0001752724-22-095192.txt : 20220427
0001752724-22-095192.hdr.sgml : 20220427
20220427140654
ACCESSION NUMBER: 0001752724-22-095192
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220228
FILED AS OF DATE: 20220427
PERIOD START: 20220228
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-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04347
FILM NUMBER: 22858679
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
S000005494
GMO SGM Major Markets Fund
C000014953
Class III
GSMFX
C000014956
Class VI
GSMHX
C000213382
Class I
GSMKX
NPORT-P
1
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USD
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2022-03-07
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State Street Bank and Trust Company
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1.00000000
NC
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0.000094591779
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DFE
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State Street Bank and Trust Company
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2022-03-25
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N
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Barclays Bank PLC
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2022-03-18
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Singapore Exchange Derivatives Clearing Limited
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SG
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Singapore Exchange Derivatives Clearing Limited
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SGX MSCI Singapore Index Future
QZH2 INDEX
2022-03-30
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SGD
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N
State Street Bank and Trust Company
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NC
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0.000335644198
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DFE
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State Street Bank and Trust Company
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USD
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NZD
2022-03-18
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JPMorgan Chase Bank, National Association
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NC
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0.005706488029
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DFE
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JPMorgan Chase Bank, National Association
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2022-03-21
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ASX Clear (Futures)
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2022-03-17
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N
N
United States Treasury
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United States Treasury Floating Rate Note
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PA
USD
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7.625843804203
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DBT
UST
US
N
1
2023-10-31
Floating
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N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CBK6
60000000.00000000
PA
USD
60024217.80000000
22.84552199285
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DBT
UST
US
N
1
2023-01-31
Floating
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N
N
N
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
WTI CRUDE FUTURE APR22
000000000
64.00000000
NC
USD
415257.98000000
0.158049295142
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Light Sweet Crude Oil Future
CLJ2 COMDTY
2022-03-22
5710822.02000000
USD
415257.98000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-39825.84000000
-0.01515791687
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
17027177.12000000
USD
1950000000.00000000
JPY
2022-05-09
-39825.84000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
40336.67000000
0.015352341361
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
17397645.00000000
CAD
13767815.51000000
USD
2022-03-25
40336.67000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796P94
19250000.00000000
PA
USD
19158462.20000000
7.291807966539
Long
STIV
UST
US
N
1
2022-12-01
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-10068.87000000
-0.00383226303
N/A
DFE
NZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
806744.29000000
USD
1177700.00000000
NZD
2022-03-18
-10068.87000000
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT MAR22
000000000
105.00000000
NC
-622221.62000000
-0.23682070712
N/A
DE
HK
N
2
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Long
HKG Hang Seng Index Future
HIH2 INDEX
2022-03-30
123904039.05000000
HKD
-622221.62000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
36231.55000000
0.013789911850
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
17000000.00000000
CAD
13450431.21000000
USD
2022-04-25
36231.55000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-42699.39000000
-0.01625160458
N/A
DFE
JP
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2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
17017236.28000000
USD
1950000000.00000000
JPY
2022-04-04
-42699.39000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
EQUITY: NDUVEAFE TRS GOLD
000000000
9129675.46500000
OU
Notional Amount
USD
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-0.13753249305
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
MSCI Daily TR Net Value EAFE
NDUVEAFE Index
Y
equity-performance leg
2022-05-06
0.00000000
USD
0.00000000
USD
9129675.46500000
USD
-361352.23000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
53791.57000000
0.020473344601
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3036060.00000000
GBP
4127356.59000000
USD
2022-03-21
53791.57000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-20255.31000000
-0.00770927380
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1373739.00000000
AUD
977716.01000000
USD
2022-03-18
-20255.31000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR MAR22
