggles International, Inc.     66,792  
    7,500     Helen of Troy Ltd. * (a)     1,002,075  
    40,200     Herman Miller, Inc.     1,426,698  
    38,800     Hersha Hospitality Trust (REIT)     661,540  
    29,600     Hewlett Packard Enterprise Co.     406,112  
    1,200     HomeTrust Bancshares, Inc.     29,376  
    67,000     HP, Inc. (a)     1,251,560  
    1,000     Hub Group, Inc. – Class A *     38,960  
    29,200     Huntsman Corp. (b)     507,204  
    400     Hurco Cos, Inc.     14,024  
    7,500     Hyster-Yale Materials Handling, Inc.     329,850  
    5,400     ICF International, Inc.     393,606  
    7,000     IDACORP, Inc. (a)     701,890  
    
Shares
    Description   Value ($)  
    United States — continued

 

    200     Independence Holding Co.     7,466  
    11,915     Independent Bank Corp.     252,002  
    7,400     Information Services Group, Inc. *     23,014  
    2,500     Ingles Markets, Inc. – Class A     74,525  
    5,100     Innospec, Inc.     411,621  
    14,700     Insight Enterprises, Inc. *     756,756  
    15,400     Intel Corp.     678,216  
    7,900     Inter Parfums, Inc. (b)     511,762  
    13,400     International Bancshares Corp. (b)     488,564  
    18,300     Interpublic Group of Cos., Inc. (The) (a)     388,326  
    3,300     INTL. FCStone, Inc. *     114,708  
    10,800     Invesco Mortgage Capital, Inc. (REIT)     166,212  
    13,100     iStar, Inc. (REIT)     144,231  
    1,700     ITT, Inc.     97,954  
    2,900     Johnson Outdoors, Inc. – Class A     214,049  
    4,900     Johnson & Johnson     642,635  
    6,600     Juniper Networks, Inc. (a)     162,426  
    19,024     K12, Inc. *     581,564  
    2,800     Kimball Electronics, Inc. *     39,900  
    2,500     Kimball International, Inc. – Class B     38,600  
    1,800     KLA-Tencor Corp. (a)     185,526  
    8,300     Knoll, Inc.     163,012  
    700     Knowles Corp. * (a)     11,011  
    22,600     Kohl’s Corp.     1,114,632  
    4,900     Kulicke & Soffa Industries, Inc.     95,011  
    4,700     Lantheus Holdings, Inc. * (a)     112,753  
    19,200     Laureate Education, Inc. – Class A *     308,352  
    5,900     La-Z-Boy, Inc.     189,921  
    1,700     LCNB Corp.     28,849  
    1,600     Leaf Group Ltd. *     11,504  
    1,600     Liberty Expedia Holdings, Inc. – Class A *     65,968  
    10,700     Liberty TripAdvisor Holdings, Inc. – Class A *     113,955  
    1,100     Lockheed Martin Corp.     372,394  
    2,500     M/I Homes, Inc. *     68,450  
    4,400     Macatawa Bank Corp.     44,660  
    22,800     Mallinckrodt Plc *     198,132  
    10,400     Marcus Corp. (The) (b)     363,584  
    300     Marlin Business Services Corp.     6,690  
    5,200     Mastercard, Inc. – Class A     1,307,748  
    8,100     Materion Corp.     489,645  
    7,400     Matrix Service Co. *     133,940  
    7,100     Medtronic Plc     657,318  
    21,300     Merck & Co., Inc.     1,687,173  
    7,400     Meritor, Inc. * (a)     149,184  
    36,400     MGIC Investment Corp. *     493,220  
    600     MidWestOne Financial Group, Inc.     16,704  
    1,350     Miller Industries, Inc.     35,843  
    15,100     Modine Manufacturing Co. *     194,035  
    1,000     Monarch Casino & Resort, Inc. *     43,030  
    7,700     Monotype Imaging Holdings, Inc.     125,433  
    19,000     Moog, Inc. – Class A (b)     1,565,980  
    900     Motorola Solutions, Inc.     134,955  
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    17,300     Movado Group, Inc.     445,648  
    1,300     Mueller Industries, Inc. (a)     35,035  
    2,300     Murphy Oil Corp. (a)     57,155  
    1,400     MutualFirst Financial, Inc.     41,832  
    100     NACCO Industries, Inc. – Class A     4,996  
    3,700     National CineMedia, Inc. (a)     24,235  
    12,700     National General Holdings Corp.     288,544  
    6,900     Natural Grocers by Vitamin Cottage, Inc. *     70,863  
    8,100     Nautilus, Inc. *     21,789  
    14,800     NetApp, Inc. (a)     876,160  
    1,200     Netflix, Inc. * (a)     411,936  
    300     Nicolet Bankshares, Inc. *     17,547  
    1,100     Northrim BanCorp, Inc.     36,773  
    37,100     Northwest Bancshares, Inc.     622,167  
    1,200     NorthWestern Corp.     85,128  
    1,400     Norwegian Cruise Line Holdings Ltd. *     76,594  
    5,200     NRG Energy, Inc.     177,008  
    131,000     Office Depot, Inc.     256,760  
    12,400     OFG Bancorp (a)     232,872  
    100     Oil-Dri Corp. of America     2,939  
    33,400     Old National Bancorp (a)     532,396  
    1,400     Old Second Bancorp, Inc.     17,080  
    4,100     Olympic Steel, Inc.     50,758  
    2,700     ON Semiconductor Corp. *     47,952  
    800     One Liberty Properties, Inc. (REIT)     22,832  
    6,800     Oppenheimer Holdings, Inc. – Class A     167,552  
    15,100     Oracle Corp. (a)     764,060  
    307     Orrstown Financial Services, Inc.     6,521  
    5,800     Outfront Media, Inc. (REIT)     142,970  
    600     Park-Ohio Holdings Corp.     18,732  
    5,800     PC Connection, Inc.     184,092  
    800     PCM, Inc. *     20,440  
    87,000     PDL BioPharma, Inc. * (a)     245,340  
    18,600     PennyMac Financial Services, Inc. (a)     394,506  
    13,700     PennyMac Mortgage Investment Trust (REIT)     284,960  
    700     Peoples Bancorp, Inc.     21,637  
    12,600     PepsiCo, Inc. (b)     1,612,800  
    22,600     Pfizer, Inc. (b)     938,352  
    6,200     Phillips 66     500,960  
    49,500     Piedmont Office Realty Trust, Inc. – Class A (REIT) (a)     1,006,335  
    11,900     PNM Resources, Inc.     560,609  
    1,900     PolyOne Corp.     47,747  
    24,900     Popular, Inc.     1,300,029  
    14,300     Portland General Electric Co.     755,898  
    300     Preformed Line Products Co.     14,103  
    1,800     Premier Financial Bancorp, Inc.     28,098  
    2,500     Prestige Consumer Healthcare, Inc. * (a)     72,575  
    9,900     Procter & Gamble Co. (The)     1,018,809  
    11,800     Progressive Corp. (The)     935,504  
    2,200     Protective Insurance Corp. – Class B     37,730  
    6,000     Provident Financial Services, Inc.     143,040  
    6,700     PVH Corp. (b)     570,773  
    
Shares
    Description   Value ($)  
    United States — continued

 

    17,500     Qurate Retail, Inc. * (a)     219,275  
    6,000     Radian Group, Inc.     134,700  
    6,100     Radiant Logistics, Inc. *     38,796  
    7,000     Rambus, Inc. *     79,520  
    1,500     Regional Management Corp. *     37,005  
    400     Reliance Steel & Aluminum Co.     33,308  
    1,639     Republic Bancorp, Inc. – Class A     75,132  
    4,600     Resolute Forest Products, Inc.     29,578  
    3,100     Retail Properties of America, Inc. – Class A (REIT)     36,859  
    200     REX American Resources Corp. *     13,494  
    10,600     Ribbon Communications, Inc. *     45,262  
    2,116     Riverview Bancorp, Inc.     16,399  
    1,500     Rocky Brands, Inc.     36,690  
    2,600     RR Donnelley & Sons Co.     5,772  
    2,100     RTI Surgical Holdings, Inc. * (a)     8,883  
    5,100     Rudolph Technologies, Inc. *     117,657  
    600     Rush Enterprises, Inc. – Class A     21,162  
    3,600     Sabre Corp.     73,008  
    22,500     Sanmina Corp. *     598,275  
    1,500     Scholastic Corp. (b)     49,635  
    1,300     Schweitzer-Mauduit International, Inc.     40,677  
    2,316     Seneca Foods Corp. – Class A *     57,205  
    1,300     Shiloh Industries, Inc. * (a)     5,252  
    12,700     Shoe Carnival, Inc.     326,263  
    5,200     Sierra Bancorp     128,960  
    1,500     SilverBow Resources, Inc. *     21,405  
    1,000     SkyWest, Inc.     58,720  
    2,300     Smart & Final Stores, Inc. *     14,973  
    2,500     Sonic Automotive, Inc. – Class A (a)     43,575  
    1,200     Southern National Bancorp of Virginia, Inc.     16,572  
    2,900     Southwest Gas Holdings, Inc. *     246,906  
    105,200     Southwestern Energy Co. *     377,668  
    1,200     SpartanNash Co.     13,848  
    1,100     Speedway Motorsports, Inc.     19,976  
    19,200     Spok Holdings, Inc.     296,640  
    3,000     SPX Corp. *     89,220  
    800     Standard Motor Products, Inc.     33,904  
    2,200     Star Group LP     21,318  
    600     State Auto Financial Corp.     20,514  
    33,783     Steelcase Inc – Class A     541,879  
    4,200     Stepan Co.     356,412  
    14,800     Stoneridge, Inc. * (b)     385,244  
    3,100     Stryker Corp.     568,044  
    9,900     SunCoke Energy, Inc. *     72,666  
    80,100     Sunstone Hotel Investors, Inc. (REIT)     1,074,942  
    6,600     Sykes Enterprises, Inc. *     163,416  
    5,200     Synopsys, Inc. *     605,488  
    10,000     Tech Data Corp. * (b)     906,500  
    71,800     TEGNA, Inc.     1,087,052  
    700     Teledyne Technologies, Inc. *     165,060  
    2,300     Telenav, Inc. *     17,158  
    38,600     Telephone & Data Systems, Inc. (b)     1,112,066  
    2,700     Territorial Bancorp, Inc.     72,630  
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    
Shares
    Description   Value ($)  
    United States — continued

 

    600     Timberland Bancorp, Inc.     14,628  
    36,900     Timken Co. (The) (b)     1,623,969  
    8,600     T-Mobile US, Inc. * (a)     631,584  
    15,900     Tower International, Inc.     277,137  
    5,800     Tredegar Corp.     90,422  
    5,900     Tribune Publishing Co. *     57,938  
    8,100     TriCo Bancshares     302,130  
    8,000     Trinseo SA     294,720  
    5,300     Triple-S Management Corp. – Class B *     129,850  
    1,700     Trustmark Corp. (a)     54,009  
    1,200     Twin Disc, Inc. *     17,304  
    31,300     Unisys Corp. *     303,610  
    5,000     United Community Financial Corp.     45,800  
    900     United Security Bancshares     9,180  
    5,000     United States Cellular Corp. *     217,750  
    1,100     United Technologies Corp.     138,930  
    14,000     Universal Corp. (a)     791,280  
    3,000     Universal Forest Products, Inc.     96,750  
    800     Univest Financial Corp     19,104  
    3,500     Valhi, Inc.     7,000  
    4,800     Vectrus, Inc. *     169,392  
    9,800     Vera Bradley, Inc. * (a)     107,310  
    3,400     Veritiv Corp. *     60,044  
    17,200     Verso Corp. – Class A *     296,184  
    1,200     Village Super Market, Inc. – Class A     31,776  
    80,500     Vishay Intertechnology, Inc. (a)     1,226,820  
    4,626     Vishay Precision Group, Inc. *     165,703  
    105,500     W&T Offshore, Inc. *     443,100  
    5,303     Waterstone Financial, Inc.     87,553  
    3,400     Watts Water Technologies, Inc. – Class A (b)     276,726  
    2,700     Weis Markets, Inc. (a)     102,060  
    1,200     West Bancorporation, Inc.     24,960  
    1,800     Western Asset Mortgage Capital Corp. (REIT)     17,442  
    2,400     Weyco Group, Inc.     60,048  
    15,800     World Fuel Services Corp.     460,412  
    69,400     Xenia Hotels & Resorts, Inc. (REIT) (a) (b)     1,451,154  
    5,100     Xilinx, Inc.     521,781  
    2,600     Zix Corp. * (a)     23,296  
    19,300     Zumiez, Inc.*     381,754  
     

 

 

 
    Total United States     101,561,749  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $147,111,468)
    136,784,253  
     

 

 

 
          PREFERRED STOCKS (d) — 0.0%  
          Germany — 0.0%  
    278     Draegerwerk AG & Co KGaA     14,990  
    195     Sixt SE     13,598  
     

 

 

 
    Total Germany     28,588  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $33,246)
    28,588  
     

 

 

 
     Shares /
Par Value†
    Description   Value ($)  
    RIGHTS/WARRANTS — 0.0%

 

          Spain — 0.0%  
    3,665     Almirall SA, Expires 06/04/19 *     819  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $834)
    819  
     

 

 

 
          DEBT OBLIGATIONS — 7.9%  
          United States — 7.9%  
    U.S. Government — 7.9%

 

    4,779,300     U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (e)     4,826,577  
    4,679,571     U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (e)     4,658,612  
    9,144,267     U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (e)     9,310,117  
    9,688,061     U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (e)     9,696,419  
    2,334,610     U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (e)     2,341,730  
    1,143,711     U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (e)     1,155,140  
    14,934,246     U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (b) (e)     16,654,373  
    3,314,958     U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (e)     3,432,813  
    1,277,312     U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (e)     1,335,372  
    12,853,375     U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (e)     15,386,883  
     

 

 

 
    Total U.S. Government     68,798,036  
     

 

 

 
    Total United States     68,798,036  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $67,094,720)
    68,798,036  
     

 

 

 
          MUTUAL FUNDS — 78.4%  
          United States — 78.4%  
    Affiliated Issuers — 78.4%

 

    4,200,451     GMO Core Plus Bond Fund, Class IV     91,947,872  
    1,125,582     GMO Emerging Country Debt Fund, Class IV     30,593,317  
    6,298,673     GMO Emerging Markets Fund, Class VI     196,014,709  
    11,240,654     GMO International Equity Fund, Class IV     218,967,929  
    909,203     GMO Opportunistic Income Fund, Class VI     24,284,802  
    2,888,389     GMO Quality Fund, Class VI     65,162,061  
    2,619,114     GMO U.S. Equity Fund, Class VI     32,791,311  
    4,538,063     GMO U.S. Treasury Fund     22,690,314  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $681,070,380)
    682,452,315  
     

 

 

 
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

    

    
Shares

    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 0.2%

 

          Money Market Funds — 0.2%  
    1,278,341     State Street Institutional Treasury Money Market Fund – Premier Class, 2.30% (f)     1,278,341  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $1,278,341)
    1,278,341  
     

 

 

 
    TOTAL INVESTMENTS — 102.2%
(Cost $896,588,989)
    889,342,352  
     

 

 

 
    SECURITIES SOLD SHORT — (1.7)%

 

          Common Stocks — (1.7)%  
    Austria — (0.0)%

 

    (368   Schoeller-Bleckmann Oilfield Equipment AG     (28,991
     

 

 

 
          Brazil — (0.1)%  
    (20,500   Pagseguro Digital Ltd. – Class A *     (656,410
     

 

 

 
          Canada — (0.1)%  
    (8,200   Agnico Eagle Mines Ltd     (357,438
    (14,900   AltaGas Ltd     (215,078
     

 

 

 
    Total Canada     (572,516
     

 

 

 
          Denmark — (0.0)%  
    (2,968   Ambu A/S – Class B     (45,902
    (38   AP Moller – Maersk A/S – Class A     (38,604
    (521   Dfds A/S     (19,820
    (3,310   ISS A/S     (93,232
    (1,356   Jyske Bank A/S (Registered)     (51,276
    (282   Ringkjoebing Landbobank A/S     (18,562
     

 

 

 
    Total Denmark     (267,396
     

 

 

 
          France — (0.0)%  
    (397   Iliad SA     (45,818
     

 

 

 
          Germany — (0.1)%  
    (74,536   Deutsche Bank AG (Registered)     (505,470
     

 

 

 
          Israel — (0.0)%  
    (1,200   Tower Semiconductor Ltd *     (17,880
     

 

 

 
          Japan — (0.1)%  
    (45   AEON REIT Investment Corp (REIT)     (56,462
    (1,300   CyberAgent Inc     (49,704
    (32   Invincible Investment Corp (REIT)     (17,030
    (4,900   Japan Lifeline Co Ltd     (77,697
    (1,800   JGC Corp     (23,864
    (300   JINS Inc     (17,829
    (3,600   Kansai Paint Co Ltd     (67,780
    (16,900   Mitsui OSK Lines Ltd     (357,359
    (500   Nippon Paint Holdings Co Ltd     (19,638
    (3,500   Nippon Yusen KK     (52,606
    

    
Shares

    Description   Value ($)  
    Japan — continued

 

    (28,500   Orient Corp     (29,263
    (1,200   Round One Corp     (17,745
    (1,300   Sysmex Corp     (89,874
    (200   Universal Entertainment Corp     (5,819
    (1,600   Welcia Holdings Co Ltd     (55,963
     

 

 

 
    Total Japan     (938,633
     

 

 

 
          Netherlands — (0.0)%  
    (13,576   Altice Europe NV – Class B *     (41,401
     

 

 

 
          Peru — (0.0)%  
    (6,400   Southern Copper Corp.     (215,872
     

 

 

 
          Portugal — (0.0)%  
    (24,736   CTT-Correios de Portugal SA     (64,098
     

 

 

 
          Spain — (0.0)%  
    (25   Bolsas y Mercados Espanoles SHMSF SA     (655
    (18   Masmovil Ibercom SA *     (401
     

 

 

 
    Total Spain     (1,056
     

 

 

 
          Switzerland — (0.0)%  
    (239   Dufry AG (Registered) *     (19,562
    (5,393   LafargeHolcim Ltd (Registered) *     (257,869
     

 

 

 
    Total Switzerland     (277,431
     

 

 

 
          United Kingdom — (0.0)%  
    (1,894   Dechra Pharmaceuticals Plc     (65,198
    (21,376   G4S Plc     (56,469
    (11,257   Hochschild Mining Plc     (22,067
    (43,481   Melrose Industries Plc     (89,791
    (287   Rhi Magnesita NV     (17,358
    (12,669   TP ICAP Plc     (43,911
     

 

 

 
    Total United Kingdom     (294,794
     

 

 

 
          United States — (1.3)%  
    (9,000   Acacia Communications, Inc. *     (419,400
    (5,000   Aerie Pharmaceuticals, Inc. *     (182,100
    (3,200   Axalta Coating Systems Ltd. *     (75,232
    (100   Chipotle Mexican Grill, Inc. *     (65,997
    (29,400   Clovis Oncology, Inc. *     (434,532
    (100   CME Group, Inc.     (19,212
    (2,800   Copart, Inc. *     (200,144
    (38,025   Coty, Inc. – Class A     (469,229
    (2,600   Diamondback Energy, Inc.     (254,956
    (600   Digital Realty Trust, Inc. (REIT)     (70,632
    (6,600   Dollar Tree, Inc. *     (670,494
    (15,200   Incyte Corp. *     (1,195,176
    (29,700   Knight-Swift Transportation Holdings, Inc.     (820,908
    (900   Macerich Co. (The) (REIT)     (32,697
    (6,100   National Oilwell Varco, Inc.     (127,185
 


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2019 (Unaudited)

 

         
Shares
    Description   Value ($)  
    United States — continued

 

    (14,700   Nektar Therapeutics *     (460,404
    (400   RenaissanceRe Holdings Ltd.     (69,776
    (20,600   Roku, Inc. *     (1,862,240
    (10,400   Shake Shack, Inc. – Class A *     (638,040
    (127,868   Sirius XM Holdings, Inc.     (678,979
    (14,800   Square, Inc. – Class A *     (916,861
    (1,500   Tesla, Inc. *     (277,741
    (4,200   Wynn Resorts Ltd.     (450,787
    (14,800   Zayo Group Holdings, Inc. *     (483,961
     

 

 

 
    Total United States     (10,876,683
     

 

 

 
    TOTAL COMMON STOCKS
(PROCEEDS $15,300,892)
    (14,804,449
     

 

 

 
    TOTAL SECURITIES SOLD SHORT
(PROCEEDS $15,300,892)
    (14,804,449
    Other Assets and Liabilities (net) — (0.5%)     (4,432,182
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $870,105,721  
     

 

 

 
 

 

A summary of outstanding financial instruments at May 31, 2019 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 1.00%
  MORD     USD       1,353,803     05/18/2020     Monthly             5,703       5,703  

Total Return on Equity Basket (g)

   1 Month Federal Funds
Rate minus 2.38%
  MORD     USD       32,708     05/18/2020     Monthly             2,394       2,394  

Total Return on Equity Basket (g)

   1 Month Federal Funds
Rate minus 1.75%
  MORD     USD       743,726     05/18/2020     Monthly             (14,281     (14,281

Total Return on Equity Basket (g)

   1 Month Federal Funds
Rate minus 0.40%
  MORD     USD       1,042,142     05/18/2020     Monthly             (38,339     (38,339

Total Return on Equity Basket (g)

   1 Month Federal Funds
Rate minus 1.06%
  MORD     USD       288,324     05/18/2020     Monthly             (344     (344

Total Return on Equity Basket (g)

   1 Month Federal Funds
Rate minus 0.40%
  MORD     USD       183,930     03/18/2021     Monthly             (683     (683
              

 

 

   

 

 

   

 

 

 
  $     $ (45,550   $ (45,550
 

 

 

   

 

 

   

 

 

 

As of May 31, 2019, 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.


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2019 (Unaudited)

 

 

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

 

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

 

*

Non-income producing security.

 

(a)

All or a portion of this security is out on loan.

 

(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.

 

(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.

 

(d)

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

 

(e)

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

 

(f)

The rate disclosed is the 7 day net yield as of May 31, 2019.

 

(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.

Counterparty Abbreviations:

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

 


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. 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. As of May 31, 2019, 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) ($)
 

Alpha Only Fund

    89,645,546       2,623,632       (9,998,784)       (7,375,152)       366,865  

Consolidated Alternative Allocation Fund

    158,595,748       2,264,826       (5,750,630)       (3,485,804)       1,322,770  

Benchmark-Free Allocation Fund

    10,881,544,575       44,822,545       (244,145,744)       (199,323,199)        

Benchmark-Free Fund

    2,900,232,577       142,037,055       (197,601,212)       (55,564,157)       786,489  

Global Asset Allocation Fund

    1,853,400,671       29,187,978       (140,692,291)       (111,504,313)        

Global Developed Equity Allocation Fund

    472,382,724       10,077,422       (51,415,787)       (41,338,365)        

Global Equity Allocation Fund

    1,714,193,760       25,552,220       (228,013,568)       (202,461,348)        

Consolidated Implementation Fund

    8,538,253,492       408,271,579       (744,314,525)       (336,042,946)       10,800,064  

International Developed Equity Allocation Fund

    672,809,463       4,190,158       (143,601,575)       (139,411,417)        

International Equity Allocation Fund

    1,005,323,780       14,951,871       (159,305,365)       (144,353,494)        

Consolidated SGM Major Markets Fund

    1,130,779,150       99,401,896       (89,016,045)       10,385,851       (6,217,915)  

Consolidated Special Opportunities Fund

    273,023,448       98,938,907       (21,794,530)       77,144,377        

Strategic Opportunities Allocation Fund

    900,901,106       31,434,927       (57,798,130)       (26,363,203)       (45,550)  

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2019 is set forth below:

 

               
Affiliate   Value,
beginning of
period
    Purchases     Sales
Proceeds
    Dividend
Income*
    Net
Realized
Gain (Loss)
    Net Increase/
Decrease in
Unrealized
Appreciation/
Depreciation
    Value, end of
period
 

Alpha Only Fund

 

GMO U.S. Treasury Fund

  $ 19,030,041     $ 13,570,215     $ 28,963,680     $ 20,548     $     $     $ 3,636,576  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Consolidated Alternative Allocation Fund

 

GMO Alpha Only Fund, Class IV

  $     $ 16,120,000     $     $     $     $ (49,907   $ 16,070,093  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Benchmark-Free Allocation Fund

 

GMO Emerging Country Debt Fund, Class IV

  $ 455,898,632     $ 786,827     $ 37,679,353     $     $ (1,617,138   $ 8,158,417     $ 425,547,385  

GMO High Yield Fund, Class VI

    149,579,077                               1,628,273       151,207,350  

GMO Implementation Fund

    8,726,210,310       39,352,281       395,452,748             526,347       (107,142,652     8,263,493,538  

GMO Opportunistic Income Fund, Class VI

    551,229,863       16,019,929       44,890,557             3,666,387       6,551,407       532,577,029  

GMO Risk Premium Fund, Class VI

    286,420,244       594,704       22,644,479             25,281       41,205       264,436,955  

GMO SGM Major Markets Fund, Class VI

    840,481,004             54,281,871             3,169,943       636,820       790,005,896  

GMO Special Opportunities Fund, Class VI

    294,753,740       2,350,834       37,084,442             474,237       (11,886,528     248,607,841  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 11,304,572,870     $ 59,104,575     $ 592,033,450     $     $ 6,245,057     $ (102,013,058   $ 10,675,875,994  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         


               
Affiliate   Value,
beginning of
period
    Purchases     Sales
Proceeds
    Dividend
Income*
    Net
Realized
Gain (Loss)
    Net Increase/
Decrease in
Unrealized
Appreciation/
Depreciation
    Value, end of
period
 

Benchmark-Free Fund

 

GMO Emerging Country Debt Fund, Class IV

  $ 152,403,763     $     $ 26,000,000     $     $ (912,998   $ 2,898,757     $ 128,389,522  

GMO Emerging Markets Fund, Class VI

    382,252,830             35,500,000             3,074,756       (12,512,432     337,315,154  

GMO Opportunistic Income Fund, Class VI

    187,691,229             7,127,000             658,095       2,807,042       184,029,366  

GMO Risk Premium Fund, Class VI

    111,153,978             20,563,000             (113,399     208,857       90,686,436  

GMO SGM Major Markets Fund, Class VI

    134,030,636             6,225,000             420,266       52,381       128,278,283  

GMO Special Opportunities Fund, Class VI

    109,380,816             15,700,000             369,003       (5,186,722     88,863,097  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 1,076,913,252     $     $ 111,115,000     $     $ 3,495,723     $ (11,732,117   $ 957,561,858  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Global Asset Allocation Fund

 

GMO Alpha Only Fund, Class IV

  $ 55,140,779     $     $ 35,156,021     $     $ (7,138,200   $ 5,107,250     $ 17,953,808  

GMO Alternative Allocation Fund, Class VI

          161,156,171                         (966,937     160,189,234  

GMO Asset Allocation Bond Fund, Class VI

    227,286,993             54,869,148             (7,416,057     14,996,560       179,998,348  

GMO Core Plus Bond Fund, Class IV

    282,224,826       499,000       24,241,179             (177,713     12,476,002       270,780,936  

GMO Emerging Country Debt Fund, Class IV

    65,866,747             3,198,103             (105,310     1,082,875       63,646,209  

GMO Emerging Markets Fund, Class VI

    358,618,059       1,666,336       25,030,161             2,370,118       (10,867,851     326,756,501  

GMO International Equity Fund, Class IV

    410,667,438       4,594,971       29,762,394             (6,781,888     (7,730,873     370,987,254  

GMO Opportunistic Income Fund, Class VI

    36,987,265             1,139,566             62,755       629,162       36,539,616  

GMO Quality Fund, Class VI

    140,373,291             5,115,150             546,375       1,429,392       137,233,908  

GMO Risk Premium Fund, Class VI

    48,646,796             31,892,974             (81,580     848,202       17,520,444  

GMO SGM Major Markets Fund, Class VI

    57,183,044             58,772,599             3,049,584       (1,460,029      

GMO U.S. Equity Fund, Class VI

    143,172,153             6,587,498             (594,699     (4,004,929     131,985,027  

GMO U.S. Treasury Fund

    83,433,020       18,968,617       74,351,830       300,206       (1,913     1,913       28,049,807  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 1,909,600,411     $ 186,885,095     $ 350,116,623     $ 300,206     $ (16,268,528   $ 11,540,737     $ 1,741,641,092  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Global Developed Equity Allocation Fund

 

GMO Emerging Markets Fund, Class VI

  $ 45,675,429     $     $ 1,222,856     $     $ 140,529     $ (1,386,858   $ 43,206,244  

GMO International Equity Fund, Class IV

    212,821,229             3,440,097             (329,519     (8,087,188     200,964,425  

GMO Quality Fund, Class VI

    91,967,553                               1,155,786       93,123,339  

GMO U.S. Equity Fund, Class VI

    97,294,103             354,623             (42,789     (3,328,398     93,568,293  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 447,758,314     $     $ 5,017,576     $     $ (231,779   $ (11,646,658   $ 430,862,301  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Global Equity Allocation Fund

 

GMO Emerging Markets Fund, Class VI

  $ 432,155,290     $     $ 4,197,503     $     $ 56,501     $ (11,978,042   $ 416,036,246  

GMO International Equity Fund, Class IV

    677,968,641             32,459,638             (10,030,638     (16,275,910     619,202,455  

GMO Quality Fund, Class VI

    237,080,031             26,538,230             2,260,912       1,200,820       214,003,533  

GMO U.S. Equity Fund, Class VI

    290,040,276       398,685       18,847,329             (2,623,248     (7,019,273     261,949,111  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 1,637,244,238     $ 398,685     $ 82,042,700     $     $ (10,336,473   $ (34,072,405   $ 1,511,191,345  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

International Developed Equity Allocation Fund

 

GMO Emerging Markets Fund, Class VI

  $ 57,057,016     $ 2,059,738     $ 3,071,840     $     $ 340,021     $ (1,859,623   $ 54,525,312  

GMO International Equity Fund, Class IV

    515,607,672       7,948,294       25,297,880             (5,278,308     (14,429,672     478,550,106  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 572,664,688     $ 10,008,032     $ 28,369,720     $     $ (4,938,287   $ (16,289,295   $ 533,075,418  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

International Equity Allocation Fund

 

GMO Emerging Markets Fund, Class VI

  $ 322,997,438     $     $ 10,697,190     $     $ 940,681     $ (9,429,856   $ 303,811,073  

GMO International Equity Fund, Class IV

    606,692,593             26,919,661             (5,180,208     (17,752,689     556,840,035  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 929,690,031     $     $ 37,616,851     $     $ (4,239,527   $ (27,182,545   $ 860,651,108  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Consolidated Special Opportunities Fund

 

Eventbrite, Inc. – Class A

  $   $     $ 1,200,055     $     $ (80,978   $ (11,821,167   $ ## 

Jagercor Energy Corp

    45,594                               (1,202     44,392  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 45,594     $     $ 1,200,055     $     $ (80,978   $ (11,822,369   $ 44,392  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         


               
Affiliate   Value,
beginning of
period
    Purchases     Sales
Proceeds
    Dividend
Income*
    Net
Realized
Gain (Loss)
    Net Increase/
Decrease in
Unrealized
Appreciation/
Depreciation
    Value, end of
period
 

Strategic Opportunities Allocation Fund

 

GMO Core Plus Bond Fund, Class IV

  $ 90,334,045     $     $ 2,484,421     $     $ 35,183     $ 4,063,065     $ 91,947,872  

GMO Emerging Country Debt Fund, Class IV

    31,398,277             1,276,201             (22,947     494,188       30,593,317  

GMO Emerging Markets Fund, Class VI

    206,302,480             4,598,062             481,517       (6,171,226     196,014,709  

GMO International Equity Fund, Class IV

    228,072,858                               (9,104,929     218,967,929  

GMO Opportunistic Income Fund, Class VI

    23,830,200                               454,602       24,284,802  

GMO Quality Fund, Class VI

    80,218,024             16,031,568             1,024,507       (48,902     65,162,061  

GMO U.S. Equity Fund, Class VI

    48,300,438             14,233,671             (1,919,936     644,480       32,791,311  

GMO U.S. Treasury Fund

    24,214,549       20,049,765       21,574,000       125,758                   22,690,314  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 732,670,871     $ 20,049,765     $ 60,197,923     $ 125,758     $ (401,676   $ (9,668,722   $ 682,452,315  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

 

  *

The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through May 31, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

  #

Security not an affiliate at the beginning of the period.

  ##

No longer an affiliate at period end.

GMO Alternative Allocation Fund commenced operations on May 1, 2019.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Alternative Allocation SPC Ltd., Implementation SPC Ltd., Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.

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. 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 of GMO Trust (“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 May 31, 2019, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

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 and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; 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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.


The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2019:

 

         
Description   Level 1     Level 2     Level 3     Total  

Alpha Only Fund

         
Asset Valuation Inputs                        

Common Stocks

         

Australia

  $     $ 931,293     $     $ 931,293  

Austria

          63,271             63,271  

Belgium

          40,599             40,599  

Brazil

          2,467,165             2,467,165  

China

    59,330       7,858,552             7,917,882  

Denmark

          19,264             19,264  

Finland

          175,999             175,999  

France

          1,260,199             1,260,199  

Germany

          1,870,643             1,870,643  

Greece

                0 §      0 § 

Hong Kong

          268,907             268,907  

Hungary

          37,602             37,602  

India

          1,527,020             1,527,020  

Indonesia

          26,616             26,616  

Ireland

          4,383             4,383  

Israel

          153,490             153,490  

Italy

    22,716       1,016,449             1,039,165  

Japan

          5,590,059             5,590,059  

Malaysia

          38,228       0 §      38,228  

Mexico

    607,251                   607,251  

Netherlands

          956,999             956,999  

New Zealand

          16,099             16,099  

Norway

          740,159             740,159  

Poland

          90,574             90,574  

Portugal

          127,510             127,510  

Russia

          1,243,838             1,243,838  

Singapore

          108,796             108,796  

South Africa

          1,830,363             1,830,363  

South Korea

    411,171       2,718,049             3,129,220  

Spain

          899,293             899,293  

Sweden

          891,872             891,872  

Switzerland

          385,062             385,062  

Taiwan

          3,219,539             3,219,539  

Thailand

          1,011,418             1,011,418  

Turkey

          512,586             512,586  

United Kingdom

    897,804       3,341,541             4,239,345  

United States

    26,551,526                   26,551,526  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    28,549,798       41,443,437       0 §      69,993,235  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          121,052             121,052  

Colombia

    674                   674  

Germany

          150,082             150,082  

South Korea

          352,960             352,960  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    674       624,094             624,768  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    7,497,095                   7,497,095  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    7,497,095                   7,497,095  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Spain

    348                   348  

Thailand

    98                   98  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

    446                   446  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    3,636,576                   3,636,576  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    3,636,576                   3,636,576  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Alpha Only Fund (continued)

         

Asset Valuation Inputs (continued)

         

Short-Term Investments

  $ 518,274     $     $     $ 518,274  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    40,202,863       42,067,531       0 §      82,270,394  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          128,725             128,725  

Futures Contracts

         

Equity Risk

    479,394                   479,394  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 40,682,257     $ 42,196,256     $     $ 82,878,513  
   

 

 

   

 

 

   

 

 

   

 

 

 
           

Liability Valuation Inputs

         

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ (241,254   $     $ (241,254
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Consolidated Alternative Allocation Fund

         

Asset Valuation Inputs

         

Common Stocks

         

United States

  $ 36,509,869     $     $     $ 36,509,869  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    36,509,869                   36,509,869  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

United States

    5,333,920                   5,333,920  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    5,333,920                   5,333,920  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    59,884,737                   59,884,737  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    59,884,737                   59,884,737  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    16,070,093                   16,070,093  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    16,070,093                   16,070,093  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    466,235       61,019,700             61,485,935  

Purchased Options

    19,120                   19,120  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    118,283,974       61,019,700             179,303,674  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          970,491             970,491  

Futures Contracts

         

Equity Risk

    841,305       132,245             973,550  

Interest Rate Risk

    33,348                   33,348  

Swap Contracts

         

Interest Rate Risk

          3,008,306             3,008,306  

Physical Commodity Contract Risk

          16,989             16,989  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 119,158,627     $ 65,147,731     $     $ 184,306,358  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

         

Common Stocks

         

China

  $ (4,599,745   $     $     $ (4,599,745

United States

    (19,593,985                 (19,593,985
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (24,193,730                 (24,193,730
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          (499,975           (499,975

Futures Contracts

         

Equity Risk

    (525,278     (582,151           (1,107,429

Interest Rate Risk

    (279,299                 (279,299
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Consolidated Alternative Allocation Fund (continued)

 

     

Liability Valuation Inputs (continued)

         

Written Options

         

Equity Risk

  $ (1,283,534   $ (133,886   $     $ (1,417,420

Swap Contracts

         

Interest Rate Risk

          (1,310,666           (1,310,666
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (26,281,841   $ (2,526,678   $     $ (28,808,519
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Benchmark-Free Allocation Fund

         

Asset Valuation Inputs

         

Mutual Funds

  $ 10,675,875,994     $     $     $ 10,675,875,994  

Short-Term Investments

    6,345,382                   6,345,382  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 10,682,221,376     $     $     $ 10,682,221,376  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Benchmark-Free Fund

         

Asset Valuation Inputs

         

Common Stocks

         

Australia

  $     $ 26,647,795     $     $ 26,647,795  

Austria

          1,084,960             1,084,960  

Belgium

          3,808,377             3,808,377  

Brazil

    807,437       53,723,124             54,530,561  

Canada

    42,967,669                   42,967,669  

Chile

    76,704       26,233             102,937  

China

    1,670,992       172,287,047             173,958,039  

Colombia

    538,926                   538,926  

Czech Republic

          28,059             28,059  

Denmark

    2,397,760       2,589,393             4,987,153  

Finland

          11,158,515             11,158,515  

France

    5,208,914       52,902,760             58,111,674  

Germany

          49,410,695             49,410,695  

Greece

                0 §      0 § 

Hong Kong

          9,750,377             9,750,377  

Hungary

          1,049,455             1,049,455  

India

    297,258       33,913,130             34,210,388  

Indonesia

          1,413,064             1,413,064  

Ireland

    1,244,273       17,914             1,262,187  

Israel

          1,692,782             1,692,782  

Italy

    4,143,146       22,633,603             26,776,749  

Japan

          157,879,415             157,879,415  

Malaysia

          1,691,665             1,691,665  

Mexico

    15,557,498                   15,557,498  

Netherlands

    2,426,520       34,277,405             36,703,925  

New Zealand

          1,101,832             1,101,832  

Norway

          20,451,715             20,451,715  

Pakistan

          275,882             275,882  

Philippines

          923,043             923,043  

Poland

          6,381,826             6,381,826  

Portugal

          3,095,072             3,095,072  

Qatar

          1,286,342             1,286,342  

Russia

    248,140       53,927,275             54,175,415  

Singapore

          5,258,539             5,258,539  

South Africa

          39,480,407             39,480,407  

South Korea

    7,098,470       55,073,777             62,172,247  

Spain

          29,861,299             29,861,299  

Sweden

          32,120,684             32,120,684  

Switzerland

    34,542       30,495,614             30,530,156  

Taiwan

    3,667,871       71,964,929             75,632,800  

Thailand

          11,195,722             11,195,722  

Turkey

          19,336,957             19,336,957  

United Arab Emirates

          464,692             464,692  

United Kingdom

    8,936,462       92,150,378             101,086,840  
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Benchmark-Free Fund (continued)

         

Asset Valuation Inputs (continued)

         

United States

  $ 143,260,708     $     $     $ 143,260,708  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    240,583,290       1,112,831,753       0 §      1,353,415,043  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          5,475,569             5,475,569  

Colombia

    36,343                   36,343  

Germany

          2,452,057             2,452,057  

Russia

          3,795,801             3,795,801  

South Korea

          11,180,231             11,180,231  

Sweden

          86,184             86,184  

Taiwan

                29,365       29,365  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    36,343       22,989,842       29,365       23,055,550  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Singapore

                65       65  

Spain

    14,034                   14,034  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

    14,034             65       14,099  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

United States

    635,515                   635,515  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    635,515                   635,515  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

          403,439,320             403,439,320  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

          403,439,320             403,439,320  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    957,561,858                   957,561,858  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    957,561,858                   957,561,858  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    7,175,688       131,319,166             138,494,854  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    1,206,006,728       1,670,580,081       29,430       2,876,616,239  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          411,758             411,758  

Futures Contracts

         

Equity Risk

    1,465,511                   1,465,511  

Swap Contracts

         

Equity Risk

          38,644             38,644  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,207,472,239     $ 1,671,030,483     $ 29,430     $ 2,878,532,152  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

         

Common Stocks

         

Austria

  $     $ (218,498   $     $ (218,498

Brazil

    (5,182,722                 (5,182,722

Canada

    (3,696,985                 (3,696,985

Denmark

          (2,443,732           (2,443,732

France

          (394,727           (394,727

Germany

    (662,592     (1,594,935           (2,257,527

Israel

    (344,190                 (344,190

Italy

          (2,862,534           (2,862,534

Japan

          (7,373,363           (7,373,363

Netherlands

    (1,083,537                 (1,083,537

Norway

          (33,982           (33,982

Peru

    (613,886                 (613,886

Singapore

          (97,079           (97,079

Spain

          (812,498           (812,498

Sweden

    (1,167,894                 (1,167,894

Switzerland

          (775,987           (775,987

United Kingdom

          (2,588,659           (2,588,659

United States

    (19                 (19
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (12,751,825     (19,195,994           (31,947,819
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Benchmark-Free Fund (continued)

         

Liability Valuation Inputs (continued)

         

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ (837,023   $     $ (837,023

Futures Contracts

         

Equity Risk

    (101,132                 (101,132

Swap Contracts

         

Equity Risk

          (191,269           (191,269
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (12,852,957   $ (20,224,286   $     $ (33,077,243
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Global Asset Allocation Fund

         

Asset Valuation Inputs

         

Mutual Funds

  $ 1,741,641,092     $     $     $ 1,741,641,092  

Debt Obligations

         

Asset-Backed Securities

          46,121             46,121  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

          46,121             46,121  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    209,145                   209,145  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 1,741,850,237     $ 46,121     $     $ 1,741,896,358  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Global Developed Equity Allocation Fund

         

Asset Valuation Inputs

         

Mutual Funds

  $ 430,862,301     $     $     $ 430,862,301  

Short-Term Investments

    182,058                   182,058  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 431,044,359     $     $     $ 431,044,359  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Global Equity Allocation Fund

         

Asset Valuation Inputs

         

Mutual Funds

  $ 1,511,191,345     $     $     $ 1,511,191,345  

Short-Term Investments

    541,067                   541,067  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 1,511,732,412     $     $     $ 1,511,732,412  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Consolidated Implementation Fund

         

Asset Valuation Inputs

         

Common Stocks

         

Australia

  $     $ 90,920,669     $     $ 90,920,669  

Austria

          6,876,286             6,876,286  

Belgium

          10,014,340             10,014,340  

Brazil

    5,927,110       170,858,817             176,785,927  

Canada

    137,295,743                   137,295,743  

Chile

    404,294                   404,294  

China

    19,429,009       855,544,832             874,973,841  

Colombia

    1,578,935                   1,578,935  

Czech Republic

          378,079             378,079  

Denmark

    7,226,320       6,948,086             14,174,406  

Finland

          35,801,064             35,801,064  

France

    12,896,760       172,144,287             185,041,047  

Germany

          157,719,241             157,719,241  

Greece

          144,007             144,007  

Hong Kong

          27,945,834             27,945,834  

Hungary

          3,230,496             3,230,496  

India

    899,396       113,259,553             114,158,949  

Indonesia

          9,988,375             9,988,375  

Ireland

    4,583,052       139,343             4,722,395  

Israel

    307,670       4,437,698             4,745,368  

Italy

    12,973,663       85,757,905             98,731,568  

Japan

          544,487,079             544,487,079  

Malaysia

          4,658,662             4,658,662  

Mexico

    50,655,276                   50,655,276  
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Consolidated Implementation Fund (continued)

 

       

Asset Valuation Inputs (continued)

         

Netherlands

  $ 6,465,180     $ 114,660,794     $     $ 121,125,974  

New Zealand

          1,977,625             1,977,625  

Norway

          68,043,141             68,043,141  

Pakistan

    53,752       4,754,649             4,808,401  

Philippines

          8,693,188             8,693,188  

Poland

          68,560,892             68,560,892  

Portugal

          9,637,339             9,637,339  

Qatar

          25,136,230             25,136,230  

Russia

    2,894,587       352,284,333             355,178,920  

Singapore

          25,298,825             25,298,825  

South Africa

          195,586,600             195,586,600  

South Korea

    21,027,147       204,087,104             225,114,251  

Spain

    6,241,607       99,169,519             105,411,126  

Sweden

          108,400,021       130,131       108,530,152  

Switzerland

    116,731       104,076,834             104,193,565  

Taiwan

    33,415,237       419,235,978             452,651,215  

Thailand

          49,341,843             49,341,843  

Turkey

    352,440       182,206,639             182,559,079  

United Arab Emirates

          6,295,986             6,295,986  

United Kingdom

    49,895,608       297,144,410             347,040,018  

United States

    1,055,670,260       1,079,508       18,615,578       1,075,365,346  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    1,430,309,777       4,646,926,111       18,745,709       6,095,981,597  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          17,977,091             17,977,091  

Colombia

    344,962                   344,962  

Germany

          10,238,066             10,238,066  

Russia

          25,985,933             25,985,933  

South Korea

          38,311,321       7,462       38,318,783  

Sweden

          558,855             558,855  

Taiwan

                408,660       408,660  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    344,962       93,071,266       416,122       93,832,350  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Spain

    46,192                   46,192  

United States

                130,841       130,841  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

    46,192             130,841       177,033  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

United States

    63,974,531                   63,974,531  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    63,974,531                   63,974,531  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

Italy

          3,275,599             3,275,599  

Jamaica

          6,152,512             6,152,512  

Luxembourg

                7,205,018       7,205,018  

Puerto Rico

          14,680,244             14,680,244  

Saint Lucia

                4,910,041       4,910,041  

United Kingdom

          1,372,500             1,372,500  

United States

    423,721,019       1,385,566,157       92,951,469       1,902,238,645  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    423,721,019       1,411,047,012       105,066,528       1,939,834,559  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    104,890,326       282,884,061             387,774,387  

Purchased Options

    239,000                   239,000  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    2,023,525,807       6,433,928,450       124,359,200       8,581,813,457  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          7,831,791             7,831,791  

Futures Contracts

         

Equity Risk

    6,827,147                   6,827,147  

Swap Contracts

         

Credit Risk

          30,170             30,170  
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Consolidated Implementation Fund (continued)

 

       

Asset Valuation Inputs (continued)

         

Equity Risk

  $     $ 83,132     $     $ 83,132  

Interest Rate Risk

          18,386,527             18,386,527  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

    2,030,352,954       6,460,260,070       124,359,200       8,614,972,224  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

         

Common Stocks

         

Austria

          (596,816           (596,816

Belgium

          (30,323           (30,323

Brazil

    (16,834,360                 (16,834,360

Canada

    (11,019,885                 (11,019,885

China

    (53,379,705                 (53,379,705

Denmark

          (7,200,457           (7,200,457

France

          (3,698,005           (3,698,005

Germany

    (1,386,112     (6,626,195           (8,012,307

Israel

    (940,190                 (940,190

Italy

          (8,098,711           (8,098,711

Japan

          (21,808,611           (21,808,611

Netherlands

    (2,867,319                 (2,867,319

Peru

    (1,909,118                 (1,909,118

Singapore

          (208,007           (208,007

Spain

          (1,173,773           (1,173,773

Sweden

    (2,787,876                 (2,787,876

Switzerland

          (1,344,210           (1,344,210

United Kingdom

          (9,488,312           (9,488,312

United States

    (203,136,849                 (203,136,849
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (294,261,414     (60,273,420           (354,534,834
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

          (25,068,077           (25,068,077

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          (10,146,964           (10,146,964

Futures Contracts

         

Equity Risk

    (1,353,020                 (1,353,020

Written Options

         

Equity Risk

    (9,745,690                 (9,745,690

Swap Contracts

         

Credit Risk

          (639,380           (639,380

Equity Risk

          (890,096           (890,096

Interest Rate Risk

          (7,723,603           (7,723,603
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (305,360,124   $ (104,741,540   $     $ (410,101,664
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

International Developed Equity Allocation Fund

 

       

Asset Valuation Inputs

         

Mutual Funds

  $ 533,075,418     $     $     $ 533,075,418  

Short-Term Investments

    322,628                   322,628  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 533,398,046     $     $     $ 533,398,046  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

International Equity Allocation Fund

 

     

Asset Valuation Inputs

         

Mutual Funds

  $ 860,651,108     $     $     $ 860,651,108  

Short-Term Investments

    319,178                   319,178  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 860,970,286     $     $     $ 860,970,286  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Consolidated SGM Major Markets Fund

 

     

Asset Valuation Inputs

         

Debt Obligations

         

U.S. Government

  $ 645,405,434     $     $     $ 645,405,434  

U.S. Government Agency

    227,833,531                   227,833,531  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    873,238,965                   873,238,965  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    96,749,380       171,176,656             267,926,036  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    969,988,345       171,176,656             1,141,165,001  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          6,881,473             6,881,473  

Futures Contracts

         

Equity Risk

    1,775,099       4,728,524             6,503,623  

Interest Rate Risk

    1,125,256                   1,125,256  

Physical Commodity Contract Risk

    8,290,233                   8,290,233  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 981,178,933     $ 182,786,653     $     $ 1,163,965,586  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

         

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ (5,074,251   $     $ (5,074,251

Futures Contracts

         

Equity Risk

    (4,918,908     (3,787,773           (8,706,681

Interest Rate Risk

    (6,947,335                 (6,947,335

Physical Commodity Contract Risk

    (6,485,710                 (6,485,710
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (18,351,953   $ (8,862,024   $     $ (27,213,977
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Consolidated Special Opportunities Fund

 

     

Asset Valuation Inputs

         

Common Stocks

         

Canada

  $     $     $ 44,392     $ 44,392  

Netherlands

    16,953,300                   16,953,300  

Sweden

    2,742,667                   2,742,667  

United Kingdom

          17,107,045             17,107,045  

United States

    259,311,288                   259,311,288  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    279,007,255       17,107,045       44,392       296,158,692  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    20,827,734                   20,827,734  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    20,827,734                   20,827,734  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    33,181,399                   33,181,399  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 333,016,388     $ 17,107,045     $ 44,392     $ 350,167,825  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Strategic Opportunities Allocation Fund

 

     

Asset Valuation Inputs

         

Common Stocks

         

Australia

  $     $ 517,530     $     $ 517,530  

Belgium

          32,841             32,841  

Brazil

          2,737,961             2,737,961  

Canada

    543,607                   543,607  

China

          4,425,441             4,425,441  

Denmark

    415,360                   415,360  

France

    339,548       1,898,056             2,237,604  

Germany

          579,697             579,697  

Hong Kong

          182,702             182,702  

India

    99,086       220,497             319,583  

Ireland

    31,350                   31,350  

Italy

    271,330       1,116,714             1,388,044  

Japan

          6,682,152             6,682,152  

Luxembourg

    15,822                   15,822  
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Strategic Opportunities Allocation Fund (continued)

