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 primary_doc.xml NPORT-P false 0000772129 XXXXXXXX S000005494 C000213382 C000014953 C000014956 GMO TRUST 811-04347 0000772129 549300Y2Q6TQD4HU5C66 40 ROWES WHARF BOSTON 02110 617-346-7646 GMO SGM Major Markets Fund S000005494 MNQ6D2305GB58HFPL064 2022-02-28 2022-02-28 N 264859692.04 2120159.02 262739533.02 0.00000000 52630807.93000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1178567.58000000 AUD EUR GBP USD N State Street Bank and Trust Company 571474TGEMMWANRLN572 PURCHASED USD / SOLD JPY 000000000 1.00000000 NC -379.83000000 -0.00014456522 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 72004054.00000000 JPY 625985.53000000 USD 2022-03-07 -379.83000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 PURCHASED CAD / SOLD USD 000000000 1.00000000 NC 248.53000000 0.000094591779 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 95858.41000000 USD 121802.00000000 CAD 2022-03-25 248.53000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -6853.06000000 -0.00260830942 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 306310.85000000 USD 266903.00000000 EUR 2022-03-18 -6853.06000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 4812.23000000 0.001831559166 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 271263.54000000 USD 380027.00000000 AUD 2022-03-18 4812.23000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 MSCI SING IX ETS MAR22 000000000 22.00000000 NC -16787.58000000 -0.00638943816 N/A DE SG N 2 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX MSCI Singapore Index Future QZH2 INDEX 2022-03-30 756953.12000000 SGD -16787.58000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 PURCHASED NZD / SOLD USD 000000000 1.00000000 NC 881.87000000 0.000335644198 N/A DFE NZ N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 42541.24000000 USD 64191.00000000 NZD 2022-03-18 881.87000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 14993.20000000 0.005706488029 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1235632.00000000 EUR 1401515.60000000 USD 2022-03-21 14993.20000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 SPI 200 FUTURES MAR22 000000000 -6.00000000 NC 23908.68000000 0.009099764974 N/A DE AU N 2 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short SFE S&P ASX Share Price Index 200 Future XPH2 INDEX 2022-03-17 -1089735.30000000 AUD 23908.68000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Floating Rate Note 91282CDE8 20000000.00000000 PA USD 20036106.40000000 7.625843804203 Long DBT UST US N 1 2023-10-31 Floating 0.40000000 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 Long DBT UST US N 1 2023-01-31 Floating 0.41000000 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. 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