000000000
-92.00000000
NC
621449.47000000
0.236526822917
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Short
TSE TOPIX (Tokyo Price Index) Future
TPH2 INDEX
2022-03-10
-1813914218.00000000
JPY
621449.47000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-100051.24000000
-0.03808000982
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
13309419.60000000
USD
11756014.00000000
EUR
2022-04-26
-100051.24000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT MAR22
000000000
10.00000000
NC
-21073.93000000
-0.00802084473
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
MSE S&P/TSX 60 Index Future
PTH2 INDEX
2022-03-17
2577511.21000000
CAD
-21073.93000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796T41
5750000.00000000
PA
USD
5732712.74000000
2.181899569549
Long
STIV
UST
US
N
1
2022-08-18
None
0.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 MAR22
000000000
-301.00000000
NC
USD
1983506.18000000
0.754932520889
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-mini Russell 2000 Index Futures
RTYH2 INDEX
2022-03-18
-32753231.18000000
USD
1983506.18000000
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUGEAFE TRS UBSD SHORT
000000000
9202794.95500000
OU
Notional Amount
USD
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0.020846470788
N/A
DE
US
N
2
UBSDXXXXXXX
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MSCI Daily TR Net Growth EAFE
NDUGEAFE Index
Y
equity-performance leg
2022-05-20
0.00000000
USD
0.00000000
USD
9202794.95500000
USD
54771.92000000
N
N
N
State Street Global Advisors
N/A
State Street Global Advisors Liquidity PLC - US Treasury Liquidity Fund
000000000
847313.11000000
NS
USD
847313.11000000
0.322491670842
Long
STIV
RF
US
N
2
N
N
N
State Street Bank and Trust Company
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PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
10796.55000000
0.004109221736
N/A
DFE
US
N
2
State Street Bank and Trust Company
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1277739.00000000
EUR
1444567.89000000
USD
2022-03-21
10796.55000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT MAR22
000000000
266.00000000
NC
618470.14000000
0.235392874795
N/A
DE
GB
N
2
ICE Futures Europe - Financial Products Division
N/A
Long
ICF FTSE 100 Index Future
Z H2 INDEX
2022-03-18
19261413.99000000
GBP
618470.14000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE JUN22
000000000
-87.00000000
NC
-70227.51000000
-0.02672894679
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
Long Gilt Future
G M2 COMDTY
2022-06-28
-10655610.03000000
GBP
-70227.51000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
30500.90000000
0.011608797370
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1891643.00000000
EUR
2153143.73000000
USD
2022-03-21
30500.90000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-65317.04000000
-0.02485999698
N/A
DFE
JP
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
17109311.85000000
USD
1959298510.00000000
JPY
2022-03-07
-65317.04000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
9682.66000000
0.003685269547
N/A
DFE
NZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
552009.03000000
USD
830331.00000000
NZD
2022-03-18
9682.66000000
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUVEAFE TRS UBSD
000000000
10591553.33000000
OU
Notional Amount
USD
-372604.27000000
-0.14181507659
N/A
DE
US
N
2
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Value EAFE
NDUVEAFE Index
Y
equity-performance leg
2022-05-12
0.00000000
USD
0.00000000
USD
10591553.33000000
USD
-372604.27000000
N
N
N
Commodities Exchange Center
N/A
SILVER FUTURE MAY22
000000000
76.00000000
NC
USD
413581.90000000
0.157411370586
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Long
COMEX Silver Future
SIK2 Comdty
2022-05-26
8845498.10000000
USD
413581.90000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
14709.00000000
0.005598320066
N/A
DFE
NZ
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1059416.06000000
USD
1587845.00000000
NZD
2022-03-18
14709.00000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-7171.82000000
-0.00272963109
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
883737.12000000
USD
653311.00000000
GBP
2022-03-21
-7171.82000000
N
N
N
Euronext N.V.
724500QJ4QSZ3H9QU415
CAC40 10 EURO FUT MAR22
000000000
138.00000000
NC
-532466.31000000
-0.20265938052
N/A
DE
FR
N
2
Euronext N.V.
724500QJ4QSZ3H9QU415
Long
Euronext CAC 40 Index Future
CFH2 INDEX
2022-03-18
9589329.55000000
EUR
-532466.31000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
4078.54000000
0.001552313027
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2651069.00000000
CAD
2095959.06000000
USD
2022-04-25
4078.54000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
1511.39000000
0.000575242706
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
121345896.00000000
JPY
1057102.87000000
USD
2022-03-07
1511.39000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
SOYBEAN FUTURE MAY22
000000000
-24.00000000
NC
USD
-51084.00000000
-0.01944282971
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT Soybean Future
S K2 COMDTY
2022-05-13
-1913016.00000000
USD
-51084.00000000
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUGEAFE TRS UBSD SHORT
000000000
9926950.95600000
OU
Notional Amount
USD
59274.87000000
0.022560316416
N/A
DE
US
N
2
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Growth EAFE
NDUGEAFE Index
Y
equity-performance leg
2022-05-12
0.00000000
USD
0.00000000
USD
9926950.95600000
USD
59274.87000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR22
000000000
-123.00000000
NC
868499.11000000
0.330555169988
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 10 Year Euro BUND Future
RXH2 COMDTY
2022-03-08
-21320501.35000000
EUR
868499.11000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
15731.78000000
0.005987595326
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1571976.00000000
EUR
1779445.39000000
USD
2022-03-18
15731.78000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT JUN22
000000000
8.00000000
NC
5856.63000000
0.002229063107
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 10 Year Canadian Bond Future