 

       

Asset Valuation Inputs (continued)

         

Malta

  $     $     $ 0 §    $ 0 § 

Mexico

    33,900                   33,900  

Netherlands

          999,275             999,275  

Norway

          595,729             595,729  

Philippines

          14,562             14,562  

Portugal

          128,803             128,803  

Russia

          851,128             851,128  

Singapore

          39,416             39,416  

South Africa

          888,752             888,752  

South Korea

    771,987       1,138,449             1,910,436  

Spain

          1,287,753             1,287,753  

Sweden

          2,042,491             2,042,491  

Switzerland

          288,141             288,141  

Taiwan

          1,536,788             1,536,788  

Turkey

          167,409             167,409  

United Kingdom

    128,279       4,199,948             4,328,227  

United States

    101,561,749                   101,561,749  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    104,212,018       32,572,235       0 §      136,784,253  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Germany

          28,588             28,588  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          28,588             28,588  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Spain

    819                   819  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

    819                   819  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

          68,798,036             68,798,036  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

          68,798,036             68,798,036  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    682,452,315                   682,452,315  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    682,452,315                   682,452,315  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    1,278,341                   1,278,341  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    787,943,493       101,398,859       0 §      889,342,352  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Swap Contracts

         

Equity Risk

          8,097             8,097  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 787,943,493     $ 101,406,956     $ 0 §    $ 889,350,449  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

         

Common Stocks

         

Austria

  $     $ (28,991   $     $ (28,991

Brazil

    (656,410                 (656,410

Canada

    (572,516                 (572,516

Denmark

          (267,396           (267,396

France

          (45,818           (45,818

Germany

          (505,470           (505,470

Israel

    (17,880                 (17,880

Japan

          (938,633           (938,633

Netherlands

          (41,401           (41,401

Peru

    (215,872                 (215,872

Portugal

          (64,098           (64,098

Spain

          (1,056           (1,056

Switzerland

          (277,431           (277,431

United Kingdom

          (294,794           (294,794

United States

    (10,876,683                 (10,876,683
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (12,339,361     (2,465,088           (14,804,449
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 


         
Description   Level 1     Level 2     Level 3     Total  

Strategic Opportunities Allocation Fund (continued)

 

       

Liability Valuation Inputs (continued)

         

Derivatives^

         

Swap Contracts

         

Equity Risk

  $     $ (53,647   $     $ (53,647
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (12,339,361   $ (2,518,735   $     $ (14,858,096
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

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). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options and rights/warrants, if any, which are included in investments.

  §

Represents the interest in securities that were determined to have a value of zero at May 31, 2019.

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’ portfolio valuation notes which are available on the Securities and Exchange Commission’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). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor), there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2019.

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,
2019
    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
May 31,
2019
    Net Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held as of
May 31, 2019
 

Alpha Only Fund

 

                   

Common Stocks

                     

India

  $ 8,854     $     $     $     $     $ 1,909     $     $ (10,763 )‡    $     $  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 8,854     $     $     $     $     $ 1,909     $     $ (10,763   $     $  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 

Benchmark-Free Fund

 

             

Common Stocks

                     

India

  $ 24,669     $     $     $     $     $ 5,319     $     $ (29,988 )‡    $     $  

Preferred Stocks

                     

Taiwan

                                        29,365 ‡            29,365        

Rights/Warrants

                     

Singapore

                                  65                   65       65  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 24,669     $     $     $     $     $ 5,384     $ 29,365     $ (29,988   $ 29,430     $ 65  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 

Consolidated Implementation Fund

 

             

Common Stocks

                     

Sweden

  $ 133,660     $     $     $     $     $ (3,529   $     $     $ 130,131     $ (3,529

United States

    18,574,603       1,736,484                   (9     (1,695,500                 18,615,578       (1,695,500

Preferred Stocks

                     

South Korea

    9,731                               (2,269                 7,462       (2,269

Taiwan

                                        408,660 ‡            408,660        

Rights/Warrants

                     

United States

    130,841                                                 130,841        
                                                                                 


                     
     Balances
as of
February 28,
2019
    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
May 31,
2019
    Net Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held as of
May 31, 2019
 

Consolidated Implementation Fund (continued)

 

             

Debt Obligations

                     

Luxembourg

  $ 6,881,968     $     $ (22,380   $ 27,688     $     $ 317,742     $     $     $ 7,205,018     $ 317,742  

Saint Lucia

    4,785,000             (13,920     13,933             125,028                   4,910,041       125,028  

Spain

    2,611,123       56,155       (2,662,858     (29,223     46,599       (21,796                        

United States

    84,701,174       24,805,118       (15,591,277     244,535       442,599       (1,650,680                 92,951,469       (1,204,920
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 117,828,100     $ 26,597,757     $ (18,290,435 )#    $ 256,933     $ 489,189     $ (2,931,004   $ 408,660     $     $ 124,359,200     $ (2,463,448
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 

Consolidated Special Opportunities Fund

 

             

Common Stocks

                     

Canada

  $ 45,594     $     $     $     $     $ (1,202   $     $     $ 44,392     $ (1,202
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 45,594     $     $     $     $     $ (1,202   $     $     $ 44,392     $ (1,202
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 

 

 

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

  #

Includes $7,424,585 of proceeds received from partial calls and/or principal paydowns as applicable.

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 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.

Repurchase agreements

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

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which


generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of May 31, 2019, the Funds listed below had entered into reverse repurchase agreements.

 

     
Fund Name   Received from
reverse repurchase
agreements ($)
  Market value of
securities plus
accrued interest ($)

Implementation Fund

  2,922,149   2,878,160

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.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability. 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.

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, or by lending 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. The following table provides the value of securities on loan under this program as of May 31, 2019:

 

   
Fund Name  

Value of securities

on loan ($)

 

Consolidated Alternative Allocation Fund

    12,251,410  

Benchmark-Free Fund

    27,248,316  

Consolidated Implementation Fund

    90,222,108  

Strategic Opportunities Allocation Fund

    14,002,625  

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.

Recently-issued accounting guidance

In March 2017, the Financial Accounting Standards Board issued ASU 2017-08, Premium Amortization of Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities. Under this ASU, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features, and are callable at fixed prices, will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis. It is in effect for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018.

Investment and other risks

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

 

                           
     Alpha
Only Fund
  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
  Special
Opportunities
Fund
  Strategic
Opportunities
Allocation
Fund
Commodities Risk       X   X   X   X           X           X   X   X
Counterparty Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Credit Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Currency Risk   X   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   X   X
Focused Investment Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Fund of Funds Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Futures Contracts Risk       X   X   X   X                       X       X
Illiquidity Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Large Shareholder Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Leveraging Risk   X   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   X
Market Disruption and Geopolitical Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Market Risk – Asset-Backed Securities           X   X   X           X           X   X   X
Market Risk – Equities   X   X   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   X   X
Merger Arbitrage Risk           X                   X               X   X
Non-Diversified Funds   X   X   X   X   X   X   X   X   X   X   X   X   X
Non-U.S. Investment Risk   X   X   X   X   X   X   X   X   X   X   X   X   X
Small Company Risk   X   X   X   X   X   X   X   X   X   X       X   X


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

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

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

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

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

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions,


netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation 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 (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

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

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

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

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt instruments generally are


considered speculative and typically involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt instrument proves incorrect, a Fund is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

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

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

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

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

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

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.

Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation and exposes the Funds to the risk that the pricing models used do not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, there is a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of a Fund’s net asset value.


A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

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

Special tax rules apply to a Fund’s transactions in derivatives, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s derivative transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. See the Funds’ Prospectus and Statement of Additional Information for more information.

The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that GMO would be unable to implement a Fund’s investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are evolving, their impact on the Funds remains unclear.

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

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

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


intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

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

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to post in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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

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

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

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

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.


• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.

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

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

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds or a wholly-owned subsidiary) are exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds or a wholly-owned subsidiary are exposed.

Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) and the expenses of a wholly-owned subsidiary in which it invests, the Fund will incur additional expenses when investing in an Underlying Fund or wholly-owned subsidiary. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

Because some underlying GMO Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other mutual fund groups and therefore are subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

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

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk 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 the subject of the hedge.


A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund typically will have to sell other investments at disadvantageous times. A Fund also runs the risk of being unable to reenter or be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates could prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

Futures contracts traded on markets outside the United States are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

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

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

The Securities and Exchange Commission has adopted Rule 22e-4 under the 1940 Act, which requires each Fund to adopt a liquidity risk management program to assess and manage its illiquidity risk. Under its program, each Fund will be required to classify its investments into specific liquidity categories and monitor compliance with limits on investments on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. The Funds do not expect Rule 22e-4 to have a significant effect on investment operations. While the liquidity risk management program attempts to assess and manage illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.

Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.

A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund would temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, at disadvantageous prices to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment


discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds, adversely affecting the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests) reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund of the redemption request) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated.

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

For many Funds, GMO uses quantitative models as part of its investment process and in making investment decisions for those Funds. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, those models are based on assumptions that can limit their effectiveness, and they rely on data that is 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.

The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

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

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


The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in shutdowns of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). In March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union, which provided the United Kingdom with two years to negotiate an exit agreement with the European Union, with a deadline of March 29, 2019. On November 25, 2018, European Union leaders approved the terms of the United Kingdom’s withdrawal from the European Union, which the United Kingdom’s Parliament subsequently rejected. The European Union has agreed to delay the United Kingdom’s exit until October 31, 2019. While negotiations continue, it remains unclear whether a negotiated withdrawal agreement can be reached. If the United Kingdom leaves the European Union without finalizing agreements on trade, finance and other key elements, the withdrawal may lead to legal uncertainty and potentially divergent national laws and regulations as the United Kingdom determines which European Union laws to replicate or replace. The potential implications of a “no deal” scenario include a shrinking United Kingdom economy and far-reaching disruptions to world securities markets. Brexit has resulted in volatility in European and global markets and could have a negative long-term effect on financial markets in the United Kingdom and throughout Europe. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, natural and


environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

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

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income” 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 of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. 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. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. Asset-backed securities also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” for more information about credit risk.

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

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

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

The risk of investing in asset-backed securities has increased since 2008 because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business would likely have a material impact on the many asset-backed securities it services.


Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

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

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

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

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

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

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

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio investments when it would otherwise not do so, including at unfavorable prices. Moreover, fixed income investments will be difficult to value during such periods. During the last ten years, central banks and governmental financial regulators, including the U.S. Federal Reserve, kept interest rates historically low. However, more recently, the U.S. Federal Reserve has increased interest rates. A substantial increase in interest rates could have an adverse


effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

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

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

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.

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

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

 

   

Alpha Only Fund

   

Alternative Allocation Fund

   

Implementation Fund

   

SGM Major Markets Fund

   

Special Opportunities Fund

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not “diversified” investment companies under the 1940 Act. Each of the Funds may invest without limitation in GMO Funds that are not “diversified.”

NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets (particularly in emerging markets) often fluctuate more than those of U.S. securities. 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, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund.

A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or until GMO is confident that it will be received. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. For information on possible special Australian tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of Additional Information.


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

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

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

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

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

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

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

Derivative financial instruments

During the period ended May 31, 2019, only Alpha Only Fund, 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 Alpha Only Fund, Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, Special Opportunities 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.


Use of Derivatives by Alpha Only Fund and Consolidated Special Opportunities Fund

Alpha Only Fund’s investment program involves having both long and short investment exposures. Alpha Only Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that GMO expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.

The Funds may use derivatives to gain long or short 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, cross currency basis swaps and options) to gain exposure to a given currency. In addition, Special Opportunities Fund may use derivatives to gain investment exposure to commodities, including the use of exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets.

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 their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

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

Alpha Only Fund is not limited in the use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e. the Fund will be leveraged) and therefore is subject to heightened risk of loss. Alpha Only Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though they do not own those assets or indices.

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

Use of Derivatives by Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund

The Funds may use derivatives to gain long investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the 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 those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.


The 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 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 May 31, 2019, the following table shows how the Fund used these derivatives (marked with an X):

 

             
Type of Derivative and Objective for Use   Alpha Only
Fund
  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   X    

Manage against anticipated currency exchange rate changes

      X       X        
Futures contracts                        

Adjust exposure to certain securities markets

      X   X   X   X    

Substitute for direct investment

                  X    

Adjust interest rate exposure

      X           X    

Maintain the diversity and liquidity of the portfolio

      X   X   X   X    

Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests

  X                    
Options (Purchased)                        

Substitute for direct equity investment

      X       X        
Options (Written)                        

Substitute for direct equity investment

      X       X        
Swap contracts                        

Adjust interest rate exposure

      X       X        

Substitute for direct investment in securities

      X   X   X       X

Achieve exposure to a reference entity’s credit

              X        
Rights and/or warrants                        

Received as a result of corporate actions

  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. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

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

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

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

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss. 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.

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. Gains or losses are realized upon


the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

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

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

***

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of May 31, 2019:

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

 

               
     Credit
Contracts
    Commodity
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Alpha Only Fund

 

Asset Derivatives

 

Investments, at value (rights and/or warrants)

  $     $     $ 446     $     $     $     $ 446  

Unrealized Appreciation on Forward Currency Contracts

                      128,725                   128,725  

Unrealized Appreciation on Futures Contracts

                479,394                         479,394  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ 479,840     $ 128,725     $     $     $ 608,565  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (241,254   $     $     $ (241,254
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $     $ (241,254   $     $     $ (241,254
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Consolidated Alternative Allocation Fund

 

Asset Derivatives

 

Investments, at value (purchased options)

  $     $     $ 19,120     $     $     $     $ 19,120  

Unrealized Appreciation on Forward Currency Contracts

                      970,491                   970,491  

Unrealized Appreciation on Futures Contracts

                973,550             33,348             1,006,898  

Swap Contracts, at value

          16,989                   3,008,306             3,025,295  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 16,989     $ 992,670     $ 970,491     $ 3,041,654     $     $ 5,021,804  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (499,975   $     $     $ (499,975

Unrealized Depreciation on Futures Contracts

                (1,107,429           (279,299           (1,386,728

Written Options, at value

                (1,417,420                       (1,417,420

Swap Contracts, at value

                            (1,310,666           (1,310,666
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (2,524,849   $ (499,975   $ (1,589,965   $     $ (4,614,789
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         


               
     Credit
Contracts
    Commodity
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Benchmark-Free Fund

 

Asset Derivatives

 

Investments, at value (rights and/or warrants)

  $     $     $ 14,099     $     $     $     $ 14,099  

Unrealized Appreciation on Forward Currency Contracts

                      411,758                   411,758  

Unrealized Appreciation on Futures Contracts

                1,465,511                         1,465,511  

Swap Contracts, at value

                38,644                         38,644  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ 1,518,254     $ 411,758     $     $     $ 1,930,012  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (837,023   $     $     $ (837,023

Unrealized Depreciation on Futures Contracts

                (101,132                       (101,132

Swap Contracts, at value

                (191,269                       (191,269
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (292,401   $ (837,023   $     $     $ (1,129,424
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Consolidated Implementation Fund

 

Asset Derivatives

 

Investments, at value (purchased options)

  $     $     $ 239,000     $     $     $     $ 239,000  

Investments, at value (rights and/or warrants)

                177,033                         177,033  

Unrealized Appreciation on Forward Currency Contracts

                      7,831,791                   7,831,791  

Unrealized Appreciation on Futures Contracts

                6,827,147                         6,827,147  

Swap Contracts, at value

    30,170             83,132             18,386,527             18,499,829  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 30,170     $     $ 7,326,312     $ 7,831,791     $ 18,386,527     $     $ 33,574,800  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (10,146,964   $     $     $ (10,146,964

Unrealized Depreciation on Futures Contracts

                (1,353,020                       (1,353,020

Written Options, at value

                (9,745,690                       (9,745,690

Swap Contracts, at value

    (639,380           (890,096           (7,723,603           (9,253,079
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (639,380   $     $ (11,988,806   $ (10,146,964   $ (7,723,603   $     $ (30,498,753
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Consolidated SGM Major Markets Fund

 

Asset Derivatives

 

Unrealized Appreciation on Forward Currency Contracts

  $     $     $     $ 6,881,473     $     $     $ 6,881,473  

Unrealized Appreciation on Futures Contracts

          8,290,233       6,503,623             1,125,256             15,919,112  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 8,290,233     $ 6,503,623     $ 6,881,473     $ 1,125,256     $     $ 22,800,585  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (5,074,251   $     $     $ (5,074,251

Unrealized Depreciation on Futures Contracts

          (6,485,710     (8,706,681           (6,947,335           (22,139,726
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (6,485,710   $ (8,706,681   $ (5,074,251   $ (6,947,335   $     $ (27,213,977
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         


               
     Credit
Contracts
    Commodity
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Strategic Opportunities Allocation Fund

 

Asset Derivatives

 

Investments, at value (rights and/or warrants)

  $     $     $ 819     $     $     $     $ 819  

Swap Contracts, at value

                8,097                         8,097  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ 8,916     $     $     $     $ 8,916  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Swap Contracts, at value

  $     $     $ (53,647   $     $     $     $ (53,647
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (53,647   $     $     $     $ (53,647
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.