CNM2 COMDTY
2022-06-21
1085936.72000000
CAD
5856.63000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
132.72000000
0.000050513905
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
57244.00000000
CAD
45300.66000000
USD
2022-03-25
132.72000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796N96
5840000.00000000
PA
USD
5811250.55000000
2.211791458713
Long
STIV
UST
US
N
1
2022-11-03
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-49014.63000000
-0.01865521698
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2080928.99000000
USD
1811020.00000000
EUR
2022-03-18
-49014.63000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
EQUITY: NDUGEAFE TRS GOLD SHORT
000000000
8560713.52800000
OU
Notional Amount
USD
239508.39000000
0.091158109039
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
MSCI Daily TR Net Growth EAFE
NDUGEAFE Index
Y
equity-performance leg
2022-05-06
0.00000000
USD
0.00000000
USD
8560713.52800000
USD
239508.39000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE MAR22
000000000
78.00000000
NC
-2511715.38000000
-0.95597162373
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex DAX Index Future
GXH2 INDEX
2022-03-18
30314308.35000000
EUR
-2511715.38000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-74795.33000000
-0.02846748227
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
9972985.64000000
USD
8818370.00000000
EUR
2022-03-28
-74795.33000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
-75.00000000
NC
USD
-72197.57000000
-0.02747876163
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
-9485614.93000000
USD
-72197.57000000
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUVEAFE TRS UBSD
000000000
9980132.17700000
OU
Notional Amount
USD
-350939.61000000
-0.13356939702
N/A
DE
US
N
2
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Value EAFE
NDUVEAFE Index
Y
equity-performance leg
2022-05-20
0.00000000
USD
0.00000000
USD
9980132.17700000
USD
-350939.61000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBG5
20000000.00000000
PA
USD
19828125.00000000
7.546685027597
Long
DBT
UST
US
N
1
2023-01-31
Fixed
0.13000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CORN FUTURE MAY22
000000000
45.00000000
NC
USD
113283.42000000
0.043116244707
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Corn Future
C K2 Comdty
2022-05-13
1440904.08000000
USD
113283.42000000
N
N
N
Commodities Exchange Center
N/A
GOLD 100 OZ FUTR APR22
000000000
-5.00000000
NC
USD
-40660.35000000
-0.01547553561
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Short
COMEX Gold 100 Troy Ounces Future
GCJ2 Comdty
2022-04-27
-909689.65000000
USD
-40660.35000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-7307.13000000
-0.00278113077
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
808887.00000000
AUD
580319.80000000
USD
2022-03-18
-7307.13000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-226998.83000000
-0.08639690700
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
20178316.21000000
USD
17780085.00000000
EUR
2022-03-21
-226998.83000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CBY6
30000000.00000000
PA
USD
30010012.80000000
11.42196321012
Long
DBT
UST
US
N
1
2023-04-30
Floating
0.39000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
564.15000000
0.000214718353
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
114479.01000000
USD
145801.00000000
CAD
2022-03-25
564.15000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
35000000.00000000
PA
USD
34613085.85000000
13.17391617932
Long
DBT
UST
US
N
1
2023-03-31
Fixed
0.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT MAR22
000000000
-118.00000000
NC
USD
-307963.81000000
-0.11721258938
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-Mini Standard & Poor's 500 Index Future
ESH2 INDEX
2022-03-18
-25463236.19000000
USD
-307963.81000000
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
6558736.30000000
NS
USD
6558736.30000000
2.496288329590
Long
STIV
RF
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
95664.89000000
0.036410542753
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
21092734.00000000
AUD
15418767.46000000
USD
2022-03-18
95664.89000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
4172.41000000
0.001588040426
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5714212.00000000
CHF
6242311.56000000
USD
2022-03-28
4172.41000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBD2
33900000.00000000
PA
USD
33653695.48000000
12.80876733439
Long
DBT
UST
US
N
1
2022-12-31
Fixed
0.13000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
4907.49000000
0.001867815605
N/A
DFE
AU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
271167.55000000
USD
380026.00000000
AUD
2022-03-18
4907.49000000
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT MAR22
000000000
884.00000000
NC
USD
-2378181.93000000
-0.90514811481
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
ICE US MSCI Emerging Markets EM Index Futures
MESH2 INDEX
2022-03-18
54335281.93000000
USD
-2378181.93000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S59
250000.00000000
PA
USD
249410.21000000
0.094926791995
Long
STIV
UST
US
N
1
2022-07-28
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCK5
31000000.00000000
PA
USD
30536210.86000000
11.62223686287
Long
DBT
UST
US
N
1
2023-06-30
Fixed
0.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
7900.30000000
0.003006894283
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1725370.37000000
USD
198964380.00000000
JPY
2022-05-09
7900.30000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
FTSE TAIWAN INDEX MAR22
000000000
-69.00000000
NC
USD
50038.16000000
0.019044777702
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX FTSE Taiwan Index Futures
TWTH2 INDEX
2022-03-30
-4350861.24000000
USD
50038.16000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT MAR22
000000000
39.00000000
NC
-134890.62000000
-0.05134005471
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE 10 Year Australian Bond Future
XMH2 COMDTY
2022-03-15
5432400.48000000
AUD
-134890.62000000
N
N
N
2022-03-25
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer