GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.0%
		Argentina — 1.2%
	862,615	Adecoagro SA (a)		9,583,653
		Australia — 0.8%
	320,055	Clean TeQ Water Ltd * (a)		125,307
	956,613	Sandfire Resources Ltd		3,763,515
	1,134,203	Sunrise Energy Metals Ltd * (a)		2,557,261
		Total Australia		6,446,083
		Belgium — 0.1%
	232	Elia Group SA/NV		38,168
	11,245	Umicore SA		499,223
		Total Belgium		537,391
		Brazil — 2.6%
	971,178	Sao Martinho SA		10,297,137
	540,160	SLC Agricola SA		6,234,080
	428,000	Suzano SA		4,818,045
		Total Brazil		21,349,262
		Canada — 10.9%
	445,500	Anaergia Inc * (a)		2,624,007
	1,059,485	Canadian Solar Inc * (a)		33,967,089
	378,448	First Quantum Minerals Ltd (a)		10,956,845
	1,925,700	Greenlane Renewables Inc * (a)		1,355,001
	1,288,770	Ivanhoe Mines Ltd – Class A * (a)		9,822,305
	982,015	Largo Inc * (a)		8,936,232
	804,800	Li-Cycle Holdings Corp * (a)		6,559,120
	412,900	Lundin Mining Corp (a)		3,675,735
	123,700	NFI Group Inc (a)		1,183,358
	700	Northland Power Inc (a)		21,229
	97,800	Nutrien Ltd		9,557,701
	200	TransAlta Renewables Inc (a)		2,742
		Total Canada		88,661,364
		China — 3.8%
	408,000	Beijing Energy International Holding Co Ltd *		13,248
	1,223,000	Canvest Environmental Protection Group Co Ltd (a)		605,420
	1,746,000	Chaowei Power Holdings Ltd (a)		382,233
	8,241,919	China High Speed Transmission Equipment Group Co Ltd * (a)		4,714,729
	1,982,000	China Longyuan Power Group Corp Ltd – Class H		4,220,501
	3,532,000	China Water Affairs Group Ltd (a)		3,514,490
	218,200	Hollysys Automation Technologies Ltd (a)		3,325,368
	1,400	Jiangxi Copper Co Ltd – Class A		3,786
	5,040	Shenzhen Capchem Technology Co Ltd – Class A		30,302
	103,122	Sungrow Power Supply Co Ltd – Class A		1,235,267
	2,518,000	Tianneng Power International Ltd (a)		2,406,561
	2,734,000	Wasion Holdings Ltd (a)		908,960
	3,535,600	Xinjiang Goldwind Science & Technology Co Ltd – Class H		5,783,669

Shares		Description	Value ($)
		China — continued
	11,000	Xinyangfeng Agricultural Technology Co Ltd – Class A		27,022
	1,226,576	Yutong Bus Co Ltd – Class A		1,491,859
	599,185	Zhuzhou CRRC Times Electric Co Ltd		2,562,988
		Total China		31,226,403
		Denmark — 1.3%
	400,432	Vestas Wind Systems A/S		10,227,929
		Finland — 1.2%
	359,852	Kemira Oyj		4,915,645
	84,993	Neste Oyj		3,903,978
	44,979	Uponor Oyj		772,241
		Total Finland		9,591,864
		France — 6.1%
	747,662	Electricite de France SA		6,638,068
	168,787	Nexans SA (a)		16,962,419
	437,435	Valeo (a)		9,721,723
	397,039	Veolia Environnement SA		11,111,630
	17,193	Vilmorin & Cie SA		797,048
	114,522	Waga Energy SA * (a)		4,454,890
		Total France		49,685,778
		Germany — 1.1%
	411,334	E.ON SE		4,198,876
	73,304	Infineon Technologies AG		2,284,385
	15,682	Siemens AG (Registered)		2,070,070
		Total Germany		8,553,331
		Greece — 0.0%
	200	Terna Energy SA		3,873
		India — 0.2%
	342,262	Power Grid Corp of India Ltd		1,020,907
	112,239	VA Tech Wabag Ltd *		354,886
		Total India		1,375,793
		Japan — 4.0%
	41,500	Daiseki Co Ltd (a)		1,518,559
	154,300	Ebara Corp (a)		6,627,221
	232,900	GS Yuasa Corp		3,737,821
	82,300	Kurita Water Industries Ltd		3,168,498
	38,700	METAWATER Co Ltd		604,253
	24,700	Organo Corp		1,874,472
	399,200	Panasonic Holdings Corp		3,662,886
	637,300	Renesas Electronics Corp *		7,443,563
	39,300	Takuma Co Ltd		433,253
	46,400	Tsukishima Kikai Co Ltd		335,470
	162,200	Yokogawa Electric Corp		2,902,804
		Total Japan		32,308,800

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Mexico — 2.4%
	3,803,218	Grupo Mexico SAB de CV – Series B		18,777,912
	349,016	Grupo Rotoplas SAB de CV (a)		516,949
		Total Mexico		19,294,861
		Netherlands — 0.6%
	125,512	Arcadis NV		4,971,916
		Norway — 1.1%
	671,692	Austevoll Seafood ASA		9,035,138
		Pakistan — 0.1%
	1,277,357	Fauji Fertilizer Co Ltd		734,091
		Philippines — 0.1%
	4,867,900	Nickel Asia Corp		671,394
		Russia — 0.3%
	722,153	MMC Norilsk Nickel PJSC ADR (b)		1,620,030
	2,335	PhosAgro PJSC GDR (b) (c)		6,162
	362,568	PhosAgro PJSC GDR (Registered) (b)		956,776
	169,638	Ros Agro Plc GDR (Registered) (b)		148,160
		Total Russia		2,731,128
		South Korea — 5.8%
	100,817	LG Chem Ltd		47,386,958
		Spain — 2.6%
	24,823	Acciona SA		4,786,843
	312,243	Endesa SA		6,917,314
	79,878	Fomento de Construcciones y Contratas SA (a)		964,725
	346,705	Iberdrola SA		4,107,937
	214,100	Red Electrica Corp SA		4,436,011
		Total Spain		21,212,830
		Switzerland — 0.3%
	24,190	Gurit Holding AG (a)		2,708,979
		Thailand — 0.2%
	2,418,500	SPCG Pcl		1,207,463
		Ukraine — 0.2%
	219,994	Kernel Holding SA		1,391,187
		United Kingdom — 1.8%
	693,473	Drax Group Plc		5,883,463
	177,211	Go-Ahead Group Plc *		2,270,954
	251,092	National Grid Plc		3,704,255
	354,404	Renewi Plc *		3,056,704
		Total United Kingdom		14,915,376
		United States — 46.2%
	430,220	Aemetis, Inc. * (a)		3,489,084
	138,500	AGCO Corp.		17,746,005

Shares		Description	Value ($)
		United States — continued
	718,387	Ameresco, Inc. – Class A * (a)		42,183,685
	530,500	Archaea Energy, Inc. *		10,578,170
	433,486	BorgWarner, Inc.		17,478,155
	3,861,919	Clean Energy Fuels Corp. *		21,356,412
	35,221	Constellation Energy Corp.		2,186,520
	19,200	Corteva, Inc.		1,202,304
	435,996	Darling Ingredients, Inc. *		34,910,200
	22,700	Deere & Co.		8,121,606
	52,700	Edison International		3,684,257
	31,300	Emerson Electric Co.		2,775,058
	73,800	EnerSys		4,997,736
	90,464	Exelon Corp.		4,446,306
	256,399	Freeport-McMoRan, Inc.		10,020,073
	1,132,100	Gevo, Inc. * (a)		4,754,820
	2,832,156	GrafTech International Ltd.		24,583,114
	367,100	Green Plains, Inc. * (a)		11,960,118
	152,200	Infrastructure and Energy Alternatives, Inc. *		1,237,386
	73,000	Johnson Controls International Plc		3,979,230
	434,424	Livent Corp. * (a)		13,810,339
	443,018	Montauk Renewables, Inc. *		5,728,223
	159,447	Mosaic Co. (The)		9,989,354
	320,300	Mueller Water Products, Inc. – Class A		3,821,179
	36,200	MYR Group, Inc. *		3,316,282
	76,133	Owens Corning		7,276,792
	49,100	Pentair Plc		2,463,347
	76,700	PotlatchDeltic Corp. (REIT)		4,023,682
	28,400	Quanta Services, Inc.		3,379,600
	100	Rockwell Automation, Inc.		21,320
	53,500	Sensata Technologies Holding Plc		2,569,605
	123,834	SolarEdge Technologies, Inc. *		33,780,677
	1,665,437	Sunrun, Inc. * (a)		43,501,214
	28,329	TE Connectivity Ltd.		3,665,489
	7,400	Valmont Industries, Inc.		1,899,950
	300	Vertex Energy, Inc. * (a)		4,197
	22,400	Westinghouse Air Brake Technologies Corp.		2,115,904
	65,400	Zurn Water Solutions Corp.		1,884,828
		Total United States		374,942,221
		TOTAL COMMON STOCKS (COST $777,278,921)		770,755,066
		PREFERRED STOCKS (d) — 1.8%
		Chile — 1.8%
	141,738	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		15,048,324
		TOTAL PREFERRED STOCKS (COST $6,527,503)		15,048,324

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 14.4%
		United States — 14.4%
		Affiliated Issuers — 14.4%
	23,332,461	GMO U.S. Treasury Fund (e)		116,662,307
		TOTAL MUTUAL FUNDS (COST $116,677,237)		116,662,307
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	2,277,075	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (f)		2,277,075
		TOTAL SHORT-TERM INVESTMENTS (COST $2,277,075)		2,277,075
		TOTAL INVESTMENTS — 111.5% (Cost $902,760,736)		904,742,772
		Other Assets and Liabilities (net) — (11.5%)		(93,049,052	)
		TOTAL NET ASSETS — 100.0%		$811,693,720

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
PhosAgro PJSC GDR	04/20/22	$	36,036	0.00%	$	6,162

Notes to Schedule of Investments:

* 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) The security is restricted as to resale.

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

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

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 85.7%
		Brazil — 2.1%
	786,400	B3 SA – Brasil Bolsa Balcao		2,113,040
	592,200	CCR SA		1,662,255
	1,269,800	JHSF Participacoes SA		1,883,639
	235,900	Localiza Rent a Car SA		2,855,092
	817,100	Movida Participacoes SA		3,072,367
	910,500	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		2,887,131
		Total Brazil		14,473,524
		China — 21.9%
	1,744,788	Alibaba Group Holding Ltd *		20,955,300
	176,500	Baidu Inc – Class A *		3,226,517
	98,000	BYD Co Ltd – Class H		3,483,050
	67,377	Changzhou Xingyu Automotive Lighting Systems Co Ltd – Class A		1,523,945
	9,670,000	China Construction Bank Corp – Class H		7,168,523
	5,287,600	China International Capital Corp Ltd – Class H		10,068,088
	901,000	China Mengniu Dairy Co Ltd		4,613,118
	1,065,502	China Merchants Bank Co Ltd – Class H		6,739,274
	5,387,000	China Modern Dairy Holdings Ltd		774,579
	158,000	China Resources Land Ltd		703,213
	619,500	China Yangtze Power Co Ltd – Class A		2,232,001
	9,100	Contemporary Amperex Technology Co Ltd – Class A		555,624
	610,300	GoerTek Inc – Class A		3,718,656
	1,181,855	Haier Smart Home Co Ltd – Class A		4,496,229
	118,000	Hua Hong Semiconductor Ltd *		448,293
	66,500	JD.com Inc ADR		3,731,980
	429,077	JD.com Inc – Class A		12,052,928
	265,997	Jiangsu Hengli Hydraulic Co Ltd – Class A		2,127,296
	19,786	Kweichow Moutai Co Ltd – Class A		5,347,953
	194,200	Meituan – Class B *		4,556,923
	324,900	Midea Group Co Ltd – Class A		2,656,076
	292,638	NARI Technology Co Ltd – Class A		1,501,405
	226,175	NetEase Inc		4,730,205
	450,000	Ping An Insurance Group Co of China Ltd – Class H		2,881,272
	6,493,000	Postal Savings Bank of China Co Ltd – Class H		4,822,535
	110,600	Proya Cosmetics Co Ltd – Class A		2,574,447
	319,300	SF Holding Co Ltd – Class A		2,483,170
	163,285	Shanghai Baosight Software Co Ltd – Class A		1,276,270
	223,072	Shenzhen Inovance Technology Co Ltd – Class A		2,044,191
	210,200	Shenzhou International Group Holdings Ltd		2,885,801
	84,200	Sunny Optical Technology Group Co Ltd		1,328,822
	290,884	Tencent Holdings Ltd		13,298,740
	554,000	Tsingtao Brewery Co Ltd – Class H		4,777,790
	190,885	Wuliangye Yibin Co Ltd – Class A		4,897,703
		Total China		150,681,917
		Greece — 1.3%
	7,708,629	Eurobank Ergasias Services and Holdings SA *		8,624,912

Shares		Description	Value ($)
		Hong Kong — 0.5%
	336,000	AIA Group Ltd		3,481,022
		India — 13.8%
	267,807	Allcargo Logistics Ltd		1,096,978
	156,341	Angel One Ltd		2,977,022
	28,438	Apollo Hospitals Enterprise Ltd		1,446,572
	47,235	Asian Paints Ltd		1,727,814
	200,606	Axis Bank Ltd *		1,757,562
	684,268	Bharti Airtel Ltd *		6,192,293
	950	Campus Activewear Ltd *		4,473
	234,870	Campus Activewear Ltd – Anchor Shares * (a) (b)		1,105,733
	78,909	Central Depository Services India Ltd		1,257,013
	970,239	Devyani International Ltd *		2,108,853
	1,001,003	Gayatri Projects Ltd *		217,552
	288,217	Gujarat Gas Ltd		2,060,955
	194,288	HCL Technologies Ltd		2,592,193
	63,292	Housing Development Finance Corp Ltd		1,853,621
	910,549	ICICI Bank Ltd		8,718,240
	388,007	Infosys Ltd		7,519,232
	77,197	JB Chemicals & Pharmaceuticals Ltd		1,615,293
	150,792	Kajaria Ceramics Ltd		1,987,591
	44,708	L&T Technology Services Ltd		1,998,518
	202,735	Larsen & Toubro Ltd		4,277,125
	1,094,319	Laxmi Organic Industries Ltd		5,094,945
	74,400	MakeMyTrip Ltd *		2,057,904
	13,733	Maruti Suzuki India Ltd		1,405,285
	270,539	Metro Brands Ltd		2,078,578
	187,254	Muthoot Finance Ltd		2,737,049
	54,943	Reliance Industries Ltd		1,844,582
	466,669	Rupa & Co Ltd		2,259,189
	902,969	Satin Creditcare Network Ltd *		1,292,170
	84,728	SRF Ltd		2,667,027
	126,477	Star Health & Allied Insurance Co Ltd *		1,106,664
	252,689	State Bank of India		1,509,672
	183,005	Sun Pharmaceutical Industries Ltd		2,034,681
	63,471	Tata Consultancy Services Ltd		2,737,509
	365,480	Tata Motors Ltd *		2,076,193
	82,502	Tech Mahindra Ltd		1,254,023
	403,476	UPL Ltd		4,053,017
	482,504	Wipro Ltd		2,941,203
	926,976	Zee Entertainment Enterprises Ltd		2,989,877
		Total India		94,654,201
		Indonesia — 3.8%
	16,796,300	Bank Central Asia Tbk PT		8,886,940
	6,280,500	Bank Mandiri Persero Tbk PT		3,664,208
	36,178,900	Bank Rakyat Indonesia Persero Tbk PT		11,460,608
	7,176,000	Telkom Indonesia Persero Tbk PT		2,118,582
		Total Indonesia		26,130,338
		Kuwait — 0.4%
	789,955	National Bank of Kuwait SAKP		2,674,163

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.7%
	4,168,300	CIMB Group Holdings Bhd		4,893,917
		Mexico — 4.5%
	7,619,100	America Movil SAB de CV – Series L		8,211,230
	1,745,900	Banco del Bajio SA		4,338,913
	163,800	Grupo Aeroportuario del Pacifico SAB de CV – Class B		2,461,931
	779,800	Grupo Financiero Banorte SAB de CV – Class O		5,041,231
	3,012,524	Wal-Mart de Mexico SAB de CV		11,140,545
		Total Mexico		31,193,850
		Peru — 0.3%
	13,800	Credicorp Ltd		1,937,244
		Philippines — 0.2%
	34,215	Globe Telecom Inc		1,582,253
		Qatar — 1.1%
	1,227,131	Qatar National Bank QPSC		7,254,362
		Russia — 0.1%
	34,988	Magnit PJSC (c)		181,101
	546,960	Mobile TeleSystems PJSC (c)		155,559
	132,504	Sberbank of Russia PJSC Sponsored ADR (b) (c)		69,668
	46,548	TCS Group Holding Plc GDR (Registered) * (c)		154,060
	69,200	Yandex NV – Class A * (c)		13,106
		Total Russia		573,494
		Saudi Arabia — 0.4%
	90,644	Saudi Telecom Co		2,483,887
		Singapore — 0.1%
	103,400	TDCX Inc ADR *		1,053,646
		South Africa — 3.8%
	300,759	Aspen Pharmacare Holdings Ltd		3,102,309
	55,598	Capitec Bank Holdings Ltd		7,999,239
	604,256	MTN Group Ltd		6,513,307
	540,660	Nedbank Group Ltd		8,195,570
		Total South Africa		25,810,425
		South Korea — 9.2%
	154,063	KB Financial Group Inc		7,529,594
	5,263	LG Chem Ltd		2,473,765
	10,016	NAVER Corp		2,319,200
	826,289	Samsung Electronics Co Ltd		44,931,894
	14,676	SK Hynix Inc		1,272,016
	94,774	SK Telecom Co Ltd		4,363,923
		Total South Korea		62,890,392
		Switzerland — 1.7%
	95,992	Nestle SA (Registered)		11,741,473

Shares		Description	Value ($)
		Taiwan — 10.8%
	476,450	Chailease Holding Co Ltd		3,666,076
	389,000	Chunghwa Telecom Co Ltd		1,690,635
	3,426,000	CTBC Financial Holding Co Ltd		3,181,487
	224,000	Delta Electronics Inc		1,843,116
	4,588,724	E.Sun Financial Holding Co Ltd		4,808,872
	278,000	Giant Manufacturing Co Ltd		2,507,111
	462,000	Hotai Finance Co Ltd		1,629,963
	188,000	MediaTek Inc		5,813,172
	3,833,000	Mega Financial Holding Co Ltd		5,092,093
	86,000	Realtek Semiconductor Corp		1,305,274
	225,000	Sinbon Electronics Co Ltd		2,001,363
	1,766,800	Taiwan Semiconductor Manufacturing Co Ltd		33,411,822
	279,000	Vanguard International Semiconductor Corp		1,023,373
	7,755,000	Yuanta Financial Holding Co Ltd		6,473,264
		Total Taiwan		74,447,621
		Thailand — 2.9%
	1,443,400	Advanced Info Service Pcl (Foreign Registered)		9,143,470
	3,192,400	CP ALL Pcl (Foreign Registered)		6,174,913
	10,968,000	Digital Telecommunications Infrastructure Fund – Class F		4,487,007
		Total Thailand		19,805,390
		United Arab Emirates — 1.3%
	275,478	Emirates Telecommunications Group Co PJSC		2,273,678
	1,192,273	First Abu Dhabi Bank PJSC		6,965,364
		Total United Arab Emirates		9,239,042
		United States — 3.2%
	3,100	Alphabet, Inc. – Class A *		7,053,244
	23,000	Apple, Inc.		3,423,320
	69,600	PepsiCo, Inc.		11,675,400
		Total United States		22,151,964
		Vietnam — 1.6%
	3,244,668	Bank for Foreign Trade of Vietnam JSC		11,030,893
		TOTAL COMMON STOCKS (COST $636,784,481)		588,809,930
		INVESTMENT FUNDS — 8.5%
		Brazil — 0.7%
	133,700	iShares MSCI Brazil ETF		4,712,925
		Chile — 0.5%
	104,900	iShares MSCI Chile ETF		3,186,862
		China — 3.6%
	779,000	iShares China Large-Cap ETF		24,818,940

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Russia — 0.0%
	61,600	VanEck Russia ETF (c)		9,610
		Saudi Arabia — 3.1%
	461,100	iShares MSCI Saudi Arabia ETF		21,565,647
		South Africa — 0.6%
	83,600	iShares MSCI South Africa ETF		4,043,732
		TOTAL INVESTMENT FUNDS (COST $59,268,427)		58,337,716
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	466,293	GMO U.S. Treasury Fund		2,331,464
		TOTAL MUTUAL FUNDS (COST $2,345,424)		2,331,464

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.7%
		Money Market Funds — 0.6%
	4,373,506	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (d)		4,373,506
		U.S. Government — 4.1%
	3,000,000	U.S. Treasury Bill, 1.19%, due 09/22/22 (e)		2,988,904
	25,000,000	U.S. Treasury Bill, 1.29%, due 10/06/22 (e)		24,887,170
		Total U.S. Government		27,876,074
		TOTAL SHORT-TERM INVESTMENTS (COST $32,265,728)		32,249,580
		TOTAL INVESTMENTS — 99.3% (Cost $730,664,060)		681,728,690
		Other Assets and Liabilities (net) — 0.7%		5,086,665
		TOTAL NET ASSETS — 100.0%		$686,815,355

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
Campus Activewear Ltd – Anchor Shares	04/25/22	$	894,247	0.16%	$	1,105,733
Sberbank of Russia PJSC Sponsored ADR	03/03/21		2,052,516	0.01%		69,668
					$	1,175,401

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) The security is restricted as to resale.

(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, 2022.

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

Portfolio Abbreviations:

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

QPSC - Qatar Private Stock Company

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.5%
		Brazil — 0.7%
	29,000	Blau Farmaceutica SA *		145,349
	109,000	Transmissora Alianca de Energia Eletrica SA		926,118
	284,250	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		901,337
		Total Brazil		1,972,804
		Chile — 0.6%
	56,089	Aguas Andinas SA – Class A		11,762
	419,684	Banco de Chile		43,684
	2,406,784	Banco Santander Chile		120,379
	2,100	Banco Santander Chile ADR		41,769
	28,622	CAP SA		366,405
	24,755	Cencosud SA		39,681
	55,591	Cencosud Shopping SA		59,186
	24,100	Cia Cervecerias Unidas SA Sponsored ADR		337,641
	3,402,440	Colbun SA		254,028
	3,332	Empresas COPEC SA		26,454
	92,049	Inversiones La Construccion SA		347,532
		Total Chile		1,648,521
		Czech Republic — 0.2%
	5,566	Moneta Money Bank AS		18,528
	735	Philip Morris CR AS		544,560
		Total Czech Republic		563,088
		Egypt — 0.4%
	221,508	Commercial International Bank Egypt SAE		491,379
	921,417	Eastern Co SAE		524,386
	244,888	Fawry for Banking & Payment Technology Services SAE *		53,876
	2,750	Misr Fertilizers Production Co SAE		15,109
		Total Egypt		1,084,750
		Hungary — 0.9%
	64,255	MOL Hungarian Oil & Gas Plc		461,016
	88,507	OTP Bank Nyrt Plc		2,108,439
	1,938	Richter Gedeon Nyrt		37,914
		Total Hungary		2,607,369
		India — 5.3%
	20,000	Axis Bank Ltd GDR (Registered) *		880,527
	42,400	Azure Power Global Ltd *		630,064
	16,025	HDFC Asset Management Co Ltd		389,602
	77,400	HDFC Bank Ltd ADR		4,455,918
	80,000	ICICI Bank Ltd Sponsored ADR		1,540,000
	298,800	Infosys Ltd Sponsored ADR		5,635,368
	46,300	MakeMyTrip Ltd *		1,280,658
	2,915	Reliance Industries Ltd Sponsored GDR		196,120
	7,600	WNS Holdings Ltd Sponsored ADR *		553,052
		Total India		15,561,309

Shares		Description	Value ($)
		Indonesia — 4.4%
	3,799,800	Adaro Energy Indonesia Tbk PT		852,814
	261,800	AKR Corporindo Tbk PT		20,071
	10,635,000	Bank Central Asia Tbk PT		5,626,990
	2,072,800	Bank Mandiri Persero Tbk PT		1,209,326
	40,800	Bank Negara Indonesia Persero Tbk PT		25,633
	11,604,100	Bank Rakyat Indonesia Persero Tbk PT		3,675,901
	671,700	Bukit Asam Tbk PT		208,634
	107,800	Indika Energy Tbk PT *		21,389
	192,500	Indo Tambangraya Megah Tbk PT		463,431
	144,900	Indocement Tunggal Prakarsa Tbk PT		96,570
	1,670,800	Telkom Indonesia Persero Tbk PT		493,273
	3,400	Telkom Indonesia Persero Tbk PT ADR		99,824
	77,500	United Tractors Tbk PT		166,762
		Total Indonesia		12,960,618
		Malaysia — 0.1%
	6,800	Fraser & Neave Holdings Bhd		30,116
	173,100	Kossan Rubber Industries Bhd		65,186
	102,400	Westports Holdings Bhd		80,662
		Total Malaysia		175,964
		Mexico — 10.8%
	127,500	America Movil SAB de CV – Class L Sponsored ADR		2,720,850
	654,400	America Movil SAB de CV – Series L		705,258
	84,700	Arca Continental SAB de CV		571,667
	224,400	Banco del Bajio SA		557,679
	98,500	Becle SAB de CV		221,870
	5,400	Bolsa Mexicana de Valores SAB de CV		10,100
	7,300	Coca-Cola Femsa SAB de CV Sponsored ADR		435,445
	539,400	Credito Real SAB de CV SOFOM ER *		9,894
	73,600	Fomento Economico Mexicano SAB de CV		550,677
	55,200	Fomento Economico Mexicano SAB de CV Sponsored ADR		4,131,168
	3,500	GCC SAB de CV		24,622
	1,055	Gruma SAB de CV – Class B		12,646
	2,000	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		14,412
	6,400	Grupo Aeroportuario del Pacifico SAB de CV – Class B		96,193
	24,990	Grupo Aeroportuario del Sureste SAB de CV – Class B		546,541
	1,256,700	Grupo Financiero Banorte SAB de CV – Class O		8,124,283
	152,700	Grupo Mexico SAB de CV – Series B		753,937
	139,900	Industrias Bachoco SAB de CV – Series B		545,013
	69,900	Megacable Holdings SAB de CV CPO		198,294
	84,500	Qualitas Controladora SAB de CV		422,489
	87,200	Regional SAB de CV		516,939
	127,500	Ternium SA Sponsored ADR		5,606,175
	1,361,100	Wal-Mart de Mexico SAB de CV		5,033,452
		Total Mexico		31,809,604

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Peru — 0.7%
	1,900	Credicorp Ltd		266,722
	28,500	Southern Copper Corp		1,760,730
		Total Peru		2,027,452
		Philippines — 0.2%
	35,350	GT Capital Holdings Inc		338,495
	420,300	Puregold Price Club Inc		264,520
		Total Philippines		603,015
		Poland — 0.9%
	30,040	Bank Polska Kasa Opieki SA		655,628
	1,122	Grupa Lotos SA *		18,508
	59,816	Polski Koncern Naftowy ORLEN SA		1,032,430
	49,619	Polskie Gornictwo Naftowe i Gazownictwo SA		69,554
	4,615	Powszechna Kasa Oszczednosci Bank Polski SA *		34,471
	123,212	Powszechny Zaklad Ubezpieczen SA		934,077
		Total Poland		2,744,668
		Qatar — 1.1%
	569,129	Qatar National Bank QPSC		3,364,488
		Russia — 1.4%
	4,036,000	Alrosa PJSC (a)		332,271
	434,347	Etalon Group Plc GDR (Registered) (a)		29,411
	131,280	Evraz Plc (a)		3,386
	236,860,000	Federal Grid Co Unified Energy System PJSC (a)		25,128
	98,320	Gazprom Neft PJSC (a)		46,005
	787	Gazprom Neft PJSC Sponsored ADR (a)		1,834
	448,906	Gazprom PJSC Sponsored ADR (a)		293,036
	6,151,400	Inter RAO UES PJSC (a)		21,684
	122,088	LUKOIL PJSC Sponsored ADR (a)		550,956
	4,327,340	Magnitogorsk Iron & Steel Works PJSC (a)		172,383
	78,325	MMC Norilsk Nickel PJSC ADR (a)		175,709
	172,200	Mobile TeleSystems PJSC ADR (a)		97,561
	88,090	Moscow Exchange MICEX-RTS PJSC * (a)		8,648
	9,337	Novatek PJSC Sponsored GDR (Registered) (a)		94,407
	381,910	Novolipetsk Steel PJSC (a)		61,477
	102,160	Novolipetsk Steel PJSC GDR (a)		163,797
	95	PhosAgro PJSC GDR * (a) (b)		251
	14,751	PhosAgro PJSC GDR (Registered) (a)		38,926
	276,810	Polymetal International Plc		824,810
	5,594	Polyus PJSC (a)		72,537
	12,617	Polyus PJSC GDR (Registered) (a)		81,478
	73,800	QIWI Plc Sponsored ADR (a)		38,470
	4,917	Ros Agro Plc GDR (Registered) (a)		4,294
	48,335,000	RusHydro PJSC (a)		43,243
	17,394	RusHydro PJSC ADR (a)		1,550
	861,608	Sberbank of Russia PJSC Sponsored ADR (a) (b)		453,014
	140,607	Severstal PAO GDR (Registered) (a)		152,293
	2,387,800	Surgutneftegas PJSC (a)		59,307
	109,514	Tatneft PJSC Sponsored ADR (a)		286,196

Shares		Description	Value ($)
		Russia — continued
	9,408	TCS Group Holding Plc GDR (Registered) * (a)		22,160
		Total Russia		4,156,222
		South Africa — 0.6%
	2,831	Anglo American Platinum Ltd		309,828
	5,853	Capitec Bank Holdings Ltd		842,108
	9,062	Kumba Iron Ore Ltd		341,253
	4,804	Ninety One Ltd		13,195
	41,811	Tiger Brands Ltd		382,948
		Total South Africa		1,889,332
		South Korea — 20.4%
	37,761	BNK Financial Group Inc		240,695
	10,335	Cheil Worldwide Inc		216,580
	58,261	Daewoo Engineering & Construction Co Ltd *		306,936
	50,442	Daou Data Corp		536,770
	738	Daou Technology Inc		12,211
	5,932	DB Insurance Co Ltd		310,240
	2,650	DGB Financial Group Inc		18,615
	6,044	DL E&C Co Ltd		254,377
	139,891	Dongwon Development Co Ltd		549,643
	27,435	GS Engineering & Construction Corp		879,038
	75,710	Hana Financial Group Inc		3,027,892
	8,092	Hanwha Life Insurance Co Ltd *		17,151
	30,456	HDC Hyundai Development Co-Engineering & Construction		340,086
	20,575	Hyundai Engineering & Construction Co Ltd		717,154
	21,527	Hyundai Marine & Fire Insurance Co Ltd		545,649
	2,291	JB Financial Group Co Ltd		16,564
	93,441	KB Financial Group Inc		4,566,786
	5,881	KCC Glass Corp		274,359
	290	KIWOOM Securities Co Ltd		22,301
	2,337	Korea Petrochemical Ind Co Ltd		293,149
	162,307	Korea Real Estate Investment & Trust Co Ltd		260,426
	3,612	Korea Zinc Co Ltd		1,729,556
	2,729	Korean Reinsurance Co		21,215
	75,524	KT Skylife Co Ltd		565,927
	58,083	KT&G Corp		3,985,411
	9,451	Kumho Petrochemical Co Ltd		1,218,026
	270	Kyung Dong Navien Co Ltd		9,989
	6	LG Household & Health Care Ltd		3,543
	1,293	LG Innotek Co Ltd		399,573
	7,693	Lotte Chemical Corp		1,266,806
	1,340	LOTTE Fine Chemical Co Ltd		90,494
	5,512	LX Semicon Co Ltd		562,410
	756	Meritz Fire & Marine Insurance Co Ltd		23,570
	14,810	Meritz Securities Co Ltd		72,572
	16,282	NH Investment & Securities Co Ltd		141,701
	21,665	POSCO Holdings Inc		5,035,800
	8,100	POSCO Holdings Inc Sponsored ADR		465,912
	6	S-Oil Corp		554
	875	Samsung Card Co Ltd		24,004
	370,026	Samsung Electronics Co Ltd		20,121,252

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	30,869	Samsung Engineering Co Ltd *		610,301
	4,478	Samsung Fire & Marine Insurance Co Ltd		717,368
	3,958	Samsung Life Insurance Co Ltd		217,236
	3,196	Samsung Securities Co Ltd		102,016
	14,686	Sangsangin Co Ltd		130,039
	30,765	SD Biosensor Inc		1,239,825
	88,374	Shinhan Financial Group Co Ltd		3,076,403
	139	SK Gas Ltd		14,633
	16	SK Telecom Co Ltd		737
	13,751	Spigen Korea Co Ltd		467,747
	1,045	TKG Huchems Co Ltd		21,039
	938	TY Holdings Co Ltd *		19,229
	123	Unid Co Ltd		12,624
	343,715	Woori Financial Group Inc		4,139,765
		Total South Korea		59,913,899
		Taiwan — 34.6%
	561,000	Acer Inc		558,766
	4,000	Acter Group Corp Ltd		27,904
	8,000	Advanced Ceramic X Corp		64,031
	6,000	Advantech Co Ltd		74,045
	1,117,000	AmTRAN Technology Co Ltd		499,414
	62,000	Asia Vital Components Co Ltd		239,261
	242,000	Asustek Computer Inc		2,833,338
	86,000	Aten International Co Ltd		233,381
	400,000	AU Optronics Corp		245,656
	20,000	Aurora Corp		60,399
	224,000	Catcher Technology Co Ltd		1,260,778
	2,697,000	Cathay Financial Holding Co Ltd		5,144,284
	278,000	Chailease Holding Co Ltd		2,139,089
	53,000	Chicony Electronics Co Ltd		156,931
	1,497,176	China Development Financial Holding Corp		830,162
	482,000	China General Plastics Corp		519,088
	3,518,000	China Steel Corp		4,181,846
	186,000	Chipbond Technology Corp		443,230
	1,000	Chlitina Holding Ltd		6,852
	496,000	Chung Hung Steel Corp		554,387
	709,000	Chunghwa Telecom Co Ltd		3,081,388
	800	Chunghwa Telecom Co Ltd Sponsored ADR		34,400
	6,000	Cleanaway Co Ltd		39,932
	78,000	Compal Electronics Inc		61,610
	129,000	Compeq Manufacturing Co Ltd		209,008
	208,000	Delta Electronics Inc		1,711,465
	133,000	E Ink Holdings Inc		925,014
	753,000	E.Sun Financial Holding Co Ltd		789,126
	21,000	Eclat Textile Co Ltd		357,212
	38,000	Elan Microelectronics Corp		193,594
	138,000	Elite Material Co Ltd		1,098,271
	55,000	Everlight Electronics Co Ltd		84,379
	36,000	Feng Hsin Steel Co Ltd		97,819
	12,000	First Financial Holding Co Ltd		11,258
	36,000	FLEXium Interconnect Inc *		125,142
	35,000	Flytech Technology Co Ltd		93,599

Shares		Description	Value ($)
		Taiwan — continued
	110,000	Formosa Advanced Technologies Co Ltd		152,885
	63,000	Formosa Chemicals & Fibre Corp		177,461
	15,000	Formosa Petrochemical Corp		49,884
	1,129,000	Formosa Plastics Corp		4,071,425
	447,897	Foxconn Technology Co Ltd		837,581
	1,954,000	Fubon Financial Holding Co Ltd		4,284,672
	3,000	Gamania Digital Entertainment Co Ltd		7,006
	238,000	Gigabyte Technology Co Ltd		919,522
	14,000	Global Mixed Mode Technology Inc		106,593
	20,000	Gold Circuit Electronics Ltd		55,605
	395,000	Grand Pacific Petrochemical		331,628
	58,000	Greatek Electronics Inc		143,033
	1,243,000	HannStar Display Corp		531,508
	58,000	Hiwin Technologies Corp		446,463
	29,000	Holtek Semiconductor Inc		99,141
	1,069,000	Hon Hai Precision Industry Co Ltd		4,144,854
	299,000	IEI Integration Corp		459,224
	1,000	International Games System Co Ltd		25,787
	79,000	Inventec Corp		69,846
	414,000	King’s Town Bank Co Ltd		510,822
	118,000	Kung Long Batteries Industrial Co Ltd		552,135
	79,000	Largan Precision Co Ltd		4,521,206
	373,000	Lite-On Technology Corp		806,928
	32,000	MediaTek Inc		989,476
	654,000	Mega Financial Holding Co Ltd		868,831
	291,000	Micro-Star International Co Ltd		1,341,689
	152,000	Mitac Holdings Corp		146,257
	913,000	Nan Ya Plastics Corp		2,670,604
	219,528	Nantex Industry Co Ltd		387,438
	70,000	Nanya Technology Corp		159,754
	132,000	Novatek Microelectronics Corp		1,828,500
	69,000	Oneness Biotech Co Ltd *		448,965
	2,000	OptoTech Corp		3,434
	72,000	Pegatron Corp		171,826
	111,000	Phison Electronics Corp		1,501,703
	92,000	Powertech Technology Inc		308,833
	146,000	Quanta Computer Inc		398,403
	153,000	Radiant Opto-Electronics Corp		548,295
	23,000	Realtek Semiconductor Corp		349,085
	7,000	Rexon Industrial Corp Ltd		9,541
	49,000	Ruentex Development Co Ltd		129,472
	74,000	Shanghai Commercial & Savings Bank Ltd (The)		128,404
	22,000	Simplo Technology Co Ltd		227,093
	288,000	SinoPac Financial Holdings Co Ltd		179,203
	34,000	Sonix Technology Co Ltd		89,885
	7,000	T3EX Global Holdings Corp		31,808
	524,000	TA Chen Stainless Pipe		777,561
	104,000	Taita Chemical Co Ltd		105,238
	292,000	Taiwan Glass Industry Corp		227,709
	300,000	Taiwan PCB Techvest Co Ltd		550,523
	277,100	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		26,407,630
	26,000	Taiwan Union Technology Corp		68,574

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	21,000	TCI Co Ltd		113,370
	2,000	Tong Hsing Electronic Industries Ltd		17,525
	21,000	Tripod Technology Corp		83,819
	74,730	Tung Ho Steel Enterprise Corp		162,841
	58,000	TXC Corp		192,197
	113,000	Unimicron Technology Corp		829,376
	89,000	United Integrated Services Co Ltd		550,981
	97,000	Universal Inc		106,579
	525,000	USI Corp		458,544
	318,000	Vanguard International Semiconductor Corp		1,166,425
	151,000	Walsin Technology Corp		597,121
	34,000	Wan Hai Lines Ltd		181,987
	135,000	Weikeng Industrial Co Ltd		143,757
	1,000	Yageo Corp		13,832
	575,000	Yang Ming Marine Transport Corp *		2,441,887
	1,269,000	Yuanta Financial Holding Co Ltd		1,059,261
		Total Taiwan		101,466,504
		Thailand — 2.3%
	232,500	Advanced Info Service Pcl NVDR		1,472,812
	65,300	Bangkok Bank Pcl NVDR		249,756
	116,300	CP ALL Pcl NVDR		224,954
	28,200	Kasikornbank Pcl NVDR		120,971
	671,600	PTT Exploration & Production Pcl NVDR		3,306,572
	906,900	PTT Pcl NVDR		1,009,884
	512,500	Sri Trang Gloves Thailand Pcl NVDR		300,560
		Total Thailand		6,685,509
		Turkey — 0.9%
	2,207,919	Akbank TAS		1,120,456
	123,513	Enerjisa Enerji AS		111,452
	539,305	Turkiye Garanti Bankasi AS		478,686
	3,294,336	Yapi ve Kredi Bankasi AS		926,250
		Total Turkey		2,636,844
		United Kingdom — 0.6%
	35,882	Unilever Plc		1,733,512
		Vietnam — 0.4%
	897,600	Vietnam Joint Stock Commercial Bank for Industry and Trade		1,077,691
		TOTAL COMMON STOCKS (COST $347,159,231)		256,683,163
		PREFERRED STOCKS (c) — 5.9%
		Brazil — 3.9%
	89,600	Alpargatas SA		410,054
	924,220	Cia Energetica de Minas Gerais		2,265,555
	134,860	Cia Energetica de Minas Gerais Sponsored ADR		333,104
	1,024,900	Cia Paranaense de Energia – Class B		1,589,360
	375,700	Petroleo Brasileiro SA		2,376,312

Shares / Par Value†		Description	Value ($)
		Brazil — continued
	352,800	Petroleo Brasileiro SA Sponsored ADR		4,434,696
		Total Brazil		11,409,081
		Chile — 1.9%
	9,977	Embotelladora Andina SA – Class B		19,979
	48,200	Sociedad Quimica y Minera de Chile SA Sponsored ADR		5,117,394
	3,852	Sociedad Quimica y Minera de Chile SA – Class B		411,448
		Total Chile		5,548,821
		Russia — 0.1%
	3,948,700	Surgutneftegas PJSC (a)		155,736
	315	Transneft PJSC (a)		40,006
		Total Russia		195,742
		Taiwan — 0.0%
	224,635	China Development Financial Holding Corp *		67,281
		TOTAL PREFERRED STOCKS (COST $17,863,734)		17,220,925
		INVESTMENT FUNDS — 0.9%
		United States — 0.9%
	49,566	iShares Core MSCI Emerging Markets ETF		2,605,685
		TOTAL INVESTMENT FUNDS (COST $2,461,081)		2,605,685
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	875	GMO U.S. Treasury Fund		4,374
		TOTAL MUTUAL FUNDS (COST $4,400)		4,374
		SHORT-TERM INVESTMENTS — 4.3%
		Money Market Funds — 3.3%
	9,803,718	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (d)		9,803,718
		U.S. Government — 1.0%
	3,000,000	U.S. Treasury Bill, 1.56%, due 11/25/22 (e)		2,977,359
		TOTAL SHORT-TERM INVESTMENTS (COST $12,781,549)		12,781,077
		TOTAL INVESTMENTS — 98.6% (Cost $380,269,995)		289,295,224
		Other Assets and Liabilities (net) — 1.4%		4,191,543
		TOTAL NET ASSETS — 100.0%		$293,486,767

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
PhosAgro PJSC GDR	04/20/22	$	2,465	0.00%	$	251
Sberbank of Russia PJSC Sponsored ADR	10/18/21		16,571,291	0.15%		453,014
					$	453,265

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) The security is restricted as to resale.

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

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

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

ETF - Exchange-Traded Fund

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

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

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.1%
		Argentina — 0.0%
	60,000	Banco BBVA Argentina SA ADR *		183,600
	19,100	Grupo Financiero Galicia SA ADR (a)		175,911
		Total Argentina		359,511
		Brazil — 0.9%
	525,000	Blau Farmaceutica SA *		2,631,324
	3,941,500	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		12,498,218
		Total Brazil		15,129,542
		Chile — 0.2%
	1,835,560	Banco de Chile		191,059
	12,863,920	Banco Santander Chile		643,407
	28,900	Banco Santander Chile ADR		574,821
	28,604	CAP SA		366,175
	259,632	Cencosud Shopping SA		276,422
	23,200	Cia Cervecerias Unidas SA Sponsored ADR		325,032
	7,157,497	Colbun SA		534,381
		Total Chile		2,911,297
		China — 31.6%
	2,482,000	361 Degrees International Ltd *		1,240,538
	978,500	A-Living Smart City Services Co Ltd		1,559,997
	1,794,000	Agile Group Holdings Ltd		760,602
	59,588,590	Agricultural Bank of China Ltd – Class H		22,691,276
	344,000	AK Medical Holdings Ltd		204,116
	859,000	Akeso Inc *		1,780,106
	49,400	Alibaba Group Holding Ltd *		593,305
	142,600	Alibaba Group Holding Ltd Sponsored ADR *		13,696,730
	1,671,000	Angang Steel Co Ltd – Class A		867,574
	1,496,000	Angang Steel Co Ltd – Class H		631,931
	19,150	Anhui Conch Cement Co Ltd – Class A		105,728
	379,500	Anhui Conch Cement Co Ltd – Class H		1,922,193
	493,200	ANTA Sports Products Ltd		5,592,680
	308,200	Autohome Inc ADR		11,199,988
	284,800	Autohome Inc – Class A		2,527,853
	39,700	Baidu Inc Sponsored ADR *		5,571,895
	360,400	Baidu Inc – Class A *		6,588,310
	400	Bank of China Ltd – Class A		192
	2,300,000	BYD Electronic International Co Ltd		5,104,524
	352,000	China BlueChemical Ltd – Class H		123,827
	2,152,000	China Bohai Bank Co Ltd – Class H		356,052
	5,105,878	China Communications Services Corp Ltd – Class H		2,391,020
	1,023,000	China Construction Bank Corp – Class A		918,466
	59,414,148	China Construction Bank Corp – Class H		44,044,644
	5,142,000	China Datang Corp Renewable Power Co Ltd – Class H		1,787,859
	4,695,000	China Dongxiang Group Co Ltd		256,987
	2,157,000	China Education Group Holdings Ltd		1,489,430

Shares		Description	Value ($)
		China — continued
	23,563,000	China Feihe Ltd		23,781,665
	65,000	China High Speed Transmission Equipment Group Co Ltd *		37,183
	2,369,000	China Hongqiao Group Ltd		2,936,188
	1,658,000	China Lesso Group Holdings Ltd		2,128,855
	4,178,000	China Longyuan Power Group Corp Ltd – Class H		8,896,696
	567,000	China Medical System Holdings Ltd		837,839
	7,806,095	China Molybdenum Co Ltd – Class A		5,564,220
	525,000	China Molybdenum Co Ltd – Class H		256,886
	1,958,000	China Oriental Group Co Ltd		513,292
	878,000	China Overseas Land & Investment Ltd		2,547,864
	22,976,676	China Petroleum & Chemical Corp – Class A		15,297,311
	2,290,000	China Petroleum & Chemical Corp – Class H		1,096,825
	2,985,000	China Reinsurance Group Corp – Class H		262,521
	942,000	China Resources Gas Group Ltd		3,941,250
	3,302,000	China Resources Land Ltd		14,696,265
	3,979,886	China Shenhua Energy Co Ltd – Class A		20,266,890
	3,081,000	China Shenhua Energy Co Ltd – Class H		10,289,377
	408,267	China Suntien Green Energy Corp Ltd – Class A		746,679
	445,000	China Suntien Green Energy Corp Ltd – Class H		259,281
	273,081	China Tourism Group Duty Free Corp Ltd – Class A		7,216,494
	742,000	Dongyue Group Ltd		941,556
	807,200	ENN Energy Holdings Ltd		12,350,185
	23,534,000	GOME Retail Holdings Ltd *		1,169,964
	663,000	Greenland Hong Kong Holdings Ltd		127,596
	112,000	Greentown Management Holdings Co Ltd		81,198
	1,799,600	Guangzhou R&F Properties Co Ltd – Class H		638,149
	272,422	Hangzhou Robam Appliances Co Ltd – Class A		1,247,450
	169,900	Hello Group Inc Sponsored ADR		1,032,992
	3,764,438	Hisense Home Appliances Group Co Ltd – Class A		6,990,943
	280,000	Hisense Home Appliances Group Co Ltd – Class H		291,192
	10,248,000	Hua Han Health Industry Holdings Ltd (b)		1
	755,000	Huabao International Holdings Ltd		406,025
	385,800	Huayu Automotive Systems Co Ltd – Class A		1,276,320
	462,800	Industrial & Commercial Bank of China Ltd – Class A		323,891
	25,234,847	Industrial & Commercial Bank of China Ltd – Class H		15,111,140
	10,203,460	Inner Mongolia Eerduosi Resources Co Ltd – Class A		41,730,112
	25,500	Kingboard Laminates Holdings Ltd		42,769
	2,532,000	Kunlun Energy Co Ltd		2,170,131
	39,513	Kweichow Moutai Co Ltd – Class A		10,690,399
	3,439,500	KWG Group Holdings Ltd		1,079,829
	186,000	KWG Living Group Holdings Ltd		57,942
	1,506,000	Lee & Man Paper Manufacturing Ltd		731,283

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	2,082,000	Lonking Holdings Ltd		543,160
	198,200	Midea Group Co Ltd – Class A		1,620,296
	1,812,000	MMG Ltd *		767,873
	128,400	NetEase Inc ADR		13,318,932
	538,000	Newborn Town Inc * (a)		184,865
	517,000	Nexteer Automotive Group Ltd		333,825
	367,000	PAX Global Technology Ltd		289,836
	16,856,960	PetroChina Co Ltd – Class A		14,150,348
	22,491,000	PICC Property & Casualty Co Ltd – Class H		21,779,320
	23,364,191	Postal Savings Bank of China Co Ltd – Class A		18,431,978
	2,109,000	Powerlong Real Estate Holdings Ltd		566,533
	112,000	Q Technology Group Co Ltd *		77,292
	4,460,400	Qingling Motors Co Ltd – Class H		835,060
	1,848,781	Shenzhen YUTO Packaging Technology Co Ltd – Class A		7,631,398
	1,241,000	Sihuan Pharmaceutical Holdings Group Ltd (a)		178,342
	1,752,500	Sinopec Engineering Group Co Ltd – Class H		894,486
	2,067,000	Sinotruk Hong Kong Ltd		2,931,565
	156,000	SITC International Holdings Co Ltd		589,137
	2,328,500	Sun Art Retail Group Ltd		699,101
	1,489,000	Sunac China Holdings Ltd (a) (c)		869,051
	5,277,000	Sunac Services Holdings Ltd * (a)		2,841,305
	651,100	Sunny Optical Technology Group Co Ltd		10,275,490
	123,000	TCL Electronics Holdings Ltd		60,102
	696,765	Tencent Holdings Ltd		31,854,956
	115,100	Tencent Holdings Ltd ADR (a)		5,241,654
	17,900	Tencent Music Entertainment Group ADR *		74,822
	724,000	Tianli Education International Holdings Ltd		59,895
	439,500	Venus MedTech Hangzhou Inc – Class H *		757,519
	1,546,308	Vipshop Holdings Ltd ADR *		14,380,664
	4,442,000	Weimob Inc *		2,674,765
	354,000	Xiabuxiabu Catering Management China Holdings Co Ltd		162,362
	5,836,000	Xinyi Glass Holdings Ltd		14,751,336
	26,528,900	Yangzijiang Shipbuilding Holdings Ltd		17,869,563
	57,707	Zhejiang Supor Co Ltd – Class A		486,240
	105,500	Zhou Hei Ya International Holdings Co Ltd		55,565
	2,780,879	Zijin Mining Group Co Ltd – Class A		4,172,889
		Total China		546,483,996
		Czech Republic — 0.2%
	639,541	Moneta Money Bank AS		2,128,883
	743	Philip Morris CR AS		550,487
		Total Czech Republic		2,679,370
		Egypt — 0.1%
	262,582	Commercial International Bank Egypt SAE		582,494
	1,313,193	Fawry for Banking & Payment Technology Services SAE *		288,905
		Total Egypt		871,399

Shares		Description	Value ($)
		Hungary — 0.9%
	36,986	Magyar Telekom Telecommunications Plc		37,715
	259,163	MOL Hungarian Oil & Gas Plc		1,859,441
	15,140	Opus Global Nyrt *		7,248
	551,111	OTP Bank Nyrt Plc		13,128,723
	15,272	Richter Gedeon Nyrt		298,773
		Total Hungary		15,331,900
		India — 5.9%
	454,943	Adani Power Ltd *		1,880,075
	205,098	Asian Paints Ltd		7,502,301
	703,602	Axis Bank Ltd *		6,164,443
	976	Clean Science & Technology Ltd *		21,622
	11,567,064	Gayatri Projects Ltd * (d)		2,513,923
	29	Gujarat State Fertilizers & Chemicals Ltd		62
	919,323	HCL Technologies Ltd		12,265,622
	85,932	HDFC Asset Management Co Ltd		2,089,190
	181,064	HDFC Bank Ltd		3,202,614
	62,789	Hindustan Aeronautics Ltd		1,473,867
	201,438	Hindustan Zinc Ltd		777,852
	200,845	Housing Development Finance Corp Ltd		5,882,110
	1,066,601	ICICI Bank Ltd		10,212,392
	608,400	Infosys Ltd Sponsored ADR		11,474,424
	10,729	Jindal Stainless Hisar Ltd *		30,495
	1,054,022	Kiri Industries Ltd *		5,879,207
	37,502	Mahanagar Gas Ltd		364,411
	195,550	Mindtree Ltd		7,652,810
	200,032	NBCC India Ltd		85,257
	884,649	NCC Ltd		726,949
	549	Oberoi Realty Ltd *		5,643
	151,461	Petronet LNG Ltd		443,456
	146,169	Prestige Estates Projects Ltd		803,633
	35,362	Sobha Ltd		249,997
	48,586	Sun TV Network Ltd		276,598
	289,430	Tata Consultancy Services Ltd		12,483,139
	248,783	Titan Co Ltd		7,323,259
	80,950	Welspun Corp Ltd		239,079
		Total India		102,024,430
		Indonesia — 2.6%
	48,067,200	Bank Central Asia Tbk PT		25,432,407
	1,423,900	Bank Mandiri Persero Tbk PT		830,740
	1,101,300	Bank Negara Indonesia Persero Tbk PT		691,906
	11,405,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		610,023
	38,483,500	Bank Rakyat Indonesia Persero Tbk PT		12,190,650
	1,355,800	Bukit Asam Tbk PT		421,121
	590,791	Indo Tambangraya Megah Tbk PT		1,422,292
	776,800	Indocement Tunggal Prakarsa Tbk PT		517,705
	142,224,300	Panin Financial Tbk PT *		2,730,696
	211,700	United Tractors Tbk PT		455,528
		Total Indonesia		45,303,068

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Kuwait — 0.1%
	96,520	Humansoft Holding Co KSC		977,693
		Malaysia — 0.0%
	36,600	Fraser & Neave Holdings Bhd		162,093
	583,500	Kossan Rubber Industries Bhd		219,736
	549,300	Westports Holdings Bhd		432,690
		Total Malaysia		814,519
		Mexico — 5.0%
	294,500	America Movil SAB de CV – Class L Sponsored ADR		6,284,630
	5,667,000	America Movil SAB de CV – Series L		6,107,420
	100	Arca Continental SAB de CV		675
	834,800	Banco del Bajio SA		2,074,646
	528,400	Becle SAB de CV		1,190,212
	167,100	Concentradora Fibra Danhos SA de CV (REIT)		203,775
	315,700	Credito Real SAB de CV SOFOM ER * (a)		5,791
	58,700	El Puerto de Liverpool SAB de CV – Class C1		310,702
	7,142,500	Grupo Financiero Banorte SAB de CV – Class O		46,174,654
	559,100	Grupo Mexico SAB de CV – Series B		2,760,486
	374,600	Megacable Holdings SAB de CV CPO		1,062,672
	27	Qualitas Controladora SAB de CV		135
	294,700	Regional SAB de CV		1,747,041
	318,400	Ternium SA Sponsored ADR		14,000,048
	250,921	Unifin Financiera SAB de CV SOFOM ENR * (a)		215,343
	1,337,600	Wal-Mart de Mexico SAB de CV		4,946,548
		Total Mexico		87,084,778
		Panama — 0.0%
	2,217,585	BAC Holding International Corp *		197,524
		Peru — 0.4%
	122,400	Southern Copper Corp		7,561,872
		Philippines — 0.3%
	88,500	GT Capital Holdings Inc		847,434
	250,450	Manila Electric Co		1,783,674
	20,658,800	Megaworld Corp		1,087,280
	1,435,900	Puregold Price Club Inc		903,698
		Total Philippines		4,622,086
		Poland — 0.5%
	43,234	Bank Polska Kasa Opieki SA		943,589
	36,963	Budimex SA		1,912,522
	724	Grupa Lotos SA *		11,943
	351	LPP SA		843,599
	251,273	Polski Koncern Naftowy ORLEN SA		4,336,997
	162,743	Polskie Gornictwo Naftowe i Gazownictwo SA		228,128
		Total Poland		8,276,778

Shares		Description	Value ($)
		Qatar — 1.1%
	2,960,713	Qatar National Bank QPSC		17,502,682
	629,352	Qatar National Cement Co QSC		863,943
		Total Qatar		18,366,625
		Russia — 1.1%
	31,701,260	Alrosa PJSC (b)		2,609,860
	380,350	Detsky Mir PJSC (b)		28,216
	39,977	Evraz Plc (b)		1,031
	1,432,600,000	Federal Grid Co Unified Energy System PJSC (b)		151,981
	653,911	Fix Price Group Ltd GDR (b)		156,306
	219,070	Gazprom Neft PJSC (b)		102,506
	625,430	Gazprom PJSC Sponsored ADR (b)		408,267
	575,658	Globaltrans Investment Plc Sponsored GDR (Registered) (b)		206,667
	78,536,400	Inter RAO UES PJSC (b)		276,849
	3	LSR Group PJSC GDR (Registered) (b)		—
	239,440	LSR Group PJSC – Class A (b)		133,712
	285,469	LUKOIL PJSC Sponsored ADR (b)		1,288,258
	14,733,960	Magnitogorsk Iron & Steel Works PJSC (b)		586,940
	212,079	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) (b)		109,393
	237,400	Mechel PJSC Sponsored ADR * (b)		68,492
	372,125	MMC Norilsk Nickel PJSC ADR (b)		834,800
	249,660	Mobile TeleSystems PJSC (b)		71,005
	35,508	Mobile TeleSystems PJSC ADR (b)		20,117
	4,133,417	Moscow Exchange MICEX-RTS PJSC * (b)		405,766
	1,001,556	Novolipetsk Steel PJSC GDR (b)		1,605,828
	230	PhosAgro PJSC GDR * (b) (e)		607
	35,772	PhosAgro PJSC GDR (Registered) (b)		94,398
	916,204	Polymetal International Plc		2,730,011
	160,188	Polyus PJSC GDR (Registered) (b)		1,034,458
	11,693	QIWI Plc Sponsored ADR (b) (f)		5,257
	499,515	QIWI Plc Sponsored ADR (a) (b) (f)		260,386
	24,938,000	RusHydro PJSC (b)		22,311
	3,281,403	Sberbank of Russia PJSC Sponsored ADR (b) (e)		1,725,286
	706,464	Severstal PAO GDR (Registered) (b)		765,179
	68,353	SFI PJSC * (b)		39,467
	21,037,700	Surgutneftegas PJSC (b)		522,523
	4,246,320	Surgutneftegas PJSC Sponsored ADR (b)		1,050,489
	476,673	Tatneft PJSC Sponsored ADR (b)		1,245,703
	8,118,000	Unipro PJSC (b)		11,139
	556,430	United Co Rusal International PJSC * (b)		36,716
	46,698	X5 Retail Group NV GDR (Registered) (b)		51,819
		Total Russia		18,661,743
		Saudi Arabia — 0.1%
	21,897	Abdullah Al Othaim Markets Co		646,134
	51,817	Co for Cooperative Insurance (The)		824,299
		Total Saudi Arabia		1,470,433

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Africa — 0.7%
	6,018	Anglo American Platinum Ltd		658,617
	34,828	Capitec Bank Holdings Ltd		5,010,927
	216,024	Investec Ltd		1,332,820
	32,211	Kumba Iron Ore Ltd		1,212,987
	540,095	Lewis Group Ltd		1,790,519
	29,705	Ninety One Ltd		81,594
	8,933,156	RMB Holdings Ltd *		858,467
	224,211	Tiger Brands Ltd		2,053,554
		Total South Africa		12,999,485
		South Korea — 12.0%
	13,247	BNK Financial Group Inc		84,439
	369,990	Daewoo Engineering & Construction Co Ltd *		1,949,215
	31,050	DB Insurance Co Ltd		1,623,895
	17,300	DL E&C Co Ltd		728,114
	734,105	Dongwon Development Co Ltd		2,884,357
	2,758	Fila Holdings Corp		70,503
	238,864	GS Engineering & Construction Corp		7,653,386
	124,908	Hana Financial Group Inc		4,995,483
	4,289	Hankook & Co Co Ltd		49,253
	513,793	Hanwha Investment & Securities Co Ltd		1,702,289
	195,152	HDC Hyundai Development Co-Engineering & Construction (a)		2,179,156
	1,550	Hyosung TNC Corp		534,217
	288,587	Hyundai Engineering & Construction Co Ltd		10,058,870
	16,473	Hyundai Mobis Co Ltd		2,893,599
	158,971	KB Financial Group Inc		7,769,465
	13,579	KC Tech Co Ltd		220,023
	3,716	KCC Corp		1,040,826
	5,570	KCC Glass Corp		259,850
	1,692	KIWOOM Securities Co Ltd		130,113
	718	Korea Electric Terminal Co Ltd		35,514
	9,868	Korea Petrochemical Ind Co Ltd		1,237,822
	57,661	Korea Real Estate Investment & Trust Co Ltd		92,519
	8,480	Korea Zinc Co Ltd		4,060,529
	522,891	KT&G Corp (a)		35,878,579
	77,246	Kumho Petrochemical Co Ltd		9,955,309
	3,839	LG Household & Health Care Ltd		2,267,163
	108	LG Innotek Co Ltd		33,375
	30,586	Lotte Chemical Corp		5,036,595
	579	LOTTE Fine Chemical Co Ltd		39,101
	34,708	LX Semicon Co Ltd (a)		3,541,390
	51,745	POSCO Holdings Inc		12,027,579
	13,600	POSCO Holdings Inc Sponsored ADR		782,272
	360	PSK Inc		13,131
	830,985	Samsung Electronics Co Ltd		45,187,253
	6,416	Samsung Electronics Co Ltd GDR		8,618,400
	1,128	Samsung SDS Co Ltd		134,883
	174,639	SD Biosensor Inc		7,037,929
	293	Sebang Global Battery Co Ltd		14,751
	128,414	Shinhan Financial Group Co Ltd		4,470,242

Shares		Description	Value ($)
		South Korea — continued
	49,502	SL Corp		1,243,839
	877	TES Co Ltd		18,343
	2,969	TY Holdings Co Ltd *		60,866
	1,583,626	Woori Financial Group Inc		19,073,475
	93,656	Woori Technology Investment Co Ltd * (a)		523,494
	2,916	Youlchon Chemical Co Ltd		53,073
		Total South Korea		208,264,479
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (d)		259,958
		Taiwan — 23.9%
	204,000	Acer Inc		203,187
	81,532	Acter Group Corp Ltd		568,771
	966,035	Advantech Co Ltd		11,921,671
	26,000	AmTRAN Technology Co Ltd		11,625
	2,019,689	Asustek Computer Inc		23,646,536
	374,000	Aten International Co Ltd		1,014,934
	115,200	Aurora Corp		347,897
	6,391,000	Catcher Technology Co Ltd		35,971,580
	10,469,153	Cathay Financial Holding Co Ltd		19,968,965
	1,142,808	Chailease Holding Co Ltd		8,793,411
	1,539,000	China Steel Corp		1,829,409
	82,000	Chipbond Technology Corp		195,403
	511,000	Chong Hong Construction Co Ltd		1,327,629
	459,000	Chunghwa Telecom Co Ltd		1,994,862
	1,207,400	Coretronic Corp		2,324,186
	187,000	Delta Electronics Inc		1,538,673
	10,000	Elan Microelectronics Corp		50,946
	246,000	Elite Material Co Ltd		1,957,787
	1,030,000	Farglory Land Development Co Ltd		2,321,867
	246,000	FIT Hon Teng Ltd *		34,768
	1,138,879	FLEXium Interconnect Inc *		3,958,930
	2,439,000	Formosa Plastics Corp		8,795,577
	2,562,778	Foxconn Technology Co Ltd		4,792,473
	15,562,419	Fubon Financial Holding Co Ltd		34,124,804
	105,000	Gamania Digital Entertainment Co Ltd		245,200
	1,603,000	Grand Pacific Petrochemical		1,345,822
	6,000	Grand Plastic Technology Corp		63,248
	1,096,000	HannStar Display Corp		468,651
	309,000	Hiwin Technologies Corp		2,378,573
	199,000	Holtek Semiconductor Inc		680,309
	8,961,532	Hon Hai Precision Industry Co Ltd		34,746,719
	751,000	Huaku Development Co Ltd		2,438,836
	1,263,806	IEI Integration Corp		1,941,037
	153,000	International Games System Co Ltd		3,945,474
	162,000	King’s Town Bank Co Ltd		199,887
	241,000	Kung Long Batteries Industrial Co Ltd		1,127,666
	282,000	Largan Precision Co Ltd		16,138,988
	1,624,000	Lite-On Technology Corp		3,513,273
	2,373,000	Micro-Star International Co Ltd		10,940,987
	138,000	Mitac Holdings Corp		132,786

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	2,479,000	Nan Ya Plastics Corp		7,251,288
	1,169,000	Nantex Industry Co Ltd		2,063,131
	612,810	Novatek Microelectronics Corp		8,488,811
	368,000	Oneness Biotech Co Ltd *		2,394,480
	696,000	Phison Electronics Corp		9,416,081
	231,000	Powertech Technology Inc		775,440
	640,936	Radiant Opto-Electronics Corp		2,296,876
	20,000	Rexon Industrial Corp Ltd		27,260
	544,000	Shinkong Insurance Co Ltd		1,004,792
	238,468	Simplo Technology Co Ltd		2,461,559
	1,251,250	Syncmold Enterprise Corp		2,884,483
	96,024	Tah Hsin Industrial Corp		261,093
	2,369,000	Taiwan Cement Corp		3,470,351
	3,753,000	Taiwan Semiconductor Manufacturing Co Ltd		70,972,702
	412,010	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		39,264,553
	13,000	Test Research Inc		29,728
	1,000	Thinking Electronic Industrial Co Ltd		4,888
	751,000	Transcend Information Inc		1,859,858
	554,160	Tripod Technology Corp		2,211,874
	288,000	Tung Ho Steel Enterprise Corp		627,570
	383,224	United Integrated Services Co Ltd		2,372,463
	704,000	Universal Inc		773,523
	88,000	Vanguard International Semiconductor Corp		322,784
	381,000	Walsin Technology Corp		1,506,644
	117,000	Yulon Nissan Motor Co Ltd		981,548
	253,000	Zeng Hsing Industrial Co Ltd		1,205,335
		Total Taiwan		412,932,462
		Thailand — 0.8%
	1,206,500	Advanced Info Service Pcl (Foreign Registered)		7,642,785
	559,400	CP ALL Pcl (Foreign Registered)		1,082,022
	300,800	Kasikornbank Pcl (Foreign Registered)		1,290,360
	2,749,500	Pruksa Holding Pcl (Foreign Registered)		1,083,302
	180,100	SPCG Pcl		89,917
	2,748,400	Sri Trang Gloves Thailand Pcl NVDR		1,611,822
	893,375	Supalai Pcl (Foreign Registered)		532,572
		Total Thailand		13,332,780
		Turkey — 0.7%
	17,779,043	Akbank TAS		9,022,361
	238,086	Enerjisa Enerji AS		214,837
	1,598,527	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D *		1,435,479
	1,538,691	Turkiye Garanti Bankasi AS		1,365,740
	3,494,958	Yapi ve Kredi Bankasi AS		982,657
		Total Turkey		13,021,074
		United Kingdom — 0.6%
	226,263	Unilever Plc		10,931,095

Shares / Par Value†		Description	Value ($)
		Vietnam — 0.4%
	15	Hoa Phat Group JSC		22
	201,800	Pha Lai Thermal Power JSC		155,549
	5,032,800	Vietnam Joint Stock Commercial Bank for Industry and Trade		6,042,561
		Total Vietnam		6,198,132
		TOTAL COMMON STOCKS (COST $2,010,738,561)		1,557,068,029
		PREFERRED STOCKS (g) — 3.1%
		Brazil — 0.4%
	480,600	Alpargatas SA		2,199,461
	300	Cia Energetica de Minas Gerais		735
	2,446,200	Cia Paranaense de Energia – Class B		3,793,436
		Total Brazil		5,993,632
		Chile — 0.9%
	152,300	Sociedad Quimica y Minera de Chile SA Sponsored ADR		16,169,691
		Colombia — 0.0%
	1,177,711	Grupo Aval Acciones y Valores SA		263,970
		Russia — 0.2%
	194,570	Nizhnekamskneftekhim PJSC (b)		13,431
	79,676,700	Surgutneftegas PJSC (b)		3,142,436
	869	Transneft PJSC (b)		110,367
		Total Russia		3,266,234
		South Korea — 1.5%
	531,957	Samsung Electronics Co Ltd		26,093,162
		Taiwan — 0.1%
	256,798	Chailease Holding Co Ltd		902,488
		TOTAL PREFERRED STOCKS (COST $85,428,180)		52,689,177
		INVESTMENT FUNDS — 1.6%
		United States — 1.6%
	532,627	iShares Core MSCI Emerging Markets ETF		28,000,201
		TOTAL INVESTMENT FUNDS (COST $27,328,581)		28,000,201
		DEBT OBLIGATIONS — 0.4%
		United States — 0.4%
	6,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.16%, due 04/30/23 (h)		6,733,642
		TOTAL DEBT OBLIGATIONS (COST $6,726,547)		6,733,642

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.9%
		Money Market Funds — 2.5%
	44,239,659	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (i)		44,239,659
		U.S. Government — 1.4%
	3,700,000	U.S. Treasury Bill, 1.45%, due 11/10/22 (h) (j)		3,676,118
	20,000,000	U.S. Treasury Bill, 1.56%, due 11/25/22 (j)		19,849,059
		Total U.S. Government		23,525,177
		TOTAL SHORT-TERM INVESTMENTS (COST $67,766,795)		67,764,836
		TOTAL INVESTMENTS — 99.1% (Cost $2,197,988,664)		1,712,255,885
		Other Assets and Liabilities (net) — 0.9%		16,107,006
		TOTAL NET ASSETS — 100.0%		$1,728,362,891

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
PhosAgro PJSC GDR	04/20/22	$	5,151	0.00%	$	607
Sberbank of Russia PJSC Sponsored ADR	11/10/17		51,229,839	0.10%		1,725,286
					$	1,725,893

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

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
2,563	Mini MSCI Emerging Markets		June 2022	$	136,261,895	$	2,010,659
Sales
1,238	SGX Nifty 50		June 2022	$	40,761,026	$	(618,209	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

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

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(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) Affiliated company.

(e) The security is restricted as to resale.

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

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

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

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

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

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

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

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Australia — 3.9%
	682,357	BlueScope Steel Ltd		8,848,047
	220,193	CSR Ltd		736,018
	550,419	GrainCorp Ltd – Class A		3,876,781
	33,610	JB Hi-Fi Ltd		1,107,905
	17,877	Mineral Resources Ltd		813,932
	75,479	Nufarm Ltd		285,669
	89,611	Pact Group Holdings Ltd		140,870
	541,004	Rio Tinto Ltd		44,263,463
	443,963	Sandfire Resources Ltd		1,746,643
	171,866	Sims Ltd		2,163,199
	125,029	Woodside Energy Group Ltd		2,637,654
		Total Australia		66,620,181
		Belgium — 1.2%
	91,042	AGFA-Gevaert NV *		381,097
	52,213	Bekaert SA		2,108,902
	155,921	KBC Group NV		9,746,433
	81,188	UCB SA		7,162,984
		Total Belgium		19,399,416
		Denmark — 0.1%
	9,627	Per Aarsleff Holding A/S		337,924
	6,561	Schouw & Co A/S		500,481
		Total Denmark		838,405
		Finland — 0.4%
	165,406	Kesko Oyj – B Shares		4,141,260
	95,122	Nokia Oyj		478,075
	177,862	Outokumpu Oyj		1,026,887
	19,071	Stora Enso Oyj – R Shares		369,937
		Total Finland		6,016,159
		France — 9.3%
	26,778	ALD SA		371,932
	23,182	Alten SA		3,094,605
	31,845	APERAM SA		1,318,750
	397,929	BNP Paribas SA		22,775,698
	614,244	Cie de Saint-Gobain		36,408,580
	268,157	Derichebourg SA		2,162,894
	10,446	Euroapi SA *		151,842
	75,157	Ipsen SA		7,525,132
	55,010	IPSOS		2,672,491
	120,603	Metropole Television SA		2,108,243
	84,880	Publicis Groupe SA		4,649,427
	239,460	Sanofi		25,624,103
	82,389	Schneider Electric SE		11,443,153
	714,705	Societe Generale SA		19,259,528
	366,100	STMicroelectronics NV – NY Shares		14,673,288
	262,523	Television Francaise 1		2,177,407

Shares		Description	Value ($)
		France — continued
	14,584	TotalEnergies SE		860,126
		Total France		157,277,199
		Germany — 4.6%
	96,472	ADVA Optical Networking SE *		1,474,406
	5,254	Aurubis AG		496,298
	174,650	Bayerische Motoren Werke AG		15,173,381
	9,982	Hornbach Holding AG & Co KGaA		1,260,304
	5,326	Indus Holding AG		162,502
	463,007	Kloeckner & Co SE *		5,766,091
	305,274	Mercedes-Benz Group AG		21,753,643
	133,313	Merck KGaA		25,135,994
	36,153	RTL Group SA		1,675,893
	23,407	Volkswagen AG		5,305,642
		Total Germany		78,204,154
		Hong Kong — 2.2%
	455,100	ASM Pacific Technology Ltd		4,143,552
	1,229,487	Champion (REIT)		570,081
	711,712	Chow Tai Fook Jewellery Group Ltd *		1,231,949
	576,500	CK Asset Holdings Ltd		3,758,901
	608,400	Dah Sing Banking Group Ltd		528,244
	229,269	Dah Sing Financial Holdings Ltd		678,732
	3,995,207	Esprit Holdings Ltd *		687,526
	3,179,585	IGG Inc		1,283,877
	461,401	Johnson Electric Holdings Ltd		600,869
	297,640	Kerry Logistics Network Ltd		679,584
	351,326	Luk Fook Holdings International Ltd		815,078
	18,500	Orient Overseas International Ltd.		567,393
	1,232,331	Pacific Textiles Holdings Ltd		566,017
	1,301,023	Shun Tak Holdings Ltd *		269,855
	297,526	SmarTone Telecommunications Holdings Ltd		157,598
	84,500	Sun Hung Kai Properties Ltd		1,033,102
	104,000	Techtronic Industries Co Ltd		1,358,597
	313,588	Television Broadcasts Ltd *		180,312
	1,016,000	VSTECS Holdings Ltd		837,887
	296,500	VTech Holdings Ltd		2,215,597
	19,762,515	WH Group Ltd		15,111,743
		Total Hong Kong		37,276,494
		Ireland — 0.6%
	145,807	AIB Group Plc		390,407
	832,079	Bank of Ireland Group Plc		5,621,586
	48,797	Kingspan Group Plc		4,017,251
		Total Ireland		10,029,244
		Italy — 2.6%
	338,130	Anima Holding SPA		1,630,145
	139,967	Banca IFIS SPA		2,554,118
	429,205	Banco BPM SPA		1,499,245
	101,104	Esprinet SPA		884,065
	345,674	EXOR NV		25,531,956

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	285,958	Italgas SPA		1,846,605
	35,326	Leonardo SPA *		380,366
	137,441	OVS SPA *		282,152
	148,372	Poste Italiane SPA		1,607,238
	2,362	Sesa SPA		325,598
	177,878	Stellantis NV		2,668,736
	75,594	Unieuro SPA		1,448,504
	585,234	Unipol Gruppo SPA		3,131,812
		Total Italy		43,790,540
		Japan — 25.0%
	58,300	AGC Inc		2,192,992
	63,520	AOKI Holdings Inc		330,431
	1,742,815	Asahi Kasei Corp		14,081,167
	489,096	Brother Industries Ltd		9,001,712
	1,295,700	Canon Inc		32,905,356
	31,300	Canon Inc Sponsored ADR		794,707
	39,584	Cawachi Ltd		625,618
	17,400	Dai Nippon Printing Co Ltd		398,113
	136,400	Daiwa House Industry Co Ltd		3,285,078
	202,990	Daiwabo Holdings Co Ltd		2,710,275
	70,374	Dexerials Corp		2,352,810
	53,748	Doutor Nichires Holdings Co Ltd		625,886
	83,954	FUJIFILM Holdings Corp		4,624,127
	50,132	Fujitsu Ltd		7,527,456
	20,606	Fuyo General Lease Co Ltd		1,178,173
	90,236	Geo Holdings Corp		851,506
	17,653	Gunze Ltd		502,111
	99,004	Hitachi Ltd		5,136,969
	1,291,254	ITOCHU Corp		37,040,299
	2,064,904	Japan Tobacco Inc		37,585,258
	126,944	Kanematsu Corp		1,286,672
	1,233,896	KDDI Corp		43,045,801
	41,993	Komeri Co Ltd		897,141
	2,719,400	Marubeni Corp		28,508,324
	110,757	MCJ Co Ltd		746,318
	388,900	Mitsubishi Corp		13,421,693
	3,017,718	Mitsubishi UFJ Financial Group Inc		17,167,803
	881,338	Mitsui & Co Ltd		22,137,947
	39,684	Modec Inc		402,451
	59,833	NEC Networks & System Integration Corp		845,828
	96,826	Nichias Corp		1,694,860
	59,031	Nippon Signal Co Ltd		409,871
	1,289,495	Nippon Telegraph & Telephone Corp		39,397,171
	84,866	Okinawa Electric Power Co (The)		771,889
	400,186	Panasonic Holdings Corp		3,671,933
	82,324	Press Kogyo Co Ltd		263,475
	63,119	Prima Meat Packers Ltd		1,033,557
	29,683	San-A Co Ltd		905,480
	26,900	Sega Sammy Holdings Inc		498,708
	122,400	Seiko Epson Corp		2,049,064
	65,395	Seiko Holdings Corp		1,317,716

Shares		Description	Value ($)
		Japan — continued
	345,612	Sekisui Chemical Co Ltd		4,943,644
	516,400	Sekisui House Ltd		9,175,269
	644,181	Sojitz Corp		10,215,391
	5,453,441	Sumitomo Chemical Co Ltd		22,542,141
	167,600	Sumitomo Forestry Co Ltd		2,571,339
	56,838	T-Gaia Corp		720,756
	13,400	Tokyo Electron Ltd		6,142,347
	26,877	Tokyo Seimitsu Co Ltd		1,034,006
	130,975	Tokyu Construction Co Ltd		593,529
	61,028	Towa Pharmaceutical Co Ltd		1,136,091
	346,355	Toyota Tsusho Corp		13,220,994
	24,269	TPR Co Ltd		236,711
	64,169	Valor Holdings Co Ltd		926,162
	20,256	Warabeya Nichiyo Holdings Co Ltd		258,820
	21,608	Yahagi Construction Co Ltd		131,775
	213,000	Yamaha Motor Co Ltd		4,310,404
		Total Japan		422,383,125
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		17
		Netherlands — 6.2%
	1,171,054	Koninklijke Ahold Delhaize NV		32,292,187
	366,457	NN Group NV		18,162,189
	529,086	Randstad NV		29,768,502
	280,917	Signify NV		11,201,104
	133,426	Wolters Kluwer NV		13,165,341
		Total Netherlands		104,589,323
		New Zealand — 0.0%
	14,126	EBOS Group Ltd		372,231
		Norway — 4.2%
	249,992	BW LPG Ltd		2,058,659
	986,130	Equinor ASA		37,420,426
	245,910	Europris ASA		1,266,028
	43,077	Kongsberg Gruppen ASA		1,540,847
	3,485,500	Norsk Hydro ASA		27,968,520
		Total Norway		70,254,480
		Portugal — 1.1%
	251,682	CTT – Correios de Portugal SA		1,010,902
	224,980	Galp Energia SGPS SA		2,937,373
	488,354	Jeronimo Martins SGPS SA		9,983,428
	555,447	REN – Redes Energeticas Nacionais SGPS SA		1,720,315
	2,697,432	Sonae SGPS SA		3,197,753
		Total Portugal		18,849,771
		Singapore — 4.2%
	1,604,325	DBS Group Holdings Ltd		36,169,719
	181,087	Jardine Cycle & Carriage Ltd		3,871,312
	890,100	Keppel Corp Ltd		4,455,962

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	428,300	Sheng Siong Group Ltd		477,908
	4,195,439	Wilmar International Ltd		12,764,252
	12,651,022	Yangzijiang Financial Holding Ltd *		4,616,993
	12,651,022	Yangzijiang Shipbuilding Holdings Ltd		8,521,584
		Total Singapore		70,877,730
		Spain — 5.8%
	11,242	Acciona SA		2,167,897
	1,022,552	Acerinox SA		13,266,759
	6,955,010	Banco Bilbao Vizcaya Argentaria SA		38,059,698
	25,807,221	Banco de Sabadell SA		23,147,536
	656,466	Banco Santander SA		2,129,454
	53,786	Ebro Foods SA		953,581
	12,544	Grupo Catalana Occidente SA		391,798
	338,794	Industria de Diseno Textil SA		8,166,556
	317,033	Mediaset Espana Comunicacion SA *		1,381,635
	362,202	Repsol SA		5,812,021
	2,589,226	Unicaja Banco SA		2,585,877
		Total Spain		98,062,812
		Sweden — 0.3%
	89,076	Investor AB – A Shares		1,859,407
	325,324	SSAB AB – A Shares		2,010,250
	89,440	Svenska Cellulosa AB SCA – Class B		1,623,428
		Total Sweden		5,493,085
		Switzerland — 6.1%
	44,851	Ascom Holding AG (Registered)		360,543
	26,867	Cie Financiere Richemont SA – Class A (Registered)		2,990,033
	209	Forbo Holding AG (Registered)		300,059
	242,293	Novartis AG (Registered)		22,009,844
	167,171	Roche Holding AG – Genusschein		56,970,361
	1,033,302	UBS Group AG (Registered)		19,486,712
	3,995	Zehnder Group AG – Class RG		291,863
		Total Switzerland		102,409,415
		United Kingdom — 18.5%
	989,577	3i Group Plc		15,825,305
	2,914,868	Barratt Developments Plc		18,544,670
	300,658	Bellway Plc		8,840,359
	588,200	BP Plc Sponsored ADR		19,040,034
	1,058,383	British American Tobacco Plc		46,680,116
	134,358	British American Tobacco Plc Sponsored ADR		5,943,998
	14,825,368	BT Group Plc		34,943,282
	648,376	Coca-Cola HBC AG *		14,284,577
	83,864	Crest Nicholson Holdings Plc		275,467
	858,410	Ferrexpo Plc		1,896,486
	207,438	Galliford Try Holdings Plc		457,188
	302,530	Glencore Plc *		1,995,360
	94,866	Grafton Group Plc		1,120,354
	1,252,204	GSK Plc		27,298,512
	361,100	GSK Plc Sponsored ADR		15,852,290

Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	103,137	Halfords Group Plc		291,558
	1,400,829	Imperial Brands Plc		31,630,717
	612,055	Investec Plc		3,713,487
	393,221	ITV Plc		348,529
	2,901,879	Kingfisher Plc		9,637,170
	197,108	M&G Plc		536,722
	292,669	Next Plc		23,926,022
	84,164	Ninety One Plc		238,847
	426,216	Persimmon Plc		11,691,601
	169,705	Plus500 Ltd		3,332,489
	665,127	Redrow Plc		4,458,346
	693,387	Royal Mail Plc		2,715,410
	102,065	RS GROUP Plc		1,245,544
	530,760	Spirent Communications Plc		1,554,377
	255,129	Vesuvius Plc		1,133,808
	109,719	Vistry Group Plc		1,251,986
	143,746	WPP Plc		1,668,815
		Total United Kingdom		312,373,426
		TOTAL COMMON STOCKS (COST $1,746,547,148)		1,625,117,207
		PREFERRED STOCKS (b) — 0.4%
		Germany — 0.4%
	72,483	Bayerische Motoren Werke AG		5,687,013
	18,267	Draegerwerk AG & Co KGaA		964,159
	9,361	Henkel AG & Co KGaA		640,860
		Total Germany		7,292,032
		TOTAL PREFERRED STOCKS (COST $7,840,905)		7,292,032
		SHORT-TERM INVESTMENTS — 5.5%
		Money Market Funds — 0.2%
	3,530,330	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (c)		3,530,330
		U.S. Government — 5.3%
	2,000,000	U.S. Treasury Bill, 1.29%, due 10/06/22 (d) (e)		1,990,974
	4,300,000	U.S. Treasury Bill, 1.51%, due 11/17/22 (d)		4,270,024
	84,400,000	U.S. Treasury Bill, 1.56%, due 11/25/22 (d)		83,763,026
		Total U.S. Government		90,024,024
		TOTAL SHORT-TERM INVESTMENTS (COST $93,583,427)		93,554,354
		TOTAL INVESTMENTS — 102.2% (Cost $1,847,971,480)		1,725,963,593
		Other Assets and Liabilities (net) — (2.2%)		(37,939,625	)
		TOTAL NET ASSETS — 100.0%		$1,688,023,968

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
264	MSCI EAFE		June 2022	$	26,888,400	$	(601,538	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

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

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) 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, 2022.

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

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.7%
		Automobiles & Components — 6.3%
	179,700	Honda Motor Co Ltd		4,474,560
	228,100	Stanley Electric Co Ltd		4,135,352
		Total Automobiles & Components		8,609,912
		Banks — 6.1%
	152,700	Sumitomo Mitsui Financial Group Inc		4,683,233
	123,500	Sumitomo Mitsui Trust Holdings Inc		3,735,368
		Total Banks		8,418,601
		Capital Goods — 17.4%
	251,400	EXEO Group Inc		4,025,515
	224,100	Fuji Corp		3,838,197
	164,500	Kyudenko Corp		3,407,511
	545,500	Penta-Ocean Construction Co Ltd		2,682,885
	243,400	Takuma Co Ltd		2,683,299
	152,100	THK Co Ltd		3,106,288
	64,400	Toyota Industries Corp		4,139,432
		Total Capital Goods		23,883,127
		Commercial & Professional Services — 5.5%
	56,400	Secom Co Ltd		3,714,149
	203,800	Toppan Inc		3,830,227
		Total Commercial & Professional Services		7,544,376
		Consumer Durables & Apparel — 2.0%
	225,000	Haseko Corp		2,684,047
		Diversified Financials — 2.2%
	92,000	Zenkoku Hosho Co Ltd		3,053,503
		Food, Beverage & Tobacco — 11.6%
	92,100	Ezaki Glico Co Ltd		2,662,047
	240,500	Kirin Holdings Co Ltd		3,720,169
	121,600	Morinaga & Co Ltd		3,702,823
	131,800	NH Foods Ltd		4,017,271
	245,300	Takara Holdings Inc		1,821,064
		Total Food, Beverage & Tobacco		15,923,374
		Insurance — 5.3%
	111,200	MS&AD Insurance Group Holdings Inc		3,537,978
	327,900	T&D Holdings Inc		3,787,990
		Total Insurance		7,325,968
		Materials — 11.5%
	147,900	Denka Co Ltd		3,669,607
	119,200	Maruichi Steel Tube Ltd		2,750,680
	328,500	Teijin Ltd		3,378,460
	340,700	Tokai Carbon Co Ltd		2,872,267
	209,200	Tosoh Corp		3,039,903
		Total Materials		15,710,917

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 3.5%
	45,700	Sawai Group Holdings Co Ltd		1,348,147
	148,700	Tsumura & Co		3,389,003
		Total Pharmaceuticals, Biotechnology & Life Sciences		4,737,150
		Real Estate — 2.4%
	274,800	Aeon Mall Co Ltd		3,317,667
		Retailing — 2.9%
	402,700	K’s Holdings Corp		4,026,197
		Semiconductors & Semiconductor Equipment — 7.4%
	38,100	Rohm Co Ltd		3,114,127
	217,800	SUMCO Corp		3,509,552
	90,500	Tokyo Seimitsu Co Ltd		3,481,696
		Total Semiconductors & Semiconductor Equipment		10,105,375
		Software & Services — 3.0%
	101,300	NEC Corp		4,069,008
		Technology Hardware & Equipment — 4.7%
	161,600	Amano Corp		3,130,004
	253,700	Daiwabo Holdings Co Ltd		3,387,343
		Total Technology Hardware & Equipment		6,517,347
		Telecommunication Services — 2.4%
	93,900	KDDI Corp		3,275,803
		Transportation — 2.5%
	112,600	Sankyu Inc		3,370,174
		TOTAL COMMON STOCKS (COST $155,750,883)		132,572,546
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 1.2%
	1,601,747	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		1,601,747
		TOTAL SHORT-TERM INVESTMENTS (COST $1,601,747)		1,601,747
		TOTAL INVESTMENTS — 97.9% (Cost $157,352,630)		134,174,293
		Other Assets and Liabilities (net) — 2.1%		2,853,562
		TOTAL NET ASSETS — 100.0%		$137,027,855

Notes to Schedule of Investments:

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

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.0%
		Brazil — 0.4%
	23,051	Vale SA		418,139
		Canada — 6.5%
	64,534	Brookfield Asset Management Inc – Class A		3,265,420
	45,755	Nutrien Ltd		4,446,929
		Total Canada		7,712,349
		China — 3.0%
	170,145	Alibaba Group Holding Ltd *		2,043,480
	1,747	JD.com Inc – Class A		49,074
	31,902	Tencent Holdings Ltd		1,458,507
		Total China		3,551,061
		Finland — 1.9%
	49,267	Neste Oyj		2,262,978
		France — 7.1%
	3,510	Kering SA		1,930,611
	4,656	LVMH Moet Hennessy Louis Vuitton SE		3,006,035
	33,593	Safran SA		3,480,606
		Total France		8,417,252
		Germany — 2.0%
	22,394	Beiersdorf AG		2,324,302
		Hong Kong — 1.1%
	240,715	Galaxy Entertainment Group Ltd		1,282,277
		Ireland — 2.6%
	175,114	Ryanair Holdings Plc *		2,682,385
	4,003	Ryanair Holdings Plc Sponsored ADR *		349,062
		Total Ireland		3,031,447
		Mexico — 6.7%
	460,956	Fomento Economico Mexicano SAB de CV		3,448,884
	911,218	Grupo Mexico SAB de CV – Series B		4,499,025
		Total Mexico		7,947,909
		Russia — 0.2%
	33,541	LUKOIL PJSC Sponsored ADR (a)		151,363
	7,292	Novatek PJSC Sponsored GDR (Registered) (a)		73,730
		Total Russia		225,093
		Spain — 4.4%
	50,172	Amadeus IT Group SA *		3,121,886
	83,518	Industria de Diseno Textil SA		2,013,183
		Total Spain		5,135,069
		United Kingdom — 11.3%
	42,057	Berkeley Group Holdings Plc		2,227,368

Shares		Description	Value ($)
		United Kingdom — continued
	204,874	Compass Group Plc		4,592,522
	83,894	Persimmon Plc		2,301,310
	141,211	Shell Plc		4,176,450
		Total United Kingdom		13,297,650
		United States — 47.8%
	21,915	American Express Co.		3,699,690
	1,453	Booking Holdings, Inc. *		3,259,893
	73,493	BorgWarner, Inc.		2,963,238
	22,658	Chevron Corp.		3,957,446
	61,045	Darling Ingredients, Inc. *		4,887,873
	39,398	EOG Resources, Inc.		5,395,950
	14,949	Global Payments, Inc.		1,958,917
	25,957	Green Plains, Inc. *		845,679
	20,919	Hilton Worldwide Holdings, Inc.		2,946,650
	25,948	Intercontinental Exchange, Inc.		2,656,816
	1,602	Lam Research Corp.		833,088
	44,052	Las Vegas Sands Corp. *		1,562,084
	75,437	Lyft, Inc. – Class A *		1,333,726
	2,337	Markel Corp. *		3,200,358
	11,563	Micron Technology, Inc.		853,812
	36,980	Raytheon Technologies Corp.		3,517,538
	67,857	Sensata Technologies Holding Plc		3,259,172
	69,662	US Bancorp		3,696,962
	41,422	VF Corp.		2,090,154
	73,033	Wells Fargo & Co.		3,342,721
		Total United States		56,261,767
		TOTAL COMMON STOCKS (COST $94,851,428)		111,867,293
		PREFERRED STOCKS (b) — 3.1%
		Brazil — 3.1%
	618,456	Bradespar SA		3,719,155
		TOTAL PREFERRED STOCKS (COST $3,005,045)		3,719,155
		MUTUAL FUNDS — 1.6%
		United States — 1.6%
		Affiliated Issuers — 1.6%
	372,419	GMO U.S. Treasury Fund		1,862,093
		TOTAL MUTUAL FUNDS (COST $1,864,957)		1,862,093

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	228,552	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (c)		228,552
		TOTAL SHORT-TERM INVESTMENTS (COST $228,552)		228,552
		TOTAL INVESTMENTS — 99.9% (Cost $99,949,982)		117,677,093
		Other Assets and Liabilities (net) — 0.1%		128,922
		TOTAL NET ASSETS — 100.0%		$117,806,015

Notes to Schedule of Investments:

* Non-income producing security.

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

(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, 2022.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.4%
		Banks — 7.3%
	5,284,749	US Bancorp		280,461,630
	5,664,886	Wells Fargo & Co.		259,281,832
		Total Banks		539,743,462
		Capital Goods — 4.6%
	580,052	Knorr-Bremse AG		39,649,814
	1,552,303	Otis Worldwide Corp.		115,491,343
	1,808,932	Safran SA		187,425,376
		Total Capital Goods		342,566,533
		Consumer Durables & Apparel — 1.1%
	130,768	LVMH Moet Hennessy Louis Vuitton SE		84,427,224
		Consumer Services — 2.6%
	8,508,961	Compass Group Plc		190,739,630
		Diversified Financials — 1.8%
	790,246	American Express Co.		133,409,330
		Food, Beverage & Tobacco — 6.4%
	4,083,863	Coca-Cola Co. (The)		258,835,237
	469,598	Constellation Brands, Inc. – Class A		115,272,221
	834,710	Nestle SA (Registered)		102,099,395
		Total Food, Beverage & Tobacco		476,206,853
		Health Care Equipment & Services — 15.2%
	930,001	Abbott Laboratories		109,237,917
	472,959	Anthem, Inc.		241,024,636
	345,809	Cigna Corp.		92,777,097
	1,772,590	Medtronic Plc		177,524,889
	907,609	Quest Diagnostics, Inc.		127,991,021
	756,480	UnitedHealth Group, Inc.		375,804,134
		Total Health Care Equipment & Services		1,124,359,694
		Household & Personal Products — 2.1%
	3,280,066	Unilever Plc		158,464,757
		Media & Entertainment — 4.9%
	100,003	Alphabet, Inc. – Class A *		227,530,826
	698,488	Meta Platforms, Inc. – Class A *		135,255,216
		Total Media & Entertainment		362,786,042
		Pharmaceuticals, Biotechnology & Life Sciences — 10.1%
	541,822	Eli Lilly & Co.		169,828,688
	1,421,374	Johnson & Johnson		255,179,274
	1,830,535	Merck & Co., Inc.		168,464,136
	460,808	Roche Holding AG – Genusschein		157,039,188
		Total Pharmaceuticals, Biotechnology & Life Sciences		750,511,286

Shares		Description	Value ($)
		Retailing — 5.9%
	10,376,132	Alibaba Group Holding Ltd *		124,619,699
	53,159	Amazon.com, Inc. *		127,804,336
	2,872,602	TJX Cos, Inc. (The)		182,611,309
		Total Retailing		435,035,344
		Semiconductors & Semiconductor Equipment — 10.7%
	250,286	KLA Corp.		91,316,847
	438,711	Lam Research Corp.		228,142,881
	12,159,790	Taiwan Semiconductor Manufacturing Co Ltd		229,952,878
	1,393,892	Texas Instruments, Inc.		246,384,350
		Total Semiconductors & Semiconductor Equipment		795,796,956
		Software & Services — 20.7%
	731,589	Accenture Plc – Class A		218,350,053
	229,102	Adobe, Inc. *		95,416,401
	846,396	Amadeus IT Group SA *		52,665,856
	597,726	Global Payments, Inc.		78,326,015
	1,614,970	Microsoft Corp.		439,061,894
	2,543,063	Oracle Corp.		182,897,091
	656,524	Salesforce, Inc. *		105,201,405
	2,016,664	SAP SE		202,164,430
	763,534	Visa, Inc. – Class A		161,999,009
		Total Software & Services		1,536,082,154
		Technology Hardware & Equipment — 5.7%
	2,266,779	Apple, Inc.		337,387,386
	1,816,403	Cisco Systems, Inc.		81,828,955
		Total Technology Hardware & Equipment		419,216,341
		Transportation — 0.3%
	1,230,112	Lyft, Inc. – Class A *		21,748,380
		TOTAL COMMON STOCKS (COST $4,570,644,667)		7,371,093,986
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	1,155,359	GMO U.S. Treasury Fund		5,776,795
		TOTAL MUTUAL FUNDS (COST $5,776,759)		5,776,795
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.3%
	20,708,521	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		20,708,521

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — 0.1%
	13,000,000	U.S. Treasury Bill, 1.44%, due 11/03/22 (b)		12,920,324
		TOTAL SHORT-TERM INVESTMENTS (COST $33,631,757)		33,628,845
		TOTAL INVESTMENTS — 99.9% (Cost $4,610,053,183)		7,410,499,626
		Other Assets and Liabilities (net) — 0.1%		6,292,639
		TOTAL NET ASSETS — 100.0%		$7,416,792,265

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(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, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.8%
		Argentina — 1.1%
	2,365,754	Adecoagro SA		26,283,527
		Australia — 5.4%
	13,388,888	Beach Energy Ltd		16,380,707
	735,000	Clean TeQ Water Ltd *		287,764
	4,081,470	Fortescue Metals Group Ltd		58,924,382
	6,201,772	Jupiter Mines Ltd		981,148
	625,084	Mineral Resources Ltd		28,459,799
	6,690,730	Perenti Global Ltd		3,189,776
	3,636,764	Sandfire Resources Ltd		14,307,789
	1,470,000	Sunrise Energy Metals Ltd *		3,314,375
		Total Australia		125,845,740
		Austria — 1.8%
	734,483	OMV AG		42,909,213
		Brazil — 4.5%
	1,832,700	Enauta Participacoes SA		9,093,027
	2,707,757	Sao Martinho SA		28,709,614
	611,820	SLC Agricola SA		7,061,121
	1,950,100	Suzano SA		21,952,499
	2,061,968	Vale SA		37,403,554
		Total Brazil		104,219,815
		Canada — 9.7%
	850,200	Anaergia Inc *		5,007,701
	804,700	Birchcliff Energy Ltd		7,252,702
	1,641,829	Canadian Solar Inc * (a)		52,637,038
	549,400	Enerflex Ltd (a)		3,409,724
	1,189,300	First Quantum Minerals Ltd		34,432,673
	1,617,600	Greenlane Renewables Inc * (a)		1,138,209
	4,059,300	Ivanhoe Mines Ltd – Class A * (a)		30,937,781
	1,614,188	Largo Inc * (a)		14,688,938
	1,451,000	Li-Cycle Holdings Corp * (a)		11,825,650
	187,400	Nutrien Ltd		18,213,406
	363,900	Teck Resources Ltd – Class B (b)		15,087,098
	139,200	Teck Resources Ltd – Class B (b)		5,782,368
	166,100	Tourmaline Oil Corp (a)		10,253,459
	791,100	Vermilion Energy Inc		17,119,404
		Total Canada		227,786,151
		China — 1.6%
	10,394,000	China High Speed Transmission Equipment Group Co Ltd * (a)		5,945,811
	3,414,000	China Oilfield Services Ltd – Class H (a)		4,019,759
	5,782,000	China Water Affairs Group Ltd (a)		5,753,335
	5,028,100	Guanghui Energy Co Ltd – Class A *		7,915,391
	8,271,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H		13,530,345
		Total China		37,164,641

Shares		Description	Value ($)
		Colombia — 0.2%
	6,421,050	Ecopetrol SA		5,313,972
		Denmark — 1.0%
	936,700	Vestas Wind Systems A/S		23,925,413
		Finland — 0.4%
	309,086	Kemira Oyj		4,222,172
	127,268	Neste Oyj		5,845,793
		Total Finland		10,067,965
		France — 1.2%
	537,461	Technip Energies NV (a)		6,959,810
	657,118	Veolia Environnement SA		18,390,264
	58,741	Vilmorin & Cie SA		2,723,165
		Total France		28,073,239
		Hungary — 1.0%
	3,225,573	MOL Hungarian Oil & Gas Plc		23,142,814
		India — 1.6%
	14,187,843	Oil & Natural Gas Corp Ltd		27,723,934
	3,461,660	Oil India Ltd		10,690,056
		Total India		38,413,990
		Israel — 0.7%
	79,361	Delek Group Ltd *		12,604,644
	78,367	Equital Ltd *		2,814,651
	123,109	Naphtha Israel Petroleum Corp Ltd *		946,383
		Total Israel		16,365,678
		Japan — 3.1%
	300,300	Ebara Corp		12,897,956
	3,575,800	Inpex Corp (a)		45,881,176
	111,400	Japan Petroleum Exploration Co Ltd		2,708,066
	522,900	Mitsubishi Materials Corp		8,041,286
	66,700	Nittetsu Mining Co Ltd		3,035,762
		Total Japan		72,564,246
		Mexico — 2.6%
	12,235,140	Grupo Mexico SAB de CV – Series B		60,409,469
		Netherlands — 0.2%
	243,042	SBM Offshore NV		3,938,684
		Norway — 3.2%
	1,340,581	Austevoll Seafood ASA		18,032,572
	4,089,354	DNO ASA		7,493,504
	1,177,655	Equinor ASA		44,688,177
	245,479	TGS ASA		4,049,289
		Total Norway		74,263,542

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Pakistan — 0.2%
	4,139,800	Fauji Fertilizer Co Ltd		2,379,123
	595,518	Pakistan Oilfields Ltd		1,200,259
		Total Pakistan		3,579,382
		Poland — 0.8%
	12,976,795	Polskie Gornictwo Naftowe i Gazownictwo SA		18,190,432
		Portugal — 2.6%
	4,687,545	Galp Energia SGPS SA		61,201,300
		Russia — 0.8%
	3,574,704	Gazprom Neft PJSC (c)		1,672,648
	14,145,410	Gazprom PJSC (c)		4,635,299
	248,399	LUKOIL PJSC Sponsored ADR (c)		1,120,969
	2,329,179	MMC Norilsk Nickel PJSC ADR (c)		5,225,124
	6,533	PhosAgro PJSC GDR * (c) (d)		17,240
	1,014,296	PhosAgro PJSC GDR (Registered) (c)		2,676,614
	601,778	Ros Agro Plc GDR (Registered) (c)		525,589
	3,476,399	Tatneft PJSC (c)		1,520,197
		Total Russia		17,393,680
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a) (c)		—
		South Africa — 2.7%
	586,743	African Rainbow Minerals Ltd		9,743,297
	1,780,208	Impala Platinum Holdings Ltd		24,271,112
	232,911	Sasol Ltd *		6,091,466
	7,359,108	Sibanye Stillwater Ltd		23,830,976
		Total South Africa		63,936,851
		South Korea — 0.1%
	4,718	Young Poong Corp		2,563,153
		Spain — 1.2%
	1,698,073	Repsol SA		27,247,878
		Switzerland — 0.1%
	25,900	Gurit Holding AG (a)		2,900,478
		Turkey — 0.3%
	4,206,748	Koza Anadolu Metal Madencilik Isletmeleri AS *		7,702,222
		Ukraine — 0.1%
	501,341	Kernel Holding SA		3,170,356
		United Kingdom — 12.0%
	9,340,771	BP Plc		50,763,079
	1,445,756	Central Asia Metals Plc		4,711,906
	4,414,551	Ferrexpo Plc		9,753,073
	13,387,744	Glencore Plc		88,299,918
	1,862,086	John Wood Group Plc *		5,555,485
	1,574,861	Serica Energy Plc		5,163,507

Shares		Description	Value ($)
		United Kingdom — continued
	3,965,244	Shell Plc		117,275,873
		Total United Kingdom		281,522,841
		United States — 29.6%
	1,245,717	Aemetis, Inc. *		10,102,765
	363,900	AGCO Corp.		46,626,507
	988,100	Ameresco, Inc. – Class A *		58,021,232
	185,900	Baker Hughes Co. – Class A		6,688,682
	85,700	California Resources Corp.		3,742,519
	5,983,966	Clean Energy Fuels Corp. *		33,091,332
	710,900	Darling Ingredients, Inc. *		56,921,763
	56,300	Deere & Co.		20,143,014
	806,382	Freeport-McMoRan, Inc.		31,513,408
	1,047,524	GrafTech International Ltd.		9,092,508
	708,900	Green Plains, Inc. * (a)		23,095,962
	429,100	Hess Corp.		52,809,337
	15,135,901	Kosmos Energy Ltd. *		117,151,874
	1,458,800	Livent Corp. *		46,375,252
	513,343	Montauk Renewables, Inc. *		6,637,525
	564,321	Mosaic Co. (The)		35,354,711
	200,500	Northern Oil and Gas, Inc.		6,554,345
	190,400	PotlatchDeltic Corp. (REIT)		9,988,384
	181,824	SolarEdge Technologies, Inc. *		49,599,769
	2,429,666	Sunrun, Inc. * (a)		63,462,876
	620,332	TechnipFMC Plc *		5,111,536
		Total United States		692,085,301
		TOTAL COMMON STOCKS (COST $1,865,503,058)		2,102,181,973
		PREFERRED STOCKS (e) — 9.3%
		Brazil — 7.2%
	16,124,618	Bradespar SA		96,967,225
	11,459,381	Petroleo Brasileiro SA		72,480,877
		Total Brazil		169,448,102
		Chile — 2.0%
	432,495	Sociedad Quimica y Minera de Chile SA Sponsored ADR		45,917,994
		Russia — 0.1%
	20,237,584	Surgutneftegas PJSC (c)		798,167
	7,494,797	Tatneft PJSC (c)		2,953,010
		Total Russia		3,751,177
		TOTAL PREFERRED STOCKS (COST $220,976,824)		219,117,273

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, due 04/16/23 * (a) (c)		1
		TOTAL RIGHTS/WARRANTS (COST $0)		1
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.2%
	4,563,167	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (f)		4,563,167
		U.S. Government — 0.6%
	6,000,000	U.S. Treasury Bill, 1.51%, due 11/17/22 (g)		5,958,173
	8,700,000	U.S. Treasury Bill, 2.06%, due 05/18/23 (g)		8,529,982
		Total U.S. Government		14,488,155
		TOTAL SHORT-TERM INVESTMENTS (COST $19,053,395)		19,051,322
		TOTAL INVESTMENTS — 99.9% (Cost $2,105,533,277)		2,340,350,569
		Other Assets and Liabilities (net) — 0.1%		1,281,186
		TOTAL NET ASSETS — 100.0%		$2,341,631,755

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
PhosAgro PJSC GDR	04/20/22	$	93,496	0.00%	$	17,240

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(d) The security is restricted as to resale.

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

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

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Australia — 4.1%
	6,116	Accent Group Ltd		5,854
	19,303	BlueScope Steel Ltd		250,300
	8,017	CSR Ltd		26,798
	6,426	GrainCorp Ltd – Class A		45,260
	248	JB Hi-Fi Ltd		8,175
	3,625	Metcash Ltd		11,181
	1,303	Mineral Resources Ltd		59,325
	13,223	Rio Tinto Ltd		1,081,870
	11,824	Sandfire Resources Ltd		46,518
	4,304	Sims Ltd		54,172
	3,858	Woodside Energy Group Ltd		81,390
		Total Australia		1,670,843
		Belgium — 1.1%
	861	Bekaert SA		34,776
	3,648	KBC Group NV		228,032
	2,091	UCB SA		184,483
		Total Belgium		447,291
		Brazil — 0.7%
	4,400	Banco do Brasil SA		33,904
	1,400	Cia Paranaense de Energia Sponsored ADR		10,654
	31,200	Marfrig Global Foods SA		102,609
	12,200	MRV Engenharia e Participacoes SA		24,798
	34,600	TIM SA		104,836
	900	TIM SA ADR		13,428
		Total Brazil		290,229
		Chile — 0.0%
	9,864	Cencosud SA		15,811
		China — 2.1%
	29,500	BAIC Motor Corp Ltd – Class H		9,466
	135,000	Bank of Communications Co Ltd – Class H		91,944
	20,000	China Everbright Bank Co Ltd – Class H		6,569
	44,000	China Everbright Environment Group Ltd		26,451
	11,000	China Lesso Group Holdings Ltd		14,124
	49,000	China Medical System Holdings Ltd		72,406
	248,000	China Railway Group Ltd – Class H		171,407
	68,500	China Resources Pharmaceutical Group Ltd		37,831
	92,000	Dongfeng Motor Group Co Ltd – Class H		72,252
	10,500	Kingboard Holdings Ltd		50,236
	12,000	Kunlun Energy Co Ltd		10,285
	42,000	Lenovo Group Ltd		41,383
	59,000	Metallurgical Corp of China Ltd – Class H		14,887
	70,000	PICC Property & Casualty Co Ltd – Class H		67,785
	37,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		60,731
	196,000	Skyworth Group Ltd		100,002
	16,000	Tianneng Power International Ltd		15,292
		Total China		863,051

Shares		Description	Value ($)
		Denmark — 0.1%
	1,228	Scandinavian Tobacco Group A/S		26,379
		Finland — 0.3%
	3,446	Kesko Oyj – B Shares		86,277
	6,349	Outokumpu Oyj		36,656
	1,064	Stora Enso Oyj – R Shares		20,640
		Total Finland		143,573
		France — 9.2%
	554	Alten SA		73,955
	1,003	APERAM SA		41,536
	10,146	BNP Paribas SA		580,712
	15,190	Cie de Saint-Gobain		900,369
	5,437	Derichebourg SA		43,854
	262	Euroapi SA *		3,808
	1,892	Ipsen SA		189,438
	669	IPSOS		32,501
	385	Kaufman & Broad SA		11,878
	2,281	Publicis Groupe SA		124,945
	1,207	Quadient SA		25,163
	6,019	Sanofi		644,080
	1,366	Schneider Electric SE		189,726
	565	Societe BIC SA		32,287
	17,634	Societe Generale SA		475,193
	9,900	STMicroelectronics NV – NY Shares		396,792
	2,457	Television Francaise 1		20,379
		Total France		3,786,616
		Germany — 4.9%
	132	Aurubis AG		12,469
	4,989	Bayerische Motoren Werke AG		433,438
	84	Hornbach Holding AG & Co KGaA		10,606
	9,044	Kloeckner & Co SE *		112,630
	8,503	Mercedes-Benz Group AG		605,919
	3,559	Merck KGaA		671,045
	662	RTL Group SA *		30,687
	626	Volkswagen AG		141,895
		Total Germany		2,018,689
		Hong Kong — 0.8%
	2,500	ASM Pacific Technology Ltd		22,762
	6,000	CK Asset Holdings Ltd		39,121
	11,200	Dah Sing Banking Group Ltd		9,725
	51,000	IGG Inc		20,593
	4,000	Johnson Electric Holdings Ltd		5,209
	1,000	Sun Hung Kai Properties Ltd		12,226
	5,300	VTech Holdings Ltd		39,604
	260,500	WH Group Ltd		199,196
		Total Hong Kong		348,436

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Hungary — 0.0%
	3,883	Magyar Telekom Telecommunications Plc		3,960
	150	Richter Gedeon Nyrt		2,934
		Total Hungary		6,894
		India — 0.6%
	30,176	ITC Ltd		105,014
	11,202	Oil & Natural Gas Corp Ltd		21,889
	1,169	Rajesh Exports Ltd		8,109
	61,020	REC Ltd		93,622
		Total India		228,634
		Ireland — 0.5%
	16,116	Bank of Ireland Group Plc		108,881
	1,123	Kingspan Group Plc		92,452
		Total Ireland		201,333
		Italy — 2.3%
	10,114	Anima Holding SPA		48,760
	3,466	Arnoldo Mondadori Editore SPA		6,891
	1,731	Banca IFIS SPA		31,587
	6,726	Banco BPM SPA		23,494
	1,005	Esprinet SPA		8,788
	7,318	EXOR NV		540,518
	6,753	Italgas SPA		43,608
	1,959	Leonardo SPA *		21,093
	162	Poste Italiane SPA		1,755
	128	Sesa SPA		17,645
	6,980	Stellantis NV		104,722
	209	Telecom Italia SPA – RSP		64
	1,044	Unieuro SPA		20,005
	15,706	Unipol Gruppo SPA		84,049
		Total Italy		952,979
		Japan — 22.5%
	41,200	Asahi Kasei Corp		332,878
	9,500	Brother Industries Ltd		174,846
	32,700	Canon Inc		830,443
	2,700	Daiwa House Industry Co Ltd		65,027
	3,800	Daiwabo Holdings Co Ltd		50,737
	1,200	Dexerials Corp		40,119
	1,400	FUJIFILM Holdings Corp		77,111
	1,300	Fujitsu Ltd		195,199
	2,600	Hitachi Ltd		134,905
	31,500	ITOCHU Corp		903,594
	50,200	Japan Tobacco Inc		913,737
	30,000	KDDI Corp		1,046,583
	67,400	Marubeni Corp		706,575
	9,400	Mitsubishi Corp		324,412
	70,300	Mitsubishi UFJ Financial Group Inc		399,937
	22,000	Mitsui & Co Ltd		552,608
	1,000	Nichias Corp		17,504

Shares		Description	Value ($)
		Japan — continued
	31,400	Nippon Telegraph & Telephone Corp		959,345
	5,900	Panasonic Holdings Corp		54,136
	700	Sega Sammy Holdings Inc		12,978
	1,800	Seiko Epson Corp		30,133
	6,900	Sekisui Chemical Co Ltd		98,698
	12,100	Sekisui House Ltd		214,990
	15,020	Sojitz Corp		238,186
	84,400	Sumitomo Chemical Co Ltd		348,873
	2,500	Sumitomo Forestry Co Ltd		38,355
	200	Tokyo Electron Ltd		91,677
	8,500	Toyota Tsusho Corp		324,460
	2,200	Yamaha Motor Co Ltd		44,521
		Total Japan		9,222,567
		Malta — 0.0%
	1,718,063	BGP Holdings Plc (a)		2
		Mexico — 0.1%
	3,500	Arca Continental SAB de CV		23,623
		Netherlands — 6.3%
	28,534	Koninklijke Ahold Delhaize NV		786,834
	9,207	NN Group NV		456,313
	940	PostNL NV		3,198
	13,163	Randstad NV		740,603
	6,652	Signify NV		265,238
	3,377	Wolters Kluwer NV		333,214
		Total Netherlands		2,585,400
		Norway — 4.1%
	23,917	Equinor ASA		907,572
	760	Kongsberg Gruppen ASA		27,185
	88,939	Norsk Hydro ASA		713,669
	1,503	SpareBank 1 Nord Norge		14,935
	879	SpareBank 1 SR-Bank ASA		11,220
	4,556	XXL ASA		4,968
		Total Norway		1,679,549
		Poland — 0.1%
	233	Asseco Poland SA		4,206
	23,098	Polskie Gornictwo Naftowe i Gazownictwo SA		32,378
		Total Poland		36,584
		Portugal — 0.8%
	4,967	Galp Energia SGPS SA		64,850
	12,030	Jeronimo Martins SGPS SA		245,929
	32,101	Sonae SGPS SA		38,055
		Total Portugal		348,834
		Russia — 0.0%
	833	QIWI Plc Sponsored ADR (a)		375
	9,800	Surgutneftegas PJSC (a)		243
		Total Russia		618

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Singapore — 3.6%
	38,299	DBS Group Holdings Ltd		863,456
	1,100	Jardine Cycle & Carriage Ltd		23,516
	20,000	Keppel Corp Ltd		100,123
	68,400	Wilmar International Ltd		208,101
	223,700	Yangzijiang Financial Holding Ltd *		81,639
	272,000	Yangzijiang Shipbuilding Holdings Ltd		183,216
	16,000	Yanlord Land Group Ltd		13,032
		Total Singapore		1,473,083
		South Africa — 0.2%
	4,189	Aspen Pharmacare Holdings Ltd		43,209
	11,423	Netcare Ltd		11,135
	6,632	Pepkor Holdings Ltd		9,262
	2,988	Truworths International Ltd		10,405
		Total South Africa		74,011
		South Korea — 2.0%
	15,729	BNK Financial Group Inc		100,259
	505	DB Insurance Co Ltd		26,411
	4,624	DGB Financial Group Inc		32,481
	806	E-MART Inc		75,237
	11,414	Hanwha Life Insurance Co Ltd *		24,191
	1,247	Kia Corp		86,026
	4,159	KT&G Corp		285,373
	2	LG Electronics Inc		169
	1,272	LOTTE Fine Chemical Co Ltd		85,902
	360	LX Semicon Co Ltd		36,732
	1,945	Meritz Securities Co Ltd		9,531
	494	SL Corp		12,413
	828	Youngone Corp		30,894
		Total South Korea		805,619
		Spain — 5.5%
	333	Acciona SA		64,215
	23,068	Acerinox SA		299,288
	172,545	Banco Bilbao Vizcaya Argentaria SA		944,213
	646,320	Banco de Sabadell SA		579,710
	20,177	Banco Santander SA		65,450
	480	Ebro Foods SA		8,510
	3,130	Industria de Diseno Textil SA		75,448
	277	Mediaset Espana Comunicacion SA *		1,207
	9,547	Repsol SA		153,195
	6,770	Telefonica SA		36,810
	50,633	Unicaja Banco SA		50,568
		Total Spain		2,278,614
		Sweden — 0.4%
	2,995	Investor AB – A Shares		62,519
	5,137	SSAB AB – A Shares		31,743
	3,560	Svenska Cellulosa AB SCA – Class B		64,617
		Total Sweden		158,879

Shares		Description	Value ($)
		Switzerland — 6.2%
	92	ALSO Holding AG (Registered)		18,937
	676	Cie Financiere Richemont SA – Class A (Registered)		75,232
	5,664	Novartis AG (Registered)		514,517
	400	Novartis AG Sponsored ADR		36,376
	85	Roche Holding AG		33,224
	4,031	Roche Holding AG – Genusschein		1,373,728
	25,904	UBS Group AG (Registered)		488,515
	165	Vetropack Holding AG (Registered)		6,872
		Total Switzerland		2,547,401
		Taiwan — 1.3%
	22,000	Asustek Computer Inc		257,576
	18,000	Chipbond Technology Corp		42,893
	9,000	Mitac Holdings Corp		8,660
	1,000	Phison Electronics Corp		13,529
	75,000	Pou Chen Corp		80,491
	7,800	Ruentex Industries Ltd		22,685
	113,000	Yuanta Financial Holding Co Ltd		94,324
		Total Taiwan		520,158
		Thailand — 0.5%
	93,200	AP Thailand Pcl NVDR		30,497
	4,700	Kasikornbank Pcl NVDR		20,162
	176,600	Krung Thai Bank Pcl NVDR		77,871
	649,600	Sansiri Pcl NVDR		21,621
	120,500	Thai Union Group Pcl NVDR		60,497
		Total Thailand		210,648
		Turkey — 1.2%
	94,476	Akbank TAS		47,944
	28,807	Arcelik AS		136,660
	3,483	Dogus Otomotiv Servis ve Ticaret AS		14,749
	87,908	Haci Omer Sabanci Holding AS		113,945
	27,480	KOC Holding AS		67,280
	16,073	Tofas Turk Otomobil Fabrikasi AS		74,265
	21,890	Turk Telekomunikasyon AS		13,058
	117,644	Yapi ve Kredi Bankasi AS		33,077
		Total Turkey		500,978
		United Kingdom — 14.9%
	21,335	3i Group Plc		341,189
	67,550	Barratt Developments Plc		429,760
	6,425	Bellway Plc		188,917
	11,300	BP Plc Sponsored ADR		365,781
	7,819	British American Tobacco Plc		344,858
	21,300	British American Tobacco Plc Sponsored ADR		942,312
	323,783	BT Group Plc		763,154
	10,058	Coca-Cola HBC AG		221,591
	23,700	GSK Plc		1,040,430
	30,378	Imperial Brands Plc		685,935
	7,384	Investec Plc		44,801

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	50,651	Kingfisher Plc		168,212
	297	Morgan Sindall Group Plc		7,803
	1,986	Next Plc		162,358
	1,015	Ninety One Plc		2,881
	9,972	Persimmon Plc		273,544
	1,901	Plus500 Ltd		37,330
	14,925	Redrow Plc		100,042
	45	Royal Mail Plc		176
	6,565	Spirent Communications Plc		19,226
		Total United Kingdom		6,140,300
		TOTAL COMMON STOCKS (COST $37,205,127)		39,607,626
		PREFERRED STOCKS (b) — 0.5%
		Brazil — 0.3%
	70,200	Cia Paranaense de Energia – Class B		108,862
		Germany — 0.2%
	834	Bayerische Motoren Werke AG		65,436
	186	Draegerwerk AG & Co KGaA		9,817
		Total Germany		75,253
		South Korea — 0.0%
	302	LG Electronics Inc		13,300
		TOTAL PREFERRED STOCKS (COST $178,289)		197,415

Shares		Description	Value ($)
		MUTUAL FUNDS — 3.8%
		United States — 3.8%
		Affiliated Issuers — 3.8%
	310,216	GMO U.S. Treasury Fund		1,551,079
		TOTAL MUTUAL FUNDS (COST $1,553,590)		1,551,079
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	162,388	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (c)		162,388
		TOTAL SHORT-TERM INVESTMENTS (COST $162,388)		162,388
		TOTAL INVESTMENTS — 101.1% (Cost $39,099,394)		41,518,508
		Other Assets and Liabilities (net) — (1.1%)		(456,954	)
		TOTAL NET ASSETS — 100.0%		$41,061,554

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

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
6	MSCI EAFE		June 2022	$	611,100	$	(22,485	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

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

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued 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, 2022.

Portfolio Abbreviations:

ADR - American Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Automobiles & Components — 0.1%
	7,314	Dana, Inc.		121,120
	9,200	Standard Motor Products, Inc.		367,540
		Total Automobiles & Components		488,660
		Banks — 0.5%
	38,192	Associated Banc-Corp.		790,574
	4,300	Atlantic Union Bankshares Corp.		151,618
	7,200	Farmers National Banc Corp.		111,816
	5,649	Flagstar Bancorp, Inc.		217,656
	8,900	Hanmi Financial Corp.		207,726
	30,300	Radian Group, Inc.		651,753
	3,300	Towne Bank		97,284
	2,500	US Bancorp		132,675
		Total Banks		2,361,102
		Capital Goods — 6.3%
	7,200	3M Co.		1,074,888
	3,300	Allison Transmission Holdings, Inc.		132,033
	6,500	Ametek, Inc.		789,555
	5,300	Applied Industrial Technologies, Inc.		548,073
	6,200	Atkore, Inc. *		675,304
	5,547	Boise Cascade Co.		428,894
	5,702	Carlisle Cos., Inc.		1,450,760
	61,353	Carrier Global Corp.		2,411,786
	5,200	Caterpillar, Inc.		1,122,420
	2,100	Eaton Corp Plc		291,060
	2,400	Encore Wire Corp.		300,048
	74,943	Fortive Corp.		4,629,229
	3,600	Fortune Brands Home & Security, Inc.		249,660
	2,500	ITT, Inc.		184,550
	8,600	JELD-WEN Holding, Inc. *		161,938
	300	Lockheed Martin Corp.		132,033
	13,300	MRC Global, Inc. *		148,827
	27,083	Mueller Industries, Inc.		1,458,420
	1,400	MYR Group, Inc. *		128,254
	14,700	Otis Worldwide Corp.		1,093,680
	45,317	Textron, Inc.		2,958,747
	17,748	Trane Technologies Plc		2,450,289
	11,836	UFP Industries, Inc.		913,739
	7,115	WW Grainger, Inc.		3,465,503
		Total Capital Goods		27,199,690
		Commercial & Professional Services — 1.2%
	63,900	ACCO Brands Corp.		481,806
	9,600	Deluxe Corp.		229,728
	2,700	Heidrick & Struggles International, Inc.		93,312
	11,200	ICF International, Inc.		1,144,752
	9,400	Kforce, Inc.		617,392
	2,100	Korn Ferry		129,066
	12,800	Republic Services, Inc.		1,713,152

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	19,300	Resources Connection, Inc.		356,471
	19,644	Steelcase, Inc. – Class A		240,835
	3,000	TrueBlue, Inc. *		66,060
		Total Commercial & Professional Services		5,072,574
		Consumer Durables & Apparel — 4.7%
	37,300	Acushnet Holdings Corp.		1,518,110
	17,626	DR Horton, Inc.		1,324,594
	29,000	Ethan Allen Interiors, Inc.		674,540
	44,741	Garmin Ltd.		4,725,544
	41,681	La-Z-Boy, Inc.		1,064,116
	1,700	Lennar Corp. – Class A		136,425
	3,000	Lennar Corp. – Class B		201,510
	3,500	M/I Homes, Inc. *		163,625
	6,200	MasterCraft Boat Holdings, Inc. *		145,080
	10,668	MDC Holdings, Inc.		407,304
	9,800	Meritage Homes Corp. *		836,038
	5,300	Movado Group, Inc.		179,829
	6,200	NIKE, Inc. – Class B		736,870
	59,100	Taylor Morrison Home Corp. *		1,712,127
	133,352	TRI Pointe Homes, Inc. *		2,809,727
	19,400	Vista Outdoor, Inc. *		747,676
	15,800	Whirlpool Corp.		2,910,992
		Total Consumer Durables & Apparel		20,294,107
		Consumer Services — 0.3%
	1,300	Graham Holdings Co. – Class B		796,926
	55,275	Perdoceo Education Corp. *		603,050
		Total Consumer Services		1,399,976
		Diversified Financials — 7.0%
	5,100	American Express Co.		860,982
	12,500	Ameriprise Financial, Inc.		3,453,375
	65,500	Bank of New York Mellon Corp. (The)		3,052,955
	6,100	Berkshire Hathaway, Inc. – Class B *		1,927,478
	14,500	Capital One Financial Corp.		1,853,970
	10,500	Discover Financial Services		1,191,645
	27,300	Donnelley Financial Solutions, Inc. *		849,303
	29,043	Enova International, Inc. *		917,178
	92,400	Intercontinental Exchange, Inc.		9,460,836
	30,900	KKR & Co., Inc.		1,693,629
	2,200	MSCI, Inc. – Class A		973,170
	3,700	Nelnet, Inc. – Class A		313,353
	2,200	Oppenheimer Holdings, Inc. – Class A		78,562
	3,247	PROG Holdings, Inc. *		94,780
	9,070	Raymond James Financial, Inc.		893,304
	36,923	State Street Corp.		2,676,548
	2,900	Victory Capital Holdings, Inc. – Class A		82,012
		Total Diversified Financials		30,373,080

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Energy — 6.8%
	1,100	Chesapeake Energy Corp.		107,118
	54,000	Chevron Corp.		9,431,640
	13,800	ConocoPhillips		1,550,568
	13,000	Devon Energy Corp.		973,700
	73,900	Exxon Mobil Corp.		7,094,400
	4,400	Gulfport Energy Corp. *		425,700
	65,000	Hess Corp.		7,999,550
	16,900	Phillips 66		1,703,689
	41,200	Southwestern Energy Co. *		375,744
		Total Energy		29,662,109
		Food & Staples Retailing — 3.9%
	7,600	Costco Wholesale Corp.		3,543,272
	143,245	Kroger Co. (The)		7,587,688
	12,400	SpartanNash Co.		426,684
	37,000	Walmart, Inc.		4,759,310
	9,300	Weis Markets, Inc.		683,736
		Total Food & Staples Retailing		17,000,690
		Food, Beverage & Tobacco — 5.2%
	39,400	General Mills, Inc.		2,752,090
	39,600	Hershey Co. (The)		8,383,716
	19,700	Kraft Heinz Co. (The)		745,251
	20,300	PepsiCo, Inc.		3,405,325
	50,700	Tyson Foods, Inc. – Class A		4,543,227
	40,865	Universal Corp.		2,602,283
	15,300	Vector Group Ltd.		188,343
		Total Food, Beverage & Tobacco		22,620,235
		Health Care Equipment & Services — 4.1%
	35,841	AmerisourceBergen Corp.		5,547,828
	12,100	Anthem, Inc.		6,166,281
	14,400	Cigna Corp.		3,863,376
	6,481	McKesson Corp.		2,130,240
		Total Health Care Equipment & Services		17,707,725
		Household & Personal Products — 0.7%
	16,818	Colgate-Palmolive Co.		1,325,427
	10,500	Procter & Gamble Co. (The)		1,552,740
		Total Household & Personal Products		2,878,167
		Insurance — 3.3%
	30,286	Allstate Corp. (The)		4,139,793
	45,500	CNO Financial Group, Inc.		935,935
	23,615	First American Financial Corp.		1,430,833
	99,700	Genworth Financial, Inc. – Class A *		403,785
	11,000	Marsh & McLennan Cos., Inc.		1,759,450
	28,000	MetLife, Inc.		1,886,920
	17,400	Progressive Corp. (The)		2,077,212
	31,163	Stewart Information Services Corp.		1,729,235
	500	Travelers Cos., Inc. (The)		89,520
		Total Insurance		14,452,683

Shares		Description	Value ($)
		Materials — 3.0%
	20,800	AdvanSix, Inc.		963,664
	18,169	Avient Corp.		893,915
	6,500	DuPont de Nemours, Inc.		441,025
	2,200	Greif, Inc. – Class A		130,834
	51,400	Huntsman Corp.		1,863,250
	4,073	NewMarket Corp.		1,342,135
	25,859	Nucor Corp.		3,425,283
	16,896	Reliance Steel & Aluminum Co.		3,284,582
	2,600	Ryerson Holding Corp.		78,364
	6,374	Stepan Co.		714,589
		Total Materials		13,137,641
		Media & Entertainment — 4.3%
	2,800	Alphabet, Inc. – Class A *		6,370,672
	2,573	Alphabet, Inc. – Class C *		5,868,447
	2,300	AMC Networks, Inc. – Class A *		90,298
	35,400	Cars.com, Inc. *		366,390
	40,033	Comcast Corp. – Class A		1,772,661
	23,642	Electronic Arts, Inc.		3,277,964
	2,600	Meta Platforms, Inc. – Class A *		503,464
	17,018	TEGNA, Inc.		372,694
		Total Media & Entertainment		18,622,590
		Pharmaceuticals, Biotechnology & Life Sciences — 6.8%
	43,441	Bristol-Myers Squibb Co.		3,277,623
	12,600	Gilead Sciences, Inc.		817,110
	58,200	Johnson & Johnson		10,448,646
	122,250	Merck & Co., Inc.		11,250,668
	60,876	Pfizer, Inc.		3,228,863
	7,895	Prestige Consumer Healthcare, Inc. *		440,699
		Total Pharmaceuticals, Biotechnology & Life Sciences		29,463,609
		Real Estate — 1.9%
	89,200	CBRE Group, Inc. – Class A *		7,389,328
	800	Jones Lang LaSalle, Inc. *		157,856
	76,920	Realogy Holdings Corp. *		952,270
		Total Real Estate		8,499,454
		Retailing — 9.1%
	4,900	1-800-Flowers.com, Inc. – Class A *		47,824
	11,200	Academy Sports & Outdoors, Inc.		375,312
	1,174	Amazon.com, Inc. *		2,822,519
	766	AutoNation, Inc. *		91,583
	1,700	AutoZone, Inc. *		3,501,405
	800	Boot Barn Holdings, Inc. *		64,560
	74,800	eBay, Inc.		3,640,516
	40,400	Genuine Parts Co.		5,523,892
	7,754	Group 1 Automotive, Inc.		1,392,541
	5,900	Haverty Furniture Cos., Inc.		166,734
	7,700	Home Depot, Inc. (The)		2,331,175
	28,015	Lowe’s Cos., Inc.		5,471,329

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	37,800	Macy’s, Inc.		893,970
	6,167	Murphy U.S.A., Inc.		1,536,323
	2,300	O’Reilly Automotive, Inc. *		1,465,491
	13,496	Penske Automotive Group, Inc.		1,553,929
	93,478	Qurate Retail, Inc. – Series A		337,456
	10,800	Shoe Carnival, Inc.		294,408
	35,700	Signet Jewelers Ltd.		2,127,720
	29,504	Target Corp.		4,776,108
	30,800	Tilly’s, Inc. – Class A		255,024
	1,900	Tractor Supply Co.		355,984
	1,000	Ulta Beauty, Inc. *		423,100
		Total Retailing		39,448,903
		Semiconductors & Semiconductor Equipment — 5.9%
	2,100	Axcelis Technologies, Inc. *		130,326
	5,992	Cirrus Logic, Inc. *		488,588
	184,943	Intel Corp.		8,215,168
	19,400	Kulicke & Soffa Industries, Inc.		1,050,898
	3,000	Microchip Technology, Inc.		217,950
	27,700	NVIDIA Corp.		5,172,144
	1,500	NXP Semiconductors NV		284,640
	49,800	ON Semiconductor Corp. *		3,021,864
	49,000	QUALCOMM, Inc.		7,017,780
		Total Semiconductors & Semiconductor Equipment		25,599,358
		Software & Services — 8.5%
	22,200	Accenture Plc – Class A		6,625,812
	14,722	Cadence Design Systems, Inc. *		2,263,213
	1,321	Intuit, Inc.		547,502
	77,619	Microsoft Corp.		21,102,277
	19,674	Synopsys, Inc. *		6,279,941
		Total Software & Services		36,818,745
		Technology Hardware & Equipment — 11.7%
	174,224	Apple, Inc.		25,931,500
	5,800	Arista Networks, Inc. *		593,224
	23,137	Arrow Electronics, Inc. *		2,791,479
	21,322	Avnet, Inc.		1,033,051
	10,552	Cisco Systems, Inc.		475,368
	5,100	CTS Corp.		207,417
	65,700	Dell Technologies – Class C		3,281,058
	14,100	Flex Ltd. *		240,687
	105,300	Hewlett Packard Enterprise Co.		1,642,680
	268,144	HP, Inc.		10,414,713
	10,500	Keysight Technologies, Inc. *		1,528,800
	30,200	Knowles Corp. *		580,444
	3,300	Methode Electronics, Inc.		148,665
	13,300	Super Micro Computer, Inc. *		665,798
	7,419	TE Connectivity Ltd.		959,944
	15,695	Xerox Holdings Corp.		295,380
		Total Technology Hardware & Equipment		50,790,208

Shares		Description	Value ($)
		Telecommunication Services — 3.2%
	318,000	AT&T, Inc.		6,770,220
	4,800	United States Cellular Corp. *		147,408
	133,240	Verizon Communications, Inc.		6,833,880
		Total Telecommunication Services		13,751,508
		Transportation — 0.1%
	25,600	Schneider National, Inc. – Class B		617,984
		TOTAL COMMON STOCKS (COST $411,507,141)		428,260,798
		MUTUAL FUNDS — 1.1%
		Affiliated Issuers — 1.1%
	930,256	GMO U.S. Treasury Fund		4,651,281
		TOTAL MUTUAL FUNDS (COST $4,659,664)		4,651,281
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	784,011	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		784,011
		TOTAL SHORT-TERM INVESTMENTS (COST $784,011)		784,011
		TOTAL INVESTMENTS — 99.9% (Cost $416,950,816)		433,696,090
		Other Assets and Liabilities (net) — 0.1%		486,304
		TOTAL NET ASSETS — 100.0%		$434,182,394

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

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
16	S&P 500 E-Mini		June 2022	$	3,305,000	$	(386,879	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Notes to Schedule of Investments:

* Non-income producing security.

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

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.5%
		Automobiles & Components — 0.2%
	11,700	Standard Motor Products, Inc.		467,415
		Banks — 9.5%
	10,306	1st Source Corp.		484,588
	19,725	Amalgamated Financial Corp.		428,624
	2,648	Arrow Financial Corp.		87,728
	179,799	Associated Banc-Corp.		3,721,839
	9,000	BCB Bancorp, Inc.		181,530
	3,700	Camden National Corp.		163,762
	7,200	Central Valley Community Bancorp		120,960
	4,670	Civista Bancshares, Inc.		99,705
	7,567	CNB Financial Corp.		190,159
	8,996	Community Trust Bancorp, Inc.		378,282
	2,704	Enterprise Financial Services Corp.		125,222
	8,500	Farmers National Banc Corp.		132,005
	13,204	Financial Institutions, Inc.		371,693
	6,905	First Community Bankshares, Inc.		198,864
	6,498	First Financial Bancorp		136,328
	7,500	First Financial Corp.		337,350
	94,812	Flagstar Bancorp, Inc.		3,653,106
	26,289	Hanmi Financial Corp.		613,585
	93,400	Hope Bancorp, Inc.		1,361,772
	14,900	Horizon Bancorp, Inc.		267,753
	14,791	Independent Bank Corp.		293,010
	3,300	LCNB Corp.		52,239
	3,836	Mercantile Bank Corp.		126,780
	1,800	Midland States Bancorp, Inc.		48,384
	4,800	MidWestOne Financial Group, Inc.		146,064
	61,580	OFG Bancorp		1,745,177
	8,100	QCR Holdings, Inc.		448,902
	134,800	Radian Group, Inc.		2,899,548
	3,395	RBB Bancorp		72,857
	2,013	Republic Bancorp, Inc. – Class A		92,497
	27,696	Towne Bank		816,478
	9,186	TriCo Bancshares		416,493
	7,429	Univest Financial Corp.		196,869
	33,867	Waterstone Financial, Inc.		585,560
		Total Banks		20,995,713
		Capital Goods — 9.0%
	42,500	Allison Transmission Holdings, Inc.		1,700,425
	1,000	American Woodmark Corp. *		52,080
	20,871	Applied Industrial Technologies, Inc.		2,158,270
	22,800	Boise Cascade Co.		1,762,896
	3,081	Ducommun, Inc. *		140,648
	1,900	Encore Wire Corp.		237,538
	1,500	Global Industrial Co.		51,405
	1,800	Griffon Corp.		57,726
	20,370	Hyster-Yale Materials Handling, Inc.		752,671
	12,647	Insteel Industries, Inc.		523,712

Shares		Description	Value ($)
		Capital Goods — continued
	67,900	JELD-WEN Holding, Inc. *		1,278,557
	3,668	Miller Industries, Inc.		90,526
	22,319	Moog, Inc. – Class A		1,816,543
	64,300	MRC Global, Inc. *		719,517
	3,400	MSC Industrial Direct Co., Inc. – Class A		288,762
	49,655	Mueller Industries, Inc.		2,673,922
	11,700	NOW, Inc. *		129,168
	11,352	Park-Ohio Holdings Corp.		176,864
	2,496	Preformed Line Products Co.		154,727
	58,595	Primoris Services Corp.		1,422,687
	735	Resideo Technologies, Inc. *		17,361
	7,200	Tennant Co.		448,128
	33,126	Tutor Perini Corp. *		335,898
	26,419	UFP Industries, Inc.		2,039,547
	19,448	Vectrus, Inc. *		696,627
	3,600	Wabash National Corp.		55,260
		Total Capital Goods		19,781,465
		Commercial & Professional Services — 6.4%
	218,849	ACCO Brands Corp.		1,650,122
	16,600	CBIZ, Inc. *		679,936
	43,979	Deluxe Corp.		1,052,418
	6,300	DLH Holdings Corp. *		104,265
	10,900	Ennis, Inc.		197,835
	112,785	GEO Group, Inc. (The) (REIT) *		801,901
	17,471	Heidrick & Struggles International, Inc.		603,798
	19,234	HNI Corp.		733,392
	10,300	ICF International, Inc.		1,052,763
	48,318	Interface, Inc. – Class A		695,296
	44,200	Kelly Services, Inc. – Class A		882,232
	18,518	Kforce, Inc.		1,216,262
	77,773	Kimball International, Inc. – Class B		664,181
	14,960	Matthews International Corp. – Class A		484,106
	25,700	Pitney Bowes, Inc.		120,276
	35,500	Quad/Graphics, Inc. *		142,710
	48,790	Resources Connection, Inc.		901,151
	159,893	Steelcase, Inc. – Class A		1,960,288
	12,493	TrueBlue, Inc. *		275,096
		Total Commercial & Professional Services		14,218,028
		Consumer Durables & Apparel — 6.6%
	29,700	Acushnet Holdings Corp.		1,208,790
	11,200	Bassett Furniture Industries, Inc.		182,336
	4,852	Clarus Corp.		106,307
	92,977	Ethan Allen Interiors, Inc.		2,162,645
	8,846	Hooker Furniture Corp.		152,947
	4,922	Johnson Outdoors, Inc. – Class A		320,767
	59,991	La-Z-Boy, Inc.		1,531,570
	13,900	MasterCraft Boat Holdings, Inc. *		325,260
	20,045	MDC Holdings, Inc.		765,318
	5,900	Meritage Homes Corp. *		503,329
	42,435	Movado Group, Inc.		1,439,820

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	54,600	Taylor Morrison Home Corp. – Class A *		1,581,762
	170,292	Tri Pointe Homes, Inc. *		3,588,053
	9,069	Universal Electronics, Inc. *		243,049
	64,551	Vera Bradley, Inc. *		439,592
	12,100	VOXX International Corp. – Class A *		101,398
		Total Consumer Durables & Apparel		14,652,943
		Consumer Services — 1.0%
	4,300	American Public Education, Inc. *		59,942
	2,352	Graham Holdings Co. – Class B		1,441,823
	20,100	Lincoln Educational Services Corp. *		124,218
	60,100	Perdoceo Education Corp. *		655,691
		Total Consumer Services		2,281,674
		Diversified Financials — 6.5%
	10,700	A-Mark Precious Metals, Inc.		813,521
	29,500	Blucora, Inc. *		521,855
	74,871	Curo Group Holdings Corp.		651,378
	1,208	Diamond Hill Investment Group, Inc.		226,065
	86,004	Donnelley Financial Solutions, Inc. *		2,675,584
	40,600	Encore Capital Group, Inc. *		2,481,066
	112,309	Enova International, Inc. *		3,546,718
	41,802	Federated Hermes, Inc.		1,420,014
	3,200	Nelnet, Inc. – Class A		271,008
	13,700	Oppenheimer Holdings, Inc. – Class A		489,227
	8,400	Regional Management Corp.		399,672
	11,900	Sculptor Capital Management, Inc. – Class A		143,038
	6,400	StoneX Group, Inc. *		480,448
	7,300	Victory Capital Holdings, Inc. – Class A		206,444
	7,314	Westwood Holdings Group, Inc.		110,332
		Total Diversified Financials		14,436,370
		Energy — 8.1%
	15,500	California Resources Corp.		676,885
	13,300	Chesapeake Energy Corp.		1,295,154
	47,260	Evolution Petroleum Corp.		346,416
	59,200	Falcon Minerals Corp.		438,672
	9,100	Gulfport Energy Corp. *		880,425
	24,000	Helix Energy Solutions Group, Inc. *		111,360
	42,300	Kosmos Energy Ltd. *		327,402
	11,300	Laredo Petroleum, Inc. *		951,121
	102,400	Oil States International, Inc. *		792,576
	733,100	Southwestern Energy Co. *		6,685,872
	251,900	TechnipFMC Plc *		2,075,656
	11,300	Transocean Ltd *		46,556
	91,500	VAALCO Energy, Inc.		700,890
	800	Whiting Petroleum Corp.		70,768
	103,997	World Fuel Services Corp.		2,578,085
		Total Energy		17,977,838
		Food & Staples Retailing — 1.5%
	10,501	Ingles Markets, Inc. – Class A		935,219

Shares		Description	Value ($)
		Food & Staples Retailing — continued
	14,200	Natural Grocers by Vitamin Cottage, Inc.		250,772
	36,609	SpartanNash Co.		1,259,716
	2,800	Village Super Market, Inc. – Class A		66,472
	10,400	Weis Markets, Inc.		764,608
		Total Food & Staples Retailing		3,276,787
		Food, Beverage & Tobacco — 2.3%
	2,100	John B. Sanfilippo & Son, Inc.		160,398
	5,144	Seneca Foods Corp. – Class A *		292,437
	46,259	Universal Corp.		2,945,773
	126,500	Vector Group Ltd.		1,557,215
		Total Food, Beverage & Tobacco		4,955,823
		Health Care Equipment & Services — 2.7%
	154,300	Allscripts Healthcare Solutions, Inc. *		2,636,987
	52,100	Brookdale Senior Living, Inc. *		296,970
	1,200	Computer Programs & Systems, Inc. *		38,268
	19,800	Eargo, Inc. *		30,690
	7,819	FONAR Corp. *		126,042
	12,100	HealthStream, Inc. *		246,477
	3,658	LENSAR, Inc. *		24,765
	3,300	National HealthCare Corp.		231,957
	5,200	Natus Medical, Inc. *		170,508
	36,900	NextGen Healthcare, Inc. *		668,259
	2,000	Owens & Minor, Inc.		69,760
	38,200	Select Medical Holdings Corp.		930,170
	24,900	Varex Imaging Corp. *		573,696
		Total Health Care Equipment & Services		6,044,549
		Household & Personal Products — 0.1%
	1,500	Central Garden & Pet Co. *		67,770
	25,543	Lifevantage Corp.		104,982
		Total Household & Personal Products		172,752
		Insurance — 3.6%
	1,100	American Equity Investment Life Holding Co.		44,286
	113,300	CNO Financial Group, Inc.		2,330,581
	6,800	First American Financial Corp.		412,012
	391,400	Genworth Financial, Inc. – Class A *		1,585,170
	249,100	GoHealth, Inc. – Class A *		199,181
	14,300	Horace Mann Educators Corp.		578,578
	4,200	Mercury General Corp.		205,590
	41,590	Stewart Information Services Corp.		2,307,829
	27,900	Universal Insurance Holdings, Inc.		359,910
		Total Insurance		8,023,137
		Materials — 10.4%
	29,648	AdvanSix, Inc.		1,373,592
	18,808	American Vanguard Corp.		464,181
	45,200	Cabot Corp.		3,417,572
	8,900	FutureFuel Corp.		63,991
	10,100	Greif, Inc. – Class A		600,647

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Materials — continued
	90,600	Huntsman Corp.		3,284,250
	8,300	Innospec, Inc.		846,849
	24,219	Koppers Holdings, Inc.		656,335
	44,180	Mercer International, Inc.		652,539
	3,159	Neenah, Inc.		119,758
	6,000	NewMarket Corp.		1,977,120
	8,000	Olympic Steel, Inc.		273,360
	15,200	Reliance Steel & Aluminum Co.		2,954,880
	14,000	Ryerson Holding Corp.		421,960
	12,300	Schnitzer Steel Industries, Inc. – Class A		499,626
	66,424	Schweitzer-Mauduit International, Inc.		1,801,419
	9,400	Stepan Co.		1,053,834
	26,443	Trinseo Plc		1,250,489
	38,300	Warrior Met Coal, Inc.		1,287,646
		Total Materials		23,000,048
		Media & Entertainment — 3.8%
	64,000	AMC Networks, Inc.– Class A *		2,512,640
	71,651	Cars.com, Inc. *		741,588
	60,383	DHI Group, Inc. *		405,170
	6,200	Lee Enterprises, Inc. *		135,470
	17,100	Scholastic Corp.		641,763
	26,500	Sciplay Corp. – Class A *		377,890
	167,090	TEGNA, Inc.		3,659,271
		Total Media & Entertainment		8,473,792
		Pharmaceuticals, Biotechnology & Life Sciences — 2.3%
	12,700	Phibro Animal Health Corp. – Class A		243,967
	88,220	Prestige Consumer Healthcare, Inc. *		4,924,440
		Total Pharmaceuticals, Biotechnology & Life Sciences		5,168,407
		Real Estate — 4.7%
	119,000	Cushman & Wakefield Plc *		2,221,730
	225,900	Diversified Healthcare Trust (REIT)		512,793
	12,381	Five Point Holdings LLC – Class A *		60,172
	10,470	Forestar Group, Inc. *		173,592
	8,500	Marcus & Millichap, Inc.		355,980
	278,314	Newmark Group, Inc. – Class A		3,080,936
	12,900	Piedmont Office Realty Trust, Inc. – Class A (REIT)		190,146
	5,200	PotlatchDeltic Corp. (REIT)		272,792
	271,082	Realogy Holdings Corp. *		3,355,995
	3,300	RMR Group , Inc. (The) – Class A		99,066
		Total Real Estate		10,323,202
		Retailing — 7.0%
	17,100	Aaron’s Co., Inc. (The)		334,476
	5,720	Cato Corp. (The) – Class A		74,646
	71,000	Container Store Group, Inc. (The) *		546,700
	37,987	Genesco, Inc. *		2,139,048
	24,094	Group 1 Automotive, Inc.		4,327,042
	36,294	Haverty Furniture Cos., Inc.		1,025,668

Shares		Description	Value ($)
		Retailing — continued
	17,213	Penske Automotive Group, Inc.		1,981,905
	79,496	Shoe Carnival, Inc.		2,167,061
	37,900	Signet Jewelers Ltd.		2,258,840
	57,800	Tilly’s, Inc. – Class A		478,584
	2,094	Weyco Group, Inc.		58,632
		Total Retailing		15,392,602
		Semiconductors & Semiconductor Equipment — 1.0%
	20,400	Axcelis Technologies, Inc. *		1,266,024
	8,800	Cirrus Logic, Inc. *		717,552
	5,200	CyberOptics Corp. *		232,700
	3,500	Photronics, Inc. *		76,090
		Total Semiconductors & Semiconductor Equipment		2,292,366
		Technology Hardware & Equipment — 9.3%
	17,790	ADTRAN, Inc.		329,649
	90,913	Avnet, Inc.		4,404,735
	6,200	Bel Fuse, Inc. – Class B		99,882
	35,219	Benchmark Electronics, Inc.		897,732
	34,861	CTS Corp.		1,417,797
	38,300	Daktronics, Inc. *		127,922
	11,600	DZS, Inc. *		202,884
	10,900	Eastman Kodak Co. *		50,358
	10,800	ePlus, Inc. *		612,792
	24,878	Kimball Electronics, Inc. *		472,931
	121,800	Knowles Corp. *		2,340,996
	32,609	Methode Electronics, Inc.		1,469,035
	28,500	National Instruments Corp.		1,006,620
	19,700	NetScout Systems, Inc. *		676,301
	1,600	PC Connection, Inc.		71,536
	2,200	Ribbon Communications, Inc. *		6,226
	22,345	Sanmina Corp. *		980,722
	12,853	ScanSource, Inc. *		497,925
	27,944	Super Micro Computer, Inc. *		1,398,877
	181,622	Xerox Holdings Corp.		3,418,126
		Total Technology Hardware & Equipment		20,483,046
		Telecommunication Services — 1.4%
	5,200	ATN International, Inc.		229,268
	51,021	Spok Holdings, Inc.		358,678
	109,332	Telephone & Data Systems, Inc.		1,938,456
	14,452	United States Cellular Corp. *		443,821
		Total Telecommunication Services		2,970,223
		Transportation — 1.0%
	87,800	Schneider National, Inc. – Class B		2,119,492
		Utilities — 0.1%
	61,500	Macquarie Infrastructure Holdings Corp.		234,930
		TOTAL COMMON STOCKS (COST $201,847,219)		217,742,602

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.3%
		Affiliated Issuers — 1.3%
	570,604	GMO U.S. Treasury Fund		2,853,018
		TOTAL MUTUAL FUNDS (COST $2,857,524)		2,853,018
		RIGHTS/WARRANTS — 0.0%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	72,700	Achillion Pharmaceuticals, Inc. CVR * (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	1,217,603	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (b)		1,217,603
		TOTAL SHORT-TERM INVESTMENTS (COST $1,217,603)		1,217,603
		TOTAL INVESTMENTS — 100.3% (Cost $205,955,788)		221,849,573
		Other Assets and Liabilities (net) — (0.3%)		(758,902	)
		TOTAL NET ASSETS — 100.0%		$221,090,671

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

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
22	E-mini Russell 2000 Index		June 2022	$	2,048,090	$	(32,115	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

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

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

Portfolio Abbreviations:

CVR - Contingent Value Right

REIT - Real Estate Investment Trust

Organization

Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resources Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

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 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.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2022:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	9,583,653	$	—	$	—	$	9,583,653
Australia		—		6,446,083		—		6,446,083
Belgium		—		537,391		—		537,391
Brazil		—		21,349,262		—		21,349,262
Canada		88,661,364		—		—		88,661,364
China		3,325,368		27,901,035		—		31,226,403
Denmark		—		10,227,929		—		10,227,929
Finland		—		9,591,864		—		9,591,864
France		—		49,685,778		—		49,685,778
Germany		—		8,553,331		—		8,553,331
Greece		—		3,873		—		3,873
India		—		1,375,793		—		1,375,793

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Japan	$	—	$	32,308,800	$	—	$	32,308,800
Mexico		19,294,861		—		—		19,294,861
Netherlands		—		4,971,916		—		4,971,916
Norway		—		9,035,138		—		9,035,138
Pakistan		—		734,091		—		734,091
Philippines		—		671,394		—		671,394
Russia		—		—		2,731,128		2,731,128
South Korea		—		47,386,958		—		47,386,958
Spain		—		21,212,830		—		21,212,830
Switzerland		—		2,708,979		—		2,708,979
Thailand		—		1,207,463		—		1,207,463
Ukraine		—		1,391,187		—		1,391,187
United Kingdom		—		14,915,376		—		14,915,376
United States		374,942,221		—		—		374,942,221
TOTAL COMMON STOCKS		495,807,467		272,216,471		2,731,128		770,755,066
Preferred Stocks
Chile		15,048,324		—		—		15,048,324
TOTAL PREFERRED STOCKS		15,048,324		—		—		15,048,324
Mutual Funds
United States		116,662,307		—		—		116,662,307
TOTAL MUTUAL FUNDS		116,662,307		—		—		116,662,307
Short-Term Investments		2,277,075		—		—		2,277,075
Total Investments		629,795,173		272,216,471		2,731,128		904,742,772
Total	$	629,795,173	$	272,216,471	$	2,731,128	$	904,742,772
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	14,473,524	$	—	$	14,473,524
China		3,731,980		146,949,937		—		150,681,917
Greece		—		8,624,912		—		8,624,912
Hong Kong		—		3,481,022		—		3,481,022
India		2,057,904		91,490,564		1,105,733		94,654,201
Indonesia		—		26,130,338		—		26,130,338
Kuwait		—		2,674,163		—		2,674,163
Malaysia		—		4,893,917		—		4,893,917
Mexico		31,193,850		—		—		31,193,850
Peru		1,937,244		—		—		1,937,244
Philippines		—		1,582,253		—		1,582,253
Qatar		—		7,254,362		—		7,254,362
Russia		—		—		573,494		573,494
Saudi Arabia		—		2,483,887		—		2,483,887
Singapore		1,053,646		—		—		1,053,646
South Africa		—		25,810,425		—		25,810,425
South Korea		—		62,890,392		—		62,890,392
Switzerland		—		11,741,473		—		11,741,473
Taiwan		—		74,447,621		—		74,447,621
Thailand		—		19,805,390		—		19,805,390
United Arab Emirates		—		9,239,042		—		9,239,042
United States		22,151,964		—		—		22,151,964
Vietnam		—		11,030,893		—		11,030,893
TOTAL COMMON STOCKS		62,126,588		525,004,115		1,679,227		588,809,930
Investment Funds
Brazil		4,712,925		—		—		4,712,925
Chile		3,186,862		—		—		3,186,862
China		24,818,940		—		—		24,818,940
Russia		—		—		9,610		9,610

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds (continued)
Saudi Arabia	$	21,565,647	$	—	$	—	$	21,565,647
South Africa		4,043,732		—		—		4,043,732
TOTAL INVESTMENT FUNDS		58,328,106		—		9,610		58,337,716
Mutual Funds
United States		2,331,464		—		—		2,331,464
TOTAL MUTUAL FUNDS		2,331,464		—		—		2,331,464
Short-Term Investments		32,249,580		—		—		32,249,580
Total Investments		155,035,738		525,004,115		1,688,837		681,728,690
Total	$	155,035,738	$	525,004,115	$	1,688,837	$	681,728,690
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	1,972,804	$	—	$	1,972,804
Chile		379,410		1,269,111		—		1,648,521
Czech Republic		—		563,088		—		563,088
Egypt		—		1,084,750		—		1,084,750
Hungary		—		2,607,369		—		2,607,369
India		14,095,060		1,466,249		—		15,561,309
Indonesia		99,824		12,860,794		—		12,960,618
Malaysia		—		175,964		—		175,964
Mexico		31,809,604		—		—		31,809,604
Peru		2,027,452		—		—		2,027,452
Philippines		—		603,015		—		603,015
Poland		—		2,744,668		—		2,744,668
Qatar		—		3,364,488		—		3,364,488
Russia		—		824,810		3,331,412		4,156,222
South Africa		—		1,889,332		—		1,889,332
South Korea		465,912		59,447,987		—		59,913,899
Taiwan		26,442,030		75,024,474		—		101,466,504
Thailand		—		6,685,509		—		6,685,509
Turkey		—		2,636,844		—		2,636,844
United Kingdom		—		1,733,512		—		1,733,512
Vietnam		—		1,077,691		—		1,077,691
TOTAL COMMON STOCKS		75,319,292		178,032,459		3,331,412		256,683,163
Preferred Stocks
Brazil		4,767,800		6,641,281		—		11,409,081
Chile		5,117,394		431,427		—		5,548,821
Russia		—		—		195,742		195,742
Taiwan		—		67,281		—		67,281
TOTAL PREFERRED STOCKS		9,885,194		7,139,989		195,742		17,220,925
Investment Funds
United States		2,605,685		—		—		2,605,685
TOTAL INVESTMENT FUNDS		2,605,685		—		—		2,605,685
Mutual Funds
United States		4,374		—		—		4,374
TOTAL MUTUAL FUNDS		4,374		—		—		4,374
Short-Term Investments		12,781,077		—		—		12,781,077
Total Investments		100,595,622		185,172,448		3,527,154		289,295,224
Total	$	100,595,622	$	185,172,448	$	3,527,154	$	289,295,224
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	359,511	$	—	$	—	$	359,511

Description	Level 1		Level 2			Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Brazil	$	—	$	15,129,542		$	—	$	15,129,542
Chile		899,853		2,011,444			—		2,911,297
China		64,517,677		481,097,267			869,052		546,483,996
Czech Republic		—		2,679,370			—		2,679,370
Egypt		—		871,399			—		871,399
Hungary		—		15,331,900			—		15,331,900
India		11,474,424		90,550,006			—		102,024,430
Indonesia		—		45,303,068			—		45,303,068
Kuwait		—		977,693			—		977,693
Malaysia		—		814,519			—		814,519
Mexico		87,084,778		—			—		87,084,778
Panama		197,524		—			—		197,524
Peru		7,561,872		—			—		7,561,872
Philippines		—		4,622,086			—		4,622,086
Poland		—		8,276,778			—		8,276,778
Qatar		—		18,366,625			—		18,366,625
Russia		—		2,730,011			15,931,732		18,661,743
Saudi Arabia		—		1,470,433			—		1,470,433
South Africa		—		12,999,485			—		12,999,485
South Korea		782,272		207,482,207			—		208,264,479
Sri Lanka		—		259,958			—		259,958
Taiwan		39,264,553		373,667,909			—		412,932,462
Thailand		—		13,332,780			—		13,332,780
Turkey		—		13,021,074			—		13,021,074
United Kingdom		—		10,931,095			—		10,931,095
Vietnam		—		6,198,132			—		6,198,132
TOTAL COMMON STOCKS		212,142,464		1,328,124,781			16,800,784		1,557,068,029
Preferred Stocks
Brazil		—		5,993,632			—		5,993,632
Chile		16,169,691		—			—		16,169,691
Colombia		263,970		—			—		263,970
Russia		—		—			3,266,234		3,266,234
South Korea		—		26,093,162			—		26,093,162
Taiwan		—		902,488			—		902,488
TOTAL PREFERRED STOCKS		16,433,661		32,989,282			3,266,234		52,689,177
Investment Funds
United States		28,000,201		—			—		28,000,201
TOTAL INVESTMENT FUNDS		28,000,201		—			—		28,000,201
Debt Obligations
United States		6,733,642		—			—		6,733,642
TOTAL DEBT OBLIGATIONS		6,733,642		—			—		6,733,642
Short-Term Investments		67,764,836		—			—		67,764,836
Total Investments		331,074,804		1,361,114,063			20,067,018		1,712,255,885
Derivatives^
Futures Contracts
Equity Risk		2,010,659		—			—		2,010,659
Total	$	333,085,463	$	1,361,114,063		$	20,067,018	$	1,714,266,544
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	—	$	(618,209	)	$	—	$	(618,209	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	66,620,181		$	—	$	66,620,181
Belgium		—		19,399,416			—		19,399,416

Description	Level 1			Level 2		Level 3		Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Denmark	$	—		$	838,405	$	—	$	838,405
Finland		—			6,016,159		—		6,016,159
France		14,673,288			142,603,911		—		157,277,199
Germany		—			78,204,154		—		78,204,154
Hong Kong		—			37,276,494		—		37,276,494
Ireland		—			10,029,244		—		10,029,244
Italy		—			43,790,540		—		43,790,540
Japan		794,707			421,588,418		—		422,383,125
Malta		—			—		17		17
Netherlands		—			104,589,323		—		104,589,323
New Zealand		—			372,231		—		372,231
Norway		—			70,254,480		—		70,254,480
Portugal		—			18,849,771		—		18,849,771
Singapore		—			70,877,730		—		70,877,730
Spain		—			98,062,812		—		98,062,812
Sweden		—			5,493,085		—		5,493,085
Switzerland		—			102,409,415		—		102,409,415
United Kingdom		40,836,322			271,537,104		—		312,373,426
TOTAL COMMON STOCKS		56,304,317			1,568,812,873		17		1,625,117,207
Preferred Stocks
Germany		—			7,292,032		—		7,292,032
TOTAL PREFERRED STOCKS		—			7,292,032		—		7,292,032
Short-Term Investments		93,554,354			—		—		93,554,354
Total Investments		149,858,671			1,576,104,905		17		1,725,963,593
Total	$	149,858,671		$	1,576,104,905	$	17	$	1,725,963,593
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(601,538	)	$	—	$	—	$	(601,538	)
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—		$	132,572,546	$	—	$	132,572,546
Short-Term Investments		1,601,747			—		—		1,601,747
Total Investments		1,601,747			132,572,546		—		134,174,293
Total	$	1,601,747		$	132,572,546	$	—	$	134,174,293
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—		$	418,139	$	—	$	418,139
Canada		7,712,349			—		—		7,712,349
China		—			3,551,061		—		3,551,061
Finland		—			2,262,978		—		2,262,978
France		—			8,417,252		—		8,417,252
Germany		—			2,324,302		—		2,324,302
Hong Kong		—			1,282,277		—		1,282,277
Ireland		349,062			2,682,385		—		3,031,447
Mexico		7,947,909			—		—		7,947,909
Russia		—			—		225,093		225,093
Spain		—			5,135,069		—		5,135,069
United Kingdom		—			13,297,650		—		13,297,650
United States		56,261,767			—		—		56,261,767
TOTAL COMMON STOCKS		72,271,087			39,371,113		225,093		111,867,293

Description	Level 1		Level 2		Level 3			Total
Quality Cyclicals Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	3,719,155	$	—		$	3,719,155
TOTAL PREFERRED STOCKS		—		3,719,155		—			3,719,155
Mutual Funds
United States		1,862,093		—		—			1,862,093
TOTAL MUTUAL FUNDS		1,862,093		—		—			1,862,093
Short-Term Investments		228,552		—		—			228,552
Total Investments		74,361,732		43,090,268		225,093			117,677,093
Total	$	74,361,732	$	43,090,268	$	225,093		$	117,677,093
Quality Fund
Asset Valuation Inputs
Common Stocks
China	$	—	$	124,619,699	$	—		$	124,619,699
France		—		271,852,600		—			271,852,600
Germany		—		241,814,244		—			241,814,244
Spain		—		52,665,856		—			52,665,856
Switzerland		—		259,138,583		—			259,138,583
Taiwan		—		229,952,878		—			229,952,878
United Kingdom		—		349,204,387		—			349,204,387
United States		5,841,845,739		—		—			5,841,845,739
TOTAL COMMON STOCKS		5,841,845,739		1,529,248,247		—			7,371,093,986
Mutual Funds
United States		5,776,795		—		—			5,776,795
TOTAL MUTUAL FUNDS		5,776,795		—		—			5,776,795
Short-Term Investments		33,628,845		—		—			33,628,845
Total Investments		5,881,251,379		1,529,248,247		—			7,410,499,626
Total	$	5,881,251,379	$	1,529,248,247	$	—		$	7,410,499,626
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	26,283,527	$	—	$	—		$	26,283,527
Australia		—		125,845,740		—			125,845,740
Austria		—		42,909,213		—			42,909,213
Brazil		—		104,219,815		—			104,219,815
Canada		227,786,151		—		—			227,786,151
China		—		37,164,641		—			37,164,641
Colombia		5,313,972		—		—			5,313,972
Denmark		—		23,925,413		—			23,925,413
Finland		—		10,067,965		—			10,067,965
France		—		28,073,239		—			28,073,239
Hungary		—		23,142,814		—			23,142,814
India		—		38,413,990		—			38,413,990
Israel		—		16,365,678		—			16,365,678
Japan		—		72,564,246		—			72,564,246
Mexico		60,409,469		—		—			60,409,469
Netherlands		—		3,938,684		—			3,938,684
Norway		—		74,263,542		—			74,263,542
Pakistan		—		3,579,382		—			3,579,382
Poland		—		18,190,432		—			18,190,432
Portugal		—		61,201,300		—			61,201,300
Russia		—		—		17,393,680			17,393,680
Singapore		—		—		0	§		0	§
South Africa		—		63,936,851		—			63,936,851
South Korea		—		2,563,153		—			2,563,153

Description	Level 1		Level 2		Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—	$	27,247,878	$	—	$	27,247,878
Switzerland		—		2,900,478		—		2,900,478
Turkey		—		7,702,222		—		7,702,222
Ukraine		—		3,170,356		—		3,170,356
United Kingdom		—		281,522,841		—		281,522,841
United States		692,085,301		—		—		692,085,301
TOTAL COMMON STOCKS		1,011,878,420		1,072,909,873		17,393,680		2,102,181,973
Preferred Stocks
Brazil		—		169,448,102		—		169,448,102
Chile		45,917,994		—		—		45,917,994
Russia		—		—		3,751,177		3,751,177
TOTAL PREFERRED STOCKS		45,917,994		169,448,102		3,751,177		219,117,273
Rights/Warrants
Singapore		—		—		1		1
TOTAL RIGHTS/WARRANTS		—		—		1		1
Short-Term Investments		19,051,322		—		—		19,051,322
Total Investments		1,076,847,736		1,242,357,975		21,144,858		2,340,350,569
Total	$	1,076,847,736	$	1,242,357,975	$	21,144,858	$	2,340,350,569
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,670,843	$	—	$	1,670,843
Belgium		—		447,291		—		447,291
Brazil		24,082		266,147		—		290,229
Chile		—		15,811		—		15,811
China		—		863,051		—		863,051
Denmark		—		26,379		—		26,379
Finland		—		143,573		—		143,573
France		396,792		3,389,824		—		3,786,616
Germany		—		2,018,689		—		2,018,689
Hong Kong		—		348,436		—		348,436
Hungary		—		6,894		—		6,894
India		—		228,634		—		228,634
Ireland		—		201,333		—		201,333
Italy		—		952,979		—		952,979
Japan		—		9,222,567		—		9,222,567
Malta		—		—		2		2
Mexico		23,623		—		—		23,623
Netherlands		—		2,585,400		—		2,585,400
Norway		—		1,679,549		—		1,679,549
Poland		—		36,584		—		36,584
Portugal		—		348,834		—		348,834
Russia		—		—		618		618
Singapore		—		1,473,083		—		1,473,083
South Africa		—		74,011		—		74,011
South Korea		—		805,619		—		805,619
Spain		—		2,278,614		—		2,278,614
Sweden		—		158,879		—		158,879
Switzerland		36,376		2,511,025		—		2,547,401
Taiwan		—		520,158		—		520,158
Thailand		—		210,648		—		210,648
Turkey		—		500,978		—		500,978
United Kingdom		2,348,523		3,791,777		—		6,140,300
TOTAL COMMON STOCKS		2,829,396		36,777,610		620		39,607,626
Preferred Stocks
Brazil		—		108,862		—		108,862
Germany		—		75,253		—		75,253

Description	Level 1			Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks (continued)
South Korea	$	—		$	13,300	$	—	$	13,300
TOTAL PREFERRED STOCKS		—			197,415		—		197,415
Mutual Funds
United States		1,551,079			—		—		1,551,079
TOTAL MUTUAL FUNDS		1,551,079			—		—		1,551,079
Short-Term Investments		162,388			—		—		162,388
Total Investments		4,542,863			36,975,025		620		41,518,508
Total	$	4,542,863		$	36,975,025	$	620	$	41,518,508
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(22,485	)	$	—	$	—	$	(22,485	)
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	428,260,798		$	—	$	—	$	428,260,798
Mutual Funds		4,651,281			—		—		4,651,281
Short-Term Investments		784,011			—		—		784,011
Total Investments		433,696,090			—		—		433,696,090
Total	$	433,696,090		$	—	$	—	$	433,696,090
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(386,879	)	$	—	$	—	$	(386,879	)
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	217,742,602		$	—	$	—	$	217,742,602
Mutual Funds		2,853,018			—		—		2,853,018
Rights/warrants		—			—		36,350		36,350
Short-Term Investments		1,217,603			—		—		1,217,603
Total Investments		221,813,223			—		36,350		221,849,573
Total	$	221,813,223		$	—	$	36,350	$	221,849,573
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(32,115	)	$	—	$	—	$	(32,115	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options and fully funded total return swaps, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2022.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). The below Funds held classes of investments or derivatives with direct material Level 3 holdings at May 31, 2022:

Investment Type	Number of Investments	Valuation Methodology
Climate Change Fund
Common and/or Preferred Stock	2	Depositary receipts valued off the corresponding local securities with a 9,300 basis point discount and adjusted for the depositary receipt conversion ratio and currency impact
Emerging Domestic Opportunities Fund
Common and/or Preferred Stock	2	Valued off the last traded price with a 9,300 basis discount
Common Stock	1	Common stock that was purchased prior to the initial public offering (“IPO”) that is restricted from trading until November 8, 2022 and is being valued based on the post-IPO shares trading in the market
Emerging Markets ex-China Fund
Common and/or Preferred Stock	9	Depositary receipts valued off the corresponding local securities with a 9,300 basis point discount and adjusted for the depositary receipt conversion ratio and currency impact
Common and/or Preferred Stock	15	Valued off the last traded price with a 9,300 basis discount
Emerging Markets Fund
Common and/or Preferred Stock	11	Depositary receipts valued off the corresponding local securities with a 9,300 basis point discount and adjusted for the depositary receipt conversion ratio and currency impact
Common and/or Preferred Stock	10	Valued off the last traded price with a 9,300 basis discount
Common Stock	2	Valued at their last price prior to trading being suspended
Common Stock	1	Valued off the February 25, 2022 last traded price with a 9,300 basis point discount and currency impact
Quality Cyclicals Fund
Common and/or Preferred Stock	2	Depositary receipts valued off the corresponding local securities with a 9,300 basis point discount and adjusted for the depositary receipt conversion ratio and currency impact
Resources Fund
Common and/or Preferred Stock	3	Depositary receipts valued off the corresponding local securities with a 9,300 basis point discount and adjusted for the depositary receipt conversion ratio and currency impact
Common and/or Preferred Stock	5	Valued off the last traded price with a 9,300 basis discount

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

	Balances as of February 28, 2022		Purchases		Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of May 31, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2022
Climate Change Fund
Common Stocks
Russia	$	—	$	5,632,048	$	—	$	—	$	(9	)	$	(4,669,101)		$	1,768,190	‡	$	—	$	2,731,128	$	(4,669,101	)
Total Investments	$	—	$	5,632,048	$	—	$	—	$	(9	)	$	(4,669,101	)	$	1,768,190		$	—	$	2,731,128	$	(4,669,101	)

	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3			Balances as of May 31, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2022
Emerging Domestic Opportunities Fund
Common Stocks
India	$	5,986,759	$	—	$	—		$	—	$	—		$	(891,814	)	$	1,105,733	‡	$	(5,094,945	)‡	$	1,105,733	$	—
Russia		911,572		—		—			—		—			(898,466	)		560,388	‡		—			573,494		(898,466	)
Investment Funds
Russia		—		—		—			—		—			—			9,610	‡		—			9,610		—
Total Investments	$	6,898,331	$	—	$	—		$	—	$	—		$	(1,790,280	)	$	1,675,731		$	(5,094,945	)	$	1,688,837	$	(898,466	)
Emerging Markets Ex-China Fund
Common Stocks
Russia	$	949,755	$	385,274	$	—		$	—	$	—		$	(1,159,822	)	$	3,156,205	‡	$	—		$	3,331,412	$	(1,159,822	)
Preferred Stocks
Russia		—		—		—			—		—			—			195,742	‡		—			195,742		—
Total Investments	$	949,755	$	385,274	$	—		$	—	$	—		$	(1,159,822	)	$	3,351,947		$	—		$	3,527,154	$	(1,159,822	)
Emerging Markets Fund
Common Stocks
China	$	358,312	$	—	$	(61,752	)	$	—	$	(111,255	)	$	(125,409	)	$	869,051	‡	$	(59,895	)‡	$	869,052	$	(125,409	)
Russia		2,870,861		806,184		—			—		(9	)		(3,076,729	)		15,331,425	‡		—			15,931,732		(3,076,729	)
Preferred Stocks
Russia		—		—		—			—		—			—			3,266,234	‡		—			3,266,234		—
Total Investments	$	3,229,173	$	806,184	$	(61,752	)	$	—	$	(111,264	)	$	(3,202,138	)	$	19,466,710		$	(59,895	)	$	20,067,018	$	(3,202,138	)
Quality Cyclicals Fund
Common Stocks
Russia	$	—	$	—	$	—		$	—	$	—		$	—		$	225,093	‡	$	—		$	225,093	$	—
Total Investments	$	—	$	—	$	—		$	—	$	—		$	—		$	225,093		$	—		$	225,093	$	—
Resources Fund
Common Stocks
Russia	$	—	$	14,609,782	$	—		$	—	$	(7	)	$	(11,915,921)		$	14,699,826	‡	$	—		$	17,393,680	$	(11,915,921	)
United States		4,539,029		—		(4,410,991	)		—		—			(128,038)			—			—			—		—
Preferred Stocks
Russia		—		—		—			—		—			—			3,751,177	‡		—			3,751,177		—
Rights/Warrants
Singapore		2		—		—			—		—			(1	)		—			—			1		(1	)
Total Investments	$	4,539,031	$	14,609,782	$	(4,410,991	)	$	—	$	(7	)	$	(12,043,960	)	$	18,451,003		$	—		$	21,144,858	$	(11,915,922	)

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

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

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Climate Change Fund
Common Stock (American Depositary Receipt)		1,620,030	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		1,111,098	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Domestic Opportunities Fund
Common Stock		349,766	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (American Depositary Receipt)		69,668	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		154,060	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Investment Fund		9,610	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Emerging Markets ex-China Fund
Common Stock		846,069	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (American Depositary Receipt)		1,898,326	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		587,017	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		195,742	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Emerging Markets Fund
Common Stock		5,000,022	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock		1	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock (American Depositary Receipt)		6,907,055	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		4,024,655	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		3,266,234	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Quality Cyclicals Fund
Common Stock (American Depositary Receipt)		151,363	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		73,730	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Resources Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		7,828,144	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (American Depositary Receipt)		6,346,093	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		3,219,443	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		3,751,177	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Warrant		1	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2022, the value of these securities and/or derivatives for Emerging Domestic Opportunities Fund and Emerging Markets Fund was $1,105,733 and $869,051, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2022 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	$	58,977,551	$	253,132,880	$	195,304,724	$	37,215	**	$	(173,679	)	$	30,279		$	116,662,307
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	2,331,522	$	4,598	$	—	$	4,598		$	—		$	(4,656	)	$	2,331,464
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	4,374	$	9	$	—	$	9		$	—		$	(9	)	$	4,374
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	712,685	$	—	$	—	$	—		$	—		$	(452,727	)	$	259,958
Gayatri Projects Ltd		3,763,980		—		—		—			—			(1,250,057	)		2,513,923
Totals	$	4,476,665	$	—	$	—	$	—		$	—		$	(1,702,784	)	$	2,773,881
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	434,957	$	1,930,000	$	500,000	$	2,611		$	(1,737	)	$	(1,127	)	$	1,862,093
Quality Fund
GMO U.S. Treasury Fund	$	5,788,348	$	—	$	—	$	11,407		$	—		$	(11,553	)	$	5,776,795
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	999,833	$	10,370,000	$	9,816,200	$	2,960		$	(3,007	)	$	453		$	1,551,079
U.S. Equity Fund
GMO U.S. Treasury Fund	$	10,402,263	$	15,260,000	$	21,000,000	$	13,446		$	(28,775	)	$	17,793		$	4,651,281
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	1,158,524	$	3,400,000	$	1,700,000	$	5,118		$	(4,629	)	$	(877	)	$	2,853,018

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

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $350,865 in Climate Change Fund during the period.

Subsequent events

Subsequent to May 31, 2022, GMO Emerging Domestic Opportunities Fund received redemption requests in the amount of $479,558,622.

* * *

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

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 99.6%
		U.S. Government — 99.6%
	8,210,000	U.S. Treasury Note, 2.38%, due 03/31/29		7,949,589
	20,900,000	U.S. Treasury Note, 1.25%, due 08/15/31		18,191,981
		Total U.S. Government		26,141,570
		TOTAL DEBT OBLIGATIONS (COST $27,858,430)		26,141,570
		MUTUAL FUNDS — 0.1%
		United States — 0.1%
		Affiliated Issuers — 0.1%
	2,325	GMO U.S. Treasury Fund		11,626
		TOTAL MUTUAL FUNDS (COST $11,695)		11,626
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	55,758	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		55,758
		TOTAL SHORT-TERM INVESTMENTS (COST $55,758)		55,758
		TOTAL INVESTMENTS — 99.9% (Cost $27,925,883)		26,208,954
		Other Assets and Liabilities (net) — 0.1%		34,347
		TOTAL NET ASSETS — 100.0%		$26,243,301

Notes to Schedule of Investments:

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

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

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 91.4%
		Albania — 1.5%
		Sovereign and Sovereign Agency Issuers
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		43,476,549
EUR	9,100,000	Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31		7,742,174
		Total Albania		51,218,723
		Angola — 0.3%
		Sovereign and Sovereign Agency Issuers
	7,900,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		7,080,375
	5,500,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		4,816,969
		Total Angola		11,897,344
		Argentina — 3.2%
		Sovereign and Sovereign Agency Issuers
	29,090,713	Republic of Argentina, 1.00%, due 07/09/29		8,598,749
	35,333,493	Republic of Argentina, Step Up, 0.50%, due 07/09/30		10,335,047
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) (d)		917,938
	56,547,942	Republic of Argentina, Step Up, 1.13%, due 07/09/35		15,381,040
EUR	28,500,000	Republic of Argentina, Step Up, 1.50%, due 01/09/38		9,132,958
	72,008,994	Republic of Argentina, Step Up, 2.00%, due 01/09/38		24,568,941
JPY	334,073,000	Republic of Argentina, 0.67%, due 12/31/38 (c) (d)		519,009
EUR	8,260,000	Republic of Argentina, Step Up, 1.50%, due 07/09/41		2,398,665
	69,701,240	Republic of Argentina, Step Up, 2.50%, due 07/09/41		22,548,351
	56,947,000	Republic of Argentina, Step Up, 1.13%, due 07/09/46		16,087,527
		Total Argentina		110,488,225
		Armenia — 0.5%
		Corporate Debt
	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		18,412,500
		Azerbaijan — 0.9%
		Sovereign and Sovereign Agency Issuers
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		10,775,895
	5,250,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		5,145,000
	17,800,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		16,803,200
		Total Azerbaijan		32,724,095

Par Value†		Description	Value ($)
		Bahamas — 0.8%
		Sovereign and Sovereign Agency Issuers
	10,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		8,077,833
	15,600,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		11,966,175
	7,900,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		6,620,200
		Total Bahamas		26,664,208
		Bahrain — 2.1%
		Sovereign and Sovereign Agency Issuers
	76,590,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		71,602,076
		Barbados — 0.4%
		Sovereign and Sovereign Agency Issuers
	14,000,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		13,398,875
		Belarus — 0.1%
		Sovereign and Sovereign Agency Issuers
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c)		1,079,520
	20,300,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 (c)		2,791,250
		Total Belarus		3,870,770
		Bermuda — 0.2%
		Sovereign and Sovereign Agency Issuers
	6,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		7,235,961
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers
	9,200,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 (e)		7,439,350
		Brazil — 3.2%
		Corporate Debt — 0.8%
	30,288,968	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		27,552,360
		Sovereign and Sovereign Agency Issuers — 2.4%
	59,639,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		52,123,293
	21,500,000	Republic of Brazil, 4.75%, due 01/14/50		16,249,969
BRL	75,100,000	Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 (f)		15,811,919
				84,185,181
		Total Brazil		111,737,541

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Cameroon — 0.2%
		Sovereign and Sovereign Agency Issuers
EUR	7,500,000	Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32		6,441,300
		Chile — 2.2%
		Corporate Debt — 0.9%
	20,411,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		19,704,779
	17,048,994	Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33		12,221,998
				31,926,777
		Sovereign and Sovereign Agency Issuers — 1.3%
	2,200,000	Chile Government International Bond, 3.50%, due 01/31/34		2,039,400
	7,500,000	Chile Government International Bond, 3.10%, due 05/07/41		6,048,750
	3,700,000	Chile Government International Bond, 4.00%, due 01/31/52		3,237,500
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		7,833,186
	5,300,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		4,482,806
	27,550,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		21,339,197
				44,980,839
		Total Chile		76,907,616
		China — 0.9%
		Corporate Debt — 0.3%
	11,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		1,122,100
	14,300,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		1,441,619
	7,500,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		765,469
	7,500,000	CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30		6,567,975
	6,100,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (d)		620,675
	2,100,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (d)		219,581
	3,600,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (d)		368,550
	4,100,000	Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (d)		423,581
				11,529,550
		Sovereign and Sovereign Agency Issuers — 0.6%
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		13,563,663
	7,300,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		7,050,431
				20,614,094
		Total China		32,143,644

Par Value†		Description	Value ($)
		Colombia — 3.1%
		Corporate Debt — 0.2%
COP	26,700,000,000	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		6,440,401
		Sovereign and Sovereign Agency Issuers — 2.9%
	1,392,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		1,474,104
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (a)		4,665,438
	67,100,000	Colombia Government International Bond, 5.63%, due 02/26/44		56,187,863
	7,600,000	Colombia Government International Bond, 5.20%, due 05/15/49		5,991,175
	21,311,000	Ecopetrol SA, 7.38%, due 09/18/43		20,080,290
	6,400,000	Ecopetrol SA, 5.88%, due 11/02/51		5,022,720
COP	30,200,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		6,661,323
				100,082,913
		Total Colombia		106,523,314
		Congo Republic (Brazzaville) — 1.4%
		Sovereign and Sovereign Agency Issuers
	56,645,261	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		48,998,150
		Costa Rica — 1.0%
		Sovereign and Sovereign Agency Issuers
	3,700,000	Costa Rica Government International Bond, Reg S, 7.00%, due 04/04/44		3,404,694
	24,631,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		23,119,272
	9,198,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		7,426,235
		Total Costa Rica		33,950,201
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers
	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		5,621,235
		Dominican Republic — 2.5%
		Sovereign and Sovereign Agency Issuers
	7,400,000	Dominican Republic International Bond, 144A, 6.00%, due 02/22/33		6,827,887
	4,100,000	Dominican Republic International Bond, Reg S, 5.30%, due 01/21/41		3,225,675
	101,429,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		78,848,369
		Total Dominican Republic		88,901,931
		Ecuador — 3.6%
		Sovereign and Sovereign Agency Issuers
	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		920,000

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Ecuador — continued
		Sovereign and Sovereign Agency Issuers — continued
	18,576,250	Ecuador Government International Bond, Reg S, Step Up, 5.00%, due 07/31/30		15,369,525
	112,987,125	Ecuador Government International Bond, Reg S, Step Up, 1.00%, due 07/31/35		72,085,786
	36,603,750	Ecuador Government International Bond, Reg S, Step Up, 0.50%, due 07/31/40		19,978,784
	8,246,892	Ecuador Government International Bond, Zero Coupon, Reg S, due 07/31/30		4,529,605
	14,607,300	Ecuador Social Bond Sarl, Zero Coupon, Reg S, due 01/30/35		11,558,027
		Total Ecuador		124,441,727
		Egypt — 2.1%
		Sovereign and Sovereign Agency Issuers
	23,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		17,213,750
	30,100,000	Egypt Government International Bond, Reg S, 8.88%, due 05/29/50		22,085,875
	11,200,000	Egypt Government International Bond, Reg S, 8.75%, due 09/30/51		8,232,000
	35,464,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		24,780,470
		Total Egypt		72,312,095
		El Salvador — 0.5%
		Sovereign and Sovereign Agency Issuers
	5,300,000	El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32		2,160,744
	7,775,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		3,028,848
	32,900,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50		12,662,388
		Total El Salvador		17,851,980
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers
	4,090,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		2,525,064
		Gabon — 0.3%
		Sovereign and Sovereign Agency Issuers
	13,300,000	Gabon Government International Bond, Reg S, 6.63%, due 02/06/31		11,270,088
		Ghana — 1.2%
		Sovereign and Sovereign Agency Issuers
	5,000,000	Republic of Ghana, Reg S, 8.63%, due 04/07/34		2,605,625
	5,900,000	Republic of Ghana, Reg S, 8.63%, due 06/16/49		2,976,919
	30,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		15,343,125

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	30,400,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61		15,177,200
	9,615,650	Saderea DAC, Reg S, 12.50%, due 11/30/26		7,211,737
		Total Ghana		43,314,606
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers
	9,200,973	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		7,544,798
		Guatemala — 0.6%
		Sovereign and Sovereign Agency Issuers
	4,815,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		5,365,114
	2,000,000	Republic of Guatemala, Reg S, 4.65%, due 10/07/41		1,616,625
	15,200,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		14,053,350
		Total Guatemala		21,035,089
		Honduras — 0.4%
		Sovereign and Sovereign Agency Issuers
	17,300,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		12,340,306
		Hungary — 0.2%
		Sovereign and Sovereign Agency Issuers
	11,300,000	Hungary Government International Bond, Reg S, 3.13%, due 09/21/51		7,657,869
		India — 1.6%
		Corporate Debt
	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		25,542,000
	1,000,000	GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26		950,187
	21,140,000	GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27		18,825,170
	10,750,000	India Airport Infra, Reg S, 6.25%, due 10/25/25		9,997,500
		Total India		55,314,857
		Indonesia — 3.4%
		Sovereign and Sovereign Agency Issuers
	9,200,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		8,678,475
	3,700,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.45%, due 05/15/30		3,742,550
	20,900,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		18,710,725
	8,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		9,303,638

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — continued
		Sovereign and Sovereign Agency Issuers — continued
	20,400,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		17,292,825
	11,300,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		12,064,869
	8,200,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		6,533,350
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		14,198,225
	8,900,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 4.70%, due 06/06/32		9,055,750
	20,349,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		19,157,312
		Total Indonesia		118,737,719
		Israel — 0.5%
		Sovereign and Sovereign Agency Issuers
	13,183,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,235,850
		Ivory Coast — 0.8%
		Sovereign and Sovereign Agency Issuers
EUR	32,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		27,102,843
		Jamaica — 0.9%
		Corporate Debt — 0.2%
	9,327,597	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		8,597,713
		Sovereign and Sovereign Agency Issuers — 0.7%
	9,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		10,856,250
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		12,511,500
				23,367,750
		Total Jamaica		31,965,463
		Jordan — 1.2%
		Sovereign and Sovereign Agency Issuers
	49,895,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		42,373,329
		Kazakhstan — 1.0%
		Sovereign and Sovereign Agency Issuers
	5,200,000	Development Bank of Kazakhstan JSC, 144A, 5.75%, due 05/12/25		5,166,200
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		8,339,062
	3,800,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		3,211,713
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		18,044,325
		Total Kazakhstan		34,761,300

Par Value†		Description	Value ($)
		Kenya — 0.9%
		Sovereign and Sovereign Agency Issuers
	39,914,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		31,033,135
		Kuwait — 0.1%
		Corporate Debt
	4,100,000	Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28		3,710,500
		Lebanon — 0.4%
		Sovereign and Sovereign Agency Issuers
	20,400,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		1,725,075
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		469,068
	60,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		5,181,727
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		1,775,813
	56,914,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		4,812,790
		Total Lebanon		13,964,473
		Malaysia — 0.9%
		Sovereign and Sovereign Agency Issuers
	16,700,000	1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23		16,277,323
	6,000,000	Dua Capital Ltd, Reg S, 2.78%, due 05/11/31		5,051,340
	8,400,000	Petronas Capital Ltd., Reg S, 4.80%, due 04/21/60		8,611,575
	4,200,000	Petronas Capital Ltd., Reg S, 3.40%, due 04/28/61		3,278,058
		Total Malaysia		33,218,296
		Mexico — 6.0%
		Sovereign and Sovereign Agency Issuers
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		4,438,400
	154,800,000	Petroleos Mexicanos, 7.69%, due 01/23/50		119,970,000
	23,486,000	Petroleos Mexicanos, 6.95%, due 01/28/60		16,862,948
GBP	56,096,000	United Mexican States, 5.63%, due 03/19/2114		66,878,315
		Total Mexico		208,149,663
		Mongolia — 0.1%
		Sovereign and Sovereign Agency Issuers
	3,700,000	Mongolia Government International Bond, Reg S, 4.45%, due 07/07/31		3,052,907

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Montenegro — 0.2%
		Sovereign and Sovereign Agency Issuers
EUR	8,100,000	Montenegro Government International Bond, 144A, 2.88%, due 12/16/27		7,107,693
		Morocco — 0.5%
		Sovereign and Sovereign Agency Issuers
	11,300,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		10,405,182
	10,500,000	Office Cherifien des Phosphates SA, Reg S, 5.13%, due 06/23/51 (e)		7,778,531
		Total Morocco		18,183,713
		Mozambique — 0.2%
		Sovereign and Sovereign Agency Issuers
	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		7,726,908
		Nigeria — 1.1%
		Sovereign and Sovereign Agency Issuers
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		7,958,125
	17,650,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		12,663,875
	11,200,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		9,044,000
	11,300,000	Nigeria Government International Bond, Reg S, 8.25%, due 09/28/51		8,390,250
		Total Nigeria		38,056,250
		Oman — 2.8%
		Sovereign and Sovereign Agency Issuers
	1,100,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		998,250
	96,800,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		90,024,000
	5,400,000	Oman Government International Bond, Reg S, 7.00%, due 01/25/51		5,130,000
		Total Oman		96,152,250
		Pakistan — 0.4%
		Sovereign and Sovereign Agency Issuers
	14,762,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		9,404,316
	5,926,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		3,348,842
		Total Pakistan		12,753,158
		Panama — 1.8%
		Sovereign and Sovereign Agency Issuers
	26,200,000	Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61		21,881,913
	12,137,000	Panama Government International Bond, 8.13%, due 04/28/34		16,605,843

Par Value†		Description	Value ($)
		Panama — continued
		Sovereign and Sovereign Agency Issuers — continued
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		14,393,400
	12,600,000	Panama Government International Bond, 4.50%, due 01/19/63		10,565,100
		Total Panama		63,446,256
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers
	1,400,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		1,204,154
		Peru — 2.3%
		Sovereign and Sovereign Agency Issuers
PEN	52,700,000	Peru Government Bond, 6.15%, due 08/12/32		12,691,834
	16,100,000	Peruvian Government International Bond, 3.60%, due 01/15/72		11,938,150
	19,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		13,344,288
	52,995,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		41,004,881
		Total Peru		78,979,153
		Philippines — 1.9%
		Sovereign and Sovereign Agency Issuers
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		7,614,000
	9,500,000	Philippine Government International Bond, 3.20%, due 07/06/46		7,636,670
	40,012,000	Power Sector Assets & Liabilities Management Corp, 9.63%, due 05/15/28		49,909,968
		Total Philippines		65,160,638
		Qatar — 0.4%
		Sovereign and Sovereign Agency Issuers
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		13,505,927
		Republic of North Macedonia — 0.2%
		Sovereign and Sovereign Agency Issuers
EUR	7,800,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		6,779,025
		Romania — 0.8%
		Sovereign and Sovereign Agency Issuers
EUR	9,000,000	Romanian Government International Bond, Reg S, 2.88%, due 04/13/42		6,499,473
EUR	6,900,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		6,320,908
EUR	18,300,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		13,780,416
		Total Romania		26,600,797

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Russia — 0.5%
		Sovereign and Sovereign Agency Issuers
	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (c) (d)		2,733,750
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (c) (d)		650,000
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (c) (d)		850,000
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35 (c)		5,440,000
	6,400,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 (c)		1,024,000
	4,000,000	Russian Foreign Bond, Reg S, 5.63%, due 04/04/42 (c)		860,000
	33,200,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47 (c)		6,640,000
		Total Russia		18,197,750
		Saudi Arabia — 3.1%
		Corporate Debt — 1.0%
	23,704,875	ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39		24,376,019
	11,100,000	EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46		9,324,000
				33,700,019
		Sovereign and Sovereign Agency Issuers — 2.1%
	1,600,000	Saudi Government International Bond, Reg S, 3.75%, due 01/21/55		1,398,000
	90,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		72,173,750
				73,571,750
		Total Saudi Arabia		107,271,769
		Senegal — 0.2%
		Sovereign and Sovereign Agency Issuers
	8,800,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		6,788,650
		Serbia — 0.3%
		Sovereign and Sovereign Agency Issuers
EUR	16,700,000	Serbia International Bond, Reg S, 2.05%, due 09/23/36		12,258,465
		South Africa — 3.5%
		Sovereign and Sovereign Agency Issuers
	11,720,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		11,139,860
	19,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		18,727,800
ZAR	203,950,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		2,715,770
ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		22,384,717

Par Value†		Description	Value ($)
		South Africa — continued
		Sovereign and Sovereign Agency Issuers — continued
	82,500,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		66,412,500
ZAR	27,300,000	Transnet SOC, Ltd., 13.50%, due 04/18/28		2,012,561
		Total South Africa		123,393,208
		Sri Lanka — 1.0%
		Sovereign and Sovereign Agency Issuers
	7,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 (d)		2,897,440
	11,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 (d)		4,455,111
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 (d)		13,200,045
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29) (d)		3,366,968
	30,100,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30) (d)		11,516,561
		Total Sri Lanka		35,436,125
		SupraNational — 0.1%
		Sovereign and Sovereign Agency Issuers
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		2,631,082
		Suriname — 0.7%
		Sovereign and Sovereign Agency Issuers
	16,700,000	Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d)		11,851,781
	17,559,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		12,140,951
		Total Suriname		23,992,732
		Tajikistan — 0.2%
		Sovereign and Sovereign Agency Issuers
	11,374,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		7,612,050
		Trinidad And Tobago — 1.3%
		Sovereign and Sovereign Agency Issuers
	26,000,000	Heritage Petroleum Co. Ltd., 144A, 9.00%, due 08/12/29		26,741,000
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29		9,623,600
	3,800,000	Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30		3,391,025
	6,127,000	Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27		5,887,281
		Total Trinidad And Tobago		45,642,906

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Tunisia — 1.1%
		Sovereign and Sovereign Agency Issuers
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		26,015,991
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		8,659,844
JPY	900,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		3,215,909
		Total Tunisia		37,891,744
		Turkey — 4.0%
		Sovereign and Sovereign Agency Issuers
	20,100,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		17,120,175
	1,300,000	Istanbul Metropolitan Municipality, 144A, 10.75%, due 04/12/27		1,244,750
	23,002,000	Republic of Turkey, 6.00%, due 01/14/41		16,580,129
	151,913,000	Republic of Turkey, 5.75%, due 05/11/47		103,993,943
		Total Turkey		138,938,997
		Ukraine — 1.3%
		Sovereign and Sovereign Agency Issuers
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 (c)		1,308,088
	17,200,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26 (c)		5,770,600
	6,800,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/26 (c)		2,251,684
	9,100,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/28 (c)		3,139,500
	4,700,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25 (c)		1,736,063
	8,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 (c)		3,139,438
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 (c)		1,503,107
	2,000,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 (c)		777,000
	37,600,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32 (c)		13,592,400
	29,900,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/33 (c)		10,808,850
	200,000	Ukraine Railways Via Rail Capital Markets Plc, Reg S, 7.88%, due 07/15/26 (c)		57,000
		Total Ukraine		44,083,730
		United Arab Emirates — 1.6%
		Sovereign and Sovereign Agency Issuers
	4,500,000	Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47		4,374,281

Par Value†		Description	Value ($)
		United Arab Emirates — continued
		Sovereign and Sovereign Agency Issuers — continued
	8,200,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		6,771,663
	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		6,616,269
	6,000,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		5,326,500
	18,700,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		13,227,912
	28,300,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		20,938,462
		Total United Arab Emirates		57,255,087
		United States — 4.4%
		Asset-Backed Securities — 0.3%
	1,162,510	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 1.11%, due 12/15/35		1,111,942
	406,333	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 1.11%, due 12/15/35		398,601
	846,558	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 1.07%, due 05/15/36		801,185
	8,326,712	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 1.16%, due 11/25/36		3,144,725
	8,437,735	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 1.23%, due 11/25/36		3,202,995
	4,376,855	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 1.37%, due 04/25/37		1,877,191
				10,536,639
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2170		346,862
		U.S. Government — 4.1%
	26,000,000	U.S. Treasury Note, 0.13%, due 12/31/22		25,765,390
	34,300,000	U.S. Treasury Note, 0.13%, due 03/31/23		33,774,781
	34,900,000	U.S. Treasury Note, 0.13%, due 04/30/23		34,278,344
	4,000,000	U.S. Treasury Note, 0.13%, due 05/15/23		3,924,531
	33,050,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.16%, due 10/31/23 (g)		33,114,856
	11,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 0.99%, due 04/30/24		11,002,278
				141,860,180
		Total United States		152,743,681

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Uruguay — 0.6%
		Sovereign and Sovereign Agency Issuers
	20,918,000	Uruguay Government International Bond, 5.10%, due 06/18/50		22,275,055
		Uzbekistan — 0.4%
		Sovereign and Sovereign Agency Issuers
	7,600,000	Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30		6,159,800
	1,237,000	Uzbek Industrial and Construction Bank ATB, Reg S, 5.75%, due 12/02/24		1,128,763
	10,000,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		8,015,000
		Total Uzbekistan		15,303,563
		Venezuela — 1.2%
		Sovereign and Sovereign Agency Issuers
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		835,987
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		8,800,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		3,098,350
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,617,380
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		3,111,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		2,018,750
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		14,687,405
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		5,839,500
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		595,000
		Total Venezuela		40,603,372
		Vietnam — 0.8%
		Sovereign and Sovereign Agency Issuers
	22,558,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		19,904,615
	9,918,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.92%, due 03/13/28 (c)		9,273,330
		Total Vietnam		29,177,945
		Zambia — 0.6%
		Sovereign and Sovereign Agency Issuers
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		2,376,000
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		18,797,211
		Total Zambia		21,173,211
		TOTAL DEBT OBLIGATIONS (COST $4,319,742,020)		3,185,418,060

Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 1.4%
		Chad — 0.5%
	5,018,496	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 3.61%, due 09/30/25 (c)		4,140,259
	19,104,455	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 3.86%, due 12/31/27 (c)		12,991,030
		Total Chad		17,131,289
		Kenya — 0.1%
	3,650,000	Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 8.81%, due 04/10/25 (a)		2,996,587
		Turkey — 0.8%
EUR	28,303,571	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a)		28,509,018
		TOTAL LOAN ASSIGNMENTS (COST $53,356,189)		48,636,894
		LOAN PARTICIPATIONS — 1.2%
		Angola — 0.9%
	468,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 6.61%, due 12/07/23 (c)		468,000
	12,000,000	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		11,310,000
	7,275,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.36%, due 12/13/23 (c)		7,220,437
	4,162,149	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.36%, due 12/20/23 (c)		4,130,933
	7,916,667	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		7,679,167
		Total Angola		30,808,537
		Egypt — 0.0%
CHF	466	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		413
		Iraq — 0.2%
EUR	671,722	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		607,549

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		Iraq — continued
JPY	96,567,776	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		607,604
JPY	1,070,250,340	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		6,734,010
JPY	227,190,207	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,429,480
		Total Iraq		9,378,643
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		2
		Sudan — 0.1%
CHF	11,833,578	Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d)		1,233,693
CHF	5,155,077	Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		537,435
		Total Sudan		1,771,128
		TOTAL LOAN PARTICIPATIONS (COST $60,497,966)		41,958,723
		INVESTMENT FUNDS — 0.2%
		Colombia — 0.2%
	7,850,000	Bona Fide Investments Feeder LLC (a) (h)		8,006,089
		TOTAL INVESTMENT FUNDS (COST $7,850,000)		8,006,089
		MUTUAL FUNDS — 2.1%
		United States — 2.1%
		Affiliated Issuers — 2.1%
	14,838,144	GMO U.S. Treasury Fund		74,190,722
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,190,722

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.3%
		Argentina — 0.1%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (i)		4,676,562
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (i)		37,373
		Total Argentina		4,713,935
		Ukraine — 0.2%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (c) (i)		5,489,480
		TOTAL RIGHTS/WARRANTS (COST $49,378,719)		10,203,415
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.4%
	12,722,334	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (j)		12,722,334
		U.S. Government — 0.2%
	7,000,000	U.S. Treasury Bill, 1.59%, due 12/01/22 (k)		6,944,401
		TOTAL SHORT-TERM INVESTMENTS (COST $19,666,596)		19,666,735
		TOTAL INVESTMENTS — 97.2% (Cost $4,584,787,920)		3,388,080,638
		Other Assets and Liabilities (net) — 2.8%		96,550,275
		TOTAL NET ASSETS — 100.0%		$3,484,630,913

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
Bona Fide Investments Feeder LLC	12/31/21	$	7,850,000	0.23%	$	8,006,089

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/05/2022	JPM		BRL	70,300,000		USD	14,417,555		(243,550	)
06/16/2022	JPM		COP	73,900,000,000		USD	19,169,909		(398,427	)
06/21/2022	MORD		EUR	1,100,000		USD	1,189,511		7,515
06/21/2022	SSB		EUR	150,300,000		USD	163,147,815		1,644,140
06/21/2022	SSB		GBP	60,111,000		USD	78,511,398		2,762,072
07/15/2022	BCLY		JPY	6,580,000,000		USD	52,417,828		1,215,157
06/17/2022	MORD		PEN	49,700,000		USD	13,313,689		(44,579	)
07/05/2022	GS		USD	6,584,475		BRL	33,700,000		443,680
06/21/2022	CITI		USD	11,691,586		EUR	11,100,000		235,832
06/21/2022	CITI		USD	8,861,307		GBP	7,100,000		85,811
08/31/2022	MORD		ZAR	356,500,000		USD	22,262,327		(295,014	)
								$	5,412,637

Reverse Repurchase Agreements^(l)

Face Value		Description	Value ($)
USD	6,006,665	J.P. Morgan Securities Plc, (0.25)%, dated 05/06/22, (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(6,006,665	)
USD	762,873	J.P. Morgan Securities Plc, (0.40)%, dated 05/17/22, (collateral: Office Cherifien des Phosphates SA, Reg S, 5.13%, due 06/23/51), to be repurchased on demand at face value plus accrued interest.		(762,873	)
			$	(6,769,538	)
		Average balance outstanding	$	(6,296,557	)
		Average interest rate (net)		(0.11	) %
		Maximum balance outstanding	$	(6,770,750	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a)		(123,653	)		42,358
Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		(1,287,299	)		215,636
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a)		(4,271,667	)		159,095
					$	(5,682,619	)	$	417,089

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-EMS.31.V1-5Y	USD	125,396,000		1.00%		4.85%		N/A		06/20/2024		Quarterly		3,918,625		9,179,614		5,260,989
CDX-EMS.37.V1-5Y	USD	143,000,000		1.00%		2.72%		N/A		06/20/2027		Quarterly		8,794,500		10,786,919		1,992,419
													$	12,713,125	$	19,966,533	$	7,253,408

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^:
Banque Centrale de Tunisie SA	JPM	USD		19,500,000		1.00%		26.72%		N/A		06/20/2022		Quarterly		2,109,320			275,537			(1,833,783	)
Republic of Ghana	JPM	USD		3,700,000		5.00%		15.67%		N/A		06/20/2023		Quarterly		(112,514	)		377,220			489,734
Republic of Ghana	JPM	USD		3,700,000		5.00%		15.67%		N/A		06/20/2023		Quarterly		(112,260	)		377,220			489,480
Republic of Ghana	JPM	USD		3,700,000		5.00%		15.67%		N/A		06/20/2023		Quarterly		370,000			377,220			7,220
Petrobras Global Finance BV	CITI	USD		13,000,000		1.00%		1.38%		N/A		06/20/2024		Quarterly		371,175			97,380			(273,795	)
Petrobras Global Finance BV	CITI	USD		37,000,000		1.00%		1.38%		N/A		06/20/2024		Quarterly		1,923,458			277,158			(1,646,300	)
Republic of Ghana	JPM	USD		7,500,000		5.00%		14.8%		N/A		06/20/2024		Quarterly		58,680			1,224,284			1,165,604
Republic of South Africa	GS	USD		35,900,000		1.00%		1.37%		N/A		06/20/2024		Quarterly		38,627			266,506			227,879
Commonwealth of Bahamas	DB	EUR		29,001,331		1.00%		10.56%		N/A		06/20/2025		Quarterly		3,767,513			5,052,549			1,285,036
Republic of Colombia	CITI	USD		6,000,000		1.00%		2.11%		N/A		06/20/2027		Quarterly		217,220			303,788			86,568
Republic of South Africa	GS	USD		52,000,000		1.00%		2.34%		N/A		06/20/2027		Quarterly		2,596,750			3,150,024			553,274
Republic of Turkey	GS	USD		29,000,000		1.00%		7.12%		N/A		06/20/2027		Quarterly		5,526,699			6,781,217			1,254,518
United States of Mexico	MORD	USD		20,000,000		1.00%		1.25%		N/A		06/20/2027		Quarterly		(28,801	)		237,119			265,920
United States of Mexico	GS	USD		20,000,000		1.00%		1.65%		N/A		06/20/2029		Quarterly		1,589,641			803,151			(786,490	)
United States of Mexico	GS	USD		20,000,000		1.00%		1.89%		N/A		09/20/2031		Quarterly		2,640,655			1,362,464			(1,278,191	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD		3,487,000		1.00%		10.73%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(332,205	)		309,258
Commonwealth of Bahamas	DB	USD		6,975,000		1.00%		10.73%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(664,505	)		599,410
Commonwealth of Bahamas	DB	USD		38,867,771		1.00%		10.55%		38,867,771 USD		06/20/2025		Quarterly		(4,311,666	)		(6,156,616	)		(1,844,950	)
Russia	CITI	USD		11,700,000		1.00%		0.00%		11,700,000 USD		12/20/2026		Quarterly		(974,925	)		(8,740,423	)		(7,765,498	)
															$	13,764,194		$	5,069,088		$	(8,695,106	)

^ 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, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

(2) The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (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) ($)
BZDIOVRA Index	12.36%	BRL	2,406,000,000		01/02/2025	At Maturity		293,193			1,796,736			1,503,543
BZDIOVRA Index	11.97%	BRL	348,000,000		01/02/2025	At Maturity		—			(312,709	)		(312,709	)
1.75%	6 Month EURIBOR	EUR	17,200,000		06/16/2032	Semi-Annually		76,274			171,240			94,966
1.70%	GBP - SONIA - COMPOUND	GBP	30,000,000		06/15/2052	Annually		197,901			2,676,240			2,478,339
1.42%	6 Month EURIBOR	EUR	33,800,000		06/19/2052	Semi-Annually		(246,098	)		2,643,632			2,889,730
							$	321,270		$	6,975,139		$	6,653,869

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6.53%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	125,600,000,000		06/07/2022		At Maturity		—		(1,380,574	)		(1,380,574	)
6.52%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	73,900,000,000		06/21/2022		At Maturity		—		1,075,600			1,075,600
6.52%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	96,100,000,000		06/23/2022		At Maturity		—		329,147			329,147
										$	—	$	24,173		$	24,173

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

Notes to Schedule of Investments:

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

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

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

(c) Investment valued using significant unobservable inputs.

(d) Security is in default.

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

(f) Security is backed by the United States International Development Finance Corporation.

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

(h) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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

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

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

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

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

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

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

BZDIOVRA - Brazil Interbank Deposit Rate

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.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

SONIA - Sterling Overnight Interbank Average Rate

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

BRL - Brazilian Real

CHF - Swiss Franc

COP - Colombian Peso

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

PEN - Peruvian Sol

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, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 48.3%
		Corporate Debt — 13.1%
		Australia — 0.7%
	2,625,000	FMG Resources August 2006 Pty. Ltd., 144A, 4.38%, due 04/01/31		2,339,531
		Canada — 0.0%
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		121,719
		United Kingdom — 0.6%
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		188,100
	1,020,000	Virgin Media Secured Finance Plc, 144A, 5.50%, due 05/15/29		1,002,956
	1,000,000	Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30		904,700
		Total United Kingdom		2,095,756
		United States — 11.8%
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		124,377
	325,000	Apache Corp., 5.35%, due 07/01/49		286,000
	125,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		113,294
	740,000	Booz Allen Hamilton, Inc., 144A, 3.88%, due 09/01/28		691,971
	1,000,000	Booz Allen Hamilton, Inc., 144A, 4.00%, due 07/01/29		946,305
	250,000	Brinker International, Inc., 3.88%, due 05/15/23		245,000
	3,750,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.75%, due 03/01/30		3,459,375
	1,375,000	Centene Corp., 2.63%, due 08/01/31		1,180,032
	275,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		255,750
	250,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		239,495
	748,000	CoreCivic, Inc., 8.25%, due 04/15/26		769,901
	1,500,000	Crown Americas LLC, 144A, 5.25%, due 04/01/30		1,502,730
	1,750,000	Crown Americas LLC / Crown Americas Capital Corp. V, 4.25%, due 09/30/26		1,718,911
	400,000	Enact Holdings, Inc., 144A, 6.50%, due 08/15/25		401,048
	1,125,000	FirstEnergy Corp., 4.40%, due 07/15/27		1,116,562
	125,000	Fluor Corp., 4.25%, due 09/15/28		118,900
	670,000	Hexcel Corp., 4.20%, due 02/15/27		652,792
	1,625,000	Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.38%, due 02/01/29		1,473,485
	2,125,000	Iron Mountain Information Management Services, Inc., 144A, REIT, 5.00%, due 07/15/32		1,950,410
	500,000	KB Home, 4.80%, due 11/15/29		460,000

Par Value†		Description	Value ($)
		United States — continued
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27		563,566
	1,500,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.75%, due 06/15/29		1,350,000
	750,000	Lumen Technologies, Inc., 144A, 4.50%, due 01/15/29		616,258
	1,625,000	Mattel, Inc., 144A, 3.38%, due 04/01/26		1,575,925
	750,000	Molina Healthcare, Inc., 144A, 3.88%, due 05/15/32		682,268
	625,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		566,856
	262,000	New Fortress Energy, Inc., 144A, 6.75%, due 09/15/25		257,792
	1,500,000	New Fortress Energy, Inc., 144A, 6.50%, due 09/30/26		1,460,715
	1,125,000	Newell Brands, Inc., 5.63%, due 04/01/36		1,069,402
	812,000	Occidental Petroleum Corp., 8.50%, due 07/15/27		941,920
	1,750,000	OneMain Finance Corp., 6.13%, due 03/15/24		1,767,756
	250,000	OneMain Finance Corp., 6.88%, due 03/15/25		254,080
	875,000	OneMain Finance Corp., 7.13%, due 03/15/26		896,000
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		375,469
	166,000	Owens-Brockway Glass Container, Inc., 144A, 5.88%, due 08/15/23		167,660
	250,000	PBF Logistics LP / PBF Logistics Finance Corp., 6.88%, due 05/15/23		247,500
	2,000,000	PDC Energy, Inc., 5.75%, due 05/15/26		2,006,020
	750,000	Perrigo Finance UnLtd Co, 3.90%, due 06/15/30		689,410
	836,000	PG&E Corp., 5.00%, due 07/01/28		789,987
	750,000	PG&E Corp., 5.25%, due 07/01/30		691,867
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		370,883
	400,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		416,024
	250,000	Sensata Technologies BV, 144A, 4.88%, due 10/15/23		250,624
	250,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		218,473
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		725,600
	625,000	Tenet Healthcare Corp., 6.75%, due 06/15/23		637,313
	227,403	Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24		217,450
	375,000	W&T Offshore, Inc., 2018 Term Loan, 144A, 9.75%, due 11/01/23		371,250
	565,000	Western Midstream Operating LP, 3.60%, due 02/01/25		551,723
	1,375,000	Western Midstream Operating LP, 3.95%, due 06/01/25		1,347,500

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
	925,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		909,654
		Total United States		40,693,283
		Total Corporate Debt		45,250,289
		U.S. Government — 35.2%
	20,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		19,855,469
	45,000,000	U.S. Treasury Note, 0.13%, due 12/31/22		44,593,945
	3,630,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.15%, due 07/31/23 (a)		3,635,905
	54,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 0.99%, due 04/30/24 (a)		54,011,183
		Total U.S. Government		122,096,502
		TOTAL DEBT OBLIGATIONS (COST $167,220,152)		167,346,791
		SHORT-TERM INVESTMENTS — 47.5%
		Money Market Funds — 0.8%
	2,672,310	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (b)		2,672,310
		Sovereign and Sovereign Agency Issuers — 23.5%
JPY	2,371,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/01/22		18,420,787
JPY	7,146,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/22/22		55,521,882
JPY	961,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/25/22		7,466,689
		Total Sovereign and Sovereign Agency Issuers		81,409,358
		U.S. Government — 23.2%
	35,960,000	U.S. Treasury Bill, 1.29%, due 10/06/22 (c)		35,797,705
	5,380,000	U.S. Treasury Bill, 1.44%, due 11/03/22 (c)		5,347,026
	18,870,000	U.S. Treasury Bill, 1.51%, due 11/17/22 (c)		18,738,453
	500,000	U.S. Treasury Bill, 1.56%, due 11/25/22 (c)		496,226
	20,000,000	U.S. Treasury Bill, 1.59%, due 12/01/22 (c)		19,841,146
		Total U.S. Government		80,220,556
		TOTAL SHORT-TERM INVESTMENTS (COST $164,695,766)		164,302,224
		TOTAL INVESTMENTS — 95.8% (Cost $331,915,918)		331,649,015
		Other Assets and Liabilities (net) — 4.2%		14,520,861
		TOTAL NET ASSETS — 100.0%		$346,169,876

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

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/01/2022	SSB	JPY	2,371,000,000		USD	18,457,824		(7,201	)
08/22/2022	BCLY	JPY	7,146,000,000		USD	56,029,560		308,619
08/25/2022	SSB	JPY	961,000,000		USD	7,425,153		(69,583	)
							$	231,835

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
384	U.S. Treasury Note 10 Yr. (CBT)		September 2022		45,870,000		(308,520	)
140	U.S. Treasury Note 2 Yr. (CBT)		September 2022		29,554,219		(34,914	)
97	U.S. Treasury Note 5 Yr. (CBT)		September 2022		10,956,453		(17,349	)
				$	86,380,672	$	(360,783	)
Sales
1	U.S. Ultra Bond (CBT)		September 2022	$	155,750	$	3,697

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

CDX.NA.HYS.38.V1-5Y

GS

100.50

%

06/15/22

USD

(15,655,000

)

Fixed Spread

Pay

(66,771)

CDX.NA.HYS.38.V1-5Y

GS

100.50

%

06/15/22

USD

(5,237,000

)

Fixed Spread

Pay

(22,337)

CDX.NA.HYS.38.V1-5Y

JPM

98.00

%

07/20/22

USD

(46,600,000

)

Fixed Spread

Pay

(320,220)

Total Written Options on Credit Default Swaps — Puts

(409,328)

TOTAL WRITTEN OPTIONS (Premiums $1,030,221)

$(409,328)

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.38.V1-5Y	USD	14,143,000		5.00%		4.61%		N/A		06/20/2027		Quarterly		(165,491	)		(224,562	)		(59,071	)
CDX.NA.HYS.38.V1-5Y	USD	5,976,000		5.00%		4.61%		N/A		06/20/2027		Quarterly		6,883			(94,887	)		(101,770	)
Sell Protection^:
CDX.NA.HYS.38.V1-5Y	USD	121,669,000		5.00%		4.61%	121,669,000	USD		06/20/2027		Quarterly		1,833,385			1,931,860			98,475
													$	1,674,777		$	1,612,411		$	(62,366	)

^ 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, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MORD		USD	18,200,001		06/20/2022		Quarterly		(5,798	)		333,462			339,260
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MORD		USD	1,099,999		06/20/2022		Quarterly		(140	)		(21,656	)		(21,516	)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MORD		USD	1,199,999		06/20/2022		Quarterly		(114	)		(25,862	)		(25,748	)

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI		USD	7,400,000		06/20/2022		Quarterly		(1,068	)		(62,945	)		(61,877	)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI		USD	27,000,000		06/20/2022		Quarterly		—			(28,623	)		(28,623	)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BCLY		USD	22,250,000		09/20/2022		Quarterly		(11,170	)		854,665			865,835
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI		USD	91,300,001		09/20/2022		Quarterly		(43,896	)		3,044,613			3,088,509
										$	(62,186	)	$	4,093,654		$	4,155,840

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

Notes to Schedule of Investments:

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

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on 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, 2022.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 59.2%
		Brazil — 0.5%
		Corporate Debt
	250,000	Fibria Overseas Finance Ltd., 5.50%, due 01/17/27		255,125
	100,000	Suzano Austria GmbH, 6.00%, due 01/15/29		102,412
	200,000	Suzano Austria GmbH, 5.00%, due 01/15/30		193,125
	100,000	Suzano Austria GmbH, 3.75%, due 01/15/31		88,400
		Total Brazil		639,062
		Canada — 0.3%
		Corporate Debt
	450,000	National Bank of Canada, Variable Rate, 0.55%, due 11/15/24		432,252
		Germany — 0.6%
		Corporate Debt
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		393,673
	350,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		307,027
		Total Germany		700,700
		Ireland — 0.4%
		Corporate Debt
	200,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.88%, due 01/23/28		185,416
	350,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.40%, due 10/29/33		288,419
		Total Ireland		473,835
		Japan — 0.2%
		Corporate Debt
	200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33		197,380
		Netherlands — 0.2%
		Corporate Debt
	350,000	ING Groep NV, Variable Rate, 2.73%, due 04/01/32		299,455
		United Kingdom — 2.6%
		Corporate Debt
	300,000	Barclays Plc, Variable Rate, 2.89%, due 11/24/32		252,616
	300,000	BAT Capital Corp., 4.39%, due 08/15/37		256,201
	200,000	British Telecommunications Plc, 4.50%, due 12/04/23		203,383
	250,000	British Telecommunications Plc, 5.13%, due 12/04/28		256,177

Par Value†		Description	Value ($)
		United Kingdom — continued
		Corporate Debt — continued
	350,000	CNH Industrial NV, 4.50%, due 08/15/23		354,921
	200,000	HSBC Holdings Plc, Variable Rate, 2.25%, due 11/22/27		181,744
	200,000	HSBC Holdings Plc, Variable Rate, 4.58%, due 06/19/29		197,808
	500,000	HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30		474,795
	200,000	NatWest Group Plc, Variable Rate, 4.52%, due 06/25/24		201,900
	400,000	NatWest Group Plc, Variable Rate, 4.89%, due 05/18/29		400,247
	300,000	Reynolds American, Inc., 5.70%, due 08/15/35		297,494
	100,000	Reynolds American, Inc., 6.15%, due 09/15/43		95,884
		Total United Kingdom		3,173,170
		United States — 54.4%
		Asset-Backed Securities — 2.8%
	3,380,000	Citigroup Commercial Mortgage Trust, Series 19-PRM, Class C, 144A, 3.90%, due 05/10/36		3,393,914
		Corporate Debt — 18.2%
	700,000	AbbVie, Inc., 4.50%, due 05/14/35		703,910
	200,000	Aircastle Ltd., 4.25%, due 06/15/26		190,663
	250,000	Alphabet, Inc., 0.45%, due 08/15/25		232,194
	450,000	Alphabet, Inc., 0.80%, due 08/15/27		400,746
	250,000	Altria Group, Inc., 5.80%, due 02/14/39		245,775
	150,000	Altria Group, Inc., 5.95%, due 02/14/49		144,263
	350,000	Altria Group, Inc., 4.00%, due 02/04/61		250,448
	100,000	American Express Co., 4.05%, due 12/03/42		92,891
	200,000	American Financial Group Inc/OH, 4.50%, due 06/15/47		177,071
	750,000	Anthem, Inc., 2.38%, due 01/15/25		735,097
	450,000	Apple, Inc., 0.75%, due 05/11/23		443,987
	350,000	Ares Capital Corp., 2.15%, due 07/15/26		308,006
	150,000	Athene Holding Ltd., 4.13%, due 01/12/28		145,051
	250,000	Athene Holding Ltd., 6.15%, due 04/03/30		264,275
	150,000	Bank of America Corp., Variable Rate, 4.44%, due 01/20/48		146,099
	200,000	Bank of America Corp., Variable Rate, 4.33%, due 03/15/50		190,951
	200,000	Bank of America Corp., Variable Rate, 2.83%, due 10/24/51		146,549
	650,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		559,603
	150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		141,821
	550,000	Carrier Global Corp., 2.72%, due 02/15/30		486,348
	250,000	CF Industries, Inc., 5.15%, due 03/15/34		256,646
	450,000	CF Industries, Inc., 5.38%, due 03/15/44		456,173

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
	200,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38		188,355
	150,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, due 10/23/45		154,869
	250,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		264,358
	250,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		262,425
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		412,127
	450,000	CNH Industrial Capital LLC, 1.95%, due 07/02/23		445,744
	200,000	CNH Industrial Capital LLC, 1.45%, due 07/15/26		181,066
	350,000	Corning, Inc., 5.45%, due 11/15/79		347,973
	500,000	Devon Energy Corp., 5.60%, due 07/15/41		526,435
	350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		365,163
	200,000	DuPont de Nemours, Inc., 5.42%, due 11/15/48		211,559
	100,000	Exelon Generation Co. LLC, 5.60%, due 06/15/42		98,059
	450,000	Expedia Group, Inc., 3.80%, due 02/15/28		428,635
	250,000	Expedia Group, Inc., 3.25%, due 02/15/30		220,760
	250,000	Georgia Power Co., 4.70%, due 05/15/32		258,120
	400,000	GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31		361,100
	250,000	GSK Consumer Healthcare Capital US LLC, 144A, 3.38%, due 03/24/29		238,655
	300,000	HCA, Inc., 5.50%, due 06/15/47		295,882
	200,000	Host Hotels & Resorts LP, REIT, 3.38%, due 12/15/29		179,740
	450,000	Host Hotels & Resorts LP, REIT, 3.50%, due 09/15/30		401,435
	350,000	Huntington Bancshares, Inc., 2.63%, due 08/06/24		344,699
	350,000	Johnson & Johnson, 3.63%, due 03/03/37		342,969
	168,000	Keurig Dr Pepper, Inc., 4.42%, due 05/25/25		171,825
	200,000	Keurig Dr Pepper, Inc., 4.05%, due 04/15/32		191,811
	200,000	Kraft Heinz Foods Co., 5.00%, due 07/15/35		201,718
	450,000	Las Vegas Sands Corp., 3.20%, due 08/08/24		431,681
	350,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		318,224
	300,000	Marathon Oil Corp., 5.20%, due 06/01/45		295,272
	250,000	Marathon Petroleum Corp., 6.50%, due 03/01/41		284,109
	400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		368,963

Par Value†		Description	Value ($)
		Corporate Debt — continued
	100,000	Marriott International, Inc., 5.75%, due 05/01/25		105,489
	350,000	Marvell Technology, Inc., 2.45%, due 04/15/28		312,219
	300,000	Morgan Stanley, 6.38%, due 07/24/42		363,754
	100,000	Morgan Stanley, Variable Rate, 5.60%, due 03/24/51		115,260
	150,000	Newmont Corp., 2.60%, due 07/15/32		128,878
	350,000	Office Properties Income Trust, REIT, 4.50%, due 02/01/25		343,244
	250,000	ONEOK, Inc., 4.95%, due 07/13/47		224,888
	700,000	PacifiCorp, 4.15%, due 02/15/50		651,633
	400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		403,192
	400,000	Sabra Health Care LP, REIT, 5.13%, due 08/15/26		401,225
	250,000	Simon Property Group LP, REIT, 4.75%, due 03/15/42		240,895
	300,000	Simon Property Group LP, REIT, 4.25%, due 11/30/46		274,302
	200,000	Starbucks Corp., 4.45%, due 08/15/49		187,354
	300,000	Synchrony Financial, 4.25%, due 08/15/24		300,496
	250,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.88%, due 01/15/29		262,835
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		313,399
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		294,284
	150,000	United Parcel Service, Inc., 3.90%, due 04/01/25		152,751
	300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		325,656
	350,000	Verizon Communications, Inc., 4.33%, due 09/21/28		356,127
	450,000	Welltower, Inc., REIT, 2.80%, due 06/01/31		395,899
	400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		398,767
	250,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		260,174
	200,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		194,199
				22,519,218
		U.S. Government Agency — 33.4%
	12,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.00%, 0.78%, due 06/02/22		11,999,992
	4,900,000	Federal National Mortgage Association, TBA, 2.50%, due 06/16/37		4,743,334
	1,700,000	Federal National Mortgage Association, TBA, 2.00%, due 06/13/52		1,507,820
	2,200,000	Federal National Mortgage Association, TBA, 2.50%, due 06/13/52		2,024,516
	3,300,000	Federal National Mortgage Association, TBA, 3.00%, due 06/13/52		3,142,348
	15,000,000	Federal National Mortgage Association, TBA, 4.00%, due 06/13/52		14,990,625

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	3,000,000	Government National Mortgage Association, TBA, 3.00%, due 06/21/52		2,893,828
				41,302,463
		Total United States		67,215,595
		TOTAL DEBT OBLIGATIONS (COST $76,430,728)		73,131,449
		MUTUAL FUNDS — 23.9%
		United States — 23.9%
		Affiliated Issuers
	247,731	GMO Emerging Country Debt Fund, Class VI		5,026,461
	974,867	GMO Opportunistic Income Fund, Class VI		24,556,909
		TOTAL MUTUAL FUNDS (COST $32,367,720)		29,583,370
		SHORT-TERM INVESTMENTS — 38.3%
		Money Market Funds — 1.3%
	1,548,134	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		1,548,134
		Sovereign and Sovereign Agency Issuers — 24.8%
JPY	2,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/19/22		16,314,755

Par Value†		Description	Value ($)
		Sovereign and Sovereign Agency Issuers — continued
JPY	1,025,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/01/22		7,963,436
JPY	814,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/25/22		6,324,541
		Total Sovereign and Sovereign Agency Issuers		30,602,732
		U.S. Government — 12.2%
	1,200,000	U.S. Treasury Bill, 1.44%, due 11/03/22 (b) (c)		1,192,645
	14,000,000	U.S. Treasury Bill, 1.56%, due 11/25/22 (c)		13,894,341
		Total U.S. Government		15,086,986
		TOTAL SHORT-TERM INVESTMENTS (COST $47,621,904)		47,237,852
		TOTAL INVESTMENTS — 121.4% (Cost $156,420,352)		149,952,671
		Other Assets and Liabilities (net) — (21.4%)		(26,392,899	)
		TOTAL NET ASSETS — 100.0%		$123,559,772

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

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
07/05/2022	GS	BRL	292,812		USD	60,000		(1,066	)
08/02/2022	BCLY	CAD	909,886		USD	710,000		(9,116	)
06/13/2022	JPM	CLP	819,728,500		USD	949,419		(43,800	)
06/16/2022	JPM	COP	941,520,000		USD	240,117		(9,192	)
08/18/2022	GS	CZK	2,400,000		USD	101,271		(1,964	)
08/18/2022	MSCI	CZK	20,842,868		USD	868,453		(28,098	)
06/30/2022	DB	EUR	1,730,000		USD	1,853,323		(6,528	)
06/30/2022	JPM	EUR	2,080,000		USD	2,251,580		15,457
06/30/2022	MSCI	EUR	2,540,000		USD	2,829,966		99,317
06/16/2022	JPM	GBP	590,000		USD	745,204		1,739
08/31/2022	JPM	ILS	2,486,203		USD	743,904		(9,089	)
06/03/2022	GS	INR	18,446,030		USD	240,000		2,428
06/03/2022	MSCI	INR	67,597,364		USD	884,840		14,233
08/30/2022	MSCI	INR	77,579,444		USD	991,253		1,534
07/19/2022	SSB	JPY	2,100,000,000		USD	16,763,715		419,325
08/01/2022	SSB	JPY	1,025,000,000		USD	8,017,091		34,531
08/25/2022	SSB	JPY	814,000,000		USD	6,289,359		(58,939	)
08/08/2022	MSCI	KRW	544,221,675		USD	432,066		(5,983	)
06/01/2022	JPM	NZD	9,290,000		USD	6,244,134		190,771
06/01/2022	MSCI	NZD	1,830,000		USD	1,226,153		33,725

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
06/01/2022	SSB	NZD	2,610,000		USD	1,704,758		4,082
08/31/2022	MSCI	NZD	12,030,000		USD	7,840,011		13,202
06/17/2022	JPM	PEN	560,000		USD	146,004		(4,511	)
06/17/2022	MSCI	PEN	440,000		USD	116,649		(1,613	)
08/03/2022	CITI	PHP	2,646,200		USD	50,000		(169	)
08/03/2022	JPM	PHP	12,555,440		USD	237,253		(784	)
06/30/2022	BOA	RON	887,137		USD	190,000		(1,947	)
06/30/2022	JPM	RON	2,393,904		USD	530,098		12,138
06/07/2022	GS	SEK	1,880,884		USD	200,000		7,383
06/21/2022	GS	SGD	136,062		USD	100,000		693
06/21/2022	JPM	SGD	137,342		USD	100,000		(241	)
06/21/2022	SSB	SGD	327,282		USD	240,000		1,127
08/18/2022	CITI	THB	34,522,300		USD	993,162		(18,244	)
06/13/2022	JPM	TWD	29,145,600		USD	984,715		(20,523	)
08/09/2022	BCLY	USD	1,550,543		AUD	2,189,000		21,867
08/09/2022	JPM	USD	660,287		AUD	940,000		14,937
07/05/2022	BCLY	USD	160,000		BRL	807,894		8,487
07/05/2022	JPM	USD	891,835		BRL	4,348,585		15,065
08/02/2022	BCLY	USD	6,828,576		CAD	8,721,887		64,644
08/02/2022	BOA	USD	1,400,000		CAD	1,799,182		21,958

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
06/16/2022	MSCI	USD	488,149		CHF	486,024		18,907
06/16/2022	JPM	USD	963,122		COP	3,746,698,000		28,984
06/16/2022	MSCI	USD	160,000		COP	608,480,000		1,122
08/18/2022	DB	USD	128,253		CZK	3,000,000		791
06/30/2022	JPM	USD	589,249		EUR	540,000		(8,717	)
06/16/2022	DB	USD	903,497		GBP	740,000		28,985
06/16/2022	JPM	USD	552,949		GBP	440,000		1,500
08/16/2022	GS	USD	80,858		HUF	30,000,000		(520	)
08/16/2022	MSCI	USD	282,330		HUF	104,769,900		(1,761	)
08/09/2022	CITI	USD	140,000		IDR	2,053,562,000		975
08/09/2022	JPM	USD	544,709		IDR	7,934,770,000		4
08/09/2022	MSCI	USD	280,159		IDR	4,105,709,000		1,693
06/03/2022	MSCI	USD	1,110,328		INR	86,043,394		(2,149	)
06/09/2022	MSCI	USD	5,326,585		JPY	690,842,084		40,871
08/08/2022	UBSA	USD	102,753		KRW	130,000,000		1,885
07/22/2022	BOA	USD	130,000		MXN	2,632,574		2,470
07/22/2022	MSCI	USD	841,319		MXN	17,186,527		23,502
07/18/2022	BCLY	USD	4,865,630		NOK	47,885,429		245,608
07/18/2022	JPM	USD	424,906		NOK	4,100,000		12,724
06/01/2022	MSCI	USD	9,009,685		NZD	13,730,000		(63,218	)
06/17/2022	MSCI	USD	398,795		PEN	1,499,705		4,294
08/03/2022	BCLY	USD	94,850		PHP	5,000,000		(55	)
07/19/2022	DB	USD	78,784		PLN	350,000		2,670
07/19/2022	GS	USD	112,288		PLN	500,000		4,076
07/19/2022	MSCI	USD	178,433		PLN	778,127		2,660
06/30/2022	DB	USD	128,543		RON	600,000		1,277
06/30/2022	GS	USD	95,447		RON	450,000		1,917
06/30/2022	JPM	USD	127,124		RON	600,000		2,696
06/07/2022	BCLY	USD	1,626,384		SEK	15,763,944		(12,031	)
06/07/2022	DB	USD	500,000		SEK	4,905,029		2,314
06/07/2022	JPM	USD	1,700,000		SEK	16,214,561		(39,501	)
06/13/2022	GS	USD	50,810		TWD	1,500,000		926
08/31/2022	MSCI	USD	103,477		ZAR	1,657,035		1,371
							$	1,083,106

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
15	U.S. Long Bond (CBT)		September 2022		2,091,562		(21,355	)
46	U.S. Treasury Note 10 Yr. (CBT)		September 2022		5,494,844		(36,958	)
50	U.S. Treasury Note 2 Yr. (CBT)		September 2022		10,555,078		(12,469	)
157	U.S. Treasury Note 5 Yr. (CBT)		September 2022		17,733,641		(92,704	)
32	U.S. Treasury Ultra 10 Yr. (CBT)		September 2022		4,111,500		(32,555	)
60	U.S. Ultra Bond (CBT)		September 2022		9,345,000		(168,181	)
				$	49,331,625	$	(364,222	)
Sales
11	U.S. Long Bond (CBT)		September 2022		1,533,812		14,541
2	U.S. Treasury Note 2 Yr. (CBT)		September 2022		422,203		608
2	U.S. Treasury Ultra 10 Yr. (CBT)		September 2022		256,969		2,685
3	U.S. Ultra Bond (CBT)		September 2022		467,250		11,090
				$	2,680,234	$	28,924

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.22%	3 Month CAD CDOR	CAD	56,550,000		06/15/2024	Semi-Annually		(20,893	)		(86,250	)		(65,357	)
3 Month CAD CDOR	3.21%	CAD	7,110,000		06/15/2024	Semi-Annually		—			10,407			10,407
0.31%	CHF - SARON - OIS - COMPOUND	CHF	39,210,000		06/15/2024	Annually		17,521			103,580			86,059
GBP - SONIA - COMPOUND	2.13%	GBP	24,760,000		06/15/2024	Annually		8,327			(152,975	)		(161,302	)
3 Month SEK STIBOR	2.15%	SEK	40,160,000		06/15/2024	Quarterly		3,536			4,140			604
3 Month SEK STIBOR	2.12%	SEK	37,400,000		06/15/2024	Quarterly		—			1,340			1,340
6 Month EURIBOR	1.00%	EUR	27,800,000		06/19/2024	Semi-Annually		(4,769	)		(63,706	)		(58,937	)
1.01%	6 Month EURIBOR	EUR	4,970,000		06/19/2024	Semi-Annually		390			10,328			9,938
USD - SOFR - COMPOUND	2.71%	USD	2,030,000		09/21/2024	Annually		118			(3,205	)		(3,323	)
6 Month AUD BBSW	3.39%	AUD	9,790,000		06/15/2032	Semi-Annually		10,694			(187,522	)		(198,216	)
6 Month AUD BBSW	3.60%	AUD	1,400,000		06/15/2032	Semi-Annually		1,918			(9,605	)		(11,523	)
6 Month AUD BBSW	3.67%	AUD	1,380,000		06/15/2032	Semi-Annually		—			(3,468	)		(3,468	)
3.39%	6 Month AUD BBSW	AUD	1,350,000		06/15/2032	Semi-Annually		—			25,656			25,656
3.44%	6 Month AUD BBSW	AUD	1,510,000		06/15/2032	Semi-Annually		—			24,395			24,395
3 Month CAD CDOR	3.15%	CAD	12,520,000		06/15/2032	Semi-Annually		3,625			(181,539	)		(185,164	)
3.37%	3 Month CAD CDOR	CAD	1,030,000		06/15/2032	Semi-Annually		—			(1,089	)		(1,089	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.48%	3 Month CAD CDOR	CAD	1,620,000		06/15/2032	Semi-Annually		—			(13,430	)		(13,430	)
3.17%	3 Month CAD CDOR	CAD	1,430,000		06/15/2032	Semi-Annually		—			18,783			18,783
3.12%	3 Month CAD CDOR	CAD	1,390,000		06/15/2032	Semi-Annually		—			22,431			22,431
3.21%	3 Month CAD CDOR	CAD	1,590,000		06/15/2032	Semi-Annually		—			15,786			15,786
3 Month CAD CDOR	3.35%	CAD	1,500,000		06/15/2032	Semi-Annually		(4,635	)		(1,126	)		3,509
3 Month CAD CDOR	3.40%	CAD	860,000		06/15/2032	Semi-Annually		—			2,611			2,611
3 Month CAD CDOR	3.53%	CAD	12,940,000		06/15/2032	Semi-Annually		9,268			151,420			142,152
3.25%	3 Month CAD CDOR	CAD	2,000,000		06/15/2032	Semi-Annually		—			14,807			14,807
3.27%	3 Month CAD CDOR	CAD	1,160,000		06/15/2032	Semi-Annually		—			6,847			6,847
CHF -  SARON - OIS - COMPOUND	1.25%	CHF	11,310,000		06/15/2032	Annually		9,200			(180,301	)		(189,501	)
CHF - SARON - OIS - COMPOUND	1.23%	CHF	750,000		06/15/2032	Annually		—			(13,822	)		(13,822	)
CHF - SARON - OIS - COMPOUND	1.32%	CHF	2,600,000		06/15/2032	Annually		637			(24,637	)		(25,274	)
CHF - SARON - OIS - COMPOUND	1.26%	CHF	8,120,000		06/15/2032	Annually		(39,133	)		(121,369	)		(82,236	)
1.27%	CHF - SARON - OIS - COMPOUND	CHF	11,890,000		06/15/2032	Annually		—			165,892			165,892
EUR - EuroSTR - COMPOUND	1.34%	EUR	360,000		06/15/2032	Annually		—			(8,278	)		(8,278	)
EUR - EuroSTR - COMPOUND	1.29%	EUR	1,110,000		06/15/2032	Annually		—			(31,529	)		(31,529	)
EUR - EuroSTR - COMPOUND	1.29%	EUR	1,110,000		06/15/2032	Annually		—			(31,417	)		(31,417	)
EUR - EuroSTR - COMPOUND	1.40%	EUR	1,500,000		06/15/2032	Annually		2,129			(25,086	)		(27,215	)
EUR - EuroSTR - COMPOUND	1.40%	EUR	870,000		06/15/2032	Annually		—			(14,550	)		(14,550	)
EUR - EuroSTR - COMPOUND	1.51%	EUR	1,500,000		06/15/2032	Annually		—			(8,095	)		(8,095	)
GBP - SONIA - COMPOUND	1.99%	GBP	10,630,000		06/15/2032	Annually		(20,873	)		(192,006	)		(171,133	)
GBP - SONIA - COMPOUND	1.96%	GBP	500,000		06/15/2032	Annually		—			(10,963	)		(10,963	)
1.95%	GBP - SONIA - COMPOUND	GBP	17,870,000		06/15/2032	Annually		(98,771	)		412,828			511,599
1.98%	GBP - SONIA - COMPOUND	GBP	330,000		06/15/2032	Annually		—			6,249			6,249
1.92%	GBP - SONIA - COMPOUND	GBP	4,400,000		06/15/2032	Annually		(12,234	)		114,458			126,692
1.87%	GBP - SONIA - COMPOUND	GBP	5,320,000		06/15/2032	Annually		(8,623	)		167,581			176,204
4.13%	3 Month NZD Bank Bill Rate	NZD	9,400,000		06/15/2032	Quarterly		3,722			(81,957	)		(85,679	)
3 Month SEK STIBOR	2.28%	SEK	106,370,000		06/15/2032	Quarterly		65,430			(269,761	)		(335,191	)
3 Month SEK STIBOR	2.38%	SEK	22,000,000		06/15/2032	Quarterly		4,705			(35,773	)		(40,478	)
2.61%	3 Month SEK STIBOR	SEK	22,400,000		06/15/2032	Quarterly		—			(10,967	)		(10,967	)
2.56%	3 Month SEK STIBOR	SEK	8,300,000		06/15/2032	Quarterly		—			(401	)		(401	)
2.56%	3 Month SEK STIBOR	SEK	5,500,000		06/15/2032	Quarterly		—			(316	)		(316	)
3 Month SEK STIBOR	2.46%	SEK	12,000,000		06/15/2032	Quarterly		—			(9,794	)		(9,794	)
2.49%	3 Month SEK STIBOR	SEK	8,680,000		06/15/2032	Quarterly		334			5,032			4,698
USD - SOFR - COMPOUND	2.53%	USD	1,190,000		06/15/2032	Annually		—			(12,822	)		(12,822	)
USD - SOFR - COMPOUND	2.52%	USD	1,960,000		06/15/2032	Annually		—			(21,464	)		(21,464	)
USD - SOFR - COMPOUND	2.46%	USD	1,060,000		06/15/2032	Annually		—			(17,631	)		(17,631	)
2.72%	USD - SOFR - COMPOUND	USD	3,800,000		06/15/2032	Annually		4,062			(23,998	)		(28,060	)
2.52%	USD - SOFR - COMPOUND	USD	21,200,000		06/15/2032	Annually		(3,891	)		237,766			241,657
USD - SOFR - COMPOUND	2.71%	USD	1,220,000		06/15/2032	Annually		—			6,361			6,361
USD - SOFR - COMPOUND	2.66%	USD	820,000		06/15/2032	Annually		—			1,206			1,206
6 Month EURIBOR	1.79%	EUR	1,070,000		06/16/2032	Semi-Annually		1,937			(6,386	)		(8,323	)
6 Month EURIBOR	1.81%	EUR	5,450,000		06/16/2032	Semi-Annually		1,354			(21,659	)		(23,013	)
1.75%	6 Month EURIBOR	EUR	5,730,000		06/16/2032	Semi-Annually		21,753			57,047			35,294
1.71%	6 Month EURIBOR	EUR	1,950,000		06/16/2032	Semi-Annually		—			27,190			27,190
CHF - SARON - OIS - COMPOUND	1.34%	CHF	11,930,000		09/21/2032	Annually		—			(171,970	)		(171,970	)
2.01%	GBP - SONIA - COMPOUND	GBP	10,680,000		09/21/2032	Annually		16,660			191,413			174,753
3 Month SEK STIBOR	2.51%	SEK	8,900,000		09/21/2032	Quarterly		—			(8,175	)		(8,175	)
2.64%	USD - SOFR - COMPOUND	USD	460,000		09/21/2032	Annually		(1,209	)		1,856			3,065
2.57%	USD - SOFR - COMPOUND	USD	650,000		09/21/2032	Annually		—			6,573			6,573
							$	(27,711	)	$	(245,059	)	$	(217,348	)

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

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Notes to Schedule of Investments:

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

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

(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 shown represents yield-to-maturity.

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

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

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

CDOR - Canadian Dollar Offering Rate

EURIBOR - Euro Interbank Offered Rate

EuroSTR - Euro Short-Term Rate

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

OIS - Overnight Indexed Swaps

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

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

SSB - State Street Bank and Trust Company

UBSA - UBS AG

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

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 97.7%
		Asset-Backed Securities — 84.2%
		CMBS Collateralized Debt Obligations — 0.3%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		2,039,175
	560,853	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		505,689
		Total CMBS Collateralized Debt Obligations		2,544,864
		Collateralized Debt Obligations — 1.4%
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 3.41%, due 07/20/28		4,220,618
	9,668,123	OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 2.05%, due 07/17/29		9,582,144
		Total Collateralized Debt Obligations		13,802,762
		Collateralized Loan Obligations — 15.5%
	4,000,000	AMMC CLO 24 Ltd., Series 21-24A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.25%, due 01/20/35		3,858,536
	10,000,000	Ballyrock CLO 15 Ltd., Series 21-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 2.10%, due 04/15/34		9,643,080
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.18%, due 01/20/30		5,990,918
	4,075,000	Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 2.23%, due 07/20/34		3,921,878
	4,550,000	Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 2.28%, due 10/20/34		4,399,136
	7,631,843	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 2.15%, due 01/21/28		7,597,332
	1,416,017	Halcyon Loan Advisors Funding Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.50%, 4.74%, due 04/28/25		1,390,308
	1,796,249	Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 3.74%, due 10/18/26		1,794,591
	5,718,682	JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 4.24%, due 10/17/26		5,534,758
	3,000,000	JFIN CLO Ltd., Series 16-1A, Class DR,144A, Variable Rate, 3 mo. LIBOR + 3.40%, 4.62%, due 10/27/28		2,838,906
	1,643,669	JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 2.32%, due 07/17/29		1,629,369
	6,161,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 2.20%, due 04/22/30		6,019,611
	10,000,000	Neuberger Berman CLO XVI-S Ltd., Series 17-16SA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 2.08%, due 04/15/34		9,700,750

Par Value†		Description	Value ($)
		Collateralized Loan Obligations — continued
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 2.20%, due 04/22/31		3,828,438
	5,000,000	Oak Hill Credit Partners X-R Ltd., Series 14-10RA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 2.10%, due 04/20/34		4,858,880
	1,083,456	OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 144A, Variable Rate, due 07/17/26		76,507
	1,991,025	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 2.53%, due 06/22/30		1,971,762
	1,262,000	Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 2.56%, due 04/20/29		1,237,821
	2,000,000	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 3.64%, due 07/17/26		1,981,394
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 2.52%, due 04/17/28		7,641,826
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 3.19%, due 04/17/28		4,223,041
	7,000,000	THL Credit Wind River CLO Ltd., Series 17-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 2.10%, due 04/18/36		6,732,075
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.14%, due 07/18/31		4,900,566
	3,295,958	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 2.26%, due 10/15/29		3,265,513
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 2.56%, due 10/20/28		8,697,213
	13,264,806	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 2.12%, due 10/20/29		13,134,678
	1,360,000	Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 2.40%, due 10/24/34		1,334,133
	3,578,416	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 4.74%, due 05/01/26		3,538,792
	4,042,250	WhiteHorse X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 4.04%, due 04/17/27		3,914,046
	4,453,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.29%, due 10/15/31		4,392,886
	4,989,484	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.29%, 2.33%, due 04/15/30		4,917,895
	1,106,151	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.99%, due 04/15/29		1,096,124

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Collateralized Loan Obligations — continued
	3,474,000	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.45%, 2.49%, due 04/15/29		3,391,069
		Total Collateralized Loan Obligations		149,453,832
		Commercial Mortgage-Backed Securities — 22.8%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		9,614,171
	11,857,600	Barclays Commercial Mortgage Trust, Series 18-TALL, Class A,144A, Variable Rate, 1 mo. LIBOR + 0.72%, 1.60%, due 03/15/37		11,406,168
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		6,471,145
	6,521,909	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.21%, 1.43%, due 07/25/36		5,975,497
	12,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		11,092,690
	6,550,000	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 1.53%, due 05/15/38		6,287,616
	6,400,000	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 1.73%, due 11/15/38		6,174,061
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		7,001,738
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44		6,607,949
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		7,231,753
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,378,622
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		7,484,875
	6,800,000	Citigroup Commercial Mortgage Trust, Series 19-C7, Class A4, 3.10%, due 12/15/72		6,312,704
	3,031,837	Commercial Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.30%, due 07/10/50		2,960,801
	4,186,852	Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		4,210,213
	122,992	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 1.14%, due 04/15/37		121,448
	97,172	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		97,105
	5,570,000	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 1.58%, due 11/15/38		5,322,405
	4,698,295	FREMF Mortgage Trust, Series 16-KF13, Class B, 144A, Variable Rate, 1 mo. LIBOR + 7.50%, 8.30%, due 11/25/25		4,640,927
	8,600,000	Great Wolf Trust, Series 19-WOLF, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.73%, 3.61%, due 12/15/36		8,050,997

Par Value†		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	10,000,000	GS Mortgage Securities Trust, Series 21-GSA3, Class A5, 2.62%, due 12/15/54		8,841,392
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,962,270
	189,871	LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30		188,654
	422,592	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36		422,917
	854,439	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		858,961
	2,500,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		2,186,556
	4,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		3,170,330
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.07%, due 07/15/46		3,692,687
	1,982,000	Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52		1,879,667
	2,259,146	SLIDE, Series 18-FUN, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.55%, 3.43%, due 06/15/31		2,173,805
	5,000,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, SOFR + 2.19%, 2.94%, due 05/15/37		4,900,513
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		5,230,425
	15,433,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		15,597,036
	1,946,380	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable rate, 144A,, 3.38%, due 02/25/52		1,874,152
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 1.92%, due 11/23/43		4,467,473
	4,389,416	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.35%, due 03/23/45		4,384,712
	3,572,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 2.35%, due 03/23/45		3,308,199
	4,317,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35		4,146,127
	8,733,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35		8,211,603
	6,305,886	Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51		6,317,353
	7,788,283	Wells Fargo Commercial Mortgage Trust, Series 18-C48, Class A5, 4.30%, due 01/15/52		7,856,568
	2,704,000	Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52		2,388,373
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,417,994
		Total Commercial Mortgage-Backed Securities		219,920,652

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Insured Residential Mortgage-Backed Securities — Prime — 0.5%
	2,697,479	Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,615,370
	2,473,293	Washington Mutual Mortgage Pass-Through Certificates, Series 05-10, Class 4CB3, Variable Rate, 1 mo. LIBOR + 0.60%, 1.61%, due 12/25/35		2,350,787
		Total Insured Residential Mortgage-Backed Securities-Prime		4,966,157
		Residential Mortgage-Backed Securities — Other — 9.5%
	811,567	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 1.29%, due 02/25/36		124,622
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 1.37%, due 02/25/36		476,622
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		4,710,411
	4,760,730	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,552,580
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,546,845
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		546,237
	178,433	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 1.33%, due 02/25/37		193,304
	3,360,929	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		3,238,143
	2,826,748	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,660,890
	2,455,276	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,380,200
	5,344,309	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		4,946,651
	1,050,645	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		958,615
	20,000,000	Federal National Mortgage Association, TBA, 4.50%, due 06/13/52		20,346,875
	8,568,347	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		7,974,295
	734,703	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 1.51%, due 10/25/34		697,212
	3,290,364	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		3,047,913
	4,332,782	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		246,189
	28,588,799	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 1.27%, due 06/25/36		687,298
	9,331,644	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		3,964,262
	9,678,990	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		2,250,036

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Other — continued
	3,690,503	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 1.33%, due 03/25/36		340,385
	244,314	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.27%, due 02/26/34		217,218
	13,702,544	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 1.21%, due 03/25/36		497,506
	7,816,212	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 1.35%, due 03/25/36		283,605
	20,838,881	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 1.41%, due 03/25/36		755,914
	112,926	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.91%, due 08/25/35		429,187
	1,185,592	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,149,008
	1,278,053	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,257,916
	3,799,748	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		2,637,336
	11,864,725	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,635,892
	963,161	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		637,474
	557,620	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		560,170
	1,350,000	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,195,789
	4,613,846	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		4,407,242
	3,037,881	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		2,625,781
	6,000,000	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		5,871,548
		Total Residential Mortgage-Backed Securities — Other		92,051,171
		Residential Mortgage-Backed Securities — Performing Loans — 1.6%
	3,361,743	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		3,096,895
	7,182,512	CSMC Mortgage-Backed Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		6,695,181
	6,257,029	Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66		5,642,012
		Total Residential Mortgage-Backed Securities — Performing Loans		15,434,088

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Prime — 3.6%
	7,614,446	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 1.22%, due 10/25/46		4,441,687
	602,997	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.38%, due 10/25/35		604,488
	4,016,490	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,676,582
	1,366,864	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 2.92%, due 12/25/36		1,233,822
	960,776	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.03%, due 03/25/37		834,949
	8,076,427	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 1.45%, due 04/25/46		7,297,191
	1,633,781	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		895,361
	126,205	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.13%, due 09/25/35		120,202
	4,891,169	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.72%, due 05/25/35		3,940,571
	828,733	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.95%, due 09/25/35		794,297
	981,989	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.47%, due 01/25/47		872,728
	2,376,267	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 1.46%, due 06/25/35		2,080,964
	9,323,365	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		9,029,174
		Total Residential Mortgage-Backed Securities — Prime		34,822,016
		Residential Mortgage-Backed Securities — Subprime — 2.2%
	1,416,546	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.42%, due 06/25/35		1,366,959
	1,462,823	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.68%, due 05/26/37		1,434,495
	748,624	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 2.88%, due 08/25/35		748,165
	9,697,144	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.60%, 1.61%, due 07/25/36		8,922,288
	690,421	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 1.15%, due 12/25/36		650,445
	1,082,760	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.54%, due 11/20/34		1,069,253

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Subprime — continued
	3,000,186	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 1.11%, due 09/25/36		2,772,875
	1,034,284	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.25%, 1.26%, due 08/25/37		971,571
	3,395,878	RAMP Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. LIBOR + 0.80%, 2.21%, due 01/25/35		3,184,411
		Total Residential Mortgage-Backed Securities — Subprime		21,120,462
		Residential Mortgage-Backed Securities — Alt-A — 1.0%
	395,840	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		390,904
	1,648,404	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 1.71%, due 05/25/36		742,985
	1,685,985	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 1.71%, due 10/25/36		665,587
	1,505,825	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.91%, due 11/25/34		1,490,350
	2,236,477	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.32%, 1.33%, due 01/25/47		2,017,913
	2,134,090	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		2,038,047
	3,980,450	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 2.94%, due 07/25/36		2,491,805
	258,308	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		256,557
		Total Residential Mortgage-Backed Securities — Alt-A		10,094,148
		Small Balance Commercial Mortgages — 7.1%
	2,110,125	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 1.55%, due 04/25/36		1,949,890
	2,194,112	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. LIBOR + 1.50%, 2.51%, due 01/25/38		2,123,771
	3,558,343	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 1.47%, due 08/25/35		3,323,211
	1,743,617	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 1.59%, due 01/25/36		1,608,884
	930,369	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 1.58%, due 04/25/36		848,452

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	1,307,043	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 1.35%, due 07/25/36		1,220,139
	2,673,572	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 1.43%, due 07/25/36		2,502,050
	3,116,703	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 1.38%, due 10/25/36		2,926,354
	9,962,520	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 1.43%, due 01/25/37		9,264,316
	1,775,866	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 1.23%, due 03/25/37		1,646,533
	2,898,677	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 1.25%, due 07/25/37		2,667,797
	5,947,328	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 1.28%, due 07/25/37		5,510,784
	93,059,323	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.18%, due 05/25/30		5,401,833
	21,966,182	FRESB Mortgage Trust, Series 20-SB74, Class X1, IO, Variable Rate, 1.16%, due 03/25/40		1,295,425
	75,776,204	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.94%, due 06/25/40		4,044,176
	791,977	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 1.54%, due 04/25/31		789,878
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.01%, due 04/25/31		1,981,751
	2,812,178	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 1.41%, due 06/25/37		2,783,398
	3,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.91%, due 10/25/37		3,304,727
	927,416	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.91%, due 10/25/37		923,988
	7,277,717	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		6,952,940
	1,893,337	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,725,087
	450,516	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.20%, due 12/27/49		449,968
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.36%, due 12/27/49		3,135,947
		Total Small Balance Commercial Mortgages		68,381,299

Par Value†		Description	Value ($)
		Student Loans — Federal Family Education Loan Program — 5.7%
	1,956,050	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 1.37%, due 10/25/24		1,941,995
	6,036,878	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 1.88%, due 01/25/43		5,634,249
	819,444	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 1.24%, due 01/25/23		817,632
	3,234,974	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 1.29%, due 03/28/35		2,706,645
	8,464,542	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.73%, due 06/15/21		8,216,288
	9,823,677	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 2.83%, due 07/25/22		9,806,933
	7,459,039	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 2.88%, due 07/25/23		7,452,722
	18,657,200	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 2.68%, due 04/25/23		18,657,170
		Total Student Loans — Federal Family Education Loan Program		55,233,634
		Student Loans — Private — 13.0%
	2,133,970	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.98%, due 07/25/34		2,051,041
	5,319,978	KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. LIBOR + 1.30%, 2.27%, due 12/27/38		5,048,331
	5,417,242	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 1.45%, due 12/27/41		5,374,448
	932,971	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 2.02%, due 04/28/42		930,646
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 2.47%, due 07/28/42		5,169,242
	321,026	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 1.37%, due 10/15/28		320,745
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, due 03/31/38(a)		2,413,125
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38(a)		2,049,219
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38(a)		880,156
	5,093,654	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 1.32%, due 05/25/32		4,796,130

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Student Loans — Private — continued
	3,617,591	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 1.30%, due 01/25/33		3,358,898
	12,143,700	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 1.36%, due 03/25/33		11,435,318
	5,157,344	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 1.38%, due 06/25/33		4,915,819
	17,222,967	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 1.31%, due 10/25/33		16,103,677
	3,809,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 1.55%, due 12/26/33		3,670,081
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		60,000
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		20,000
	3,968,961	Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,786,874
	3,792,014	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		3,526,841
	4,202,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (a)		4,202,000
	2,100,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (a)		2,100,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 2.43%, due 09/15/32		1,816,954
	4,448,040	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 1.23%, due 06/15/33		4,334,647
	9,080,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 1.26%, due 09/15/33		8,711,796
	3,258,898	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 1.12%, due 06/15/39		3,085,901
	7,074,054	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 1.16%, due 06/15/39		6,777,885
	9,895,722	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. LIBOR + 0.27%, 1.10%, due 12/15/39		9,462,609
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 1.22%, due 12/15/39		2,383,493
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.72%, due 01/25/46		6,822,061
		Total Student Loans — Private		125,607,937
		Total Asset-Backed Securities		813,433,022

Par Value†		Description	Value ($)
		Corporate Debt — 0.4%
		Airlines — 0.4%
	2,651,250	American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29		2,478,466
	1,457,331	American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31		1,361,486
		Total Airlines		3,839,952
		Total Corporate Debt		3,839,952
		U.S. Government — 12.3%
	2,400,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.16%, due 04/30/23		2,403,084
	5,000,000	U.S. Treasury Note, 0.13%, due 05/15/23		4,905,664
	46,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.15%, due 07/31/23(c)		46,876,130
	65,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.16%, due 10/31/23(c)		65,127,553
		Total U.S. Government		119,312,431
		U.S. Government Agency — 0.8%
	2,962,500	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – 0.02%, 2.05%, due 02/01/25 (a)		2,930,940
	3,375,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 2.22%, due 10/29/26 (a)		3,327,650
	1,057,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 2.07%, due 07/01/23 (a)		1,052,895
		Total U.S. Government Agency		7,311,485
		TOTAL DEBT OBLIGATIONS (COST $1,024,263,391)		943,896,890
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	2,183,242	GMO U.S. Treasury Fund		10,916,211
		TOTAL MUTUAL FUNDS (COST $11,003,541)		10,916,211
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	3,753,983	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (d)		3,753,983
		TOTAL SHORT-TERM INVESTMENTS (COST $3,753,983)		3,753,983

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps – Puts — 0.0%

CDX.NA.IG.S38.V1-5Y

BCLY

72.50

%

06/15/22

USD 43,790,000

Fixed Spread

Pay

170,099

TOTAL PURCHASED OPTIONS (COST $194,866)	170,099
TOTAL INVESTMENTS — 99.2% (Cost $1,039,215,781)	958,737,183
Other Assets and Liabilities (net) — 0.8%	7,551,106
TOTAL NET ASSETS — 100.0%	$966,288,289

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

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/21/2022	SSB	EUR	6,785,146		USD	7,345,891	$	54,966

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
100	U.S. Treasury Note 2 Yr. (CBT)		September 2022		21,110,156		(24,939	)
46	U.S. Treasury Ultra 10 Yr. (CBT)		September 2022		5,910,281		(46,797	)
				$	27,020,437	$	(71,736	)
Sales
103	U.S. Treasury Note 10 Yr. (CBT)		September 2022		12,303,672		99,947
37	U.S. Treasury Note 5 Yr. (CBT)		September 2022		4,179,266		18,457
3	U.S. Ultra Bond (CBT)		September 2022		467,250		11,090
				$	16,950,188	$	129,494

+ 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

CDX.NA.IG.S38.V1-5Y

BCLY

90.00

%

06/15/22

USD

(65,535,000)

Fixed Spread

Pay

(31,688)

CDX.NA.IG.S38.V1-5Y

GS

85.00

%

06/15/22

USD

(54,740,000)

Fixed Spread

Pay

(48,205)

Total Written Options on Credit Default Swaps – Puts

(79,893)

TOTAL WRITTEN OPTIONS (Premiums $188,566)

$(79,893)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.EUROPE.S32.V1-5Y	EUR	29,470,000		1.00%		0.59%		N/A		12/20/2024		Quarterly		(859,948	)		(331,308	)		528,640
ITRAXX.EUROPE.S34.V1-5Y	EUR	20,633,760		1.00%		0.65%		N/A		12/20/2025		Quarterly		(648,690	)		(271,089	)		377,601
CDX.NA.HYS.37.V1-5Y	USD	13,490,000		5.00%		4.29%		N/A		12/20/2026		Quarterly		(748,695	)		(365,242	)		383,453
ITRAXX.XOVER.S36.V1-5Y	EUR	16,780,000		5.00%		4.13%		N/A		12/20/2026		Quarterly		(597,455	)		(605,240	)		(7,785	)
CDX.NA.IGS.38.V1-5Y	USD	65,535,000		1.00%		0.80%		N/A		06/20/2027		Quarterly		(889,110	)		(621,731	)		267,379
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.29%		17,200,000 USD		06/20/2022		Quarterly		300,982			6,760			(294,222	)
CDX.NA.HYS.33.V3-5Y	USD	2,300,650		5.00%		3.54%		2,300,650 USD		12/20/2024		Quarterly		78,900			78,857			(43	)
													$	(3,364,016	)	$	(2,108,993	)	$	1,255,023

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^:
D.R. Horton, Inc.	BCLY	USD	17,200,000		1.00%		0.29%		N/A		06/20/2022		Quarterly		(165,250	)		(6,780	)		158,470
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		1.07%		N/A		12/20/2022		Quarterly		(282,711	)		(140,972	)		141,739
CDX.NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		1.07%		N/A		12/20/2022		Quarterly		(188,414	)		(75,712	)		112,702
CDX.NA.HYS.29.V1-5Y	JPM	USD	870,000		5.00%		1.07%		N/A		12/20/2022		Quarterly		(51,765	)		(19,088	)		32,677
Navient Corp.	BCLY	USD	2,082,800		5.00%		1.73%		N/A		12/20/2022		Quarterly		(160,628	)		(37,811	)		122,817
Navient Corp.	BCLY	USD	3,435,200		5.00%		1.73%		N/A		12/20/2022		Quarterly		(264,646	)		(62,363	)		202,283
Navient Corp.	GS	USD	2,700,000		5.00%		1.73%		N/A		12/20/2022		Quarterly		(277,471	)		(49,016	)		228,455
Navient Corp.	GS	USD	4,050,000		5.00%		1.73%		N/A		12/20/2022		Quarterly		(421,122	)		(73,524	)		347,598
CDX.NA.HYS.31.V1-5Y	CITI	USD	4,025,000		5.00%		5.78%		N/A		12/20/2023		Quarterly		41,458			47,434			5,976
CDX.NA.HYS.31.V1-5Y	CITI	USD	3,941,000		5.00%		5.78%		N/A		12/20/2023		Quarterly		(15,370	)		46,444			61,814
CMBX.NA.A.7	CGMI	USD	1,420,000		2.00%		5.82%		N/A		01/17/2047		Monthly		89,177			70,275			(18,902	)
CMBX.NA.A.7	GS	USD	2,840,000		2.00%		5.82%		N/A		01/17/2047		Monthly		156,358			140,549			(15,809	)
CMBX.NA.AA.7	GS	USD	5,000,000		1.50%		2.64%		N/A		01/17/2047		Monthly		7,975			75,122			67,147
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.99%		N/A		01/17/2047		Monthly		(119,899	)		(694	)		119,205
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.99%		N/A		01/17/2047		Monthly		47,352			(411	)		(47,763	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.99%		N/A		01/17/2047		Monthly		197,705			(1,521	)		(199,226	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.99%		N/A		01/17/2047		Monthly		112,812			(401	)		(113,213	)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		0.99%		N/A		01/17/2047		Monthly		205,782			(1,210	)		(206,992	)
CMBX.NA.AA.11	CGMI	USD	4,000,000		1.50%		1.46%		N/A		11/18/2054		Monthly		(6,041	)		(7,648	)		(1,607	)
CMBX.NA.AA.11	CGMI	USD	4,626,000		1.50%		1.46%		N/A		11/18/2054		Monthly		(63,740	)		(8,845	)		54,895
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.46%		N/A		11/18/2054		Monthly		(61,371	)		(8,842	)		52,529
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.46%		N/A		11/18/2054		Monthly		(67,279	)		(8,842	)		58,437
CMBX.NA.BBB-.11	GS	USD	3,064,050		3.00%		5.79%		N/A		11/18/2054		Monthly		116,418			371,208			254,790
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.40%		N/A		10/17/2057		Monthly		247,717			(20,631	)		(268,348	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.89%		N/A		10/17/2057		Monthly		73,095			(21,229	)		(94,324	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		0.89%		N/A		10/17/2057		Monthly		140,432			(8,079	)		(148,511	)
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		10.01%		N/A		10/17/2057		Monthly		400,908			603,243			202,335
CMBX.NA.BBB-.8	GS	USD	1,444,000		3.00%		10.01%		N/A		10/17/2057		Monthly		216,864			206,222			(10,642	)
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		7.73%		N/A		09/17/2058		Monthly		584,727			688,643			103,916
CMBX.NA.BBB-.9	MORD	USD	2,585,000		3.00%		7.73%		N/A		09/17/2058		Monthly		63,490			347,901			284,411
CMBX.NA.BBB-.9	CGMI	USD	3,425,200		3.00%		7.73%		N/A		09/17/2058		Monthly		955,105			460,980			(494,125	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		7.73%		N/A		09/17/2058		Monthly		517,160			573,735			56,575

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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) ($)
CMBX.NA.BBB-.9	CGMI	USD	2,500,000		3.00%		7.73%		N/A		09/17/2058		Monthly		290,110			336,462			46,352
CMBX.NA.BBB-.9	CGMI	USD	1,500,000		3.00%		7.73%		N/A		09/17/2058		Monthly		175,119			201,877			26,758
CMBX.NA.AA.12	GS	USD	6,974,000		1.50%		1.54%		N/A		08/17/2061		Monthly		(61,732	)		16,898			78,630
CMBX.NA.BBB-.12	GS	USD	2,949,240		3.00%		5.78%		N/A		08/17/2061		Monthly		116,575			401,172			284,597
CMBX.NA.AA.6	GS	USD	5,000,000		1.50%		6.28%		N/A		05/11/2063		Monthly		35,145			73,094			37,949
CMBX.NA.BBB-.6	CGMI	USD	4,274,000		3.00%		84.75%		N/A		05/11/2063		Monthly		1,357,351			983,688			(373,663	)
CMBX.NA.BB.13	GS	USD	1,860,000		5.00%		8.68%		N/A		12/16/2072		Monthly		182,990			342,733			159,743
CMBX.NA.BB.13	GS	USD	3,000,000		5.00%		8.68%		N/A		12/16/2072		Monthly		295,146			552,795			257,649
CMBX.NA.BB.14	MSCI	USD	4,235,000		5.00%		7.93%		N/A		12/16/2072		Quarterly		427,602			678,316			250,714
CMBX.NA.BB.14	GS	USD	3,140,000		5.00%		7.93%		N/A		12/16/2072		Quarterly		175,274			502,931			327,657
CMBX.NA.BB.14	GS	USD	1,360,000		5.00%		7.93%		N/A		12/16/2072		Quarterly		75,915			217,830			141,915
CMBX.NA.BBB-.13	GS	USD	1,800,000		3.00%		5.72%		N/A		12/16/2072		Monthly		66,662			270,318			203,656
CMBX.NA.BBB-.13	GS	USD	273,500		3.00%		5.72%		N/A		12/16/2072		Monthly		16,840			41,073			24,233
CMBX.NA.BBB-.13	MSCI	USD	4,008,000		3.00%		5.72%		N/A		12/16/2072		Monthly		224,513			601,909			377,396
CMBX.NA.BBB-.13	CGMI	USD	2,000,000		3.00%		5.72%		N/A		12/16/2072		Monthly		286,249			300,354			14,105
Sell Protection^:
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000		5.00%		0.24%		4,264,000 USD		12/20/2022		Quarterly		644,717			113,554			(531,163	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		0.24%		5,115,600 USD		12/20/2022		Quarterly		742,274			136,233			(606,041	)
CDX.NA.HYS.29.V6-5Y	CITI	USD	5,994,100		5.00%		0.24%		5,994,100 USD		12/20/2022		Quarterly		229,274			159,628			(69,646	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	8,050,000		5.00%		1.28%		8,050,000 USD		12/20/2023		Quarterly		539,350			460,160			(79,190	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000		5.00%		1.28%		2,866,000 USD		12/20/2023		Quarterly		293,765			163,828			(129,937	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	4,657,000		5.00%		1.28%		4,657,000 USD		12/20/2023		Quarterly		492,478			266,207			(226,271	)
CDX.NA.HYS.33.V1-5Y	GS	USD	25,938,066		5.00%		0.40%		25,938,066 USD		12/20/2024		Quarterly		5,736,852			2,895,111			(2,841,741	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,800,895		5.00%		0.40%		2,800,895 USD		12/20/2024		Quarterly		482,034			312,626			(169,408	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,598,036		5.00%		0.40%		10,598,036 USD		12/20/2024		Quarterly		1,827,631			1,182,913			(644,718	)
CDX.NA.HYS.33.V12-5Y	JPM	USD	10,394,872		5.00%		0.40%		10,394,872 USD		12/20/2024		Quarterly		1,704,759			1,160,237			(544,522	)
CDX.NA.HYS.33.V3-5Y	CITI	USD	4,185,325		5.00%		0.40%		4,185,325 USD		12/20/2024		Quarterly		442,877			467,150			24,273
ITRAXX.EUROPE.S32.V1-5Y	GS	EUR	58,940,000		1.00%		0.19%		58,940,000 EUR		12/20/2024		Quarterly		2,667,689			1,302,627			(1,365,062	)
CDX.NA.HYS.35.V1-5Y	MSCI	USD	4,810,000		5.00%		5.07%		4,810,000 USD		12/20/2025		Quarterly		353,535			(11,131	)		(364,666	)
CDX.NA.HYS.35.V1-5Y	JPM	USD	4,008,000		5.00%		5.07%		4,008,000 USD		12/20/2025		Quarterly		292,584			(9,275	)		(301,859	)
ITRAXX.EUROPE.S34.V1-5Y	BOA	EUR	36,846,000		1.00%		0.27%		36,846,000 USD		12/20/2025		Quarterly		1,774,799			1,019,640			(755,159	)
CDX.NA.HYS.37.V1-5Y	GS	USD	33,720,000		5.00%		0.75%		33,720,000 USD		12/20/2026		Quarterly		6,303,953			5,813,980			(489,973	)
ITRAXX.XOVER.S36.V1-5Y	MSCI	EUR	33,560,000		5.00%		1.06%		33,560,000 EUR		12/20/2026		Quarterly		5,825,473			5,847,579			22,106
CMBX.NA.A.9	GS	USD	4,158,800		2.00%		2.61%		4,158,800 USD		09/17/2058		Monthly		54,550			(78,342	)		(132,892	)
CMBX.NA.A.9	CGMI	USD	2,500,000		2.00%		2.61%		2,500,000 USD		09/17/2058		Monthly		(74,374	)		(47,094	)		27,280
CMBX.NA.AAA.10	GS	USD	7,540,000		0.50%		0.47%		7,540,000 USD		11/17/2059		Monthly		68,960			10,326			(58,634	)
CMBX.NA.AAA.13	GS	USD	14,798,400		0.50%		0.64%		14,798,400 USD		12/16/2072		Monthly		(99,578	)		(137,604	)		(38,026	)
CMBX.NA.AAA.13	GS	USD	2,825,000		0.50%		0.64%		2,825,000 USD		12/16/2072		Monthly		6,615			(26,268	)		(32,883	)
														$	36,002,804		$	29,601,672		$	(6,401,132	)

^ 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, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

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

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Notes to Schedule of Investments:

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

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

(b) Investment valued using significant unobservable inputs.

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

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

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

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

CLO - Collateralized Loan Obligation

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

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

IO - Interest Only

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

SOFR - Secured Overnight Financing Rate

TBA - To Be Announced - Delayed Delivery Security

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

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.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

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, 2022 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.0%
		U.S. Government — 65.3%
	43,300,000	U.S. Treasury Note, 0.13%, due 12/31/22		42,909,285
	19,700,000	U.S. Treasury Note, 0.13%, due 01/31/23		19,480,684
	51,600,000	U.S. Treasury Note, 0.13%, due 03/31/23		50,809,875
	82,220,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.16%, due 10/31/23		82,381,344
	20,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 0.99%, due 04/30/24		20,004,142
		Total U.S. Government		215,585,330
		U.S. Government Agency — 4.5%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 0.85%, due 11/10/22		5,001,444
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.02%, 0.80%, due 03/15/23		4,999,428
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 0.81%, due 06/07/23		4,999,533
		Total U.S. Government Agency		15,000,405

Par Value† / Shares		Description	Value ($)
		Repurchase Agreements — 30.2%
	99,599,254	Nomura Securities International Inc. Repurchase Agreement, dated 05/31/22, maturing on 06/01/22 with a maturity value of $99,601,301 and an effective yield of 0.74%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $101,751,539.		99,599,254
		Money Market Funds — 0.0%
	138,974	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.75% (a)		138,974
		TOTAL SHORT-TERM INVESTMENTS (COST $330,679,562)		330,323,963
		TOTAL INVESTMENTS — 100.0% (Cost $330,679,562)		330,323,963
		Other Assets and Liabilities (net) — (0.0%)		(34,913	)
		TOTAL NET ASSETS — 100.0%		$330,289,050

Notes to Schedule of Investments:

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

Portfolio Abbreviations:

SOFR - Secured Overnight Financing Rate

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, 2022, which are subject to change based on the terms of the security.

Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

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 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.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available

when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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; certain investment funds valued at a monthly net asset value; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2022:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	26,141,570	$	—		$	—	$	26,141,570
TOTAL DEBT OBLIGATIONS		26,141,570		—			—		26,141,570
Mutual Funds		11,626		—			—		11,626
Short-Term Investments		55,758		—			—		55,758
Total Investments		26,208,954		—			—		26,208,954
Total	$	26,208,954	$	—		$	—	$	26,208,954
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	10,536,639		$	—	$	10,536,639
Corporate Debt		—		177,826,760			19,704,779		197,531,539
Sovereign and Sovereign Agency Issuers		—		2,563,688,227			271,801,475		2,835,489,702
U.S. Government		141,860,180		—			—		141,860,180
TOTAL DEBT OBLIGATIONS		141,860,180		2,752,051,626			291,506,254		3,185,418,060
Loan Assignments		—		—			48,636,894		48,636,894
Loan Participations		—		—			41,958,723		41,958,723
Investment Funds		—		—			8,006,089		8,006,089
Mutual Funds		74,190,722		—			—		74,190,722
Rights/warrants		—		4,676,562			5,526,853		10,203,415
Short-Term Investments		19,666,735		—			—		19,666,735
Total Investments		235,717,637		2,756,728,188			395,634,813		3,388,080,638
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		6,394,207			—		6,394,207
Options
Credit Risk		—		—			417,089		417,089
Swap Contracts
Credit Risk		—		40,929,370			—		40,929,370
Interest Rate Risk		—		8,692,595			—		8,692,595
Total	$	235,717,637	$	2,812,744,360		$	396,051,902	$	3,444,513,899
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(981,570	)	$	—	$	(981,570	)
Swap Contracts
Credit Risk		—		(15,893,749	)		—		(15,893,749	)
Interest Rate Risk		—		(1,693,283	)		—		(1,693,283	)
Total	$	—	$	(18,568,602	)	$	—	$	(18,568,602	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	45,250,289		$	—	$	45,250,289
U.S. Government		122,096,502		—			—		122,096,502
TOTAL DEBT OBLIGATIONS		122,096,502		45,250,289			—		167,346,791
Short-Term Investments		82,892,866		81,409,358			—		164,302,224
Total Investments		204,989,368		126,659,647			—		331,649,015

Description	Level 1			Level 2			Level 3		Total
High Yield Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	308,619		$	—	$	308,619
Futures Contracts
Interest Rate Risk		3,697			—			—		3,697
Swap Contracts
Credit Risk		—			1,931,860			—		1,931,860
Interest Rate Risk		—			4,232,740			—		4,232,740
Total	$	204,993,065		$	133,132,866		$	—	$	338,125,931
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(76,784	)	$	—	$	(76,784	)
Futures Contracts
Interest Rate Risk		(360,783	)		—			—		(360,783	)
Written Options
Credit Risk		—			(409,328	)		—		(409,328	)
Swap Contracts
Credit Risk		—			(319,449	)		—		(319,449	)
Interest Rate Risk		—			(139,086	)		—		(139,086	)
Total	$	(360,783	)	$	(944,647	)	$	—	$	(1,305,430	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	3,393,914		$	—	$	3,393,914
Corporate Debt		—			28,435,072			—		28,435,072
U.S. Government Agency		11,999,992			29,302,471			—		41,302,463
TOTAL DEBT OBLIGATIONS		11,999,992			61,131,457			—		73,131,449
Mutual Funds		29,583,370			—			—		29,583,370
Short-Term Investments		16,635,120			30,602,732			—		47,237,852
Total Investments		58,218,482			91,734,189			—		149,952,671
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,432,865			—		1,432,865
Futures Contracts
Interest Rate Risk		28,924			—			—		28,924
Swap Contracts
Interest Rate Risk		—			1,813,983			—		1,813,983
Total	$	58,247,406		$	94,981,037		$	—	$	153,228,443
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(349,759	)	$	—	$	(349,759	)
Futures Contracts
Interest Rate Risk		(364,222	)		—			—		(364,222	)
Swap Contracts
Interest Rate Risk		—			(2,059,042	)		—		(2,059,042	)
Total	$	(364,222	)	$	(2,408,801	)	$	—	$	(2,773,023	)

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	801,708,522		$	11,724,500	$	813,433,022
Corporate Debt		—			3,839,952			—		3,839,952
U.S. Government		119,312,431			—			—		119,312,431
U.S. Government Agency		—			—			7,311,485		7,311,485
TOTAL DEBT OBLIGATIONS		119,312,431			805,548,474			19,035,985		943,896,890
Mutual Funds		10,916,211			—			—		10,916,211
Short-Term Investments		3,753,983			—			—		3,753,983
Purchased Options		—			170,099			—		170,099
Total Investments		133,982,625			805,718,573			19,035,985		958,737,183
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			54,966			—		54,966
Futures Contracts
Interest Rate Risk		129,494			—			—		129,494
Swap Contracts
Credit Risk		—			30,550,622			—		30,550,622
Total	$	134,112,119		$	836,324,161		$	19,035,985	$	989,472,265
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(71,736	)	$	—		$	—	$	(71,736	)
Written Options
Credit Risk		—			(79,893	)		—		(79,893	)
Swap Contracts
Credit Risk		—			(3,057,943	)		—		(3,057,943	)
Total	$	(71,736	)	$	(3,137,836	)	$	—	$	(3,209,572	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	230,724,709		$	99,599,254		$	—	$	330,323,963
Total Investments		230,724,709			99,599,254			—		330,323,963
Total	$	230,724,709		$	99,599,254		$	—	$	330,323,963

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

Emerging Country Debt Fund has committed an additional $7,850,000 to its investment in Bona Fide Investments Feeder LLC, a private investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, two Colombia Government International Bonds, due 2/15/27 and 3/09/28, respectively, which are valued by applying a 150 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of

comparable bonds and applying a 200 basis point discount for liquidity considerations, a Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued by applying a 550 basis point spread to the yield of the Republic of Turkey, due 3/31/25, a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond and an investment fund valued based on a monthly net asset value statement. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations, five asset-backed securities that were valued in line with general movement of spreads, interest rates or a comparable bond and two asset-backed securities priced based on comparable bonds. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2022.

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

	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of May 31, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2022
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	20,629,398	$	—	$	—		$	(460	)	$	—		$	(924,159	)	$	—	$	—	$	19,704,779	$	(924,159	)
Sovereign and Sovereign Agency Issuers		272,728,861		1,200,000		(549,000	)		(25,301,062	)		(1,251,000	)		24,973,676			—		—		271,801,475		24,973,676
Loan Assignments		53,869,474		—		(3,449,438	)		438,147			—			(2,221,289	)		—		—		48,636,894		(2,221,289	)
Loan Participations		43,258,898		—		(58,729	)		347,128			—			(1,588,574	)		—		—		41,958,723		(1,588,574	)
Investment Funds		7,850,000		—		—			—			—			156,089			—		—		8,006,089		156,089
Rights/Warrants		2,194,666		—		—			—			—			3,332,187			—		—		5,526,853		3,332,187
Total Investments		400,531,297		1,200,000		(4,057,167	)		(24,516,247	)		(1,251,000	)		23,727,930			—		—		395,634,813		23,727,930
Derivatives
Options		326,111		—		—			—			(149,321	)		240,299			—		—		417,089		240,299
Total	$	400,857,408	$	1,200,000	$	(4,057,167	) #	$	(24,516,247	)	$	(1,400,321	)	$	23,968,229		$	—	$	—	$	396,051,902	$	23,968,229
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	12,356,438	$	—	$	(411,000	)	$	64,915		$	—		$	(285,853	)	$	—	$	—	$	11,724,500	$	(285,853	)
U.S. Government Agency		7,640,437		—		(371,679	)		813			—			41,914			—		—		7,311,485		41,914
Total	$	19,996,875	$	—	$	(782,679	) ##	$	65,728		$	—		$	(243,939	)	$	—	$	—	$	19,035,985	$	(243,939	)

# Includes $3,508,167 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $371,679 of proceeds received from partial calls and/or principal paydowns as applicable.

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

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Sovereign and Sovereign Agency Issuers		49,616,091	Fair Value	Discount for lack of liquidity/marketability	1.40%-1.60% (1.42%)
Corporate Debt		19,704,779	Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations		31,506,018	Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00% (5.45%)
Warrants		37,373	Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options		417,089	Fair Value	Probability of CDS threshold event	<5% (N/A)
Investment Funds		8,006,089	Fair Value	Net asset value statement	(N/A)

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Opportunistic Income Fund
Asset-Backed Securities		11,644,500	Fair Value	Broker mark of comparable bond	N/A
Government Agency		7,311,485	Fair Value	Discount for lack of liquidity/marketability	1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2022, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $286,764,463 and $80,000, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2022 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	$	11,626	$	23	$	—	$	23	$	—		$	(23	)	$	11,626
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,339,103	$	—	$	—	$	146,502	$	—		$	(148,381	)	$	74,190,722
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	6,291,438	$	—	$	1,000,000	$	—	$	(409,719	)	$	144,742		$	5,026,461
GMO Opportunistic Income Fund, Class VI		25,924,702		—		1,000,000		—		(34,894	)		(332,899	)		24,556,909
GMO U.S. Treasury Fund		2,399,326		—		2,399,326		854		(9,578	)		9,578			—
Totals	$	34,615,466	$	—	$	4,399,326	$	854	$	(454,191	)	$	(178,579	)	$	29,583,370
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,938,043	$	—	$	—	$	21,556	$	—		$	(21,832	)	$	10,916,211

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

* * *

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

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 70.9%
		Australia — 1.8%
	26,848	Aurizon Holdings Ltd (a)		77,342
	29,607	BlueScope Steel Ltd		383,911
	34,017	Brambles Ltd (a)		265,110
	152,712	Crown Resorts Ltd * (a)		1,406,002
	23,988	Dexus (REIT) (a)		180,204
	26,749	Fortescue Metals Group Ltd (a)		386,177
	56,677	GPT Group (The) (REIT) (a)		195,341
	128,580	Mirvac Group (REIT) (a)		208,265
	2,106	Rio Tinto Ltd (a)		172,307
	85,052	Scentre Group (REIT) (a)		174,880
	75,217	Stockland (REIT) (a)		215,568
		Total Australia		3,665,107
		Belgium — 0.3%
	6,036	Ageas SA/NV		303,785
	507	Sofina SA		119,345
	2,659	UCB SA (a)		234,596
		Total Belgium		657,726
		Brazil — 0.1%
	9,800	Petroleo Brasileiro SA Sponsored ADR (a)		136,024
	8,300	Telefonica Brasil SA ADR		89,142
		Total Brazil		225,166
		Canada — 2.9%
	8,500	BlackBerry Ltd *		51,425
	4,800	Canadian Apartment Properties (REIT) (a)		187,848
	2,500	Canadian Tire Corp Ltd – Class A (a)		343,480
	100	Fairfax Financial Holdings Ltd (a)		55,498
	800	iA Financial Corp Inc		41,542
	5,200	Magna International Inc		337,444
	10,600	Manulife Financial Corp (a) (b)		196,354
	1,400	Manulife Financial Corp (a) (b)		25,942
	2,700	Onex Corp		161,101
	2,300	Power Corp of Canada (a)		66,426
	7,900	Quebecor Inc – Class B		179,254
	135,371	Shaw Communications Inc – Class B (a)		3,835,788
	6,100	Teck Resources Ltd – Class B (a)		252,903
	4,300	West Fraser Timber Co Ltd		396,735
		Total Canada		6,131,740
		China — 1.4%
	1,700	Autohome Inc ADR		61,778
	436,000	Bank of Communications Co Ltd – Class H		296,945
	29,500	Beijing Enterprises Holdings Ltd		103,276
	172,000	China Communications Services Corp Ltd – Class H		80,545
	126,500	China Overseas Land & Investment Ltd		367,090
	389,000	China Railway Group Ltd – Class H		268,861
	308,000	China Zhongwang Holdings Ltd * (c)		65,939

Shares		Description	Value ($)
		China — continued
	205,000	CITIC Ltd		229,909
	226,000	Dongfeng Motor Group Co Ltd – Class H		177,489
	50,500	Fosun International Ltd		51,204
	256,800	Guangzhou R&F Properties Co Ltd – Class H		91,063
	38,700	Hello Group Inc Sponsored ADR		235,296
	26,500	Kingboard Holdings Ltd		126,787
	57,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		93,620
	239,500	Shimao Group Holdings Ltd (c)		134,900
	93,600	Sinopharm Group Co Ltd – Class H		231,513
	374,000	Sunac China Holdings Ltd (c)		218,284
	19,100	Vipshop Holdings Ltd ADR * (a)		177,630
		Total China		3,012,129
		Denmark — 0.6%
	37	AP Moller – Maersk A/S – Class A (a)		106,795
	124	AP Moller – Maersk A/S – Class B (a)		363,368
	251	Carlsberg A/S – Class B		31,949
	23,256	Danske Bank A/S (a)		380,496
	3,440	Pandora A/S		277,903
		Total Denmark		1,160,511
		Finland — 0.2%
	71,190	Nokia Oyj (a)		357,795
		France — 0.6%
	11,613	ArcelorMittal SA		371,815
	5,142	BNP Paribas SA (a)		294,305
	2,417	Publicis Groupe SA (a)		132,395
	13,676	Societe Generale SA		368,534
		Total France		1,167,049
		Germany — 0.9%
	4,266	Bayer AG (Registered) (a)		305,224
	3,182	Bayerische Motoren Werke AG (a)		276,448
	4,713	Fresenius SE & Co KGaA		161,649
	5,147	HeidelbergCement AG (a)		300,601
	4,947	Mercedes-Benz Group AG (a)		352,520
	1,367	SAP SE (a)		137,038
	4,461	Siltronic AG		434,935
		Total Germany		1,968,415
		Hong Kong — 0.2%
	58,000	CK Hutchison Holdings Ltd (a)		410,850
	5,500	Sun Hung Kai Properties Ltd (a)		67,243
		Total Hong Kong		478,093
		India — 0.5%
	25,895	GAIL India Ltd		49,008
	5,340	Hindalco Industries Ltd		29,344
	20,309	Hindustan Petroleum Corp Ltd		59,328

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		India — continued
	17,082	Indian Oil Corp Ltd		25,523
	86,678	NTPC Ltd		175,649
	189,372	Oil & Natural Gas Corp Ltd		370,045
	17,860	Tata Steel Ltd		242,603
		Total India		951,500
		Israel — 1.3%
	42,100	Teva Pharmaceutical Industries Ltd Sponsored ADR *		383,110
	48,867	Tower Semiconductor Ltd *		2,358,321
		Total Israel		2,741,431
		Italy — 0.4%
	4,374	EXOR NV (a)		323,070
	14,184	Stellantis NV		212,805
	708,202	Telecom Italia SPA		226,488
		Total Italy		762,363
		Japan — 9.3%
	26,100	Aeon Mall Co Ltd (a)		315,106
	3,400	AGC Inc (a)		127,893
	3,600	Aisin Corp		117,863
	15,800	Amano Corp		306,028
	42,300	Asahi Kasei Corp (a)		341,765
	5,000	Astellas Pharma Inc (a)		79,855
	8,200	Daiwa House Industry Co Ltd (a)		197,490
	24,200	Daiwabo Holdings Co Ltd		323,113
	13,400	Denka Co Ltd		332,473
	22,500	EXEO Group Inc		360,279
	9,100	Ezaki Glico Co Ltd		263,025
	20,800	Fuji Corp		356,245
	23,100	Haseko Corp		275,562
	33,500	Honda Motor Co Ltd (a)		834,155
	4,300	Idemitsu Kosan Co Ltd (a)		115,981
	34,500	Inpex Corp (a)		442,670
	10,600	ITOCHU Corp (a)		304,067
	23,600	JFE Holdings Inc		290,331
	39,400	K’s Holdings Corp (a)		393,921
	14,100	KDDI Corp (a)		491,894
	22,400	Kirin Holdings Co Ltd (a)		346,494
	13,500	Kyudenko Corp		279,644
	11,900	Maruichi Steel Tube Ltd		274,606
	2,300	MEIJI Holdings Co Ltd		113,324
	8,900	Mitsubishi Corp (a)		307,156
	9,300	Mitsui OSK Lines Ltd (a)		247,133
	11,300	Morinaga & Co Ltd		344,095
	10,900	MS&AD Insurance Group Holdings Inc (a)		346,798
	10,000	NEC Corp (a)		401,679
	11,500	NH Foods Ltd		350,521
	18,300	Nippon Steel Corp (a)		318,907
	14,200	Nippon Telegraph & Telephone Corp (a)		433,844
	48,400	Obayashi Corp		342,680

Shares		Description	Value ($)
		Japan — continued
	9,200	ORIX Corp (a)		174,905
	52,800	Penta-Ocean Construction Co Ltd		259,682
	3,900	Rohm Co Ltd (a)		318,769
	10,500	Sankyu Inc (a)		314,270
	4,600	Sawai Group Holdings Co Ltd		135,700
	5,200	Secom Co Ltd (a)		342,439
	21,000	Sekisui House Ltd (a)		373,123
	40,400	Shimizu Corp		214,675
	23,300	Stanley Electric Co Ltd		422,419
	9,600	Subaru Corp		166,645
	21,900	SUMCO Corp (a)		352,889
	60,300	Sumitomo Chemical Co Ltd		249,254
	20,600	Sumitomo Corp (a)		294,747
	22,900	Sumitomo Pharma Co Ltd		195,965
	2,400	Sumitomo Electric Industries Ltd		26,582
	15,000	Sumitomo Mitsui Financial Group Inc (a)		460,042
	11,600	Sumitomo Mitsui Trust Holdings Inc (a)		350,852
	1,400	Suzuki Motor Corp		41,460
	31,500	T&D Holdings Inc		363,897
	10,900	Taisei Corp		325,007
	24,200	Takara Holdings Inc		179,657
	23,100	Takuma Co Ltd		254,660
	31,200	Teijin Ltd		320,877
	14,400	THK Co Ltd		294,086
	31,600	Tokai Carbon Co Ltd		266,403
	9,400	Tokyo Seimitsu Co Ltd		361,635
	19,100	Toppan Inc (a)		358,966
	35,300	Tosoh Corp		512,947
	6,100	Toyota Industries Corp (a)		392,089
	13,600	Tsumura & Co		309,956
	4,700	Yamaha Motor Co Ltd		95,112
	8,700	Zenkoku Hosho Co Ltd		288,755
		Total Japan		19,395,062
		Netherlands — 1.1%
	70,209	Aegon NV		373,796
	5,400	AerCap Holdings NV *		266,976
	20,409	ING Groep NV (a)		230,778
	10,642	JDE Peet’s NV		311,421
	10,452	Koninklijke Ahold Delhaize NV (a)		288,217
	4,755	Koninklijke Philips NV (a)		122,568
	6,178	NN Group NV (a)		306,191
	5,683	Prosus NV		293,808
		Total Netherlands		2,193,755
		New Zealand — 0.1%
	15,249	Auckland International Airport Ltd * (a)		74,144
	34,163	Meridian Energy Ltd (a)		104,458
	10,696	Spark New Zealand Ltd		33,830
		Total New Zealand		212,432

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Portugal — 0.1%
	38,712	EDP – Energias de Portugal SA		193,969
		South Africa — 0.1%
	16,137	Bidvest Group Ltd (The)		224,946
		South Korea — 0.3%
	4,998	Kia Corp		344,792
	1,292	LG Corp		83,332
	198	NAVER Corp		45,847
	162	POSCO Holdings Inc		37,655
	3,800	POSCO Sponsored ADR		218,576
		Total South Korea		730,202
		Spain — 0.5%
	68,961	Banco Bilbao Vizcaya Argentaria SA (a)		377,373
	123,369	Banco Santander SA (a)		400,186
	31,354	Telefonica SA		170,479
		Total Spain		948,038
		Sweden — 0.9%
	2,356	Industrivarden AB – A Shares (a)		61,113
	5,467	Industrivarden AB – C Shares (a)		141,873
	7,790	Investor AB – A Shares (a)		162,611
	15,781	Investor AB – B Shares (a)		296,005
	9,466	Kinnevik AB – Class B *		189,152
	7,327	Skanska AB – B Shares (a)		126,552
	3,739	Svenska Cellulosa AB SCA – Class B (a)		67,867
	89,717	Swedish Match AB (a)		927,279
		Total Sweden		1,972,452
		Switzerland — 0.4%
	7,611	Adecco Group AG (Registered) (a)		296,702
	2,766	Logitech International SA (Registered)		169,196
	814	Roche Holding AG (a)		277,404
		Total Switzerland		743,302
		Taiwan — 0.6%
	2,000	Hon Hai Precision Industry Co Ltd		7,755
	83,000	Ruentex Development Co Ltd		219,309
	10,501	Silicon Motion Technology Corp ADR (a)		948,345
		Total Taiwan		1,175,409
		United Kingdom — 4.4%
	82,062	Atotech Ltd *		1,666,679
	566,036	Avast Plc		3,462,348
	6,262	Berkeley Group Holdings Plc		331,640
	173,847	BT Group Plc		409,756
	4,965	Coca-Cola HBC AG *		109,386
	78,779	Kingfisher Plc (a)		261,626
	151,542	M&G Plc		412,646
	185,763	Meggitt Plc * (a)		1,814,335

Shares		Description	Value ($)
		United Kingdom — continued
	4,400	Shell Plc ADR (a)		260,568
	95,202	Taylor Wimpey Plc		156,180
	2,336	Unilever Plc (a)		112,440
	2,300	Vodafone Group Plc Sponsored ADR		38,272
	16,342	WPP Plc (a)		189,722
		Total United Kingdom		9,225,598
		United States — 41.9%
	55,705	Activision Blizzard, Inc. (a)		4,338,306
	3,300	Advanced Micro Devices, Inc. * (a)		336,138
	5,000	Aflac, Inc. (a)		302,850
	2,503	Alleghany Corp. *		2,086,951
	7,300	Ally Financial, Inc. (a)		321,492
	100	Alphabet, Inc. – Class A * (a)		227,524
	1,400	Arch Capital Group Ltd. * (a)		66,444
	3,400	Arrow Electronics, Inc. *		410,210
	16,000	AT&T, Inc. (a)		340,640
	3,500	Best Buy Co., Inc. (a)		287,210
	700	Bio-Rad Laboratories, Inc. – Class A *		376,453
	1,700	Biogen, Inc. * (a)		340,000
	8,400	BorgWarner, Inc.		338,688
	3,000	Capital One Financial Corp. (a)		383,580
	9,100	Carrier Global Corp. (a)		357,721
	4,100	CBRE Group, Inc. – Class A * (a)		339,644
	5,300	Centene Corp. * (a)		431,632
	14,598	Cerner Corp. (a)		1,384,620
	180,832	Change Healthcare, Inc. *		4,356,243
	1,700	Cigna Corp. (a)		456,093
	7,600	Citigroup, Inc. (a)		405,916
	1,700	Citizens Financial Group, Inc.		70,346
	21,383	Citrix Systems, Inc. (a)		2,153,054
	12,269	CMC Materials, Inc.		2,170,877
	4,300	Cognizant Technology Solutions Corp. – Class A (a)		321,210
	3,976	Coherent, Inc. *		1,077,337
	8,000	Comcast Corp. – Class A (a)		354,240
	24,954	Contra Zogenix, Inc.		18,716
	37,680	Cornerstone Building Brands, Inc. *		925,044
	3,100	CVS Health Corp. (a)		299,925
	1,100	Dell Technologies – Class C		54,934
	3,100	Discover Financial Services (a)		351,819
	12,900	DISH Network Corp. – Class A *		294,507
	4,300	DR Horton, Inc. (a)		323,145
	6,000	eBay, Inc. (a)		292,020
	1,200	Exelon Corp. (a)		58,980
	1,000	FedEx Corp. (a)		224,580
	7,400	Fidelity National Financial, Inc. (a)		313,020
	190,733	First Horizon Corp. (a)		4,354,435
	25,706	Flagstar Bancorp, Inc.		990,452
	21,800	Ford Motor Co.		298,224
	1,800	Fortune Brands Home & Security, Inc.		124,830
	1,300	Fox Corp. – Class A		46,163

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	78,289	Fox Corp. – Class B		2,560,833
	12,000	Franklin Resources, Inc. (a)		324,960
	200	Garmin Ltd. (a)		21,124
	7,900	General Motors Co. *		305,572
	6,100	Gilead Sciences, Inc.(a)		395,585
	1,000	Goldman Sachs Group, Inc. (The) (a)		326,850
	142,047	Healthcare Trust of America, Inc. (REIT) – Class A (a)		4,268,513
	8,488	HEICO Corp. – Class A (a)		993,860
	500	Henry Schein, Inc. * (a)		42,820
	10,600	HP, Inc.		411,704
	3,500	IAC/InterActiveCorp *		298,550
	4,800	Incyte Corp. *		364,272
	8,900	Intel Corp. (a)		395,338
	3,200	International Business Machines Corp. (a)		444,288
	13,900	Invesco Ltd.		268,826
	2,500	Jazz Pharmaceuticals Plc *		374,200
	22,200	Kinder Morgan, Inc. (a)		437,118
	2,300	Knight-Swift Transportation Holdings, Inc. (a)		111,872
	600	Kroger Co. (The) (a)		31,782
	1,600	Laboratory Corp. of America Holdings (a)		394,752
	1,600	Leidos Holdings, Inc. (a)		167,200
	4,200	Lennar Corp. – Class A		337,050
	8,196	Liberty Broadband Corp. – Class C * (a)		1,025,893
	7,100	Liberty Global Plc – Class A *		172,672
	12,500	Liberty Global Plc – Class C *		317,625
	6,700	Lincoln National Corp.		388,131
	5,000	LKQ Corp. (a)		256,950
	26,600	Lumen Technologies, Inc.		325,584
	3,900	LyondellBasell Industries NV – Class A (a)		445,575
	115,360	Mandiant, Inc. * (a)		2,543,688
	3,000	Merck & Co., Inc. (a)		276,090
	1,800	Meta Platforms, Inc. – Class A * (a)		348,552
	4,500	MetLife, Inc. (a)		303,255
	5,600	Micron Technology, Inc. (a)		413,504
	2,300	Mohawk Industries, Inc. *		325,358
	7,500	Molson Coors Brewing Co. – Class B		418,800
	1,000	Netflix, Inc. * (a)		197,440
	107,223	Nielsen Holdings Plc (a)		2,740,620
	4,100	Novavax, Inc. *		226,853
	8,300	NRG Energy, Inc. (a)		382,132
	400	Nucor Corp. (a)		52,984
	10	NVR, Inc. * (a)		44,506
	4,000	Oracle Corp. (a)		287,680
	400	PACCAR, Inc. (a)		34,736
	11,800	Paramount Global – Class B		405,094
	3,800	PayPal Holdings, Inc. * (a)		323,798
	153,945	Pershing Square Tontine Holdings Ltd. – Class A *		3,057,348
	2,600	Pfizer, Inc. (a)		137,904
	3,700	Prudential Financial, Inc. (a)		393,125
	8,400	PulteGroup, Inc.		380,184

Shares		Description	Value ($)
		United States — continued
	2,600	Quest Diagnostics, Inc. (a)		366,652
	600	Regeneron Pharmaceuticals, Inc. * (a)		398,844
	600	Regions Financial Corp.		13,254
	5,032	Rogers Corp. *		1,335,392
	300	Skyworks Solutions, Inc. (a)		32,661
	102,847	South Jersey Industries, Inc. (a)		3,584,218
	50,915	Sportsman’s Warehouse Holdings, Inc. *		481,656
	1,600	SS&C Technologies Holdings, Inc. (a)		102,384
	600	Stanley Black & Decker, Inc. (a)		71,214
	3,700	Steel Dynamics, Inc. (a)		315,906
	55,115	Switch, Inc. – Class A (a)		1,860,131
	9,800	Synchrony Financial (a)		362,992
	1	Take -Two Interactive Software, Inc. *		54
	98,087	TEGNA, Inc.		2,148,105
	85,858	Terminix Global Holdings, Inc. * (a)		3,727,096
	4,400	Textron, Inc. (a)		287,276
	12,775	Twitter, Inc. * (a)		505,890
	4,300	Tyson Foods, Inc. – Class A (a)		385,323
	500	UGI Corp. (a)		21,370
	139,369	Umpqua Holdings Corp.		2,459,863
	1,200	United Parcel Service, Inc. – Class B (a)		218,700
	3,000	Universal Health Services, Inc. – Class B		373,830
	6,900	Verizon Communications, Inc. (a)		353,901
	1,100	Vertex Pharmaceuticals, Inc. * (a)		295,515
	31,800	Viatris, Inc.		390,186
	2,900	VMware, Inc. – Class A (a)		371,490
	35,617	Vonage Holdings Corp. *		689,901
	6,800	Walgreens Boots Alliance, Inc. (a)		298,044
	3,943	Warner Bros Discovery, Inc. * (a)		72,748
	19,700	Western Union Co. (The) (a)		357,358
	6,400	Western Digital Corp. *		388,416
	1,600	Whirlpool Corp. (a)		294,784
	9,217	Willis Towers Watson Plc (a)		1,945,432
	3,300	Zoom Video Communications, Inc. – Class A * (a)		354,585
		Total United States		87,374,534
		TOTAL COMMON STOCKS (COST $155,005,925)		147,668,724
		PREFERRED STOCKS (d) — 0.2%
		Brazil — 0.1%
	19,700	Petroleo Brasileiro SA Sponsored ADR (a)		247,629
		Germany — 0.1%
	2,200	Bayerische Motoren Werke AG		172,612
	223	Volkswagen AG (a)		37,218
		Total Germany		209,830
		TOTAL PREFERRED STOCKS (COST $439,565)		457,459

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.1%
		United States — 0.1%
	195,149	Bristol-Myers Squibb Co. CVR * (c)		282,966
		TOTAL RIGHTS/WARRANTS (COST $284,429)		282,966
		INVESTMENT FUNDS — 2.8%
		United States — 2.8%
	1,000,824	Altaba, Inc. (c)		5,754,738
		TOTAL INVESTMENT FUNDS (COST $5,483,236)		5,754,738
		DEBT OBLIGATIONS — 49.7%
		United States — 49.7%
		Asset-Backed Securities — 2.2%
	4,450,000	Federal National Mortgage Association, TBA, 4.50%, due 04/01/52		4,527,180
		U.S. Government — 47.5%
	26,025,000	U.S. Treasury Note, 0.13%, due 02/28/23 (a)		25,678,339
	22,025,000	U.S. Treasury Note, 0.13%, due 03/31/23		21,687,742
	26,025,000	U.S. Treasury Note, 0.13%, due 04/30/23		25,561,430
	8,073,000	U.S. Treasury Note, 0.13%, due 06/30/23 (a)		7,895,457
	400,000	U.S. Treasury Note, 0.13%, due 07/31/23 (a)		390,437

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	14,200,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.17%, due 01/31/23 (a)		14,215,777
	3,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.16%, due 10/31/23 (a)		3,506,868
		Total U.S. Government		98,936,050
		Total United States		103,463,230
		TOTAL DEBT OBLIGATIONS (COST $104,231,398)		103,463,230
		MUTUAL FUNDS — 3.2%
		United States — 3.2%
		Affiliated Issuers — 3.2%
	256,057	GMO Emerging Markets Fund, Class VI		6,683,098
		TOTAL MUTUAL FUNDS (COST $8,893,542)		6,683,098
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	1,005,577	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (e)		1,005,577
		TOTAL SHORT-TERM INVESTMENTS (COST $1,005,577)		1,005,577

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps – Puts — 0.0%

CDX.NA.IGS.38.V1-5Y

BCLY

72.50

%

06/15/22

USD

15,575,000

Fixed Spread

Pay

60,500

Total Options on Credit Default Swaps – Puts	60,500
TOTAL PURCHASED OPTIONS (COST $69,309)	60,500
TOTAL INVESTMENTS — 127.4% (Cost $275,412,981)	265,376,292

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (32.6)%
			Common Stocks — (32.4)%
			Australia — (0.6)%
	(43,232	)	APA Group		(351,922	)
	(5,141	)	ASX Ltd		(297,453	)
	(1,027	)	Cochlear Ltd		(163,843	)
	(96,871	)	Qantas Airways Ltd *		(382,133	)
			Total Australia		(1,195,351	)
			Austria — (0.2)%
	(3,765	)	Verbund AG		(374,560	)
			Belgium — (0.2)%
	(6,293	)	Anheuser-Busch InBev SA/NV		(354,740	)
			Canada — (1.3)%
	(2,400	)	Agnico Eagle Mines Ltd		(127,032	)
	(8,500	)	Algonquin Power & Utilities Corp		(123,760	)
	(15,200	)	AltaGas Ltd		(367,006	)
	(2,600	)	BCE Inc		(141,570	)
	(7,100	)	Brookfield Renewable Corp – Class A		(256,878	)
	(4,400	)	Cameco Corp		(107,668	)
	(8,700	)	Enbridge Inc		(401,505	)
	(2,500	)	Franco-Nevada Corp		(355,150	)
	(7,900	)	Pan American Silver Corp		(173,563	)
	(10,800	)	Pembina Pipeline Corp		(434,592	)
	(5,600	)	Restaurant Brands International Inc		(294,056	)
			Total Canada		(2,782,780	)
			Denmark — (0.1)%
	(11,879	)	Ambu A/S – Class B		(162,890	)
			France — (0.9)%
	(11,960	)	Accor SA *		(393,541	)
	(2,476	)	Aeroports de Paris *		(370,837	)
	(21,676	)	Getlink SE		(417,783	)
	(267	)	Hermes International		(319,241	)
	(313	)	Sartorius Stedim Biotech		(108,119	)
	(2,397	)	Ubisoft Entertainment SA *		(126,018	)
	(1,369	)	Wendel SE		(140,874	)
			Total France		(1,876,413	)
			Germany — (1.1)%
	(10,750	)	Delivery Hero SE *		(414,608	)
	(477	)	MTU Aero Engines AG		(94,450	)
	(3,848	)	Puma SE		(287,152	)
	(2,742	)	QIAGEN NV *		(126,178	)
	(147	)	Rational AG		(95,705	)
	(2,729	)	Scout24 SE		(169,273	)
	(2,908	)	Symrise AG – Class A		(321,339	)
	(130,794	)	Telefonica Deutschland Holding AG		(416,274	)
	(6,543	)	Uniper SE		(169,327	)

Shares			Description	Value ($)
			Germany — continued
	(4,045	)	Zalando SE *		(164,579	)
			Total Germany		(2,258,885	)
			Israel — (0.2)%
	(2,500	)	CyberArk Software Ltd *		(347,250	)
	(1,600	)	Kornit Digital Ltd *		(67,152	)
	(1,600	)	Wix.com Ltd *		(100,816	)
			Total Israel		(515,218	)
			Italy — (0.6)%
	(7,521	)	Amplifon SPA		(259,169	)
	(1,599	)	Ferrari NV		(312,006	)
	(24,733	)	FinecoBank Banca Fineco SPA		(350,481	)
	(30,007	)	Infrastrutture Wireless Italiane SPA		(334,422	)
			Total Italy		(1,256,078	)
			Japan — (2.6)%
	(9,100	)	Aeon Co Ltd		(166,103	)
	(15,700	)	ANA Holdings Inc *		(309,860	)
	(13,600	)	Asahi Intecc Co Ltd		(204,659	)
	(2,900	)	Benefit One Inc		(45,198	)
	(3,500	)	East Japan Railway Co		(179,431	)
	(100	)	Fast Retailing Co Ltd		(48,042	)
	(3,900	)	GMO Payment Gateway Inc		(321,495	)
	(15,100	)	Japan Airlines Co Ltd *		(276,765	)
	(7,800	)	Japan Exchange Group Inc		(123,394	)
	(5,600	)	Keio Corp		(187,067	)
	(3,800	)	Kintetsu Group Holdings Co Ltd		(111,028	)
	(2,400	)	Lasertec Corp		(347,375	)
	(4,500	)	LIXIL Corp		(85,615	)
	(9,200	)	M3 Inc		(264,601	)
	(9,200	)	Mercari Inc *		(159,906	)
	(20,300	)	MonotaRO Co Ltd		(296,381	)
	(2,900	)	Nidec Corp		(193,905	)
	(17,900	)	Nihon M&A Center Holdings Inc		(205,395	)
	(30,100	)	Nippon Paint Holdings Co Ltd		(222,467	)
	(3,600	)	Nissin Foods Holdings Co Ltd		(235,450	)
	(14,100	)	Odakyu Electric Railway Co Ltd		(186,040	)
	(2,500	)	ORIENTAL LAND CO LTD		(371,521	)
	(44,200	)	Rakuten Group Inc		(247,096	)
	(3,300	)	Shiseido Co Ltd		(138,421	)
	(3,900	)	Tobu Railway Co Ltd		(87,457	)
	(5,600	)	Tokyu Corp		(63,549	)
	(8,600	)	West Japan Railway Co		(317,589	)
			Total Japan		(5,395,810	)
			Netherlands — (0.5)%
	(197	)	Adyen NV *		(305,087	)
	(110	)	ASML Holding NV		(63,300	)
	(837	)	Heineken Holding NV		(66,211	)
	(1,140	)	IMCD NV		(170,489	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			Netherlands — continued
	(10,178	)	Just Eat Takeaway.com NV *		(226,507	)
	(7,209	)	Universal Music Group NV		(161,166	)
			Total Netherlands		(992,760	)
			New Zealand — (0.1)%
	(4,729	)	Xero Ltd *		(302,290	)
			Singapore — (0.3)%
	(2,528	)	CDL Hospitality Trusts (REIT)		(2,298	)
	(15,900	)	City Developments Ltd		(95,671	)
	(95,500	)	Singapore Airlines Ltd *		(384,961	)
	(28,300	)	Singapore Exchange Ltd		(196,200	)
			Total Singapore		(679,130	)
			Spain — (0.7)%
	(2,015	)	Aena SME SA *		(307,406	)
	(8,628	)	Cellnex Telecom SA		(389,375	)
	(16,562	)	Ferrovial SA (b)		(427,163	)
	(190	)	Ferrovial SA (b)		(4,907	)
	(14,911	)	Siemens Gamesa Renewable Energy SA *		(289,095	)
			Total Spain		(1,417,946	)
			Sweden — (0.4)%
	(46,096	)	Embracer Group AB – Class B *		(419,386	)
	(3,031	)	Evolution AB		(317,710	)
	(38,234	)	Sinch AB *		(185,111	)
			Total Sweden		(922,207	)
			Switzerland — (0.4)%
	(6	)	Chocoladefabriken Lindt & Spruengli AG		(60,359	)
	(278	)	Partners Group Holding AG		(299,122	)
	(494	)	Sika AG (Registered)		(137,129	)
	(2,070	)	Straumann Holding AG (Registered)		(264,083	)
			Total Switzerland		(760,693	)
			United Kingdom — (2.9)%
	(4,541	)	Admiral Group Plc		(127,136	)
	(8,793	)	Antofagasta Plc		(164,131	)
	(44,342	)	Auto Trader Group Plc		(329,868	)
	(658	)	Croda International Plc		(57,295	)
	(1,619	)	Experian Plc		(54,159	)
	(4,686	)	Halma Plc		(131,678	)
	(22,704	)	Hargreaves Lansdown Plc		(244,892	)
	(61,956	)	Informa Plc *		(425,863	)
	(2,504	)	InterContinental Hotels Group Plc		(155,793	)
	(15,457	)	Land Securities Group Plc (REIT)		(149,271	)
	(4,385	)	London Stock Exchange Group Plc		(409,177	)
	(27,645	)	Ocado Group Plc *		(324,608	)
	(4,680	)	Prudential Plc		(61,026	)
	(455,868	)	Rentokil Initial Plc		(2,905,197	)
	(286,509	)	Rolls-Royce Holdings Plc *		(312,920	)

Shares			Description	Value ($)
			United Kingdom — continued
	(1,085	)	Spirax-Sarco Engineering Plc		(144,596	)
			Total United Kingdom		(5,997,610	)
			United States — (19.3)%
	(500	)	AbbVie, Inc.		(73,685	)
	(15,600	)	AES Corp. (The)		(343,824	)
	(2,200	)	Alnylam Pharmaceuticals, Inc. *		(276,760	)
	(6,300	)	Altria Group, Inc.		(340,767	)
	(20,300	)	AMC Entertainment Holdings, Inc. – Class A *		(291,102	)
	(800	)	American Tower Corp. (REIT)		(204,904	)
	(8,810	)	Aon Plc – Class A		(2,428,653	)
	(10,100	)	Aramark		(348,147	)
	(2,100	)	Arthur J Gallagher & Co.		(340,074	)
	(9,700	)	Asana, Inc. – Class A *		(210,878	)
	(1,500	)	Autodesk, Inc. *		(311,625	)
	(4,200	)	Avalara, Inc. *		(355,614	)
	(700	)	Ball Corp.		(49,623	)
	(2,400	)	Bill.com Holdings, Inc. *		(283,776	)
	(800	)	Bio-Techne Corp.		(295,784	)
	(3,900	)	BioMarin Pharmaceutical, Inc. *		(293,007	)
	(2,300	)	Block, Inc. – Class A *		(201,273	)
	(2,100	)	Boeing Co. (The) *		(275,940	)
	(700	)	Broadcom, Inc.		(406,091	)
	(1,700	)	Burlington Stores, Inc. *		(286,110	)
	(4,900	)	Caesars Entertainment, Inc. *		(245,833	)
	(7,000	)	Carnival Corp. *		(97,160	)
	(6,200	)	Carvana Co. – Class A *		(182,528	)
	(2,600	)	Catalent, Inc. *		(267,956	)
	(5,900	)	Ceridian HCM Holding, Inc. *		(332,170	)
	(2,026	)	Charter Communications, Inc. – Class A *		(1,027,040	)
	(300	)	Chipotle Mexican Grill, Inc. – Class A *		(420,765	)
	(52	)	Citizens Financial Group, Inc.		(2,152	)
	(14,500	)	Clarivate Plc *		(214,165	)
	(4,500	)	Cloudflare, Inc. – Class A *		(252,000	)
	(1,500	)	CME Group, Inc.		(298,245	)
	(83,038	)	Columbia Banking System, Inc.		(2,503,596	)
	(3,800	)	Coupa Software, Inc. *		(261,402	)
	(1,200	)	Crown Castle International Corp. (REIT)		(227,580	)
	(8,200	)	Delta Air Lines, Inc. *		(341,858	)
	(800	)	Dexcom, Inc. *		(238,352	)
	(2,400	)	Diamondback Energy, Inc.		(364,848	)
	(3,600	)	DocuSign, Inc. – Class A *		(302,076	)
	(3,700	)	Dominion Energy, Inc.		(311,614	)
	(17,900	)	DraftKings, Inc. – Class A *		(242,545	)
	(2,400	)	Dynatrace, Inc. *		(90,408	)
	(5,531	)	Entegris, Inc.		(613,720	)
	(300	)	Equinix, Inc. (REIT)		(206,127	)
	(2,500	)	Equity LifeStyle Properties, Inc. (REIT)		(189,250	)
	(5,100	)	Exact Sciences Corp. *		(254,031	)
	(5,000	)	Fastenal Co.		(267,800	)
	(600	)	First Republic Bank		(93,018	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(1,300	)	FirstEnergy Corp.		(55,848	)
	(300	)	Fortinet, Inc. *		(88,242	)
	(59,918	)	Fox Corp. – Class A		(2,127,688	)
	(500	)	Gartner, Inc. *		(131,200	)
	(1	)	Goldman Sachs Group , Inc. (The)		(327	)
	(4,300	)	Guidewire Software, Inc. *		(343,742	)
	(71,025	)	Healthcare Realty Trust, Inc. (REIT)		(2,064,696	)
	(6,974	)	HEICO Corp.		(997,631	)
	(200	)	Hershey Co. (The)		(42,342	)
	(2,500	)	Hess Corp.		(307,675	)
	(800	)	HubSpot, Inc. *		(270,152	)
	(700	)	IDEXX Laboratories, Inc. *		(274,134	)
	(3,644	)	II-VI, Inc. *		(227,750	)
	(3,900	)	Ingersoll Rand, Inc.		(183,885	)
	(1,700	)	Insulet Corp. *		(362,916	)
	(1,800	)	IQVIA Holdings, Inc. *		(387,450	)
	(3,700	)	Iron Mountain, Inc. (REIT)		(199,430	)
	(3,500	)	Keurig Dr Pepper, Inc.		(121,590	)
	(700	)	Liberty Broadband Corp. – Class A *		(85,407	)
	(6,900	)	Liberty Media Corp.-Liberty Formula One – Class C *		(429,801	)
	(1,200	)	Linde Plc		(389,616	)
	(3,800	)	Live Nation Entertainment, Inc. *		(361,190	)
	(200	)	Lululemon Athletica, Inc. *		(58,538	)
	(3	)	M&T Bank Corp.		(540	)
	(1,100	)	MarketAxess Holdings, Inc.		(309,848	)
	(2,200	)	Marriott International, Inc. – Class A		(377,476	)
	(1,000	)	Marsh & McLennan Cos, Inc.		(159,950	)
	(700	)	Marvell Technology, Inc.		(41,405	)
	(200	)	Mastercard, Inc. – Class A		(71,574	)
	(2,149	)	MKS Instruments, Inc.		(265,401	)
	(1,000	)	MongoDB, Inc. – Class A *		(237,150	)
	(500	)	Monolithic Power Systems, Inc.		(225,195	)
	(500	)	Moody’s Corp.		(150,785	)
	(800	)	MSCI, Inc. – Class A		(353,880	)
	(103,498	)	New York Community Bancorp, Inc.		(1,032,910	)
	(2,000	)	Newmont Corp.		(135,700	)
	(9,300	)	NiSource, Inc.		(292,485	)
	(17,111	)	NortonLifeLock, Inc.		(416,482	)
	(5,600	)	Novocure Ltd. *		(450,128	)
	(2,900	)	Okta, Inc. *		(240,845	)
	(4,700	)	ONEOK, Inc.		(309,495	)
	(13,100	)	Palantir Technologies, Inc. – Class A *		(113,708	)
	(600	)	Palo Alto Networks, Inc. *		(301,668	)
	(2,400	)	Paychex, Inc.		(297,192	)
	(7,700	)	Peloton Interactive, Inc. – Class A *		(107,492	)
	(3,200	)	Philip Morris International, Inc.		(340,000	)
	(200	)	Public Storage (REIT)		(66,128	)
	(2,900	)	RingCentral, Inc. – Class A *		(183,106	)
	(3,000	)	Roku, Inc. *		(284,700	)
	(8,100	)	Rollins, Inc.		(287,226	)
	(5,200	)	Royal Caribbean Cruises Ltd. *		(301,964	)

Shares			Description	Value ($)
			United States — continued
	(300	)	S&P Global, Inc.		(104,844	)
	(2,700	)	Seagen, Inc. *		(366,336	)
	(700	)	ServiceNow, Inc. *		(327,229	)
	(1,000	)	Sherwin-Williams Co. (The)		(268,040	)
	(1,700	)	Simon Property Group, Inc. (REIT)		(194,905	)
	(11,300	)	Snap, Inc. – Class A *		(159,443	)
	(1,900	)	Snowflake, Inc. – Class A *		(242,535	)
	(1,100	)	Southern Co. (The)		(83,226	)
	(600	)	Starbucks Corp.		(47,100	)
	(3,000	)	Sysco Corp.		(252,540	)
	(4,000	)	Teladoc Health, Inc. *		(136,360	)
	(500	)	Tesla, Inc. *		(379,130	)
	(1,100	)	Trade Desk, Inc. (The) – Class A *		(57,255	)
	(200	)	TransDigm Group, Inc. *		(121,074	)
	(2,800	)	Twilio, Inc. – Class A *		(294,476	)
	(9,800	)	Uber Technologies, Inc. *		(227,360	)
	(4,100	)	UDR, Inc. (REIT)		(195,980	)
	(1,400	)	Vail Resorts, Inc.		(353,094	)
	(9,700	)	Vistra Corp.		(255,789	)
	(800	)	Waste Connections, Inc.		(102,032	)
	(500	)	Waste Management, Inc.		(79,255	)
	(2,300	)	Wayfair, Inc. – Class A *		(136,597	)
	(11,900	)	Williams Cos, Inc. (The)		(441,014	)
	(500	)	Yum! Brands, Inc.		(60,735	)
	(7,800	)	Zillow Group, Inc. – Class A *		(311,688	)
	(2,888	)	Zillow Group, Inc. – Class C *		(115,231	)
	(1,300	)	Zoetis, Inc.		(222,209	)
	(4,700	)	ZoomInfo Technologies, Inc. – Class A *		(189,833	)
	(1,600	)	Zscaler, Inc. *		(244,944	)
			Total United States		(40,301,813	)
			TOTAL COMMON STOCKS (PROCEEDS $81,465,147)		(67,547,174	)
			PREFERRED STOCKS (d) — (0.2)%
			Germany — (0.2)%
	(810	)	Sartorius AG		(327,496	)
			TOTAL PREFERRED STOCKS (PROCEEDS $378,658)		(327,496	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $81,843,805)		(67,874,670	)
			Other Assets and Liabilities (net) — 5.2%		10,823,042
			TOTAL NET ASSETS — 100.0%		$208,324,664

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/21/2022	BOA		AUD	3,200,505		USD	2,385,263		87,760
07/18/2022	DB		AUD	4,924,260		USD	3,396,449		(139,831	)
08/09/2022	MSCI		AUD	440,000		USD	308,353		(7,709	)
07/05/2022	BCLY		BRL	1,161,348		USD	230,000		(12,200	)
07/05/2022	GS		BRL	2,993,694		USD	590,000		(34,336	)
06/10/2022	MSCI		CAD	399,492		USD	307,121		(8,692	)
06/10/2022	SSB		CAD	5,083,034		USD	3,914,766		(103,557	)
06/22/2022	BCLY		CAD	2,041,566		USD	1,633,991		20,113
07/25/2022	DB		CAD	4,037,253		USD	3,152,968		(37,985	)
08/02/2022	BCLY		CAD	1,755,696		USD	1,370,000		(17,589	)
08/02/2022	JPM		CAD	4,014,521		USD	3,100,000		(72,820	)
07/29/2022	BCLY		CHF	282,443		USD	295,321		(75	)
07/29/2022	JPM		CHF	284,488		USD	297,153		(382	)
07/29/2022	SSB		CHF	729,535		USD	761,835		(1,155	)
06/13/2022	JPM		CLP	1,742,668,500		USD	2,018,379		(93,116	)
06/16/2022	JPM		COP	5,208,880,000		USD	1,310,198		(69,086	)
08/18/2022	GS		CZK	3,600,000		USD	151,907		(2,946	)
08/18/2022	MSCI		CZK	35,570,976		USD	1,482,124		(47,954	)
06/21/2022	SSB		EUR	4,068,054		USD	4,407,636		36,340
06/30/2022	DB		EUR	2,800,000		USD	3,032,190		22,025
06/30/2022	JPM		EUR	4,800,000		USD	5,211,922		51,641
06/30/2022	MSCI		EUR	7,180,000		USD	7,999,669		280,747
06/16/2022	JPM		GBP	990,000		USD	1,250,427		2,917
06/21/2022	SSB		GBP	2,487,656		USD	3,249,145		114,307
07/25/2022	DB		GBP	2,948,491		USD	3,640,753		(75,838	)
08/09/2022	CITI		IDR	2,933,660,000		USD	200,000		(1,392	)
08/09/2022	JPM		IDR	5,848,800,000		USD	400,000		(1,514	)
08/31/2022	JPM		ILS	4,267,605		USD	1,276,923		(15,602	)
06/03/2022	GS		INR	25,454,220		USD	330,000		2,167
06/03/2022	MSCI		INR	194,032,426		USD	2,539,858		40,855
08/30/2022	MSCI		INR	133,926,936		USD	1,711,220		2,649
06/06/2022	BCLY		JPY	125,326,898		USD	963,139		(10,498	)
06/06/2022	JPM		JPY	54,002,861		USD	417,864		(1,672	)
06/09/2022	BOA		JPY	182,136,500		USD	1,400,000		(15,099	)
08/08/2022	MSCI		KRW	1,170,241,425		USD	929,072		(12,865	)
07/22/2022	JPM		MXN	8,423,372		USD	410,000		(13,862	)
07/22/2022	MSCI		MXN	4,973,842		USD	240,000		(10,282	)
06/01/2022	JPM		NZD	26,770,000		USD	17,993,054		549,724
06/01/2022	MSCI		NZD	5,860,000		USD	3,983,109		164,733
06/01/2022	SSB		NZD	2,730,000		USD	1,837,959		59,091
07/18/2022	BCLY		NZD	376,132		USD	245,601		682
08/31/2022	MSCI		NZD	20,820,000		USD	13,568,498		22,848
06/17/2022	GS		PEN	379,470		USD	100,000		(1,993	)
06/17/2022	JPM		PEN	1,280,000		USD	333,724		(10,311	)
06/17/2022	MSCI		PEN	1,106,350		USD	290,880		(6,482	)
08/03/2022	JPM		PHP	32,974,970		USD	623,110		(2,058	)
07/19/2022	BOA		PLN	536,059		USD	120,000		(4,756	)
07/19/2022	MSCI		PLN	179,383		USD	40,000		(1,748	)
06/30/2022	BOA		RON	960,014		USD	210,000		2,285
06/30/2022	JPM		RON	6,772,115		USD	1,499,344		34,087
06/07/2022	DB		SEK	21,873,387		USD	2,200,000		(40,008	)
06/07/2022	GS		SEK	8,463,976		USD	900,000		33,222
06/07/2022	MSCI		SEK	9,510,002		USD	966,947		(6,953	)
06/21/2022	GS		SGD	380,973		USD	280,000		1,941
06/21/2022	JPM		SGD	412,026		USD	300,000		(724	)
06/21/2022	SSB		SGD	678,274		USD	500,000		4,951

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
08/18/2022	CITI		THB	59,152,251		USD	1,701,733		(31,261	)
06/13/2022	JPM		TWD	63,492,149		USD	2,145,150		(44,708	)
06/21/2022	BOA		USD	2,293,778		AUD	3,200,505		3,725
07/18/2022	BCLY		USD	605,543		AUD	862,316		13,715
07/18/2022	JPM		USD	17,739		AUD	24,993		209
08/09/2022	BCLY		USD	3,266,820		AUD	4,611,000		45,370
08/09/2022	JPM		USD	835,895		AUD	1,190,000		18,910
07/05/2022	JPM		USD	2,500,853		BRL	12,194,161		42,246
06/22/2022	DB		USD	218,652		CAD	279,031		1,924
06/22/2022	UBSA		USD	204,169		CAD	258,628		279
08/02/2022	BCLY		USD	17,523,018		CAD	22,381,502		165,884
06/16/2022	MSCI		USD	846,410		CHF	842,725		32,784
06/13/2022	MSCI		USD	390,000		CLP	336,765,000		18,039
06/16/2022	JPM		USD	2,329,736		COP	9,006,421,500		55,118
06/16/2022	MSCI		USD	520,000		COP	1,977,560,000		3,648
08/18/2022	DB		USD	205,205		CZK	4,800,000		1,266
06/21/2022	BOA		USD	158,334		EUR	150,510		3,396
06/21/2022	MSCI		USD	240,436		EUR	221,270		(2,672	)
06/30/2022	DB		USD	1,269,304		EUR	1,200,000		20,766
06/30/2022	JPM		USD	3,735,391		EUR	3,500,000		27,315
07/29/2022	JPM		USD	1,488,014		EUR	1,380,608		(1,378	)
07/29/2022	UBSA		USD	1,211,097		EUR	1,130,520		6,245
06/16/2022	DB		USD	1,648,272		GBP	1,350,000		52,878
06/16/2022	JPM		USD	816,856		GBP	650,000		2,216
06/21/2022	MSCI		USD	1,256,227		GBP	1,001,552		5,886
08/16/2022	GS		USD	148,241		HUF	55,000,000		(953	)
08/16/2022	MSCI		USD	470,292		HUF	174,520,539		(2,934	)
08/09/2022	JPM		USD	1,593,495		IDR	23,212,441,000		13
08/09/2022	MSCI		USD	640,319		IDR	9,384,162,000		3,893
06/03/2022	GS		USD	250,000		INR	19,186,250		(2,894	)
06/03/2022	JPM		USD	420,000		INR	32,517,660		(1,195	)
06/03/2022	MSCI		USD	2,166,886		INR	167,782,736		(5,961	)
06/06/2022	BCLY		USD	906,890		JPY	114,139,297		(20,168	)
06/06/2022	MSCI		USD	3,092,373		JPY	375,270,287		(176,981	)
06/06/2022	SSB		USD	2,607,801		JPY	316,170,523		(151,542	)
06/06/2022	UBSA		USD	715,082		JPY	90,847,019		(9,312	)
06/09/2022	JPM		USD	945,075		JPY	120,000,000		(12,742	)
06/09/2022	MSCI		USD	7,108,859		JPY	921,997,655		54,547
07/11/2022	JPM		USD	4,044,458		JPY	526,670,191		53,077
08/10/2022	MSCI		USD	4,615,430		JPY	600,000,000		59,733
08/08/2022	JPM		USD	180,000		KRW	229,071,600		4,382
08/08/2022	UBSA		USD	181,794		KRW	230,000,000		3,335
07/22/2022	BOA		USD	410,000		MXN	8,302,732		7,791
07/22/2022	MSCI		USD	1,960,518		MXN	39,913,207		47,903
07/18/2022	BCLY		USD	8,071,224		NOK	79,427,768		406,808
07/18/2022	JPM		USD	880,902		NOK	8,500,000		26,379
06/01/2022	MSCI		USD	21,365,727		NZD	32,560,000		(149,633	)
06/01/2022	SSB		USD	1,807,848		NZD	2,800,000		16,631
07/18/2022	MSCI		USD	294,733		NZD	472,554		12,972
07/18/2022	UBSA		USD	376,956		NZD	594,850		10,382
06/17/2022	MSCI		USD	967,146		PEN	3,616,475		4,883
08/03/2022	BCLY		USD	180,214		PHP	9,500,000		(105	)
08/03/2022	JPM		USD	120,000		PHP	6,311,880		(334	)
07/19/2022	DB		USD	123,804		PLN	550,000		4,196
07/19/2022	GS		USD	247,033		PLN	1,100,000		8,968
07/19/2022	MSCI		USD	417,085		PLN	1,808,437		3,790

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/30/2022	BOA		USD	400,000		RON	1,890,233		8,983
06/30/2022	DB		USD	203,526		RON	950,000		2,022
06/30/2022	GS		USD	169,684		RON	800,000		3,409
06/30/2022	JPM		USD	275,434		RON	1,300,000		5,842
06/07/2022	BCLY		USD	4,724,610		SEK	45,793,543		(34,989	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/07/2022	JPM		USD	4,690,000		SEK	44,699,339		(112,434	)
06/21/2022	CITI		USD	190,000		SGD	263,516		2,331
06/21/2022	SSB		USD	110,000		SGD	151,909		873
06/13/2022	GS		USD	562,267		TWD	16,648,800		11,954
08/31/2022	MSCI		USD	171,312		ZAR	2,743,323		2,270
								$	1,178,985

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
33	Australian Government Bond 10 Yr.	June 2022		2,894,420		(110,229	)
94	CAC40 10 Euro	June 2022		6,527,973		111,993
3	DAX Index	June 2022		1,161,284		12,112
20	Euro Bund	June 2022		3,254,359		(28,155	)
78	FTSE 100 Index	June 2022		7,449,649		377,887
49	FTSE/JSE 40	June 2022		2,045,391		(62,878	)
10	Hang Seng Index	June 2022		1,363,434		95,654
267	Mini MSCI Emerging Markets	June 2022		14,195,055		175,616
87	MSCI Singapore	June 2022		1,902,442		52,963
			$	40,794,007	$	624,963

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
22	E-mini Russell 2000 Index	June 2022		2,048,090		22,225
27	FTSE Taiwan Index	June 2022		1,551,455		(54,985	)
76	MSCI EAFE	June 2022		7,740,600		(2,936	)
96	S&P 500 E-Mini	June 2022		19,830,000		960,930
2	S&P/TSX 60	June 2022		396,411		(7,091	)
4	SPI 200 Futures	June 2022		514,713		22,130
8	TOPIX Index	June 2022		1,184,663		(26,845	)
12	U.S. Treasury Note 2 Yr. (CBT)	September 2022		2,533,219		3,645
14	U.S. Treasury Note 5 Yr. (CBT)	September 2022		1,581,344		8,060
92	U.S. Treasury Note 10 Yr. (CBT)	September 2022		10,989,687		42,748
5	U.S. Treasury Ultra 10 Yr. (CBT)	September 2022		642,422		6,712
1	U.S. Ultra Bond (CBT)	September 2022		155,750		3,697
25	UK Gilt Long Bond	September 2022		3,653,344		63,935
			$	52,821,698	$	1,042,225

+ 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 ($)
Index Options – Puts
S&P 500 Index		4,020.00	06/03/22		(12	)		USD	(4,958,580	)		(9,720	)
S&P 500 Index		3,900.00	06/10/22		(13	)		USD	(5,371,795	)		(14,170	)
S&P 500 Index		4,155.00	06/17/22		(12	)		USD	(4,958,580	)		(121,200	)
		Total Index Options – Puts										(145,090	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Written Options — continued

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.IGS.38.V1-5Y

BCLY

90.00%

06/15/22

USD

(11,125,000

)

Fixed Spread

Pay

(5,379

)

CDX.NA.IGS.38.V1-5Y

GS

85.00%

06/15/22

USD

(19,469,000

)

Fixed Spread

Pay

(17,145

)

Total Written Options on Credit Default Swaps – Puts

(22,524

)

TOTAL WRITTEN OPTIONS (Premiums $413,068)

$

(167,614

)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread(1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract(2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.EUROPE.S34.V1-5Y	EUR	9,968,000		1.00%		0.65%		N/A		12/20/2025		Quarterly		(313,377	)		(130,961	)		182,416
CDX.NA.HYS.37.V1-5Y	USD	4,450,000		5.00%		4.29%		N/A		12/20/2026		Quarterly		(246,975	)		(120,484	)		126,491
ITRAXX.XOVER.S36.V1-5Y	EUR	6,675,000		5.00%		4.13%		N/A		12/20/2026		Quarterly		(237,665	)		(240,761	)		(3,096	)
CDX.NA.IGS.38.V1-5Y	USD	11,125,000		1.00%		0.80%		N/A		06/20/2027		Quarterly		(150,933	)		(105,543	)		45,390
													$	(948,950	)	$	(597,749	)	$	351,201

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.31.V1-5Y	CITI	USD	1,631,000		5.00%		5.78%		N/A		12/20/2023	Quarterly		(6,361	)		19,221			25,582
CDX.NA.HYS.31.V1-5Y	CITI	USD	1,780,000		5.00%		5.78%		N/A		12/20/2023	Quarterly		18,334			20,977			2,643
CMBX.NA.BBB-.11	GS	USD	1,440,000		3.00%		5.79%		N/A		11/18/2054	Monthly		54,713			174,455			119,742
CMBX.NA.BBB-.9	MLCS	USD	2,750,000		3.00%		7.73%		N/A		09/17/2058	Monthly		221,087			370,108			149,021
CMBX.NA.BBB-.9	CGMI	USD	1,110,000		3.00%		7.73%		N/A		09/17/2058	Monthly		128,808			149,389			20,581
CMBX.NA.BBB-.9	CGMI	USD	666,000		3.00%		7.73%		N/A		09/17/2058	Monthly		77,753			89,633			11,880
CMBX.NA.BBB-.12	GS	USD	1,260,000		3.00%		5.78%		N/A		08/17/2061	Monthly		49,804			171,392			121,588
CMBX.NA.BBB-.13	CGMI	USD	1,500,000		3.00%		5.72%		N/A		12/16/2072	Monthly		65,524			225,265			159,741
CMBX.NA.BBB-.13	GS	USD	576,500		3.00%		5.72%		N/A		12/16/2072	Monthly		35,496			86,577			51,081
CMBX.NA.BBB-.13	MSCI	USD	1,780,000		3.00%		5.72%		N/A		12/16/2072	Monthly		99,709			267,315			167,606
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,560,000		5.00%		1.28%		3,560,000 USD		12/20/2023	Quarterly		238,520			203,499			(35,021	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,187,000		5.00%		1.28%		1,187,000 USD		12/20/2023	Quarterly		121,668			67,852			(53,816	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,928,000		5.00%		1.28%		1,928,000 USD		12/20/2023	Quarterly		203,886			110,210			(93,676	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	4,388,727		5.00%		0.40%		4,388,727 USD		12/20/2024	Quarterly		756,836			489,853			(266,983	)
CDX.NA.HYS.35.V1-5Y	JPM	USD	1,780,000		5.00%		5.07%		1,780,000 USD		12/20/2025	Quarterly		129,940			(4,119	)		(134,059	)
CDX.NA.HYS.35.V1-5Y	MSCI	USD	2,160,000		5.00%		5.07%		2,160,000 USD		12/20/2025	Quarterly		158,760			(4,999	)		(163,759	)
ITRAXX.EUROPE.S34.V1-5Y	BOA	EUR	17,800,000		1.00%		0.27%		17,800,000 EUR		12/20/2025	Quarterly		857,391			492,580			(364,811	)
CDX.NA.HYS.37.V1-5Y	GS	USD	11,125,000		5.00%		0.75%		11,125,000 USD		12/20/2026	Quarterly		2,079,819			1,918,165			(161,654	)
ITRAXX.XOVER.S36.V1-5Y	MSCI	EUR	13,350,000		5.00%		1.06%		13,350,000 EUR		12/20/2026	Quarterly		2,317,344			2,326,138			8,794
CDX-NAHYS38V1-5Y	JPM	USD	5,000,000		5.00%		4.61%		5,000,000 USD		06/20/2027	Quarterly		278,230			79,390			(198,840	)
CMBX.NA.A.9	MLCS	USD	4,750,000		2.00%		2.61%		4,750,000 USD		09/17/2058	Monthly		9,294			(89,479	)		(98,773	)
CMBX.NA.A.9	CGMI	USD	1,112,500		2.00%		2.61%		1,112,500 USD		09/17/2058	Monthly		(33,096	)		(20,957	)		12,139
CMBX.NA.A.9	CGMI	USD	1,780,000		2.00%		2.61%		1,780,000 USD		09/17/2058	Monthly		(44,602	)		(33,531	)		11,071

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

OTC Credit Default Swaps (continued)

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) ($)
CMBX.NA.AAA.10	GS	USD	4,610,000		0.50%		0.47%		4,610,000 USD		11/17/2059		Monthly		42,163		6,314			(35,849	)
CMBX.NA.AAA.13	GS	USD	1,730,000		0.50%		0.64%		1,730,000 USD		12/16/2072		Monthly		4,051		(16,087	)		(20,138	)
														$	7,865,071	$	7,099,161		$	(765,910	)

^ 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, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month CAD CDOR	3.25%	CAD	24,000,000		06/15/2024	Semi-Annually		—			49,136			49,136
3 Month CAD CDOR	3.21%	CAD	14,230,000		06/15/2024	Semi-Annually		—			20,829			20,829
3.22%	3 Month CAD CDOR	CAD	121,570,000		06/15/2024	Semi-Annually		(44,916	)		(185,418	)		(140,502	)
0.31%	CHF - SARON - OIS - COMPOUND	CHF	84,000,000		06/15/2024	Annually		37,535			221,901			184,366
CHF -  SARON - OIS - COMPOUND	0.18%	CHF	14,460,000		06/15/2024	Annually		—			(79,467	)		(79,467	)
GBP - SONIA - COMPOUND	2.13%	GBP	43,470,000		06/15/2024	Annually		14,620			(268,570	)		(283,190	)
3 Month SEK STIBOR	2.15%	SEK	87,090,000		06/15/2024	Quarterly		7,669			8,978			1,309
3 Month SEK STIBOR	2.12%	SEK	45,000,000		06/15/2024	Quarterly		—			1,611			1,611
1.01%	6 Month EURIBOR	EUR	10,170,000		06/19/2024	Semi-Annually		799			21,133			20,334
6 Month EURIBOR	1.00%	EUR	50,080,000		06/19/2024	Semi-Annually		(8,592	)		(114,762	)		(106,170	)
USD - SOFR - COMPOUND	2.71%	USD	4,540,000		09/21/2024	Annually		263			(7,168	)		(7,431	)
3.39%	6 Month AUD BBSW	AUD	3,330,000		06/15/2032	Semi-Annually		—			63,285			63,285
3.44%	6 Month AUD BBSW	AUD	4,910,000		06/15/2032	Semi-Annually		—			79,325			79,325
3.60%	6 Month AUD BBSW	AUD	2,180,000		06/15/2032	Semi-Annually		(981	)		14,302			15,283
6 Month AUD BBSW	3.39%	AUD	27,980,000		06/15/2032	Semi-Annually		30,563			(535,940	)		(566,503	)
3.80%	6 Month AUD BBSW	AUD	3,150,000		06/15/2032	Semi-Annually		—			(17,871	)		(17,871	)
6 Month AUD BBSW	3.67%	AUD	2,100,000		06/15/2032	Semi-Annually		—			(5,277	)		(5,277	)
3.17%	3 Month CAD CDOR	CAD	3,510,000		06/15/2032	Semi-Annually		—			46,105			46,105
3.12%	3 Month CAD CDOR	CAD	4,320,000		06/15/2032	Semi-Annually		—			69,714			69,714
3.21%	3 Month CAD CDOR	CAD	4,620,000		06/15/2032	Semi-Annually		—			45,869			45,869
3.35%	3 Month CAD CDOR	CAD	2,440,000		06/15/2032	Semi-Annually		(3,159	)		1,416			4,575
3 Month CAD CDOR	3.40%	CAD	1,640,000		06/15/2032	Semi-Annually		—			4,979			4,979
3 Month CAD CDOR	3.53%	CAD	27,820,000		06/15/2032	Semi-Annually		19,926			325,541			305,615
3.25%	3 Month CAD CDOR	CAD	3,230,000		06/15/2032	Semi-Annually		—			23,914			23,914
3.27%	3 Month CAD CDOR	CAD	2,000,000		06/15/2032	Semi-Annually		—			11,805			11,805
3 Month CAD CDOR	3.15%	CAD	35,550,000		06/15/2032	Semi-Annually		10,293			(515,471	)		(525,764	)
3.51%	3 Month CAD CDOR	CAD	4,340,000		06/15/2032	Semi-Annually		—			(43,382	)		(43,382	)
3.48%	3 Month CAD CDOR	CAD	5,480,000		06/15/2032	Semi-Annually		—			(43,560	)		(43,560	)
3.37%	3 Month CAD CDOR	CAD	1,870,000		06/15/2032	Semi-Annually		—			(1,977	)		(1,977	)
3.48%	3 Month CAD CDOR	CAD	3,240,000		06/15/2032	Semi-Annually		—			(26,860	)		(26,860	)
1.31%	CHF - SARON - OIS - COMPOUND	CHF	3,700,000		06/15/2032	Annually		3,841			36,532			32,691
1.39%	CHF - SARON - OIS - COMPOUND	CHF	5,970,000		06/15/2032	Annually		—			13,811			13,811
1.23%	CHF - SARON - OIS - COMPOUND	CHF	3,120,000		06/15/2032	Annually		—			57,498			57,498
1.27%	CHF - SARON - OIS - COMPOUND	CHF	20,360,000		06/15/2032	Annually		—			284,067			284,067

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Centrally Cleared Interest Rate Swaps (continued)

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CHF - SARON - OIS - COMPOUND	1.25%	CHF	31,980,000		06/15/2032	Annually		26,013			(509,817	)		(535,830	)
CHF - SARON - OIS - COMPOUND	1.23%	CHF	2,860,000		06/15/2032	Annually		—			(52,706	)		(52,706	)
CHF - SARON - OIS - COMPOUND	1.26%	CHF	17,160,000		06/15/2032	Annually		(82,699	)		(256,490	)		(173,791	)
EUR - EuroSTR - COMPOUND	1.34%	EUR	1,810,000		06/15/2032	Annually		—			(41,620	)		(41,620	)
EUR - EuroSTR - COMPOUND	1.28%	EUR	2,960,000		06/15/2032	Annually		—			(84,079	)		(84,079	)
EUR - EuroSTR - COMPOUND	1.29%	EUR	2,960,000		06/15/2032	Annually		—			(83,779	)		(83,779	)
EUR - EuroSTR - COMPOUND	1.40%	EUR	1,600,000		06/15/2032	Annually		—			(26,758	)		(26,758	)
EUR - EuroSTR - COMPOUND	1.51%	EUR	3,010,000		06/15/2032	Annually		—			(16,244	)		(16,244	)
1.95%	GBP - SONIA - COMPOUND	GBP	51,600,000		06/15/2032	Annually		(285,204	)		1,192,051			1,477,255
1.98%	GBP - SONIA - COMPOUND	GBP	1,540,000		06/15/2032	Annually		—			29,162			29,162
1.87%	GBP - SONIA - COMPOUND	GBP	9,320,000		06/15/2032	Annually		(15,106	)		293,582			308,688
GBP - SONIA - COMPOUND	1.92%	GBP	5,300,000		06/15/2032	Annually		15,997			(136,090	)		(152,087	)
GBP - SONIA - COMPOUND	1.93%	GBP	3,840,000		06/15/2032	Annually		—			(95,376	)		(95,376	)
GBP - SONIA - COMPOUND	1.93%	GBP	5,760,000		06/15/2032	Annually		—			(145,321	)		(145,321	)
GBP - SONIA - COMPOUND	1.99%	GBP	18,000,000		06/15/2032	Annually		(35,345	)		(325,128	)		(289,783	)
GBP - SONIA - COMPOUND	1.96%	GBP	620,000		06/15/2032	Annually		—			(13,594	)		(13,594	)
3 Month NZD Bank Bill Rate	4.06%	NZD	3,740,000		06/15/2032	Quarterly		—			18,465			18,465
4.13%	3 Month NZD Bank Bill Rate	NZD	20,040,000		06/15/2032	Quarterly		7,935			(174,726	)		(182,661	)
2.37%	3 Month SEK STIBOR	SEK	35,000,000		06/15/2032	Quarterly		2,763			58,505			55,742
2.49%	3 Month SEK STIBOR	SEK	18,630,000		06/15/2032	Quarterly		717			10,798			10,081
3 Month SEK STIBOR	2.28%	SEK	306,830,000		06/15/2032	Quarterly		188,736			(778,140	)		(966,876	)
2.61%	3 Month SEK STIBOR	SEK	43,800,000		06/15/2032	Quarterly		—			(21,446	)		(21,446	)
2.60%	3 Month SEK STIBOR	SEK	43,400,000		06/15/2032	Quarterly		—			(16,313	)		(16,313	)
2.56%	3 Month SEK STIBOR	SEK	10,000,000		06/15/2032	Quarterly		—			(483	)		(483	)
2.56%	3 Month SEK STIBOR	SEK	13,800,000		06/15/2032	Quarterly		—			(792	)		(792	)
3 Month SEK STIBOR	2.46%	SEK	22,100,000		06/15/2032	Quarterly		—			(18,038	)		(18,038	)
2.52%	USD - SOFR - COMPOUND	USD	60,560,000		06/15/2032	Annually		(11,114	)		679,204			690,318
USD - SOFR - COMPOUND	2.71%	USD	2,510,000		06/15/2032	Annually		—			13,088			13,088
USD - SOFR - COMPOUND	2.72%	USD	4,600,000		06/15/2032	Annually		(5,425	)		29,861			35,286
USD - SOFR - COMPOUND	2.80%	USD	8,140,000		06/15/2032	Annually		—			109,491			109,491
USD - SOFR - COMPOUND	2.66%	USD	1,290,000		06/15/2032	Annually		—			1,897			1,897
USD - SOFR - COMPOUND	2.53%	USD	2,750,000		06/15/2032	Annually		—			(29,631	)		(29,631	)
USD - SOFR - COMPOUND	2.52%	USD	6,090,000		06/15/2032	Annually		—			(66,692	)		(66,692	)
USD - SOFR - COMPOUND	2.46%	USD	3,180,000		06/15/2032	Annually		—			(52,894	)		(52,894	)
1.75%	6 Month EURIBOR	EUR	10,070,000		06/16/2032	Semi-Annually		38,230			100,255			62,025
1.71%	6 Month EURIBOR	EUR	3,230,000		06/16/2032	Semi-Annually		—			45,038			45,038
6 Month EURIBOR	1.79%	EUR	2,190,000		06/16/2032	Semi-Annually		3,965			(13,070	)		(17,035	)
6 Month EURIBOR	1.81%	EUR	7,870,000		06/16/2032	Semi-Annually		1,955			(31,277	)		(33,232	)
CHF - SARON - OIS - COMPOUND	1.34%	CHF	20,410,000		09/21/2032	Annually		—			(294,208	)		(294,208	)
2.01%	GBP - SONIA - COMPOUND	GBP	18,080,000		09/21/2032	Annually		28,203			324,040			295,837
3 Month SEK STIBOR	2.51%	SEK	14,900,000		09/21/2032	Quarterly		—			(13,685	)		(13,685	)
2.64%	USD - SOFR - COMPOUND	USD	1,030,000		09/21/2032	Annually		(2,708	)		4,156			6,864
2.57%	USD - SOFR - COMPOUND	USD	1,370,000		09/21/2032	Annually		—			13,854			13,854
							$	(55,226	)	$	(818,922	)	$	(763,696	)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BCLY	USD	5,249,999		06/20/2022	Quarterly		(757	)		(43,486	)		(42,729	)
1 Month Federal Funds Rate plus 0.60%	Total Return on Equity Basket (f)	GS	USD	112,869		07/24/2022	Monthly		—			8,933			8,933
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.50%	GS	USD	305,541		07/24/2022	Monthly		—			(32,071	)		(32,071	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.75%	GS	USD	164,155		07/24/2022	Monthly		—			(7,879	)		(7,879	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.50%	GS	USD	467,568		07/24/2022	Monthly		—			(22,737	)		(22,737	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

OTC Total Return Swaps (continued)

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.75%	GS	USD	157,661		07/24/2022	Monthly		—			(8,276	)		(8,276	)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI	USD	4,999,999		09/20/2022	Quarterly		(3,156	)		224,731			227,887
Total Return on Equity Basket (f)	1 Month Federal Funds Rate plus 0.95%	MORD	USD	97,232		10/18/2022	Monthly		—			7,354			7,354
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	3,096,275		10/18/2022	Monthly		—			(70,865	)		(70,865	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate plus 1.00%	MORD	USD	84,680		12/19/2022	Monthly		—			(5,568	)		(5,568	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 1.50%	MORD	USD	89,518		03/20/2023	Monthly		—			1,878			1,878
0.15%	Total Return on Bloomberg Commodity Index	MSCI	USD	743,815		05/09/2023	Monthly		6,755			39,252			32,497
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	3,079,762		05/09/2023	Monthly		—			124,226			124,226
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	280,884		05/09/2023	Monthly		—			(9,363	)		(9,363	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	2,754,036		05/09/2023	Monthly		—			(90,381	)		(90,381	)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	3,485,902		05/12/2023	Monthly		—			246,593			246,593
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA	USD	3,485,554		05/12/2023	Monthly		—			(241,668	)		(241,668	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	973,300		05/22/2023	Monthly		—			32,591			32,591
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%	UBSA	USD	790,044		05/22/2023	Monthly		—			(30,855	)		(30,855	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 2.55%	MORD	USD	1,394,566		06/19/2023	Monthly		—			(115,051	)		(115,051	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	631,774		11/20/2023	Monthly		—			(24,367	)		(24,367	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.50%	GS	USD	37,176		05/24/2024	Monthly		—			(1,042	)		(1,042	)
								$	2,842		$	(18,051	)	$	(20,893	)

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

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security 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) Securities are traded on separate exchanges for the same entity.

(c) Investment valued using significant unobservable inputs.

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

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

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

(f) 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.

(g) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2022:

Shares		Description	% of Equity Basket			Value ($)
	240,000	Alibaba Health Information Technology Ltd		3.9	%		122,249
	610,000	Alibaba Pictures Group Ltd		1.7	%		53,638
	672,000	China Molybdenum Co Ltd – Class H		10.4	%		328,815
	42,000	China Resources Beer Holdings Co Ltd		8.3	%		261,772
	59,500	Citic Securities Co Ltd – Class H		4.1	%		128,779
	175,500	Cosco Shipping Holdings Co – Class H		9.8	%		310,532
	18,400	Ganfeng Lithium Co Ltd – Class H		7.5	%		235,843
	192,000	Greentown Service Group Co Ltd		6.1	%		193,120
	7,500	Hong Kong Exchanges and Clearing Ltd		10.2	%		323,610
	156,000	Kingdee International Software Group Co Ltd		9.7	%		307,207
	12,600	Kuaishou Technology		3.9	%		121,996
	16,000	New World Development Co Ltd		1.9	%		60,889
	172,800	Sands China Ltd		10.4	%		330,211
	282,000	Zijin Mining Group Co Ltd – Class H		12.1	%		380,897
		TOTAL COMMON STOCKS				$	3,159,558

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

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

CDOR - Canadian Dollar Offering Rate

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

EuroSTR - Euro Short-Term Rate

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

OIS - Overnight Indexed Swaps

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MLCS - Merrill Lynch Capital Services, Inc

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - 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

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

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, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	5,881,822	GMO Emerging Country Debt Fund, Class VI		119,342,163
	8,233,935	GMO High Yield Fund, Class VI		148,457,854
	352,434,615	GMO Implementation Fund		4,401,908,338
	6,777,695	GMO Opportunistic Income Fund, Class VI		170,730,135
	4,614,301	GMO SGM Major Markets Fund, Class VI		133,584,017
		TOTAL MUTUAL FUNDS (COST $5,213,191,468)		4,974,022,507
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,759,559	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		4,759,559
		TOTAL SHORT-TERM INVESTMENTS (COST $4,759,559)		4,759,559
		TOTAL INVESTMENTS — 100.1% (Cost $5,217,951,027)		4,978,782,066
		Other Assets and Liabilities (net) — (0.1%)		(4,112,422	)
		TOTAL NET ASSETS — 100.0%		$4,974,669,644

Notes to Schedule of Investments:

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

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 74.7%
		Argentina — 0.0%
	4,800	Banco BBVA Argentina SA ADR *		14,688
	3,496	Grupo Financiero Galicia SA ADR		32,198
		Total Argentina		46,886
		Australia — 1.4%
	54,811	Accent Group Ltd		52,466
	25,859	Adairs Ltd (a)		42,990
	185,630	Aurizon Holdings Ltd (b)		534,748
	362,046	Beach Energy Ltd		442,947
	256,040	BlueScope Steel Ltd		3,320,042
	210,495	Brambles Ltd (b)		1,640,486
	9,307	Brickworks Ltd		138,602
	59,855	CSR Ltd		200,072
	145,552	Dexus (REIT) (b)		1,093,424
	203,987	Fortescue Metals Group Ltd (a) (b)		2,944,970
	125,751	Genworth Mortgage Insurance Australia Ltd		269,068
	316,918	GPT Group (The) (REIT) (b)		1,092,280
	81,202	GrainCorp Ltd – Class A		571,932
	67,953	HomeCo Daily Needs (REIT)		65,782
	46,037	Incitec Pivot Ltd		116,044
	15,360	JB Hi-Fi Ltd (a)		506,320
	4,517	McMillan Shakespeare Ltd		38,136
	160,671	Metcash Ltd		495,593
	748	Mineral Resources Ltd		34,056
	645,306	Mirvac Group (REIT) (b)		1,045,224
	99,102	Mount Gibson Iron Ltd		48,589
	46,510	Rio Tinto Ltd (b)		3,805,321
	428,331	Scentre Group (REIT) (b)		880,716
	28,276	Sims Ltd		355,897
	24,820	Southern Cross Media Group Ltd (a)		25,330
	378,785	Stockland (REIT) (b)		1,085,579
	3,264	Virtus Health Ltd (b)		18,989
	4,084	Woodside Energy Group Ltd		86,157
		Total Australia		20,951,760
		Austria — 0.0%
	2,078	Vienna Insurance Group AG Wiener Versicherung Gruppe		50,010
		Belgium — 0.4%
	2,415	Ackermans & van Haaren NV		407,557
	39,613	Ageas SA/NV (a)		1,993,674
	12,104	Bekaert SA		488,885
	1,056	Cie d’Entreprises CFE *		117,654
	12,643	Econocom Group SA/NV (b)		49,479
	4,343	KBC Group NV		271,476
	2,246	Orange Belgium SA *		45,592
	20,096	Proximus SADP		346,577
	2,991	Sofina SA (a)		704,067

Shares		Description	Value ($)
		Belgium — continued
	19,545	UCB SA		1,724,399
	522	VGP NV (b)		101,279
		Total Belgium		6,250,639
		Brazil — 1.3%
	98,600	Banco do Brasil SA		759,746
	55,000	Blau Farmaceutica SA *		275,663
	27,500	Cia de Saneamento do Parana		116,132
	8,500	Cia Paranaense de Energia Sponsored ADR (b)		64,685
	18,400	Itau Unibanco Holding SA		86,724
	38,900	JBS SA		291,389
	567,900	Marfrig Global Foods SA		1,867,687
	280,800	Petroleo Brasileiro SA Sponsored ADR		3,897,504
	59,300	Ser Educacional SA		99,820
	326,400	Telefonica Brasil SA		3,506,059
	81,700	Telefonica Brasil SA ADR		877,458
	1,268,900	TIM SA		3,844,707
	17,000	TIM SA ADR		253,640
	31,000	Transmissora Alianca de Energia Eletrica SA		263,391
	9,552	Vale SA		173,271
	291,900	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		925,594
	428,040	Vibra Energia SA		1,750,870
		Total Brazil		19,054,340
		Canada — 2.3%
	7,100	AGF Management Ltd – Class B		38,676
	14,800	Bank of Montreal (a)		1,609,939
	19,000	Baytex Energy Corp *		104,700
	13,200	Birchcliff Energy Ltd		118,971
	50,300	BlackBerry Ltd * (b)		304,315
	63,448	Brookfield Asset Management Inc – Class A (b)		3,210,469
	11,500	Canaccord Genuity Group Inc		95,011
	27,700	Canadian Apartment Properties (REIT) (b)		1,084,042
	13,300	Canadian Tire Corp Ltd – Class A (a) (b)		1,827,311
	19,800	Canfor Corp *		419,058
	47,900	Celestica Inc * (a) (c)		529,424
	19,600	Celestica Inc * (c)		216,188
	3,700	Cenovus Energy Inc (c)		85,768
	15,500	Cenovus Energy Inc (c)		359,135
	3,703	Cogeco Inc (a)		228,208
	20,600	Corus Entertainment Inc – Class B		72,801
	4,100	DREAM Unlimited Corp – Class A		143,501
	3,000	Enerplus Corp		44,520
	600	Fairfax Financial Holdings Ltd		332,990
	16,700	Finning International Inc		443,890
	5,900	iA Financial Corp Inc		306,370
	2,600	Imperial Oil Ltd (c)		142,410
	16,800	Imperial Oil Ltd (c)		931,560

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	25,500	Interfor Corp *		679,005
	7,401	International Petroleum Corp *		78,735
	28,900	Magna International Inc		1,875,410
	63,600	Manulife Financial Corp (b) (c)		1,178,122
	7,100	Manulife Financial Corp (b) (c)		131,563
	2,400	Morguard North American Residential Real Estate Investment Trust (REIT)		33,756
	44,986	Nutrien Ltd		4,372,189
	16,100	Onex Corp		960,641
	23,000	Parex Resources Inc		509,333
	56,700	Power Corp of Canada		1,637,547
	25,100	PrairieSky Royalty Ltd (a)		375,850
	50,500	Quebecor Inc – Class B		1,145,867
	2,300	Russel Metals Inc (a)		57,679
	1,200	Spin Master Corp *		42,873
	16,300	Tamarack Valley Energy Ltd (a)		68,043
	92,000	Teck Resources Ltd – Class B (c)		3,814,270
	37,000	Teck Resources Ltd – Class B (c)		1,536,980
	11,300	Topaz Energy Corp		211,197
	2,000	Uni-Select Inc * (a)		45,634
	5,000	Wajax Corp		93,964
	22,200	West Fraser Timber Co Ltd		2,048,259
	8,400	Westshore Terminals Investment Corp (b)		240,408
		Total Canada		33,786,582
		Chile — 0.1%
	448,993	Banco de Chile		46,734
	1,243,441	Banco Santander Chile		62,192
	3,400	Banco Santander Chile ADR		67,626
	1,433	CAP SA		18,345
	76,723	Cencosud SA		122,983
	37,376	Cencosud Shopping SA		39,793
	7,100	Cia Cervecerias Unidas SA Sponsored ADR		99,471
	2,397,196	Colbun SA		178,976
	1,368	Empresas COPEC SA		10,861
	204,551	Falabella SA		598,955
	28,643	Inversiones La Construccion SA		108,142
		Total Chile		1,354,078
		China — 7.5%
	364,000	361 Degrees International Ltd *		181,932
	22,500	A-Living Smart City Services Co Ltd		35,871
	78,000	Agile Group Holdings Ltd		33,070
	15,220,136	Agricultural Bank of China Ltd – Class H		5,795,813
	38,000	Akeso Inc *		78,747
	188,335	Alibaba Group Holding Ltd *		2,261,946
	59,200	Angang Steel Co Ltd – Class A		30,736
	9,100	Anhui Conch Cement Co Ltd – Class A		50,241
	50,000	Anhui Conch Cement Co Ltd – Class H		253,253
	22,720	ANTA Sports Products Ltd		257,635
	19,096	Autohome Inc ADR		693,949

Shares		Description	Value ($)
		China — continued
	11,584	Autohome Inc – Class A		102,818
	2,695,500	BAIC Motor Corp Ltd – Class H		864,980
	4,500	Baidu Inc Sponsored ADR * (b)		631,575
	252,596	Bank of China Ltd – Class A		121,017
	13,388,000	Bank of China Ltd – Class H		5,352,138
	5,628,091	Bank of Communications Co Ltd – Class H		3,833,102
	149,500	Beijing Enterprises Holdings Ltd		523,382
	103,400	BYD Electronic International Co Ltd		229,482
	740,000	China BlueChemical Ltd – Class H		260,319
	94,500	China Bohai Bank Co Ltd – Class H		15,635
	4,077,000	China Cinda Asset Management Co Ltd – Class H		690,962
	2,310,354	China Communications Services Corp Ltd – Class H		1,081,911
	109,656	China Construction Bank Corp – Class A		98,451
	3,245,480	China Construction Bank Corp – Class H		2,405,925
	164,000	China Datang Corp Renewable Power Co Ltd – Class H		57,022
	1,845,040	China Dongxiang Group Co Ltd		100,991
	95,000	China Education Group Holdings Ltd		65,598
	4,886,000	China Energy Engineering Corp Ltd – Class H (a)		671,979
	1,377,000	China Everbright Environment Group Ltd		827,803
	905,280	China Feihe Ltd		913,681
	1,058,000	China Greenfresh Group Co Ltd (e)		—
	16,000	China High Speed Transmission Equipment Group Co Ltd *		9,153
	1,925,000	China Hongqiao Group Ltd (a)		2,385,885
	662,920	China Lesso Group Holdings Ltd		851,183
	52,000	China Lilang Ltd		25,084
	147,000	China Longyuan Power Group Corp Ltd – Class H		313,024
	850,645	China Medical System Holdings Ltd		1,256,972
	423,000	China Molybdenum Co Ltd – Class A		301,516
	60,000	China Molybdenum Co Ltd – Class H		29,358
	844,000	China National Building Material Co Ltd – Class H		1,064,599
	112,640	China Oriental Group Co Ltd		29,529
	714,000	China Overseas Grand Oceans Group Ltd		363,658
	1,395,860	China Overseas Land & Investment Ltd		4,050,639
	338	China Petroleum & Chemical Corp ADR (b)		17,728
	1,028,199	China Petroleum & Chemical Corp – Class A		684,550
	10,616,000	China Petroleum & Chemical Corp – Class H		5,084,668
	5,714,042	China Railway Group Ltd – Class H		3,949,307
	1,122,120	China Reinsurance Group Corp – Class H		98,687
	32,240	China Resources Gas Group Ltd		134,889
	141,440	China Resources Land Ltd		629,509
	1,879,500	China Resources Pharmaceutical Group Ltd		1,038,015
	112,100	China Shenhua Energy Co Ltd – Class A		570,850
	171,000	China Shenhua Energy Co Ltd – Class H		571,076
	96,000	China Shineway Pharmaceutical Group Ltd		72,203
	1,156,000	China South City Holdings Ltd		97,088

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	936,000	China State Construction International Holdings Ltd		1,100,073
	17,899	China Suntien Green Energy Corp Ltd – Class A		32,735
	38,000	China Suntien Green Energy Corp Ltd – Class H		22,141
	2,374,000	China Traditional Chinese Medicine Holdings Co Ltd		1,253,225
	2,900	China Yuchai International Ltd		30,450
	1,776,400	China Zhongwang Holdings Ltd * (a) (d)		380,308
	3,551,000	CITIC Ltd		3,982,470
	3,342,000	CSPC Pharmaceutical Group Ltd		3,570,843
	2,804,000	Dongfeng Motor Group Co Ltd – Class H		2,202,115
	20,000	Dongyue Group Ltd		25,379
	33,460	ENN Energy Holdings Ltd		511,939
	711,500	Fosun International Ltd		721,422
	1,034,000	GOME Retail Holdings Ltd *		51,404
	74,240	Guangdong Investment Ltd		93,608
	224,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		625,035
	1,798,000	Guangzhou R&F Properties Co Ltd – Class H (a)		637,582
	203,000	Hello Group Inc Sponsored ADR		1,234,240
	94,080	Hisense Home Appliances Group Co Ltd – Class A		174,716
	158,000	Hisense Home Appliances Group Co Ltd – Class H		164,315
	61,210	Hopson Development Holdings Ltd (a)		99,713
	33,000	Huabao International Holdings Ltd		17,747
	1,331,080	Industrial & Commercial Bank of China Ltd – Class H		797,078
	445,012	Inner Mongolia Eerduosi Resources Co Ltd – Class A		1,820,010
	1,647	JD.com Inc – Class A		46,265
	321,500	Kingboard Holdings Ltd		1,538,184
	6,240	Kingboard Laminates Holdings Ltd		10,466
	96,000	Kunlun Energy Co Ltd		82,280
	158,380	KWG Group Holdings Ltd (a)		49,723
	66,000	Lee & Man Paper Manufacturing Ltd		32,048
	364,000	Legend Holdings Corp – Class H		431,396
	3,816,000	Lenovo Group Ltd		3,759,936
	120,381	Livzon Pharmaceutical Group Inc – Class H		384,968
	35,320	Logan Group Co Ltd (a) (d)		9,812
	1,037,520	Lonking Holdings Ltd		270,672
	3,572,000	Metallurgical Corp of China Ltd – Class H		901,266
	52,000	MMG Ltd *		22,036
	23,500	NetDragon Websoft Holdings Ltd		47,221
	6,600	NetEase Inc ADR (b)		684,618
	883,000	Nexteer Automotive Group Ltd		570,150
	38,500	PetroChina Co Ltd ADR		2,009,315
	764,799	PetroChina Co Ltd – Class A		642,000
	3,780,000	PetroChina Co Ltd – Class H		1,990,539

Shares		Description	Value ($)
		China — continued
	4,055,600	PICC Property & Casualty Co Ltd – Class H		3,927,269
	465,000	Ping An Insurance Group Co of China Ltd – Class H		2,977,315
	745,000	Poly Property Group Co Ltd		178,368
	835,332	Postal Savings Bank of China Co Ltd – Class A		658,992
	845,000	Powerlong Real Estate Holdings Ltd (a)		226,989
	58,000	Road King Infrastructure Ltd		44,681
	785,000	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,278,119
	1,294,500	Shimao Group Holdings Ltd (a) (d)		729,138
	65,000	Sihuan Pharmaceutical Holdings Group Ltd (a)		9,341
	616,000	Sino-Ocean Land Holdings Ltd		109,061
	778,520	Sinopec Engineering Group Co Ltd – Class H		397,361
	1,377,600	Sinopharm Group Co Ltd – Class H		3,407,401
	741,860	Sinotruk Hong Kong Ltd		1,052,158
	2,346,000	Skyworth Group Ltd		1,196,966
	102,500	Sun Art Retail Group Ltd		30,774
	1,768,000	Sunac China Holdings Ltd (a) (d)		1,031,889
	228,000	Sunac Services Holdings Ltd * (a)		122,762
	24,132	Sunny Optical Technology Group Co Ltd		380,845
	783,000	TCL Electronics Holdings Ltd		382,603
	55,971	Tencent Holdings Ltd		2,558,903
	13,400	Tencent Holdings Ltd ADR (b)		610,236
	9,600	Tencent Music Entertainment Group ADR *		40,128
	554,000	Tianjin Port Development Holdings Ltd		44,360
	458,960	Tianneng Power International Ltd (a)		438,648
	19,500	Venus MedTech Hangzhou Inc – Class H *		33,610
	167,400	Vipshop Holdings Ltd ADR *		1,556,820
	195,000	Weimob Inc *		117,420
	412,000	West China Cement Ltd		62,484
	35,940	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		70,598
	104,500	Zhongsheng Group Holdings Ltd		741,103
	241,200	Zijin Mining Group Co Ltd – Class A		361,936
		Total China		109,960,855
		Czech Republic — 0.0%
	62	Komercni Banka AS		1,930
	62,965	Moneta Money Bank AS		209,596
	212	Philip Morris CR AS		157,070
		Total Czech Republic		368,596
		Denmark — 0.5%
	149	AP Moller – Maersk A/S – Class A (b)		430,068
	740	AP Moller – Maersk A/S – Class B (b)		2,168,483
	1,303	Carlsberg A/S – Class B		165,854
	134,819	Danske Bank A/S		2,205,799

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Denmark — continued
	7,316	Matas A/S		101,231
	18,072	Pandora A/S		1,459,961
	18,368	Scandinavian Tobacco Group A/S		394,576
		Total Denmark		6,925,972
		Egypt — 0.0%
	62,093	Commercial International Bank Egypt SAE		137,743
	249,818	Eastern Co SAE		142,174
	129,207	Fawry for Banking & Payment Technology Services SAE *		28,426
	24,934	Misr Fertilizers Production Co SAE		136,997
		Total Egypt		445,340
		Finland — 0.4%
	2,416	Aktia Bank Oyj		25,862
	13,292	Kesko Oyj – B Shares		332,791
	48,402	Neste Oyj		2,223,246
	412,698	Nokia Oyj		2,074,187
	113,529	Outokumpu Oyj		655,460
	60,629	Stora Enso Oyj – R Shares		1,176,074
		Total Finland		6,487,620
		France — 1.9%
	20,056	ALD SA (b)		278,567
	249	Alten SA (b)		33,239
	11,595	APERAM SA		480,167
	67,324	ArcelorMittal SA		2,155,520
	1,273	Arkema SA		154,121
	700	Axway Software SA		12,782
	66,098	BNP Paribas SA (a)		3,783,157
	721	Boiron SA		34,060
	680	Bonduelle SCA		12,253
	37,746	Cie de Saint-Gobain (b)		2,237,349
	6,339	CNP Assurances		142,256
	35,219	Coface SA		415,511
	51,072	Derichebourg SA		411,935
	1,504	Eramet SA *		227,914
	118	Euroapi SA *		1,715
	389	HEXAOM		11,908
	15,042	Ipsen SA		1,506,088
	12,647	IPSOS		614,415
	1,514	Kaufman & Broad SA		46,711
	3,448	Kering SA (b)		1,896,509
	4,574	LVMH Moet Hennessy Louis Vuitton SE (b)		2,953,093
	1,761	Mersen SA		62,045
	22,849	Metropole Television SA		399,420
	42,784	Publicis Groupe SA (b)		2,343,557
	12,431	Quadient SA		259,160
	1,204	Rothschild & Co		47,541
	33,003	Safran SA		3,419,476
	2,730	Sanofi (b)		292,132
	4,820	Societe BIC SA		275,439

Shares		Description	Value ($)
		France — continued
	101,229	Societe Generale SA		2,727,871
	12,700	STMicroelectronics NV – NY Shares		509,016
	577	Synergie SE		21,501
	59,222	Television Francaise 1		491,197
	2,155	TotalEnergies SE (b)		127,540
	369	Vilmorin & Cie SA		17,106
		Total France		28,402,271
		Germany — 1.2%
	10,395	ADVA Optical Networking SE *		158,869
	137	Amadeus Fire AG		20,021
	5,423	Aurubis AG		512,262
	24,229	Bayer AG (Registered)		1,733,537
	23,724	Bayerische Motoren Werke AG		2,061,112
	19,974	Beiersdorf AG		2,073,127
	478	Cewe Stiftung & Co KGaA		46,158
	19,254	Deutsche Pfandbriefbank AG		214,637
	846	Draegerwerk AG & Co KGaA (b)		37,999
	1,126	Elmos Semiconductor SE		56,945
	26,244	Fresenius SE & Co KGaA (b)		900,129
	4,219	Hamburger Hafen und Logistik AG (b)		74,068
	29,214	HeidelbergCement AG		1,706,191
	3,256	Hornbach Holding AG & Co KGaA		411,095
	71,169	Kloeckner & Co SE *		886,308
	45,333	Mercedes-Benz Group AG (b)		3,230,402
	8,669	Merck KGaA (b)		1,634,529
	2,286	RTL Group SA		105,969
	11,082	Salzgitter AG *		454,116
	7,944	SAP SE (b)		796,362
	3,031	Takkt AG		50,104
	1,019	Traton SE		18,812
	3,122	Volkswagen AG		707,661
		Total Germany		17,890,413
		Greece — 0.0%
	12,055	FF Group * (e)		—
	10,858	Hellenic Telecommunications Organization SA		205,918
	13,323	JUMBO SA		221,442
		Total Greece		427,360
		Hong Kong — 0.9%
	86,900	ASM Pacific Technology Ltd		791,199
	80,600	Bank of East Asia Ltd (The)		116,714
	58,400	Champion (REIT)		27,078
	53,000	Chow Sang Sang Holdings International Ltd		57,299
	404,000	CITIC Telecom International Holdings Ltd		136,931
	47,500	CK Asset Holdings Ltd (b)		309,710
	352,000	CK Hutchison Holdings Ltd (b)		2,493,435
	550,000	CSI Properties Ltd		12,619
	100,500	Dah Sing Banking Group Ltd		87,259

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	30,000	Dah Sing Financial Holdings Ltd		88,813
	530,000	First Pacific Co Ltd		232,137
	236,495	Galaxy Entertainment Group Ltd		1,259,798
	104,000	Giordano International Ltd		20,264
	8,000	HK Electric Investments & HK Electric Investments Ltd (b)		7,655
	299,000	HKT Trust & HKT Ltd – Class SS		411,671
	194,000	IGG Inc		78,335
	86,500	Johnson Electric Holdings Ltd		112,646
	113,000	K Wah International Holdings Ltd		42,764
	54,500	Kerry Logistics Network Ltd		124,437
	93,500	Kerry Properties Ltd		242,343
	48,800	Luk Fook Holdings International Ltd		113,216
	9,500	Orient Overseas International Ltd (b)		291,364
	267,000	Pacific Textiles Holdings Ltd		122,635
	29,760	PAX Global Technology Ltd		23,503
	286,000	PCCW Ltd		155,946
	133,500	Power Assets Holdings Ltd (b)		871,648
	268,000	Shun Tak Holdings Ltd *		55,588
	55,500	SmarTone Telecommunications Holdings Ltd		29,398
	93,000	Sun Hung Kai & Co Ltd		43,117
	43,000	Sun Hung Kai Properties Ltd (b)		525,721
	53,500	Swire Pacific Ltd – Class A (b)		324,599
	56,500	Texhong Textile Group Ltd		60,959
	180,000	Texwinca Holdings Ltd		31,407
	232,000	VSTECS Holdings Ltd		191,329
	73,800	VTech Holdings Ltd		551,470
	2,542,500	WH Group Ltd		1,944,166
	219,880	Xinyi Glass Holdings Ltd		555,779
	110,000	Yue Yuen Industrial Holdings Ltd *		159,894
		Total Hong Kong		12,704,846
		Hungary — 0.1%
	26,596	MOL Hungarian Oil & Gas Plc		190,821
	47,386	OTP Bank Nyrt Plc		1,128,842
		Total Hungary		1,319,663
		India — 2.6%
	43,950	Adani Power Ltd *		181,626
	5	Amara Raja Batteries Ltd		32
	242,669	Arvind Ltd *		309,660
	19,526	Asian Paints Ltd		714,244
	5	Astral Ltd		111
	60,206	Axis Bank Ltd *		527,481
	4,001	Bajaj Consumer Care Ltd		7,001
	11,640	Bharat Electronics Ltd		35,048
	25,597	Bharat Petroleum Corp Ltd		107,787
	141,815	Brightcom Group Ltd		116,783
	2,326	Clean Science & Technology Ltd *		51,528
	339,351	Coal India Ltd		845,702
	3	Colgate-Palmolive India Ltd		63

Shares		Description	Value ($)
		India — continued
	1,704	Coromandel International Ltd		20,720
	1,300	Cummins India Ltd		16,980
	2	Cyient Ltd		20
	42,558	Dhampur Bio Organics Ltd * (d)		18,556
	39,333	Dhampur Sugar Mills Ltd		125,373
	2,681	Emami Ltd		14,284
	736,310	GAIL India Ltd		1,393,510
	25,282	Glenmark Pharmaceuticals Ltd		127,463
	12,454	Grasim Industries Ltd		227,455
	13,630	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		116,028
	152,512	Gujarat State Fertilizers & Chemicals Ltd		328,426
	6,909	Gujarat State Petronet Ltd		22,537
	70,854	HCL Technologies Ltd		945,335
	8,455	HDFC Asset Management Co Ltd		205,559
	22,248	HDFC Bank Ltd		393,517
	4,800	HDFC Bank Ltd ADR		276,336
	244,785	Hindalco Industries Ltd		1,345,127
	10,385	Hindustan Aeronautics Ltd		243,770
	149,455	Hindustan Petroleum Corp Ltd		436,597
	17,007	Hindustan Zinc Ltd		65,672
	18,492	Housing Development Finance Corp Ltd		541,572
	96,682	ICICI Bank Ltd		925,702
	37,612	Indiabulls Housing Finance Ltd		56,500
	307,318	Indian Oil Corp Ltd		459,183
	25,423	Indus Towers Ltd		65,699
	13,107	Infosys Ltd		254,002
	65,100	Infosys Ltd Sponsored ADR (b)		1,227,786
	1,624,177	ITC Ltd		5,652,208
	301,021	Karnataka Bank Ltd (The)		258,929
	8	KEI Industries Ltd		126
	1	KNR Constructions Ltd		3
	8,158	Mahanagar Gas Ltd		79,272
	77	Manappuram Finance Ltd		94
	4,853	Marico Ltd		33,237
	17,328	Mindtree Ltd		678,128
	341,667	National Aluminium Co Ltd		422,225
	24,979	NBCC India Ltd		10,646
	35,842	NCC Ltd		29,453
	50,102	NHPC Ltd		21,784
	642,082	NMDC Ltd		1,043,627
	580,554	NTPC Ltd		1,176,468
	23	Oberoi Realty Ltd *		236
	2,898,563	Oil & Natural Gas Corp Ltd		5,663,974
	482	Oracle Financial Services Software Ltd		20,397
	42,616	Petronet LNG Ltd		124,773
	1	PI Industries Ltd		36
	3	Polycab India Ltd		94
	924,865	Power Finance Corp Ltd		1,321,845
	185,341	Power Grid Corp of India Ltd		552,839
	6,569	Prestige Estates Projects Ltd		36,116
	56,068	Rajesh Exports Ltd		388,917

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		India — continued
	910,618	REC Ltd		1,397,141
	152,384	Redington India Ltd		254,093
	1,934	Reliance Industries Ltd		64,930
	2,047	Sobha Ltd		14,472
	233,277	Sun Pharmaceutical Industries Ltd		2,593,614
	12,668	Sun TV Network Ltd		72,118
	21,814	Tata Consultancy Services Ltd		940,840
	109,391	Tata Steel Ltd		1,485,920
	24,037	Titan Co Ltd		707,561
	331,438	TV18 Broadcast Ltd *		170,425
	35,130	Vardhman Textiles Ltd		129,755
	7,963	Welspun Corp Ltd		23,518
		Total India		38,120,589
		Indonesia — 0.5%
	1,230,400	Adaro Energy Indonesia Tbk PT		276,147
	5,578,900	Bank Central Asia Tbk PT		2,951,802
	1,313,300	Bank Mandiri Persero Tbk PT		766,213
	138,047	Bank Negara Indonesia Persero Tbk PT		86,730
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		138,446
	5,730,900	Bank Rakyat Indonesia Persero Tbk PT		1,815,412
	939,200	Bukit Asam Tbk PT		291,722
	77,500	Indo Tambangraya Megah Tbk PT		186,576
	76,400	Indocement Tunggal Prakarsa Tbk PT		50,917
	776,100	Kalbe Farma Tbk PT		89,118
	2,116,700	Media Nusantara Citra Tbk PT		140,531
	963,900	Panin Financial Tbk PT *		18,507
	1,233,124	Telkom Indonesia Persero Tbk PT		364,057
	12,748	United Tractors Tbk PT		27,431
		Total Indonesia		7,203,609
		Ireland — 0.5%
	20,655	AIB Group Plc		55,305
	294,057	Bank of Ireland Group Plc		1,986,670
	3,140	CRH Plc Sponsored ADR (b)		130,279
	12,899	Glanbia Plc		149,614
	87,947	Hibernia REIT Plc		150,985
	3,227	Kingspan Group Plc		265,665
	15,644	Origin Enterprises Plc		74,861
	9,611	Permanent TSB Group Holdings Plc *		15,083
	114,409	Ryanair Holdings Plc *		1,752,510
	13,723	Ryanair Holdings Plc Sponsored ADR * (b)		1,196,645
	5,110	Smurfit Kappa Group Plc (c)		207,305
	32,426	Smurfit Kappa Group Plc (c)		1,310,820
		Total Ireland		7,295,742
		Israel — 0.3%
	104,947	Bank Leumi Le-Israel BM		1,044,916
	1,529	First International Bank of Israel Ltd (The)		58,953
	86	Fox Wizel Ltd		10,913
	12,916	Isracard Ltd		54,847

Shares		Description	Value ($)
		Israel — continued
	8	Israel Corp Ltd (The) *		4,331
	376,073	Oil Refineries Ltd		158,758
	243,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		2,217,670
		Total Israel		3,550,388
		Italy — 0.9%
	10,377	ACEA SPA (b)		188,635
	17,859	Anima Holding SPA		86,099
	24,762	Banca IFIS SPA		451,857
	59,157	Banco BPM SPA		206,640
	55,960	Cofide SPA *		26,467
	22,116	Credito Emiliano SPA		143,398
	73,161	Enel SPA (b)		475,336
	7,761	Eni SPA		117,545
	2,100	Eni SpA Sponsored ADR		63,630
	7,503	Esprinet SPA (a)		65,607
	65,881	EXOR NV (a)		4,866,061
	160,865	Italgas SPA (b)		1,038,803
	81,981	Leonardo SPA *		882,716
	1,797	Salcef SPA		37,483
	83,704	Stellantis NV		1,255,826
	4,089,679	Telecom Italia SPA (a)		1,307,909
	792,821	Telecom Italia SPA – RSP		242,467
	4,760	Unieuro SPA (a)		91,209
	227,970	Unipol Gruppo SPA		1,219,955
		Total Italy		12,767,643
		Japan — 13.3%
	12,500	ADEKA Corp		244,181
	195,600	Aeon Mall Co Ltd		2,361,483
	66,600	AGC Inc (a)		2,505,202
	6,100	Aichi Corp		41,714
	20,200	Aisin Corp		661,340
	75,300	Amano Corp		1,458,473
	6,600	AOKI Holdings Inc		34,333
	51,100	Arcs Co Ltd		765,728
	295,600	Asahi Kasei Corp		2,388,316
	24,700	Astellas Pharma Inc (b)		394,482
	3,600	Bando Chemical Industries Ltd		25,095
	68,400	Brother Industries Ltd		1,258,888
	1,900	Calbee Inc		35,164
	900	Canon Electronics Inc		10,790
	69,100	Canon Inc (a)		1,754,851
	500	Canon Inc Sponsored ADR		12,695
	6,800	Canon Marketing Japan Inc		159,071
	1,600	Cawachi Ltd		25,288
	3,000	Central Glass Co Ltd		65,345
	1,600	Chiyoda Integre Co Ltd		24,192
	121,700	Chugoku Marine Paints Ltd (a)		803,762
	76,400	Citizen Watch Co Ltd		325,446
	3,900	CONEXIO Corp		41,923

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	36,500	Dai Nippon Printing Co Ltd		835,122
	5,400	Dai Nippon Toryo Co Ltd		31,679
	1,500	Dai-Dan Co Ltd		23,839
	1,400	Daiichi Jitsugyo Co Ltd		35,479
	43,200	Daiwa House Industry Co Ltd (b)		1,040,435
	270,200	Daiwabo Holdings Co Ltd		3,607,648
	99,800	Denka Co Ltd		2,476,178
	2,800	Dentsu Group Inc (a)		93,217
	1,400	Dowa Holdings Co Ltd		51,220
	3,900	DTS Corp (b)		92,549
	2,500	Ehime Bank Ltd (The)		15,697
	1,300	Eizo Corp		34,917
	181,800	EXEO Group Inc		2,911,053
	78,100	Ezaki Glico Co Ltd (a)		2,257,393
	129,200	Fuji Corp		2,212,829
	9,800	Fuji Electric Co Ltd		459,586
	3,200	FUJIFILM Holdings Corp		176,254
	500	Fujitsu Ltd (b)		75,076
	2,600	Furuno Electric Co Ltd		20,284
	4,000	G-7 Holdings Inc (a)		43,970
	9,300	Hanwa Co Ltd		214,967
	225,200	Haseko Corp		2,686,433
	24,500	Hazama Ando Corp		149,845
	1,800	Heiwado Co Ltd		26,266
	52,100	Hogy Medical Co Ltd (b)		1,232,794
	166,800	Honda Motor Co Ltd		4,153,348
	16,300	Hosiden Corp		154,225
	2,300	Hyakujushi Bank Ltd (The)		30,953
	21,200	Idemitsu Kosan Co Ltd		571,812
	35,200	Iida Group Holdings Co Ltd		555,287
	6,900	Inabata & Co Ltd		118,584
	369,500	Inpex Corp		4,741,063
	39,100	Isuzu Motors Ltd		458,860
	147,400	ITOCHU Corp (b)		4,228,246
	3,700	Itochu Enex Co Ltd		29,931
	600	Itochu-Shokuhin Co Ltd		21,741
	24,000	Itoham Yonekyu Holdings Inc		119,827
	11,600	Itoki Corp (a)		35,696
	6,800	Jaccs Co Ltd		176,876
	127,600	Japan Tobacco Inc (b)		2,322,567
	139,000	JFE Holdings Inc		1,709,998
	93,100	JVCKenwood Corp		137,531
	305,500	K’s Holdings Corp		3,054,391
	5,100	Kaga Electronics Co Ltd		122,735
	99,800	Kajima Corp		1,072,489
	3,500	Kamei Corp		28,787
	15,100	Kandenko Co Ltd		93,946
	4,300	Kaneka Corp		110,356
	128,300	Kanematsu Corp		1,300,416
	2,800	Kanto Denka Kogyo Co Ltd		20,172
	161,300	KDDI Corp		5,627,126
	14,900	Kinden Corp		171,473

Shares		Description	Value ($)
		Japan — continued
	9,400	Kintetsu World Express Inc (b)		304,800
	181,000	Kirin Holdings Co Ltd		2,799,794
	1,597	Kohnan Shoji Co Ltd		45,330
	13,401	Komeri Co Ltd		286,300
	81,800	Konoike Transport Co Ltd (b)		739,832
	1,300	Kureha Corp		103,059
	3,000	Kyokuto Kaihatsu Kogyo Co Ltd		32,003
	103,500	Kyudenko Corp		2,143,936
	6,800	Lintec Corp		126,627
	7,400	Macnica Fuji Electronics Holdings Inc		162,953
	94,900	Macromill Inc (a)		735,648
	116,200	Mandom Corp		1,279,443
	126,800	Marubeni Corp		1,329,284
	109,800	Maruichi Steel Tube Ltd		2,533,764
	2,100	Maruzen Showa Unyu Co Ltd		49,935
	103,700	Maxell Ltd		1,012,410
	11,800	MCJ Co Ltd		79,512
	41,300	Mebuki Financial Group Inc		78,603
	15,400	MEIJI Holdings Co Ltd		758,780
	1,300	Melco Holdings Inc		37,047
	80,500	Mitsubishi Corp (b)		2,778,211
	2,200	Mitsubishi Research Institute Inc (b)		70,457
	1,400	Mitsubishi Shokuhin Co Ltd		33,783
	405,600	Mitsubishi UFJ Financial Group Inc		2,307,459
	3,100	Mitsuboshi Belting Ltd		67,233
	25,600	Mitsui & Co Ltd (b)		643,035
	6,200	Mitsui DM Sugar Holdings Co Ltd		89,427
	60,300	Mitsui OSK Lines Ltd (b)		1,602,379
	90,800	Morinaga & Co Ltd		2,764,937
	76,600	MS&AD Insurance Group Holdings Inc		2,437,132
	74,900	NEC Corp (b)		3,008,575
	27,200	NGK Spark Plug Co Ltd		515,331
	99,200	NH Foods Ltd		3,023,621
	7,500	Nichias Corp		131,281
	5,200	Nichiha Corp		96,984
	6,100	Nichireki Co Ltd		61,820
	63,100	Nikon Corp		782,964
	3,000	Nippn Corp		36,464
	2,000	Nippon Densetsu Kogyo Co Ltd		24,637
	2,200	Nippon Soda Co Ltd		68,344
	108,000	Nippon Steel Corp		1,882,076
	3,000	Nippon Steel Trading Corp		124,958
	31,200	Nippon Suisan Kaisha Ltd		126,265
	171,900	Nippon Telegraph & Telephone Corp (b)		5,251,958
	38,200	Nippon Television Holdings Inc		361,076
	1,500	Nissin Corp		19,704
	8,400	Nissin Electric Co Ltd		95,727
	5,800	Nojima Corp		132,241
	700	Nomura Real Estate Holdings Inc (b)		17,506
	1,600	Noritake Co Ltd		52,444
	264,000	Obayashi Corp		1,869,164
	9,500	Okamura Corp		81,146

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	15,500	Organo Corp		1,176,288
	56,100	ORIX Corp		1,066,541
	2,500	Osaka Soda Co Ltd		58,202
	112,200	Pacific Industrial Co Ltd		927,103
	405,300	Penta-Ocean Construction Co Ltd		1,993,351
	4,300	Prima Meat Packers Ltd		70,411
	5,700	Proto Corp		43,933
	8,300	Raito Kogyo Co Ltd		108,167
	27,500	Resona Holdings Inc		103,386
	2,200	Restar Holdings Corp		34,934
	900	Rion Co Ltd		18,031
	27,900	Rohm Co Ltd		2,280,423
	2,800	Roland DG Corp		67,116
	1,300	Ryobi Ltd		11,029
	18,400	San-A Co Ltd		561,292
	10,800	Sanki Engineering Co Ltd		121,432
	81,600	Sankyu Inc (b)		2,442,328
	52,500	Sawai Group Holdings Co Ltd		1,548,747
	42,200	Secom Co Ltd (b)		2,779,027
	7,400	Sega Sammy Holdings Inc		137,191
	38,600	Seiko Epson Corp		646,192
	3,500	Seiko Holdings Corp		70,525
	5,300	Sekisui Chemical Co Ltd		75,811
	142,200	Sekisui House Ltd		2,526,575
	2,900	Sekisui Jushi Corp		37,738
	10,200	Shimamura Co Ltd		861,813
	203,700	Shimizu Corp		1,082,408
	7,700	Shizuoka Gas Co Ltd (a)		49,066
	800	Sinanen Holdings Co Ltd		21,666
	3,600	Sinko Industries Ltd		44,006
	111,760	Sojitz Corp		1,772,285
	200,300	Stanley Electric Co Ltd		3,631,350
	52,800	Subaru Corp		916,546
	170,400	SUMCO Corp (a)		2,745,765
	971,100	Sumitomo Chemical Co Ltd		4,014,103
	104,300	Sumitomo Corp		1,492,334
	144,400	Sumitomo Pharma Co Ltd (a)		1,235,692
	30,200	Sumitomo Forestry Co Ltd (a)		463,332
	3,900	Sumitomo Heavy Industries Ltd (a)		91,937
	113,900	Sumitomo Mitsui Financial Group Inc		3,493,256
	104,000	Sumitomo Mitsui Trust Holdings Inc		3,145,574
	1,500	Sumitomo Seika Chemicals Co Ltd		33,775
	4,300	Sumitomo Warehouse Co Ltd (The) (b)		71,542
	7,500	Suzuki Motor Corp		222,109
	260,100	T&D Holdings Inc		3,004,746
	4,000	T-Gaia Corp		50,724
	80,200	Tachi-S Co Ltd		715,138
	57,100	Taisei Corp		1,702,561
	130,800	Takara Holdings Inc		971,036
	32,900	Takara Leben Co Ltd		84,490
	167,100	Takuma Co Ltd		1,842,150
	3,000	Tamron Co Ltd		56,926

Shares		Description	Value ($)
		Japan — continued
	247,600	Teijin Ltd		2,546,443
	117,800	THK Co Ltd (a)		2,405,791
	71,400	Toho Holdings Co Ltd (b)		1,081,756
	235,100	Tokai Carbon Co Ltd (a)		1,982,008
	85,600	Tokyo Gas Co Ltd (b)		1,672,339
	72,700	Tokyo Seimitsu Co Ltd		2,796,899
	8,200	Tokyu Construction Co Ltd		37,159
	161,000	Toppan Inc		3,025,842
	110,300	Tosei Corp		961,643
	179,984	Tosoh Corp		2,615,363
	8,300	Towa Pharmaceutical Co Ltd		154,512
	28,500	Toyo Construction Co Ltd		184,130
	24,600	Toyota Boshoku Corp		397,474
	48,900	Toyota Industries Corp		3,143,140
	14,600	Toyota Tsusho Corp		557,308
	2,200	TPR Co Ltd		21,458
	200	Tsubakimoto Chain Co		4,909
	70,000	Tsumura & Co		1,595,361
	7,100	TV Asahi Holdings Corp		79,961
	13,300	Ulvac Inc (a)		560,310
	5,300	Wacoal Holdings Corp		81,926
	12,000	YAMABIKO Corp (a)		110,145
	47,400	Yamaha Motor Co Ltd		959,217
	5,300	Yamazen Corp		38,771
	2,600	Yellow Hat Ltd		32,569
	42,100	Yokogawa Bridge Holdings Corp		629,454
	3,100	Yokohama Rubber Co Ltd (The)		39,776
	5,500	Yuasa Trading Co Ltd		136,523
	71,700	Zenkoku Hosho Co Ltd (a)		2,379,741
		Total Japan		195,522,358
		Kuwait — 0.0%
	13,850	Humansoft Holding Co KSC		140,293
	136,436	Kuwait Finance House KSCP		400,098
		Total Kuwait		540,391
		Luxembourg — 0.1%
	38,500	Ternium SA Sponsored ADR		1,692,845
		Malaysia — 0.1%
	171,300	DRB-Hicom Bhd		47,615
	3,600	Fraser & Neave Holdings Bhd		15,944
	116,300	Kossan Rubber Industries Bhd		43,796
	356,200	Petronas Chemicals Group Bhd		834,055
	77,800	Syarikat Takaful Malaysia Keluarga Bhd		61,788
	152,700	Westports Holdings Bhd		120,284
		Total Malaysia		1,123,482
		Mexico — 1.3%
	36,136	America Movil SAB de CV – Class L Sponsored ADR		771,142
	544,500	America Movil SAB de CV – Series L		586,817
	40,712	Arca Continental SAB de CV		274,778

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	88,200	Banco del Bajio SA		219,195
	52,000	Becle SAB de CV		117,129
	2,676	Coca-Cola Femsa SAB de CV Sponsored ADR		159,623
	495,200	Credito Real SAB de CV SOFOM ER *		9,083
	66,092	El Puerto de Liverpool SAB de CV – Class C1		349,829
	452,824	Fomento Economico Mexicano SAB de CV		3,388,041
	8,904	Fomento Economico Mexicano SAB de CV Sponsored ADR		666,375
	70,308	Gentera SAB de CV		53,658
	1,440	Gruma SAB de CV – Class B		17,261
	6,439	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		46,400
	3,840	Grupo Aeroportuario del Sureste SAB de CV – Class B		83,982
	121,600	Grupo Bimbo SAB de CV – Series A		398,774
	815,200	Grupo Financiero Banorte SAB de CV – Class O		5,270,084
	25,856	Grupo Financiero Inbursa SAB de CV – Class O *		53,353
	968,185	Grupo Mexico SAB de CV – Series B		4,780,292
	39,500	Industrias Bachoco SAB de CV – Series B		153,882
	53,856	Kimberly-Clark de Mexico SAB de CV – Class A		83,327
	36,900	Megacable Holdings SAB de CV CPO		104,679
	37,400	Qualitas Controladora SAB de CV		186,995
	23,400	Regional SAB de CV		138,720
	8,151	Unifin Financiera SAB de CV SOFOM ENR *		6,995
	468,100	Wal-Mart de Mexico SAB de CV		1,731,070
		Total Mexico		19,651,484
		Netherlands — 1.4%
	97,222	ABN AMRO Bank NV CVA GDR (a)		1,135,196
	406,598	Aegon NV (a)		2,164,746
	34,100	AerCap Holdings NV *		1,685,904
	5,377	ASR Nederland NV		244,829
	9,049	ForFarmers NV		28,904
	119	Hunter Douglas NV *		22,278
	120,430	ING Groep NV		1,361,781
	58,898	JDE Peet’s NV (a)		1,723,557
	111,428	Koninklijke Ahold Delhaize NV (b)		3,072,662
	13,882	Koninklijke BAM Groep NV *		39,778
	38,492	Koninklijke KPN NV		140,110
	28,053	Koninklijke Philips NV (b)		723,112
	47,915	NN Group NV		2,374,743
	2,740	PostNL NV (b)		9,323
	33,536	Prosus NV (a)		1,733,791
	55,815	Randstad NV (a) (b)		3,140,376
	14,911	Signify NV		594,552
	21,691	Stellantis NV		325,481

Shares		Description	Value ($)
		Netherlands — continued
	2,168	Wolters Kluwer NV (b)		213,920
		Total Netherlands		20,735,043
		New Zealand — 0.1%
	78,269	Auckland International Airport Ltd * (b)		380,561
	293,915	Meridian Energy Ltd (b)		898,683
	62,536	Spark New Zealand Ltd		197,796
		Total New Zealand		1,477,040
		Norway — 0.5%
	8,762	Austevoll Seafood ASA		117,860
	13,640	BW LPG Ltd		112,324
	56,440	Equinor ASA		2,141,714
	57,898	Europris ASA		298,079
	6,707	Kongsberg Gruppen ASA		239,907
	347,028	Norsk Hydro ASA		2,784,639
	34,763	Orkla ASA		273,591
	9,764	Selvaag Bolig ASA		45,632
	17,433	SpareBank 1 Nord Norge		173,227
	19,287	SpareBank 1 SMN		261,846
	26,439	SpareBank 1 SR-Bank ASA		337,487
	1,158	Stolt-Nielsen Ltd (b)		21,455
	34,489	Wallenius Wilhelmsen ASA (b)		247,936
		Total Norway		7,055,697
		Panama — 0.0%
	297,879	BAC Holding International Corp *		26,533
		Peru — 0.1%
	15,000	Southern Copper Corp		926,700
		Philippines — 0.0%
	10,800	GT Capital Holdings Inc		103,416
	4,691	Manila Electric Co		33,409
	758,080	Megaworld Corp		39,898
	33,900	Puregold Price Club Inc		21,335
		Total Philippines		198,058
		Poland — 0.3%
	14,555	Asseco Poland SA		262,731
	131,434	Bank Polska Kasa Opieki SA		2,868,568
	3,461	Budimex SA		179,077
	54,085	Cyfrowy Polsat SA		284,321
	21	LPP SA		50,472
	31,084	Polski Koncern Naftowy ORLEN SA		536,513
	188,573	Polskie Gornictwo Naftowe i Gazownictwo SA		264,335
	6,916	Powszechna Kasa Oszczednosci Bank Polski SA *		51,658
	20,644	Powszechny Zaklad Ubezpieczen SA		156,503
		Total Poland		4,654,178

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Portugal — 0.4%
	910,031	Banco Comercial Portugues SA – Class R *		187,055
	228,425	EDP – Energias de Portugal SA		1,144,538
	213,854	Galp Energia SGPS SA		2,792,110
	22,059	Jeronimo Martins SGPS SA		450,952
	55,164	Navigator Co SA (The)		246,280
	65,679	NOS SGPS SA		278,940
	56,010	REN – Redes Energeticas Nacionais SGPS SA		173,473
	626,748	Sonae SGPS SA		742,998
		Total Portugal		6,016,346
		Qatar — 0.1%
	7,568	Qatar Gas Transport Co Ltd		7,776
	293,943	Qatar National Bank QPSC		1,737,687
	14,520	Qatar National Cement Co QSC		19,932
		Total Qatar		1,765,395
		Russia — 0.2%
	3,038,020	Alrosa PJSC (e)		250,110
	10,190	Detsky Mir PJSC (e)		756
	148,200,000	Federal Grid Co Unified Energy System PJSC (e)		15,722
	68,395	Fix Price Group Ltd GDR (e)		16,349
	164,130	Gazprom Neft PJSC (e)		76,798
	3,296	Gazprom Neft PJSC Sponsored ADR (e)		7,681
	497,450	Gazprom PJSC (e)		163,009
	776,704	Gazprom PJSC Sponsored ADR (e)		507,015
	7,736	Globaltrans Investment Plc Sponsored GDR (Registered) (e)		2,777
	6,310,100	Inter RAO UES PJSC (e)		22,244
	1	LSR Group PJSC GDR (Registered) (e)		—
	19,776	LSR Group PJSC – Class A (e)		11,044
	13	LUKOIL PJSC (e)		59
	74,931	LUKOIL PJSC Sponsored ADR (e)		338,147
	7,805	Magnit PJSC Sponsored GDR (Registered) (e)		8,048
	1,468,850	Magnitogorsk Iron & Steel Works PJSC (e)		58,513
	30,345	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) (e)		15,652
	12,700	Mechel PJSC Sponsored ADR * (e)		3,664
	45,541	MMC Norilsk Nickel PJSC ADR (e)		102,164
	16,770	Mobile TeleSystems PJSC (e)		4,770
	20,400	Mobile TeleSystems PJSC ADR (e)		11,558
	361,420	Moscow Exchange MICEX-RTS PJSC * (e)		35,480
	3,294,000	Mosenergo PJSC (e)		6,958
	7,572	Novatek PJSC Sponsored GDR (Registered) (e)		76,561
	117,310	Novolipetsk Steel PJSC (e)		18,884
	109,470	Novolipetsk Steel PJSC GDR (e)		175,517
	67	PhosAgro PJSC GDR * (e) (f)		177
	10,398	PhosAgro PJSC GDR (Registered) (e)		27,439
	130,264	Polymetal International Plc		388,147

Shares		Description	Value ($)
		Russia — continued
	622	Polyus PJSC (e)		8,065
	19,187	Polyus PJSC GDR (Registered) (e)		123,905
	1,352	QIWI Plc Sponsored ADR (c) (e)		608
	46,000	QIWI Plc Sponsored ADR (c) (e)		23,979
	5,248	Ros Agro Plc GDR (Registered) (e)		5,386
	1,879,040	ROSSETI PJSC (e)		1,347
	23,515,000	RusHydro PJSC (e)		21,038
	9,562	RusHydro PJSC ADR (e)		852
	1,286,440	Sberbank of Russia PJSC * (e) (f)		169,769
	597,803	Sberbank of Russia PJSC Sponsored ADR (e) (f)		314,311
	91,185	Severstal PAO GDR (Registered) (e)		98,763
	425	Severstal PJSC (e)		462
	11,580	SFI PJSC * (e)		6,686
	2,709,800	Surgutneftegas PJSC (e)		67,305
	323,082	Surgutneftegas PJSC Sponsored ADR (e)		79,927
	55,398	Tatneft PJSC Sponsored ADR (e)		144,773
	1,300,440	Unipro PJSC (e)		1,784
	50,950	United Co Rusal International PJSC * (e)		3,362
	8,456	X5 Retail Group NV GDR (Registered) (e)		9,383
		Total Russia		3,426,948
		Saudi Arabia — 0.2%
	2,155	Abdullah Al Othaim Markets Co		63,589
	3,003	Al Rajhi Bank		78,999
	5,099	Co for Cooperative Insurance (The)		81,114
	2,676	Jarir Marketing Co		115,611
	74,010	Saudi Arabian Oil Co		826,492
	42,841	Saudi Basic Industries Corp		1,308,833
	37,236	Saudi Telecom Co		1,020,366
		Total Saudi Arabia		3,495,004
		Singapore — 0.7%
	77,000	AIMS APAC (REIT)		77,456
	20,400	Ascendas India Trust		16,945
	46,000	Ascendas Real Estate Investment Trust (REIT)		93,544
	76,994	Capitaland Investment Ltd		221,457
	1,272	CDL Hospitality Trusts (REIT)		1,156
	55,200	City Developments Ltd		332,140
	185,400	ComfortDelGro Corp Ltd		194,048
	96,135	DBS Group Holdings Ltd		2,167,376
	187,200	First Real Estate Investment Trust (a)		38,842
	1,318,100	Golden Agri-Resources Ltd		273,454
	326,340	Japfa Ltd (a)		144,786
	39,116	Jardine Cycle & Carriage Ltd		836,229
	189,800	Keppel Corp Ltd		950,165
	100,620	Lendlease Global Commercial (REIT)		60,164
	89,000	Sasseur Real Estate Investment Trust		53,545
	27,500	Sheng Siong Group Ltd		30,685
	237,800	Silverlake Axis Ltd		53,799
	700	Singapore Exchange Ltd		4,853

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	142,200	StarHub Ltd		128,567
	19,000	UOL Group Ltd		102,990
	239,600	Wilmar International Ltd		728,962
	2,284,999	Yangzijiang Financial Holding Ltd *		833,911
	3,381,299	Yangzijiang Shipbuilding Holdings Ltd		2,277,604
	220,000	Yanlord Land Group Ltd		179,183
		Total Singapore		9,801,861
		South Africa — 0.9%
	351,473	Absa Group Ltd		4,128,979
	1,426	Anglo American Platinum Ltd		156,063
	24,016	Aspen Pharmacare Holdings Ltd		247,723
	19,085	Astral Foods Ltd		233,416
	59,991	Barloworld Ltd		378,179
	91,555	Bidvest Group Ltd (The)		1,276,254
	77,272	Blue Label Telecoms Ltd *		27,733
	3,237	Capitec Bank Holdings Ltd		465,728
	35,314	Investec Ltd		217,880
	54,013	Kumba Iron Ore Ltd		2,033,997
	18,305	Lewis Group Ltd		60,685
	31,586	Metair Investments Ltd		55,759
	107,042	Motus Holdings Ltd		784,327
	154,649	MTN Group Ltd		1,666,969
	4,856	Ninety One Ltd		13,338
	27,686	Raubex Group Ltd		69,803
	32,778	Reunert Ltd		85,667
	492,133	RMB Holdings Ltd *		47,293
	262,794	Telkom SA SOC Ltd *		780,726
	22,061	Tiger Brands Ltd		202,057
	144,979	Truworths International Ltd		504,831
	76,434	Tsogo Sun Gaming Ltd *		63,232
	15,741	Wilson Bayly Holmes-Ovcon Ltd		82,333
		Total South Africa		13,582,972
		South Korea — 4.0%
	223,018	BNK Financial Group Inc		1,421,557
	3,466	Cheil Worldwide Inc		72,633
	289	Coway Co Ltd		16,629
	29,430	Daewoo Engineering & Construction Co Ltd *		155,046
	1,986	Daihan Pharmaceutical Co Ltd		46,357
	5,533	Daou Data Corp		58,879
	2,851	DB Insurance Co Ltd		149,105
	87,683	DGB Financial Group Inc		615,935
	1,374	DL E&C Co Ltd		57,828
	34,093	Dongwon Development Co Ltd		133,954
	2,748	Fila Holdings Corp		70,248
	23,183	GS Engineering & Construction Corp		742,801
	1,141	GS Retail Co Ltd		24,758
	109,575	Hana Financial Group Inc		4,382,265
	91	Hana Materials Inc		4,730
	1,994	Handsome Co Ltd		61,749

Shares		Description	Value ($)
		South Korea — continued
	37,303	Hankook Tire & Technology Co Ltd		1,070,186
	20,828	Hanwha Investment & Securities Co Ltd		69,007
	25,646	Hanwha Life Insurance Co Ltd *		54,356
	19,213	HDC Hyundai Development Co-Engineering & Construction		214,541
	439	Hyosung TNC Corp		151,304
	29,104	Hyundai Engineering & Construction Co Ltd		1,014,437
	3,750	Hyundai Home Shopping Network Corp		178,345
	1,771	Hyundai Mobis Co Ltd		311,089
	2,160	Hyundai Motor Co GDR (Registered)		79,831
	33,634	Industrial Bank of Korea		305,850
	56,972	JB Financial Group Co Ltd		411,912
	42,754	KB Financial Group Inc		2,089,536
	6,500	KB Financial Group Inc ADR		318,110
	6,534	KC Co Ltd		120,750
	166	KCC Corp		46,495
	643	KCC Glass Corp		29,997
	111,623	Kia Corp		7,700,433
	505	KIWOOM Securities Co Ltd		38,834
	895	Korea Petrochemical Ind Co Ltd		112,267
	6,570	Korea Real Estate Investment & Trust Co Ltd		10,542
	1,394	Korea Zinc Co Ltd		667,497
	20,967	KT Skylife Co Ltd		157,113
	122,248	KT&G Corp		8,388,143
	6,808	Kumho Petrochemical Co Ltd		877,401
	7,264	LF Corp		114,379
	5,926	LG Corp		382,217
	45,939	LG Electronics Inc		3,874,768
	490	LG Household & Health Care Ltd		289,375
	148	LG Innotek Co Ltd		45,736
	3,772	Lotte Chemical Corp		621,135
	17,745	LOTTE Fine Chemical Co Ltd		1,198,368
	3,273	LX Semicon Co Ltd		333,957
	10,567	NAVER Corp		2,446,783
	1,743	NH Investment & Securities Co Ltd		15,169
	10,030	POSCO Holdings Inc		2,331,368
	22,946	POSCO Sponsored ADR		1,319,854
	652	PSK Inc		23,781
	5	S-Oil Corp		461
	7,767	Samjin Pharmaceutical Co Ltd		158,623
	6	Samsung C&T Corp		584
	90,086	Samsung Electronics Co Ltd		4,898,691
	658	Samsung Electronics Co Ltd GDR (Registered)		883,870
	14,123	Samsung Engineering Co Ltd *		279,221
	449	Samsung Fire & Marine Insurance Co Ltd		71,929
	697	Samsung SDS Co Ltd		83,345
	15,481	SD Biosensor Inc		623,882
	326	Sebang Global Battery Co Ltd		16,413
	93,069	Shinhan Financial Group Co Ltd		3,239,841
	1,631	SK Telecom Co Ltd		75,100

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	32,193	SK Telecom Co Ltd Sponsored ADR		823,175
	2,438	SL Corp		61,260
	167,653	Woori Financial Group Inc		2,019,243
	5,838	Woori Technology Investment Co Ltd *		32,632
	3,270	Youngone Corp		122,007
		Total South Korea		58,819,617
		Spain — 1.6%
	1,676	Acciona SA (b)		323,198
	187,064	Acerinox SA		2,426,999
	49,292	Amadeus IT Group SA * (b)		3,067,129
	28,450	Atresmedia Corp de Medios de Comunicacion SA (a)		119,079
	795,215	Banco Bilbao Vizcaya Argentaria SA		4,351,632
	2,753,922	Banco de Sabadell SA		2,470,104
	1,037,490	Banco Santander SA (a)		3,365,426
	7,836	Bankinter SA		49,826
	25,606	Cia de Distribucion Integral Logista Holdings SA (b)		495,401
	5,682	Enagas SA (b)		130,091
	33,423	Faes Farma SA		143,949
	897	Grupo Catalana Occidente SA		28,017
	82,054	Industria de Diseno Textil SA (b)		1,977,894
	71,514	Mediaset Espana Comunicacion SA *		311,659
	4,905	Red Electrica Corp SA (b)		101,628
	141,738	Repsol SA		2,274,378
	189,924	Telefonica SA (a)		1,032,658
	80,010	Unicaja Banco SA		79,906
		Total Spain		22,748,974
		Sweden — 0.5%
	19,875	Industrivarden AB – A Shares (a)		515,540
	31,795	Industrivarden AB – C Shares (a)		825,106
	44,225	Investor AB – A Shares		923,170
	95,006	Investor AB – B Shares (b)		1,782,030
	23,656	Inwido AB		322,541
	55,924	Kinnevik AB – Class B *		1,117,489
	1,701	KNOW IT AB (b)		56,285
	15,131	New Wave Group AB – B Shares		246,543
	40,013	Skanska AB – B Shares		691,105
	2,790	SSAB AB – A Shares		17,240
	15,081	SSAB AB – B Shares		86,987
	20,043	Svenska Cellulosa AB SCA – Class B		363,801
		Total Sweden		6,947,837
		Switzerland — 0.6%
	46,808	Adecco Group AG (Registered)		1,824,732
	83	ALSO Holding AG (Registered)		17,084
	2,071	BKW AG (b)		236,079
	2,011	Bobst Group SA (Registered)		154,796
	1,888	Cie Financiere Richemont SA – Class A (Registered)		210,116
	957	Leonteq AG		58,897

Shares		Description	Value ($)
		Switzerland — continued
	15,234	Logitech International SA (Registered)		931,864
	2,853	Mobilezone Holding AG (Registered)		46,145
	2,575	Novartis AG (Registered) (b)		233,912
	55	Roche Holding AG (b) (c)		21,498
	12,641	Roche Holding AG (b) (c)		4,307,938
	60,705	UBS Group AG (Registered) (b)		1,144,816
		Total Switzerland		9,187,877
		Taiwan — 5.1%
	84,560	Acer Inc		84,223
	7,207	Acter Group Corp Ltd		50,276
	313,000	AmTRAN Technology Co Ltd		139,943
	18,000	Asia Vital Components Co Ltd		69,463
	620,035	Asustek Computer Inc		7,259,375
	19,000	Aten International Co Ltd		51,561
	149,000	AU Optronics Corp		91,507
	8,400	Aurora Corp		25,368
	715,000	Catcher Technology Co Ltd		4,024,359
	1,384,399	Cathay Financial Holding Co Ltd		2,640,616
	107,651	Chailease Holding Co Ltd		828,328
	66,000	Chicony Electronics Co Ltd		195,423
	151,000	China Steel Corp		179,494
	513,000	Chipbond Technology Corp		1,222,458
	9,280	Chong Hong Construction Co Ltd		24,110
	173,000	Chunghwa Telecom Co Ltd		751,876
	2,100	Chunghwa Telecom Co Ltd Sponsored ADR		90,300
	814,000	Compal Electronics Inc		642,958
	61,000	Compeq Manufacturing Co Ltd		98,833
	133,440	Coretronic Corp		256,865
	42,000	Delta Electronics Inc		345,584
	64,000	Elan Microelectronics Corp		326,053
	63,000	Elite Material Co Ltd		501,385
	31,000	Far EasTone Telecommunications Co Ltd		84,867
	91,000	Farglory Land Development Co Ltd		205,136
	62,000	First Financial Holding Co Ltd		58,164
	128,719	FLEXium Interconnect Inc *		447,448
	16,000	Formosa Petrochemical Corp		53,210
	317,000	Formosa Plastics Corp		1,143,173
	228,821	Foxconn Technology Co Ltd		427,902
	1,629,175	Fubon Financial Holding Co Ltd		3,572,406
	6,080	Fusheng Precision Co Ltd		42,736
	15,000	Gamania Digital Entertainment Co Ltd		35,029
	11,560	Getac Holdings Corp		18,049
	64,000	Gigabyte Technology Co Ltd		247,266
	265,000	Grand Pacific Petrochemical		222,485
	58,000	HannStar Display Corp		24,801
	31,000	Hiwin Technologies Corp		238,627
	22,000	Holiday Entertainment Co Ltd		42,438
	13,000	Holtek Semiconductor Inc		44,442
	2,943,318	Hon Hai Precision Industry Co Ltd		11,412,183
	69,000	Huaku Development Co Ltd		224,074

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	86,820	IEI Integration Corp		133,344
	32,721	Innodisk Corp		224,321
	69,000	Innolux Corp		32,904
	16,938	International Games System Co Ltd		436,787
	104,000	King’s Town Bank Co Ltd		128,323
	31,000	Kung Long Batteries Industrial Co Ltd		145,053
	22,000	Largan Precision Co Ltd		1,259,070
	519,000	Lite-On Technology Corp		1,122,776
	2,807	Makalot Industrial Co Ltd		15,740
	191,000	MediaTek Inc		5,905,936
	27,120	Mega Financial Holding Co Ltd		36,029
	5,408	Merry Electronics Co Ltd		15,231
	264,000	Micro-Star International Co Ltd		1,217,202
	329,000	Mitac Holdings Corp		316,569
	293,000	Nan Ya Plastics Corp		857,050
	123,903	Nantex Industry Co Ltd		218,672
	22,000	Nanya Technology Corp		50,208
	26,000	Nichidenbo Corp		48,640
	4,800	Nien Made Enterprise Co Ltd		51,898
	69,000	Novatek Microelectronics Corp		955,807
	36,000	Oneness Biotech Co Ltd *		234,243
	27,000	Pegatron Corp		64,435
	73,000	Phison Electronics Corp		987,606
	1,115,000	Pou Chen Corp		1,196,637
	19,000	Powertech Technology Inc		63,781
	147,000	Quanta Computer Inc		401,132
	64,472	Radiant Opto-Electronics Corp		231,044
	550,400	Ruentex Development Co Ltd		1,454,309
	227,400	Ruentex Industries Ltd		661,363
	31,760	Shin Zu Shing Co Ltd		94,001
	68,000	Shinkong Insurance Co Ltd		125,599
	22,900	Simplo Technology Co Ltd		236,383
	7,945	Sinmag Equipment Corp		26,569
	28,000	Sitronix Technology Corp		246,715
	29,750	Syncmold Enterprise Corp		68,582
	626,000	Taiwan Cement Corp		917,028
	30,000	Taiwan Sakura Corp		67,502
	430,000	Taiwan Semiconductor Manufacturing Co Ltd		8,131,698
	34,885	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)		3,324,541
	1,760	TCI Co Ltd		9,501
	36,000	Teco Electric and Machinery Co Ltd		38,206
	9,000	Test Research Inc		20,581
	36,681	TOPBI International Holdings Ltd *		18,050
	40,000	Transcend Information Inc		99,060
	59,000	Tripod Technology Corp		235,493
	27,000	Tung Ho Steel Enterprise Corp		58,835
	37,624	United Integrated Services Co Ltd		232,923
	148,000	Universal Inc		162,616
	24,000	Vanguard International Semiconductor Corp		88,032

Shares		Description	Value ($)
		Taiwan — continued
	10,000	Via Technologies Inc		18,100
	12,000	Walsin Technology Corp		47,453
	9,000	Wan Hai Lines Ltd		48,173
	5,000	Yageo Corp		69,159
	187,000	Yang Ming Marine Transport Corp *		794,144
	2,598,000	Yuanta Financial Holding Co Ltd		2,168,606
	6,000	Yulon Nissan Motor Co Ltd		50,336
	9,000	Zeng Hsing Industrial Co Ltd		42,878
		Total Taiwan		74,351,668
		Thailand — 0.9%
	123,300	Advanced Info Service Pcl NVDR		781,065
	2,359,200	AP Thailand Pcl NVDR		771,988
	447,300	Bangkok Bank Pcl NVDR		1,710,810
	32,300	CP ALL Pcl (Foreign Registered)		62,476
	34,600	CP ALL Pcl NVDR		66,925
	10,300	Kasikornbank Pcl (Foreign Registered)		44,185
	910,000	Kasikornbank Pcl NVDR		3,903,684
	154,700	Kiatnakin Phatra Bank Pcl NVDR		325,342
	2,930,200	Krung Thai Bank Pcl NVDR		1,292,059
	53,632	Pruksa Holding Pcl NVDR		21,131
	199,600	PTT Exploration & Production Pcl NVDR		982,716
	592,300	PTT Global Chemical Pcl NVDR		833,307
	390,400	PTT Pcl NVDR		434,732
	4,815,000	Sansiri Pcl NVDR		160,257
	60,800	Siam Cement Pcl NVDR (The)		659,827
	141,300	Somboon Advance Technology Pcl NVDR		79,982
	270,400	Sri Trang Gloves Thailand Pcl NVDR		158,578
	23,760	Supalai Pcl (Foreign Registered)		14,164
	97,624	Supalai Pcl NVDR		58,197
	928,300	Thai Union Group Pcl NVDR		466,053
	80,000	Thai Vegetable Oil Pcl NVDR		75,935
		Total Thailand		12,903,413
		Turkey — 0.5%
	3,414,053	Akbank TAS		1,732,535
	321,553	Arcelik AS		1,525,442
	48,799	Dogus Otomotiv Servis ve Ticaret AS		206,638
	20,084	Enerjisa Enerji AS		18,123
	58,950	Eregli Demir ve Celik Fabrikalari TAS		122,656
	32,816	Ford Otomotiv Sanayi AS		616,685
	1,377,214	Haci Omer Sabanci Holding AS		1,785,118
	3,624	Koza Altin Isletmeleri AS *		43,650
	38,035	Tofas Turk Otomobil Fabrikasi AS		175,740
	237,464	Turkiye Garanti Bankasi AS		210,773
	37,729	Vestel Elektronik Sanayi ve Ticaret AS		61,996
	2,877,865	Yapi ve Kredi Bankasi AS		809,153
		Total Turkey		7,308,509
		United Kingdom — 4.1%
	130,026	3i Group Plc		2,079,374

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	3,173	AG Barr Plc		21,350
	215,911	Airtel Africa Plc		418,711
	3,386	Bank of Georgia Group Plc		68,436
	403,685	Barratt Developments Plc		2,568,283
	44,711	Bellway Plc		1,314,654
	77,528	Berkeley Group Holdings Plc		4,105,937
	90,200	BP Plc Sponsored ADR (b)		2,919,774
	40,772	British American Tobacco Plc (b)		1,798,254
	39,400	British American Tobacco Plc Sponsored ADR (b)		1,743,056
	2,098,945	BT Group Plc		4,947,198
	23,471	Bunzl Plc		818,252
	172,537	Centrica Plc * (b)		172,150
	11,654	CMC Markets Plc (a)		46,460
	135,319	Coca-Cola HBC AG *		2,981,256
	201,276	Compass Group Plc (b)		4,511,868
	1,575	Computacenter Plc (b)		50,374
	25,412	Crest Nicholson Holdings Plc		83,470
	295	DCC Plc		20,858
	4,137	EMIS Group Plc (b)		67,749
	23,265	Evraz Plc (e)		600
	215,800	Ferrexpo Plc		476,767
	11,710	Galliford Try Holdings Plc		25,809
	51,297	Glencore Plc * (b)		338,333
	4,567	Grafton Group Plc		53,936
	20,700	GSK Plc Sponsored ADR (b)		908,730
	72,648	Halfords Group Plc		205,368
	48,217	Imperial Brands Plc		1,088,740
	129,118	Indivior Plc *		538,533
	22,506	International Personal Finance Plc		23,486
	111,145	Investec Plc		674,344
	273,068	ITV Plc		242,032
	4,789	Keller Group Plc		46,988
	852,402	Kingfisher Plc		2,830,836
	280,010	Legal & General Group Plc		916,711
	1,377,574	M&G Plc		3,751,109
	16,499	Morgan Advanced Materials Plc		66,587
	11,562	Morgan Sindall Group Plc		303,770
	4,766	Next Plc (b)		389,626
	15,283	Ninety One Plc		43,373
	51,485	OSB Group Plc		336,804
	27,741	Paragon Banking Group Plc		171,925
	101,411	Persimmon Plc		2,781,822
	33,611	Pets at Home Group Plc		146,821
	63,511	Plus500 Ltd		1,247,163
	81,802	Premier Foods Plc		121,946
	35,451	Redde Northgate Plc (b)		168,361
	109,372	Redrow Plc		733,120
	2,200	Rio Tinto Plc Sponsored ADR (b)		161,568
	52,540	Royal Mail Plc (b)		205,755
	51,753	Serica Energy Plc		169,683
	138,731	Shell Plc (b)		4,103,102

Shares		Description	Value ($)
		United Kingdom — continued
	25,400	Shell Plc ADR (b)		1,504,188
	34,236	Spirent Communications Plc		100,263
	550,739	Taylor Wimpey Plc		903,493
	3,340	TBC Bank Group Plc		62,369
	13,903	Unilever Plc (c)		669,201
	19,589	Unilever Plc (b) (c)		946,373
	12,980	Vesuvius Plc		57,684
	5,872	Vistry Group Plc		67,004
	15,400	Vodafone Group Plc Sponsored ADR		256,256
	151,501	WPP Plc (b)		1,758,846
		Total United Kingdom		60,336,889
		United States — 14.9%
	19,500	Advanced Micro Devices, Inc. *		1,986,270
	30,200	Aflac, Inc. (b)		1,829,214
	44,800	Ally Financial, Inc.		1,972,992
	400	Alphabet, Inc. – Class A * (b)		910,096
	200	Alphabet, Inc. – Class C * (b)		456,156
	21,553	American Express Co. (b)		3,638,578
	10,000	Arch Capital Group Ltd. *		474,600
	19,000	Arrow Electronics, Inc. *		2,292,350
	89,400	AT&T, Inc. (b)		1,903,326
	20,600	Best Buy Co., Inc. (b)		1,690,436
	3,400	Bio-Rad Laboratories, Inc. – Class A *		1,828,486
	9,100	Biogen, Inc. *		1,820,000
	1,438	Booking Holdings, Inc. * (b)		3,226,239
	116,223	BorgWarner, Inc.		4,686,111
	16,800	Capital One Financial Corp.		2,148,048
	48,900	Carrier Global Corp.		1,922,259
	23,800	CBRE Group, Inc. – Class A * (b)		1,971,592
	28,500	Centene Corp. * (b)		2,321,040
	22,248	Chevron Corp. (b)		3,885,836
	9,900	Cigna Corp. (b)		2,656,071
	41,500	Citigroup, Inc.		2,216,515
	8,000	Citizens Financial Group, Inc.		331,040
	25,600	Cognizant Technology Solutions Corp. – Class A (b)		1,912,320
	47,000	Comcast Corp. – Class A (b)		2,081,160
	18,400	CVS Health Corp. (b)		1,780,200
	59,977	Darling Ingredients, Inc. *		4,802,358
	8,900	Dell Technologies – Class C		444,466
	17,800	Discover Financial Services		2,020,122
	76,200	DISH Network Corp. – Class A * (b)		1,739,646
	24,900	DR Horton, Inc.		1,871,235
	35,900	eBay, Inc. (b)		1,747,253
	38,749	EOG Resources, Inc.		5,307,063
	9,300	Exelon Corp. (b)		457,095
	6,100	FedEx Corp. (b)		1,369,938
	42,100	Fidelity National Financial, Inc.		1,780,830
	125,400	Ford Motor Co.		1,715,472
	10,900	Fortune Brands Home & Security, Inc.		755,915
	11,800	Fox Corp. – Class A (b)		419,018

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	64,800	Fox Corp. – Class B (b)		2,119,608
	68,200	Franklin Resources, Inc.		1,846,856
	2,700	Garmin Ltd.		285,174
	45,900	General Motors Co. *		1,775,412
	35,800	Gilead Sciences, Inc. (b)		2,321,630
	14,721	Global Payments, Inc. (b)		1,929,040
	5,800	Goldman Sachs Group, Inc. (The) (b)		1,895,730
	25,485	Green Plains, Inc. *		830,301
	3,200	Henry Schein, Inc. * (b)		274,048
	20,549	Hilton Worldwide Holdings, Inc. (b)		2,894,532
	63,000	HP, Inc.		2,446,920
	22,000	IAC/InterActiveCorp *		1,876,600
	25,600	Incyte Corp. *		1,942,784
	50,100	Intel Corp. (b)		2,225,442
	25,502	Intercontinental Exchange, Inc.		2,611,150
	19,400	International Business Machines Corp. (b)		2,693,496
	83,900	Invesco Ltd.		1,622,626
	14,900	Jazz Pharmaceuticals Plc *		2,230,232
	131,300	Kinder Morgan, Inc.		2,585,297
	13,700	Knight-Swift Transportation Holdings, Inc. (b)		666,368
	4,900	Kroger Co. (The) (b)		259,553
	8,900	Laboratory Corp. of America Holdings (b)		2,195,808
	1,784	Lam Research Corp.		927,734
	43,321	Las Vegas Sands Corp. * (b)		1,536,163
	10,000	Leidos Holdings, Inc. (b)		1,045,000
	25,300	Lennar Corp. – Class A		2,030,325
	37,100	Liberty Global Plc – Class A *		902,272
	67,100	Liberty Global Plc – Class C *		1,705,011
	36,000	Lincoln National Corp.		2,085,480
	32,200	LKQ Corp. (b)		1,654,758
	156,700	Lumen Technologies, Inc.		1,918,008
	74,127	Lyft, Inc. – Class A * (b)		1,310,565
	23,600	LyondellBasell Industries NV – Class A (b)		2,696,300
	2,300	Markel Corp. *		3,149,689
	18,700	Merck & Co., Inc. (b)		1,720,961
	10,600	Meta Platforms, Inc. – Class A * (b)		2,052,584
	27,600	MetLife, Inc.		1,859,964
	41,356	Micron Technology, Inc.		3,053,727
	12,400	Mohawk Industries, Inc. *		1,754,104
	44,500	Molson Coors Brewing Co. – Class B		2,484,880
	6,500	Netflix, Inc. * (b)		1,283,360
	25,000	Novavax, Inc. *		1,383,250
	43,100	NRG Energy, Inc. (b)		1,984,324
	2,400	Nucor Corp. (b)		317,904
	70	NVR, Inc. *		311,543
	25,400	Oracle Corp. (b)		1,826,768
	3,300	PACCAR, Inc. (b)		286,572
	63,000	Paramount Global – Class B (b)		2,162,790
	22,200	PayPal Holdings, Inc. * (b)		1,891,662
	17,500	Pfizer, Inc. (b)		928,200
	20,700	Prudential Financial, Inc.		2,199,375

Shares		Description	Value ($)
		United States — continued
	44,800	PulteGroup, Inc.		2,027,648
	16,200	Quest Diagnostics, Inc. (b)		2,284,524
	36,377	Raytheon Technologies Corp. (b)		3,460,180
	3,600	Regeneron Pharmaceuticals, Inc. * (b)		2,393,064
	7,300	Regions Financial Corp.		161,257
	6,900	Resolute Forest Products, Inc. (c)		99,557
	2,500	Resolute Forest Products, Inc. (c)		36,150
	66,715	Sensata Technologies Holding Plc		3,204,322
	3,000	Skyworks Solutions, Inc.		326,610
	7,700	SS&C Technologies Holdings, Inc. (b)		492,723
	4,400	Stanley Black & Decker, Inc.		522,236
	21,600	Steel Dynamics, Inc.		1,844,208
	56,600	Synchrony Financial		2,096,464
	25,100	Textron, Inc.		1,638,779
	27,800	Tyson Foods, Inc. – Class A		2,491,158
	9,200	UGI Corp. (b)		393,208
	7,000	United Parcel Service, Inc. – Class B (b)		1,275,750
	16,600	Universal Health Services, Inc. – Class B (b)		2,068,526
	68,489	US Bancorp		3,634,711
	39,200	Verizon Communications, Inc. (b)		2,010,568
	7,000	Vertex Pharmaceuticals, Inc. * (b)		1,880,550
	40,683	VF Corp.		2,052,864
	177,000	Viatris, Inc.		2,171,790
	17,200	VMware, Inc. – Class A (b)		2,203,320
	39,800	Walgreens Boots Alliance, Inc. (b)		1,744,434
	20,248	Warner Bros Discovery, Inc. * (b)		373,576
	71,800	Wells Fargo & Co.		3,286,286
	116,000	Western Union Co. (The) (b)		2,104,240
	35,100	Western Digital Corp. *		2,130,219
	9,600	Whirlpool Corp.		1,768,704
	18,000	Zoom Video Communications, Inc. – Class A * (b)		1,934,100
		Total United States		218,474,952
		Vietnam — 0.0%
	470,800	Vietnam Joint Stock Commercial Bank for Industry and Trade		565,259
		TOTAL COMMON STOCKS (COST $1,221,984,789)		1,098,702,532
		PREFERRED STOCKS (g) — 1.3%
		Brazil — 0.8%
	47,300	Alpargatas SA		216,468
	645,993	Bradespar SA		3,884,752
	231,380	Cia Energetica de Minas Gerais		567,185
	115,370	Cia Energetica de Minas Gerais Sponsored ADR (b)		284,964
	1,589,200	Cia Paranaense de Energia – Class B		2,464,446
	25,300	Itau Unibanco Holding SA Sponsored ADR		138,644
	135,400	Petroleo Brasileiro SA		856,409
	230,900	Petroleo Brasileiro SA Sponsored ADR		2,902,413
		Total Brazil		11,315,281

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Chile — 0.2%
	16,600	Sociedad Quimica y Minera de Chile SA Sponsored ADR		1,762,422
	3,211	Sociedad Quimica y Minera de Chile SA – Class B		342,980
		Total Chile		2,105,402
		Colombia — 0.0%
	297,879	Grupo Aval Acciones y Valores SA		66,766
		Germany — 0.1%
	13,473	Bayerische Motoren Werke AG		1,057,091
	4,857	Draegerwerk AG & Co KGaA (b)		256,359
	1,243	Sixt SE (b)		98,305
	1,552	Villeroy & Boch AG		34,356
	1,385	Volkswagen AG (b)		231,153
		Total Germany		1,677,264
		Russia — 0.0%
	12,924	Bashneft PJSC (e)		11,245
	56,000	Nizhnekamskneftekhim PJSC – Class S (e)		3,866
	20,810	Sberbank of Russia PJSC * (e) (f)		2,591
	9,254,300	Surgutneftegas PJSC (e)		364,988
	161	Transneft PJSC (e)		20,448
		Total Russia		403,138
		South Korea — 0.2%
	1,873	Hyundai Motor Co Ltd-Prf		140,605
	4,881	LG Electronics Inc		214,952
	62,498	Samsung Electronics Co Ltd		3,065,606
	89	Samsung Electronics Co Ltd GDR (Registered)		107,872
		Total South Korea		3,529,035
		Taiwan — 0.0%
	12,589	Chailease Holding Co Ltd		44,243
		TOTAL PREFERRED STOCKS (COST $21,696,934)		19,141,129
		INVESTMENT FUNDS — 0.0%
		United States — 0.0%
	13,557	iShares Core MSCI Emerging Markets ETF		712,691
		TOTAL INVESTMENT FUNDS (COST $887,029)		712,691
		DEBT OBLIGATIONS — 22.7%
		United States — 22.7%
		Asset-Backed Securities — 0.0%
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (h)		3
		Total Asset-Backed Securities		3

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — 22.7%
	67,850,000	U.S. Treasury Note, 0.13%, due 02/28/23 (b)		66,946,217
	82,000,000	U.S. Treasury Note, 0.13%, due 03/31/23 (b)		80,744,375
	82,400,000	U.S. Treasury Note, 0.13%, due 04/30/23		80,932,250
	7,000,000	U.S. Treasury Note, 0.13%, due 05/31/23		6,860,273
	13,700,000	U.S. Treasury Note, 0.13%, due 06/30/23		13,398,707
	1,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		976,094
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.15%, due 07/31/23 (b)		5,008,133
	46,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.16%, due 10/31/23 (b)		46,816,691
	32,000,000	U.S. Treasury Note, Variable Rate, USBM – 0.08%, 0.99%, due 04/30/24 (b)		32,006,627
		Total U.S. Government		333,689,367
		Total United States		333,689,370
		TOTAL DEBT OBLIGATIONS (COST $336,598,848)		333,689,370
		MUTUAL FUNDS — 21.8%
		United States — 21.8%
		Affiliated Issuers — 21.8%
	2,258,105	GMO Emerging Country Debt Fund, Class VI		45,816,945
	648,580	GMO Emerging Markets Fund, Class VI		16,927,946
	4,145,558	GMO High Yield Fund, Class VI		74,744,405
	3,597,225	GMO Opportunistic Income Fund, Class VI		90,614,098
	2,076,591	GMO SGM Major Markets Fund, Class VI		60,117,297
	6,446,401	GMO U.S. Treasury Fund		32,232,008
		TOTAL MUTUAL FUNDS (COST $347,296,574)		320,452,699
		SHORT-TERM INVESTMENTS — 1.8%
		Money Market Funds — 0.3%
	5,024,887	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (i)		5,024,887
		Repurchase Agreements — 1.5%
	21,966,945	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/22, maturing on 06/01/22 with a maturity value of $21,967,409 and an effective yield of 0.76%, collateralized by a U.S. Treasury Note with maturity date 03/31/26 and a market value of $22,400,374.		21,966,945
		TOTAL SHORT-TERM INVESTMENTS (COST $26,991,832)		26,991,832
		TOTAL INVESTMENTS — 122.3% (Cost $1,955,456,006)		1,799,690,253

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (20.1)%
			Common Stocks — (20.0)%
			Australia — (0.5)%
	(262,270	)	APA Group		(2,134,962	)
	(27,744	)	ASX Ltd		(1,605,237	)
	(6,442	)	Cochlear Ltd		(1,027,731	)
	(511,364	)	Qantas Airways Ltd *		(2,017,207	)
			Total Australia		(6,785,137	)
			Austria — (0.2)%
	(22,457	)	Verbund AG		(2,234,130	)
			Belgium — (0.1)%
	(33,970	)	Anheuser-Busch InBev SA/NV		(1,914,909	)
			Canada — (1.1)%
	(11,600	)	Agnico Eagle Mines Ltd		(613,988	)
	(63,300	)	Algonquin Power & Utilities Corp		(921,648	)
	(82,700	)	AltaGas Ltd		(1,996,804	)
	(17,200	)	BCE Inc		(936,540	)
	(39,900	)	Brookfield Renewable Corp – Class A		(1,443,582	)
	(33,500	)	Cameco Corp		(819,745	)
	(47,300	)	Enbridge Inc		(2,182,895	)
	(13,600	)	Franco-Nevada Corp		(1,932,016	)
	(56,500	)	Pan American Silver Corp		(1,241,305	)
	(58,500	)	Pembina Pipeline Corp		(2,354,040	)
	(33,000	)	Restaurant Brands International Inc		(1,732,830	)
			Total Canada		(16,175,393	)
			Denmark — (0.1)%
	(64,224	)	Ambu A/S – Class B		(880,669	)
			France — (0.7)%
	(61,324	)	Accor SA *		(2,017,850	)
	(13,070	)	Aeroports de Paris *		(1,957,528	)
	(129,215	)	Getlink SE		(2,490,490	)
	(1,602	)	Hermes International		(1,915,449	)
	(1,717	)	Sartorius Stedim Biotech		(593,103	)
	(14,522	)	Ubisoft Entertainment SA *		(763,466	)
	(8,304	)	Wendel SE		(854,505	)
			Total France		(10,592,391	)
			Germany — (0.9)%
	(54,563	)	Delivery Hero SE *		(2,104,396	)
	(3,339	)	MTU Aero Engines AG		(661,146	)
	(20,770	)	Puma SE		(1,549,935	)
	(15,621	)	QIAGEN NV *		(718,829	)
	(862	)	Rational AG		(561,209	)
	(15,556	)	Scout24 SE		(964,899	)
	(15,984	)	Symrise AG – Class A		(1,766,258	)
	(794,808	)	Telefonica Deutschland Holding AG		(2,529,611	)

Shares			Description	Value ($)
			Germany — continued
	(35,504	)	Uniper SE		(918,811	)
	(26,765	)	Zalando SE *		(1,088,991	)
			Total Germany		(12,864,085	)
			Israel — (0.2)%
	(13,200	)	CyberArk Software Ltd *		(1,833,480	)
	(9,400	)	Kornit Digital Ltd *		(394,518	)
	(10,400	)	Wix.com Ltd *		(655,304	)
			Total Israel		(2,883,302	)
			Italy — (0.5)%
	(44,186	)	Amplifon SPA		(1,522,623	)
	(8,558	)	Ferrari NV		(1,669,885	)
	(133,513	)	FinecoBank Banca Fineco SPA		(1,891,956	)
	(161,831	)	Infrastrutture Wireless Italiane SPA		(1,803,573	)
			Total Italy		(6,888,037	)
			Japan — (2.1)%
	(53,300	)	Aeon Co Ltd		(972,888	)
	(85,700	)	ANA Holdings Inc *		(1,691,400	)
	(72,300	)	Asahi Intecc Co Ltd		(1,088,001	)
	(22,100	)	Benefit One Inc		(344,437	)
	(27,100	)	East Japan Railway Co		(1,389,308	)
	(800	)	Fast Retailing Co Ltd		(384,334	)
	(20,500	)	GMO Payment Gateway Inc		(1,689,909	)
	(92,900	)	Japan Airlines Co Ltd *		(1,702,750	)
	(44,100	)	Japan Exchange Group Inc		(697,651	)
	(28,000	)	Keio Corp		(935,335	)
	(21,300	)	Kintetsu Group Holdings Co Ltd		(622,344	)
	(12,900	)	Lasertec Corp		(1,867,142	)
	(27,200	)	LIXIL Corp		(517,493	)
	(55,600	)	M3 Inc		(1,599,109	)
	(44,700	)	Mercari Inc *		(776,937	)
	(101,800	)	MonotaRO Co Ltd		(1,486,287	)
	(18,500	)	Nidec Corp		(1,236,980	)
	(94,100	)	Nihon M&A Center Holdings Inc		(1,079,761	)
	(170,100	)	Nippon Paint Holdings Co Ltd		(1,257,196	)
	(19,600	)	Nissin Foods Holdings Co Ltd		(1,281,895	)
	(68,200	)	Odakyu Electric Railway Co Ltd		(899,854	)
	(12,900	)	ORIENTAL LAND CO LTD		(1,917,047	)
	(255,600	)	Rakuten Group Inc		(1,428,907	)
	(19,500	)	Shiseido Co Ltd		(817,942	)
	(30,900	)	Tobu Railway Co Ltd		(692,927	)
	(56,000	)	Tokyu Corp		(635,493	)
	(44,700	)	West Japan Railway Co		(1,650,724	)
			Total Japan		(30,664,051	)
			Netherlands — (0.4)%
	(1,173	)	Adyen NV *		(1,816,584	)
	(931	)	ASML Holding NV		(535,749	)
	(4,271	)	Heineken Holding NV		(337,861	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			Netherlands — continued
	(7,421	)	IMCD NV		(1,109,824	)
	(58,577	)	Just Eat Takeaway.com NV *		(1,303,605	)
	(42,390	)	Universal Music Group NV		(947,679	)
			Total Netherlands		(6,051,302	)
			New Zealand — (0.1)%
	(27,928	)	Xero Ltd *		(1,785,231	)
			Russia — (0.0)%
	(5,690	)	Magnit PJSC Sponsored GDR (Registered) (e)		(5,867	)
			Singapore — (0.3)%
	(12,656	)	CDL Hospitality Trusts (REIT)		(11,504	)
	(79,600	)	City Developments Ltd		(478,955	)
	(518,200	)	Singapore Airlines Ltd *		(2,088,870	)
	(173,400	)	Singapore Exchange Ltd		(1,202,157	)
			Total Singapore		(3,781,486	)
			Spain — (0.5)%
	(10,875	)	Aena SME SA *		(1,659,078	)
	(42,200	)	Cellnex Telecom SA		(1,904,450	)
	(85,683	)	Ferrovial SA (c)		(2,209,915	)
	(985	)	Ferrovial SA (c)		(25,386	)
	(90,211	)	Siemens Gamesa Renewable Energy SA *		(1,749,015	)
			Total Spain		(7,547,844	)
			Sweden — (0.3)%
	(234,614	)	Embracer Group AB – Class B *		(2,134,541	)
	(16,236	)	Evolution AB		(1,701,859	)
	(189,617	)	Sinch AB *		(918,036	)
			Total Sweden		(4,754,436	)
			Switzerland — (0.3)%
	(2	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(207,447	)
	(1,705	)	Partners Group Holding AG		(1,834,544	)
	(2,946	)	Sika AG (Registered)		(817,776	)
	(12,047	)	Straumann Holding AG (Registered)		(1,536,914	)
			Total Switzerland		(4,396,681	)
			United Kingdom — (1.2)%
	(25,780	)	Admiral Group Plc		(721,772	)
	(50,031	)	Antofagasta Plc		(933,886	)
	(259,690	)	Auto Trader Group Plc		(1,931,878	)
	(5,829	)	Croda International Plc		(507,553	)
	(12,483	)	Experian Plc		(417,584	)
	(23,334	)	Halma Plc		(655,692	)
	(122,656	)	Hargreaves Lansdown Plc		(1,323,003	)
	(305,137	)	Informa Plc *		(2,097,402	)
	(14,716	)	InterContinental Hotels Group Plc		(915,594	)
	(87,745	)	Land Securities Group Plc (REIT)		(847,370	)

Shares			Description	Value ($)
			United Kingdom — continued
	(22,683	)	London Stock Exchange Group Plc		(2,116,618	)
	(172,585	)	Ocado Group Plc *		(2,026,494	)
	(24,141	)	Prudential Plc		(314,795	)
	(1,648,003	)	Rolls-Royce Holdings Plc *		(1,799,920	)
	(6,700	)	Spirax-Sarco Engineering Plc		(892,898	)
			Total United Kingdom		(17,502,459	)
			United States — (10.5)%
	(4,300	)	AbbVie, Inc.		(633,691	)
	(80,200	)	AES Corp. (The)		(1,767,608	)
	(12,900	)	Alnylam Pharmaceuticals, Inc. *		(1,622,820	)
	(32,100	)	Altria Group, Inc.		(1,736,289	)
	(124,500	)	AMC Entertainment Holdings, Inc. – Class A *		(1,785,330	)
	(4,700	)	American Tower Corp. (REIT)		(1,203,811	)
	(5,400	)	Aon Plc – Class A		(1,488,618	)
	(54,600	)	Aramark		(1,882,062	)
	(11,200	)	Arthur J Gallagher & Co.		(1,813,728	)
	(59,300	)	Asana, Inc. – Class A *		(1,289,182	)
	(8,800	)	Autodesk, Inc. *		(1,828,200	)
	(21,800	)	Avalara, Inc. *		(1,845,806	)
	(5,700	)	Ball Corp.		(404,073	)
	(14,200	)	Bill.com Holdings, Inc. *		(1,679,008	)
	(4,600	)	Bio-Techne Corp.		(1,700,758	)
	(22,600	)	BioMarin Pharmaceutical, Inc. *		(1,697,938	)
	(14,900	)	Block, Inc. – Class A *		(1,303,899	)
	(12,200	)	Boeing Co. (The) *		(1,603,080	)
	(3,800	)	Broadcom, Inc.		(2,204,494	)
	(9,000	)	Burlington Stores, Inc. *		(1,514,700	)
	(28,800	)	Caesars Entertainment, Inc. *		(1,444,896	)
	(51,100	)	Carnival Corp. *		(709,268	)
	(36,700	)	Carvana Co. – Class A *		(1,080,448	)
	(15,100	)	Catalent, Inc. *		(1,556,206	)
	(31,200	)	Ceridian HCM Holding, Inc. *		(1,756,560	)
	(1,400	)	Chipotle Mexican Grill, Inc. – Class A *		(1,963,570	)
	(90,900	)	Clarivate Plc *		(1,342,593	)
	(26,500	)	Cloudflare, Inc. – Class A *		(1,484,000	)
	(8,300	)	CME Group, Inc.		(1,650,289	)
	(22,500	)	Coupa Software, Inc. *		(1,547,775	)
	(6,300	)	Crown Castle International Corp. (REIT)		(1,194,795	)
	(49,300	)	Delta Air Lines, Inc. *		(2,055,317	)
	(5,000	)	Dexcom, Inc. *		(1,489,700	)
	(13,400	)	Diamondback Energy, Inc.		(2,037,068	)
	(21,300	)	DocuSign, Inc. – Class A *		(1,787,283	)
	(21,500	)	Dominion Energy, Inc.		(1,810,730	)
	(102,600	)	DraftKings, Inc. – Class A *		(1,390,230	)
	(16,300	)	Dynatrace, Inc. *		(614,021	)
	(1,400	)	Equinix, Inc. (REIT)		(961,926	)
	(15,400	)	Equity LifeStyle Properties, Inc. (REIT)		(1,165,780	)
	(31,300	)	Exact Sciences Corp. *		(1,559,053	)
	(32,000	)	Fastenal Co.		(1,713,920	)
	(3,300	)	First Republic Bank		(511,599	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(9,600	)	FirstEnergy Corp.		(412,416	)
	(2,500	)	Fortinet, Inc. *		(735,350	)
	(3,700	)	Gartner, Inc. *		(970,880	)
	(21,400	)	Guidewire Software, Inc. *		(1,710,716	)
	(2,200	)	Hershey Co. (The)		(465,762	)
	(14,700	)	Hess Corp.		(1,809,129	)
	(4,900	)	HubSpot, Inc. *		(1,654,681	)
	(4,800	)	IDEXX Laboratories, Inc. *		(1,879,776	)
	(25,200	)	Ingersoll Rand, Inc.		(1,188,180	)
	(8,500	)	Insulet Corp. *		(1,814,580	)
	(9,600	)	IQVIA Holdings, Inc. *		(2,066,400	)
	(22,300	)	Iron Mountain, Inc. (REIT)		(1,201,970	)
	(28,000	)	Keurig Dr Pepper, Inc.		(972,720	)
	(5,000	)	Liberty Broadband Corp. – Class A *		(610,050	)
	(36,500	)	Liberty Media Corp.-Liberty Formula One – Class C *		(2,273,585	)
	(6,300	)	Linde Plc		(2,045,484	)
	(20,700	)	Live Nation Entertainment, Inc. *		(1,967,535	)
	(1,800	)	Lululemon Athletica, Inc. *		(526,842	)
	(6,300	)	MarketAxess Holdings, Inc.		(1,774,584	)
	(12,000	)	Marriott International, Inc. – Class A		(2,058,960	)
	(6,400	)	Marsh & McLennan Cos, Inc.		(1,023,680	)
	(4,300	)	Marvell Technology, Inc.		(254,345	)
	(1,900	)	Mastercard, Inc. – Class A		(679,953	)
	(5,700	)	MongoDB, Inc. – Class A *		(1,351,755	)
	(3,200	)	Monolithic Power Systems, Inc.		(1,441,248	)
	(3,000	)	Moody’s Corp.		(904,710	)
	(4,200	)	MSCI, Inc. – Class A		(1,857,870	)
	(13,700	)	Newmont Corp.		(929,545	)
	(58,500	)	NiSource, Inc.		(1,839,825	)
	(27,100	)	Novocure Ltd. *		(2,178,298	)
	(16,900	)	Okta, Inc. *		(1,403,545	)
	(25,900	)	ONEOK, Inc.		(1,705,515	)
	(76,700	)	Palantir Technologies, Inc. – Class A *		(665,756	)
	(3,500	)	Palo Alto Networks, Inc. *		(1,759,730	)
	(14,300	)	Paychex, Inc.		(1,770,769	)
	(45,800	)	Peloton Interactive, Inc. – Class A *		(639,368	)
	(18,900	)	Philip Morris International, Inc.		(2,008,125	)
	(2,300	)	Public Storage (REIT)		(760,472	)
	(16,500	)	RingCentral, Inc. – Class A *		(1,041,810	)
	(17,800	)	Roku, Inc. *		(1,689,220	)
	(48,500	)	Rollins, Inc.		(1,719,810	)
	(28,100	)	Royal Caribbean Cruises Ltd. *		(1,631,767	)
	(2,200	)	S&P Global, Inc.		(768,856	)
	(14,500	)	Seagen, Inc. *		(1,967,360	)
	(4,000	)	ServiceNow, Inc. *		(1,869,880	)
	(6,200	)	Sherwin-Williams Co. (The)		(1,661,848	)
	(8,400	)	Simon Property Group, Inc. (REIT)		(963,060	)
	(70,400	)	Snap, Inc. – Class A *		(993,344	)
	(9,500	)	Snowflake, Inc. – Class A *		(1,212,675	)
	(7,500	)	Southern Co. (The)		(567,450	)
	(6,200	)	Starbucks Corp.		(486,700	)

Shares			Description	Value ($)
			United States — continued
	(18,300	)	Sysco Corp.		(1,540,494	)
	(28,700	)	Teladoc Health, Inc. *		(978,383	)
	(2,600	)	Tesla, Inc. *		(1,971,476	)
	(7,500	)	Trade Desk, Inc. (The) – Class A *		(390,375	)
	(1,300	)	TransDigm Group, Inc. *		(786,981	)
	(16,200	)	Twilio, Inc. – Class A *		(1,703,754	)
	(57,600	)	Uber Technologies, Inc. *		(1,336,320	)
	(20,700	)	UDR, Inc. (REIT)		(989,460	)
	(7,400	)	Vail Resorts, Inc.		(1,866,354	)
	(62,000	)	Vistra Corp.		(1,634,940	)
	(5,300	)	Waste Connections, Inc.		(675,962	)
	(3,500	)	Waste Management, Inc.		(554,785	)
	(12,700	)	Wayfair, Inc. – Class A *		(754,253	)
	(71,300	)	Williams Cos, Inc. (The)		(2,642,378	)
	(4,400	)	Yum! Brands, Inc.		(534,468	)
	(45,300	)	Zillow Group, Inc. – Class A *		(1,810,188	)
	(14,956	)	Zillow Group, Inc. – Class C *		(596,744	)
	(9,000	)	Zoetis, Inc.		(1,538,370	)
	(27,000	)	ZoomInfo Technologies, Inc. – Class A *		(1,090,530	)
	(10,000	)	Zscaler, Inc. *		(1,530,900	)
			Total United States		(156,647,126	)
			TOTAL COMMON STOCKS (PROCEEDS $354,597,169)		(294,354,536	)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(4,918	)	Sartorius AG		(1,988,429	)
			TOTAL PREFERRED STOCKS (PROCEEDS $2,038,507)		(1,988,429	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $356,635,676)		(296,342,965	)
			Other Assets and Liabilities (net) — (2.2%)		(32,393,884	)
			TOTAL NET ASSETS — 100.0%		$1,470,953,404

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
PhosAgro PJSC GDR	04/20/22		1,365	0.00%		177
Sberbank of Russia PJSC	09/09/20		3,634,057	0.01%		169,769
Sberbank of Russia PJSC	01/10/22		77,024	0.00%		2,591
Sberbank of Russia PJSC Sponsored ADR	12/07/20		9,110,988	0.02%		314,311
					$	486,848

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

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/21/2022	BOA	AUD	7,820,600		USD	5,828,513		214,445
07/05/2022	GS	BRL	1,024,842		USD	210,000		(3,731	)
08/02/2022	BCLY	CAD	1,947,926		USD	1,520,000		(19,515	)
06/13/2022	JPM	CLP	1,935,887,500		USD	2,242,168		(103,440	)
06/16/2022	JPM	COP	1,280,000,000		USD	320,288		(18,649	)
08/18/2022	GS	CZK	5,000,000		USD	210,982		(4,092	)
08/18/2022	MSCI	CZK	49,105,948		USD	2,046,081		(66,200	)
06/21/2022	SSB	EUR	30,672,200		USD	33,293,382		334,812
06/30/2022	DB	EUR	2,780,000		USD	3,010,532		21,868
06/30/2022	JPM	EUR	5,010,000		USD	5,433,591		47,547
06/30/2022	MSCI	EUR	7,160,000		USD	7,977,386		279,965
06/16/2022	JPM	GBP	1,360,000		USD	1,717,758		4,008
06/21/2022	SSB	GBP	7,711,500		USD	10,072,044		354,340
06/21/2022	BOA	HKD	18,678,100		USD	2,384,339		2,965
08/31/2022	JPM	ILS	5,833,563		USD	1,745,478		(21,327	)
06/03/2022	GS	INR	20,826,180		USD	270,000		1,773
06/03/2022	MSCI	INR	164,223,204		USD	2,149,659		34,578
08/30/2022	MSCI	INR	185,049,384		USD	2,364,425		3,660
06/21/2022	DB	JPY	1,366,866,600		USD	10,924,560		299,464
08/08/2022	MSCI	KRW	1,317,005,899		USD	1,045,590		(14,478	)
06/01/2022	JPM	NZD	24,480,000		USD	16,453,865		502,698
06/01/2022	MSCI	NZD	6,980,000		USD	4,754,748		206,580
06/01/2022	SSB	NZD	2,660,000		USD	1,790,832		57,576
08/31/2022	MSCI	NZD	28,690,000		USD	18,697,416		31,484
06/17/2022	JPM	PEN	1,440,000		USD	375,440		(11,600	)
06/17/2022	MSCI	PEN	1,000,000		USD	265,111		(3,667	)
08/03/2022	JPM	PHP	36,132,240		USD	682,771		(2,255	)
06/30/2022	BOA	RON	960,014		USD	210,000		2,285
06/30/2022	JPM	RON	6,774,140		USD	1,499,794		34,098
06/21/2022	GS	SGD	489,822		USD	360,000		2,495
06/21/2022	JPM	SGD	412,026		USD	300,000		(724	)
06/21/2022	SSB	SGD	569,750		USD	420,000		4,159
08/18/2022	CITI	THB	81,539,025		USD	2,345,772		(43,091	)
06/13/2022	JPM	TWD	70,326,001		USD	2,376,039		(49,520	)
06/21/2022	BOA	USD	5,599,656		AUD	7,820,600		14,412
08/09/2022	BCLY	USD	3,627,670		AUD	5,120,000		50,147
08/09/2022	JPM	USD	1,594,523		AUD	2,270,000		36,072
07/05/2022	JPM	USD	2,491,402		BRL	12,148,076		42,086
08/02/2022	BCLY	USD	19,461,221		CAD	24,857,098		184,232
06/16/2022	MSCI	USD	1,142,973		CHF	1,137,996		44,270

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/16/2022	JPM	USD	1,962,985		COP	7,588,635,400		46,446
06/16/2022	MSCI	USD	440,000		COP	1,673,320,000		3,086
08/18/2022	DB	USD	290,707		CZK	6,800,000		1,794
06/21/2022	BOA	USD	1,458,319		EUR	1,363,000		6,282
06/21/2022	JPM	USD	31,498,568		EUR	29,309,200		(4,599	)
06/30/2022	JPM	USD	1,189,410		EUR	1,090,000		(17,596	)
06/16/2022	DB	USD	2,246,533		GBP	1,840,000		72,070
06/16/2022	JPM	USD	1,156,166		GBP	920,000		3,136
06/21/2022	JPM	USD	9,753,299		GBP	7,711,500		(35,594	)
06/21/2022	JPM	USD	2,380,891		HKD	18,678,100		483
08/16/2022	GS	USD	202,146		HUF	75,000,000		(1,300	)
08/16/2022	MSCI	USD	657,866		HUF	244,127,316		(4,104	)
08/09/2022	JPM	USD	1,584,072		IDR	23,075,175,000		13
08/09/2022	MSCI	USD	681,271		IDR	9,984,162,000		4,130
06/03/2022	MSCI	USD	2,386,071		INR	185,049,384		(2,764	)
06/09/2022	JPM	USD	1,401,861		JPY	178,000,000		(18,900	)
06/09/2022	MSCI	USD	7,787,360		JPY	1,009,997,183		59,753
06/21/2022	JPM	USD	10,746,842		JPY	1,366,866,600		(121,747	)
08/08/2022	UBSA	USD	268,739		KRW	340,000,000		4,930
07/22/2022	BOA	USD	410,000		MXN	8,302,732		7,791
07/22/2022	MSCI	USD	1,958,271		MXN	39,867,459		47,848
07/18/2022	BCLY	USD	11,389,402		NOK	112,090,448		575,010
07/18/2022	JPM	USD	963,810		NOK	9,300,000		28,861
06/01/2022	MSCI	USD	22,398,517		NZD	34,120,000		(165,927	)
06/17/2022	MSCI	USD	965,733		PEN	3,611,200		4,878
08/03/2022	BCLY	USD	227,639		PHP	12,000,000		(133	)
07/19/2022	DB	USD	180,079		PLN	800,000		6,104
07/19/2022	GS	USD	280,720		PLN	1,250,000		10,191
07/19/2022	MSCI	USD	409,602		PLN	1,775,992		3,723
06/30/2022	DB	USD	289,221		RON	1,350,000		2,874
06/30/2022	GS	USD	233,316		RON	1,100,000		4,687
06/30/2022	JPM	USD	307,215		RON	1,450,000		6,516
06/07/2022	BCLY	USD	3,988,570		SEK	38,659,413		(29,539	)
06/07/2022	JPM	USD	4,700,000		SEK	44,847,433		(107,268	)
06/13/2022	GS	USD	193,076		TWD	5,700,000		3,518
08/31/2022	MSCI	USD	228,375		ZAR	3,657,104		3,026
							$	2,847,409

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
886	Mini MSCI Emerging Markets		June 2022		47,104,190		(437,302	)
747	S&P 500 E-Mini		June 2022		154,302,188		2,819,775
177	SGX Nifty 50		June 2022		5,827,707		(88,521	)
				$	207,234,085	$	2,293,952

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.22%	3 Month CAD CDOR	CAD	134,160,000		06/15/2024	Semi-Annually		(49,568	)		(204,621	)		(155,053	)
3 Month CAD CDOR	3.21%	CAD	18,880,000		06/15/2024	Semi-Annually		—			27,636			27,636
0.31%	CHF - SARON - OIS - COMPOUND	CHF	93,330,000		06/15/2024	Annually		41,704			246,548			204,844
GBP - SONIA - COMPOUND	2.13%	GBP	59,930,000		06/15/2024	Annually		20,156			(370,265	)		(390,421	)
3 Month SEK STIBOR	2.15%	SEK	96,500,000		06/15/2024	Quarterly		8,498			9,948			1,450
3 Month SEK STIBOR	2.12%	SEK	84,600,000		06/15/2024	Quarterly		—			3,028			3,028
6 Month EURIBOR	1.00%	EUR	66,910,000		06/19/2024	Semi-Annually		(11,479	)		(153,329	)		(141,850	)
1.01%	6 Month EURIBOR	EUR	13,240,000		06/19/2024	Semi-Annually		1,040			27,513			26,473
USD - SOFR - COMPOUND	2.71%	USD	4,800,000		09/21/2024	Annually		278			(7,579	)		(7,857	)
6 Month AUD BBSW	3.39%	AUD	27,890,000		06/15/2032	Semi-Annually		30,465			(534,216	)		(564,681	)
6 Month AUD BBSW	3.67%	AUD	3,000,000		06/15/2032	Semi-Annually		—			(7,538	)		(7,538	)
3.39%	6 Month AUD BBSW	AUD	3,310,000		06/15/2032	Semi-Annually		—			62,905			62,905
3.44%	6 Month AUD BBSW	AUD	4,900,000		06/15/2032	Semi-Annually		—			79,164			79,164
3 Month CAD CDOR	3.15%	CAD	35,470,000		06/15/2032	Semi-Annually		10,270			(514,311	)		(524,581	)
3.37%	3 Month CAD CDOR	CAD	2,690,000		06/15/2032	Semi-Annually		—			(2,844	)		(2,844	)
3.48%	3 Month CAD CDOR	CAD	4,300,000		06/15/2032	Semi-Annually		—			(35,647	)		(35,647	)
3.17%	3 Month CAD CDOR	CAD	3,520,000		06/15/2032	Semi-Annually		—			46,236			46,236
3.12%	3 Month CAD CDOR	CAD	4,300,000		06/15/2032	Semi-Annually		—			69,391			69,391
3.21%	3 Month CAD CDOR	CAD	4,610,000		06/15/2032	Semi-Annually		—			45,769			45,769
3 Month CAD CDOR	3.40%	CAD	1,700,000		06/15/2032	Semi-Annually		—			5,161			5,161
3 Month CAD CDOR	3.53%	CAD	30,700,000		06/15/2032	Semi-Annually		21,989			359,242			337,253
3.25%	3 Month CAD CDOR	CAD	4,570,000		06/15/2032	Semi-Annually		—			33,835			33,835
3.27%	3 Month CAD CDOR	CAD	2,640,000		06/15/2032	Semi-Annually		—			15,583			15,583
CHF - SARON - OIS - COMPOUND	1.25%	CHF	32,050,000		06/15/2032	Annually		26,070			(510,933	)		(537,003	)
CHF - SARON - OIS - COMPOUND	1.23%	CHF	2,690,000		06/15/2032	Annually		—			(49,573	)		(49,573	)
CHF - SARON - OIS - COMPOUND	1.26%	CHF	19,210,000		06/15/2032	Annually		(92,578	)		(287,131	)		(194,553	)
1.27%	CHF - SARON - OIS - COMPOUND	CHF	28,170,000		06/15/2032	Annually		—			393,034			393,034
EUR - EuroSTR - COMPOUND	1.34%	EUR	1,810,000		06/15/2032	Annually		—			(41,620	)		(41,620	)
EUR - EuroSTR - COMPOUND	1.28%	EUR	2,950,000		06/15/2032	Annually		—			(83,794	)		(83,794	)
EUR - EuroSTR - COMPOUND	1.29%	EUR	2,950,000		06/15/2032	Annually		—			(83,496	)		(83,496	)
EUR - EuroSTR - COMPOUND	1.40%	EUR	1,730,000		06/15/2032	Annually		—			(28,932	)		(28,932	)
EUR - EuroSTR - COMPOUND	1.51%	EUR	3,340,000		06/15/2032	Annually		—			(18,025	)		(18,025	)
1.95%	GBP - SONIA - COMPOUND	GBP	51,420,000		06/15/2032	Annually		(284,209	)		1,187,892			1,472,101
1.98%	GBP - SONIA - COMPOUND	GBP	1,570,000		06/15/2032	Annually		—			29,730			29,730
1.87%	GBP - SONIA - COMPOUND	GBP	12,880,000		06/15/2032	Annually		(20,876	)		405,723			426,599
GBP - SONIA - COMPOUND	1.99%	GBP	24,940,000		06/15/2032	Annually		(48,972	)		(450,483	)		(401,511	)
GBP - SONIA - COMPOUND	1.96%	GBP	990,000		06/15/2032	Annually		—			(21,707	)		(21,707	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Centrally Cleared Interest Rate Swaps (continued)

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.13%	3 Month NZD Bank Bill Rate	NZD	22,560,000		06/15/2032	Quarterly		8,933			(196,698	)		(205,631	)
2.49%	3 Month SEK STIBOR	SEK	20,700,000		06/15/2032	Quarterly		796			11,997			11,201
3 Month SEK STIBOR	2.28%	SEK	305,890,000		06/15/2032	Quarterly		188,156			(775,756	)		(963,912	)
2.61%	3 Month SEK STIBOR	SEK	52,600,000		06/15/2032	Quarterly		—			(25,754	)		(25,754	)
2.56%	3 Month SEK STIBOR	SEK	18,800,000		06/15/2032	Quarterly		—			(908	)		(908	)
2.56%	3 Month SEK STIBOR	SEK	18,600,000		06/15/2032	Quarterly		—			(1,067	)		(1,067	)
3 Month SEK STIBOR	2.46%	SEK	30,600,000		06/15/2032	Quarterly		—			(24,976	)		(24,976	)
2.52%	USD - SOFR - COMPOUND	USD	60,390,000		06/15/2032	Annually		(11,083	)		677,298			688,381
USD - SOFR - COMPOUND	2.71%	USD	2,500,000		06/15/2032	Annually		—			13,035			13,035
USD - SOFR - COMPOUND	2.66%	USD	2,050,000		06/15/2032	Annually		—			3,014			3,014
USD - SOFR - COMPOUND	2.53%	USD	2,740,000		06/15/2032	Annually		—			(29,523	)		(29,523	)
USD - SOFR - COMPOUND	2.52%	USD	6,080,000		06/15/2032	Annually		—			(66,583	)		(66,583	)
USD - SOFR - COMPOUND	2.46%	USD	3,170,000		06/15/2032	Annually		—			(52,727	)		(52,727	)
1.75%	6 Month EURIBOR	EUR	13,730,000		06/16/2032	Semi-Annually		52,125			136,693			84,568
1.71%	6 Month EURIBOR	EUR	4,420,000		06/16/2032	Semi-Annually		—			61,631			61,631
6 Month EURIBOR	1.79%	EUR	2,850,000		06/16/2032	Semi-Annually		5,160			(17,009	)		(22,169	)
6 Month EURIBOR	1.81%	EUR	15,090,000		06/16/2032	Semi-Annually		3,748			(59,970	)		(63,718	)
CHF - SARON - OIS - COMPOUND	1.34%	CHF	28,240,000		09/21/2032	Annually		—			(407,077	)		(407,077	)
2.01%	GBP - SONIA - COMPOUND	GBP	25,040,000		09/21/2032	Annually		39,060			448,781			409,721
3 Month SEK STIBOR	2.51%	SEK	20,500,000		09/21/2032	Quarterly		—			(18,829	)		(18,829	)
2.64%	USD - SOFR - COMPOUND	USD	1,090,000		09/21/2032	Annually		(2,866	)		4,398			7,264
2.57%	USD - SOFR - COMPOUND	USD	1,940,000		09/21/2032	Annually		—			19,618			19,618
							$	(63,183	)	$	(658,118	)	$	(594,935	)

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(j)		1 Month Federal Funds Rate minus 0.75%	GS		USD	957,894	07/24/2022		Monthly		—		(46,242	)		(46,242	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 0.75%	GS		USD	2,007,149	07/24/2022		Monthly		—		(77,307	)		(77,307	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 0.75%	GS		USD	926,403	07/24/2022		Monthly		—		(47,975	)		(47,975	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 0.50%	GS		USD	1,682,400	07/24/2022		Monthly		—		(170,798	)		(170,798	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	525,798	10/18/2022		Monthly		—		11,253			11,253
Total Return on Equity Basket(k)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	17,332,339	10/18/2022		Monthly		—		(388,435	)		(388,435	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	497,493	10/18/2022		Monthly		—		(33,889	)		(33,889	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 2.50%	MORD		USD	8,576,216	05/18/2023		Monthly		—		(694,907	)		(694,907	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	3,539,455	11/20/2023		Monthly		—		(137,453	)		(137,453	)
Total Return on Equity Basket(j)		1 Month Federal Funds Rate minus 0.50%	GS		USD	169,632	05/24/2024		Monthly		—		(4,757	)		(4,757	)
										$	—	$	(1,590,510	)	$	(1,590,510	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(d) Investment valued using significant unobservable inputs.

(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) The security is restricted as to resale.

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

(h) Security is in default.

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

(j) 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.

(k) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2022:

Shares	Description	% of Equity Basket			Value ($)
1,718,000	Alibaba Health Information Technology Ltd		5.0	%		875,099
4,230,000	Alibaba Pictures Group Ltd		2.1	%		371,947
3,570,000	China Molybdenum Co Ltd – Class H		9.9	%		1,746,827
234,000	China Resources Beer Holdings Co Ltd		8.2	%		1,458,445
281,000	Citic Securities Co Ltd – Class H		3.4	%		608,183
1,031,000	Cosco Shipping Holdings Co – Class H		10.3	%		1,824,264
115,400	Ganfeng Lithium Co Ltd – Class H		8.4	%		1,479,145
896,000	Greentown Service Group Co Ltd		5.1	%		901,228
43,100	Hong Kong Exchanges and Clearing Ltd		10.5	%		1,859,681
885,000	Kingdee International Software Group Co Ltd		9.9	%		1,742,809
62,200	Kuaishou Technology		3.4	%		602,233
119,600	Microport Scientific Corp		1.3	%		236,873
82,000	New World Development Co Ltd		1.8	%		312,059
822,800	Sands China Ltd		8.9	%		1,572,325
1,546,000	Zijin Mining Group Co Ltd – Class H		11.8	%		2,088,181
	TOTAL COMMON STOCKS				$	17,679,299

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

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

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

CDOR - Canadian Dollar Offering Rate

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

EURIBOR - Euro Interbank Offered Rate

EuroSTR - Euro Short-Term Rate

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

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

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.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

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

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	3,679,107	GMO Alternative Allocation Fund, Class VI		66,922,957
	1,201,449	GMO Asset Allocation Bond Fund, Class VI		26,203,607
	679,051	GMO Emerging Country Debt Fund, Class VI		13,777,954
	1,435,292	GMO Emerging Markets ex-China Fund, Class VI		21,357,145
	1,978,042	GMO Emerging Markets Fund, Class VI		51,626,885
	486,031	GMO High Yield Fund, Class VI		8,763,137
	3,373,253	GMO International Equity Fund, Class IV		74,650,098
	996,775	GMO-Usonian Japan Value Creation Fund, Class VI		17,463,496
	2,972,627	GMO Multi-Sector Fixed Income Fund, Class IV		52,615,502
	529,531	GMO Opportunistic Income Fund, Class VI		13,338,897
	549,896	GMO Quality Cyclicals Fund, Class VI		13,505,452
	336,940	GMO Quality Fund, Class VI		9,060,313
	3,274,454	GMO U.S. Equity Fund, Class VI		43,222,791
	1,450,886	GMO U.S. Small Cap Value Fund, Class VI		27,450,759
	395	GMO U.S. Treasury Fund		1,973
		TOTAL MUTUAL FUNDS (COST $503,028,123)		439,960,966
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	518,267	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		518,267
		TOTAL SHORT-TERM INVESTMENTS (COST $518,267)		518,267
		TOTAL INVESTMENTS — 100.0% (Cost $503,546,390)		440,479,233
		Other Assets and Liabilities (net) — (0.0%)		(52,322	)
		TOTAL NET ASSETS — 100.0%		$440,426,911

Notes to Schedule of Investments:

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

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	384,861	GMO Emerging Markets ex-China Fund, Class VI		5,726,738
	78,556	GMO Emerging Markets Fund, Class VI		2,050,303
	1,542,279	GMO International Equity Fund, Class IV		34,130,639
	180,173	GMO-Usonian Japan Value Creation Fund, Class VI		3,156,635
	168,327	GMO Quality Cyclicals Fund, Class VI		4,134,121
	390,433	GMO Quality Fund, Class VI		10,498,754
	1,139,503	GMO U.S. Equity Fund, Class VI		15,041,437
	428,753	GMO U.S. Small Cap Value Fund, Class VI		8,111,999
		TOTAL MUTUAL FUNDS (COST $82,102,280)		82,850,626
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	54,151	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		54,151
		TOTAL SHORT-TERM INVESTMENTS (COST $54,151)		54,151
		TOTAL INVESTMENTS — 100.0% (Cost $82,156,431)		82,904,777
		Other Assets and Liabilities (net) — (0.0%)		(22,853	)
		TOTAL NET ASSETS — 100.0%		$82,881,924

Notes to Schedule of Investments:

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

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	7,869,649	GMO Emerging Markets ex-China Fund, Class VI		117,100,375
	8,991,745	GMO Emerging Markets Fund, Class VI		234,684,545
	23,251,061	GMO International Equity Fund, Class IV		514,545,982
	3,250,703	GMO-Usonian Japan Value Creation Fund, Class VI		56,952,315
	3,011,225	GMO Quality Cyclicals Fund, Class VI		73,955,678
	7,742,147	GMO Quality Fund, Class VI		208,186,326
	10,464,095	GMO U.S. Equity Fund, Class VI		138,126,055
	7,755,731	GMO U.S. Small Cap Value Fund, Class VI		146,738,425
		TOTAL MUTUAL FUNDS (COST $1,618,939,229)		1,490,289,701
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	789,914	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		789,914
		TOTAL SHORT-TERM INVESTMENTS (COST $789,914)		789,914
		TOTAL INVESTMENTS — 100.0% (Cost $1,619,729,143)		1,491,079,615
		Other Assets and Liabilities (net) — (0.0%)		(116,658	)
		TOTAL NET ASSETS — 100.0%		$1,490,962,957

Notes to Schedule of Investments:

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

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 78.2%
		Australia — 1.5%
	97,638	Accent Group Ltd		93,461
	120,256	Adairs Ltd (a)		199,925
	593,024	Aurizon Holdings Ltd (b)		1,708,336
	875,748	Beach Energy Ltd		1,071,439
	723,276	BlueScope Steel Ltd		9,378,639
	637,821	Brambles Ltd (b)		4,970,838
	23,921	Brickworks Ltd		356,236
	795,427	Crown Resorts Ltd * (b)		7,323,405
	169,783	CSR Ltd		567,517
	448,842	Dexus (REIT) (b)		3,371,815
	623,851	Fortescue Metals Group Ltd		9,006,567
	65,585	GDI Property Group Partnership (REIT)		49,583
	304,942	Genworth Mortgage Insurance Australia Ltd		652,482
	971,002	GPT Group (The) (REIT) (b)		3,346,626
	194,935	GrainCorp Ltd – Class A		1,372,991
	107,307	HomeCo Daily Needs (REIT)		103,879
	93,120	Incitec Pivot Ltd		234,724
	34,626	JB Hi-Fi Ltd (b)		1,141,396
	9,457	McMillan Shakespeare Ltd		79,843
	435,141	Metcash Ltd (a)		1,342,200
	153	Mineral Resources Ltd		6,966
	1,988,058	Mirvac Group (REIT) (b)		3,220,126
	233,134	Mount Gibson Iron Ltd		114,304
	122,346	Rio Tinto Ltd (b)		10,010,014
	1,349,547	Scentre Group (REIT) (b)		2,774,881
	64,984	Sims Ltd		817,924
	14,046	Southern Cross Media Group Ltd		14,334
	1,133,956	Stockland (REIT) (b)		3,249,861
	19,752	Virtus Health Ltd (a) (b)		114,912
	6,491	Woodside Energy Group Ltd		136,936
		Total Australia		66,832,160
		Belgium — 0.4%
	6,124	Ackermans & van Haaren NV		1,033,491
	117,921	Ageas SA/NV (a)		5,934,821
	15,143	AGFA-Gevaert NV * (b)		63,388
	30,342	Bekaert SA		1,225,524
	2,573	Cie d’Entreprises CFE *		286,670
	32,497	Econocom Group SA/NV (b)		127,180
	9,299	KBC Group NV		581,269
	5,551	Orange Belgium SA *		112,680
	47,948	Proximus SADP		826,914
	9,044	Sofina SA (a)		2,128,913
	56,417	UCB SA		4,977,510
	1,032	VGP NV (b)		200,230
		Total Belgium		17,498,590
		Brazil — 1.2%
	359,800	Banco do Brasil SA		2,772,380
	222,000	Blau Farmaceutica SA *		1,112,674

Shares		Description	Value ($)
		Brazil — continued
	32,400	Cia de Saneamento do Parana		136,825
	19,300	Cia Paranaense de Energia Sponsored ADR (b)		146,873
	14,800	CPFL Energia SA		104,946
	47,800	Itau Unibanco Holding SA		225,294
	68,900	JBS SA		516,110
	1,504,700	Marfrig Global Foods SA		4,948,598
	718,400	Petroleo Brasileiro SA Sponsored ADR		9,971,392
	136,200	Ser Educacional SA		229,267
	908,500	Telefonica Brasil SA		9,758,745
	272,000	Telefonica Brasil SA ADR		2,921,280
	3,550,300	TIM SA		10,757,240
	14,700	TIM SA ADR		219,324
	114,400	Transmissora Alianca de Energia Eletrica SA		971,999
	130,519	Vale SA		2,367,580
	898,700	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		2,849,714
	1,092,400	Vibra Energia SA		4,468,392
		Total Brazil		54,478,633
		Canada — 2.5%
	34,600	Bank of Montreal (a)		3,763,778
	40,300	Baytex Energy Corp *		222,075
	16,500	Birchcliff Energy Ltd		148,713
	150,800	BlackBerry Ltd * (b)		912,340
	165,310	Brookfield Asset Management Inc – Class A (b)		8,364,686
	18,000	Canaccord Genuity Group Inc		148,713
	84,800	Canadian Apartment Properties (REIT) (b)		3,318,654
	40,900	Canadian Tire Corp Ltd – Class A (b)		5,619,324
	59,000	Canfor Corp * (a)		1,248,709
	8,200	Canfor Pulp Products Inc * (a)		34,360
	118,100	Celestica Inc * (c)		1,305,323
	44,600	Celestica Inc * (c)		491,938
	5,700	Cenovus Energy Inc (c)		132,130
	36,600	Cenovus Energy Inc (c)		848,022
	9,800	Cogeco Inc (a)		603,953
	56,000	Corus Entertainment Inc – Class B		197,905
	12,000	DREAM Unlimited Corp – Class A		420,002
	7,700	Enerplus Corp (c)		114,268
	1,600	Enerplus Corp (a) (c)		23,731
	1,300	Fairfax Financial Holdings Ltd		721,478
	45,300	Finning International Inc		1,204,084
	12,200	iA Financial Corp Inc		633,511
	35,900	Imperial Oil Ltd (c)		1,990,655
	11,600	Imperial Oil Ltd (a) (c)		635,370
	61,700	Interfor Corp *		1,642,927
	17,309	International Petroleum Corp *		184,141
	92,300	Magna International Inc		5,989,630
	195,100	Manulife Financial Corp (a) (b) (c)		3,614,020
	35,700	Manulife Financial Corp (b) (c)		661,521
	5,400	Morguard North American Residential Real Estate Investment Trust		75,951

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	117,357	Nutrien Ltd (b)		11,405,927
	48,900	Onex Corp		2,917,724
	56,600	Parex Resources Inc (a)		1,253,402
	154,700	Power Corp of Canada		4,467,874
	56,200	PrairieSky Royalty Ltd (a)		841,545
	153,100	Quebecor Inc – Class B (a)		3,473,906
	6,500	Russel Metals Inc (a)		163,007
	662,840	Shaw Communications Inc – Class B (b)		18,781,820
	3,000	Spin Master Corp *		107,183
	21,400	Tamarack Valley Energy Ltd (a)		89,332
	254,500	Teck Resources Ltd – Class B (c)		10,551,433
	89,300	Teck Resources Ltd – Class B (c)		3,709,522
	25,200	Topaz Energy Corp (a)		470,987
	11,800	Transat AT Inc – Class B * (a)		38,343
	5,000	Uni-Select Inc * (a)		114,085
	10,800	Wajax Corp		202,962
	69,000	West Fraser Timber Co Ltd		6,366,209
	19,100	Westshore Terminals Investment Corp (b)		546,642
		Total Canada		110,773,815
		Chile — 0.1%
	49,497	Aguas Andinas SA – Class A		10,380
	433,784	Banco de Chile		45,152
	5,213,496	Banco Santander Chile		260,760
	12,600	Banco Santander Chile ADR		250,614
	6,508	CAP SA		83,312
	96,750	Cencosud SA		155,086
	107,776	Cencosud Shopping SA		114,746
	22,400	Cia Cervecerias Unidas SA Sponsored ADR		313,824
	7,163,360	Colbun SA		534,819
	3,637	Empresas COPEC SA		28,876
	504,250	Enel Americas SA		54,586
	551,722	Falabella SA		1,615,521
	62,938	Inversiones La Construccion SA		237,623
		Total Chile		3,705,299
		China — 7.0%
	2,251,720	361 Degrees International Ltd *		1,125,441
	158,000	7Road Holdings Ltd *		52,427
	175,000	A-Living Smart City Services Co Ltd		278,998
	272,000	Agile Group Holdings Ltd		115,320
	40,957,280	Agricultural Bank of China Ltd – Class H		15,596,492
	22,000	AK Medical Holdings Ltd (a)		13,054
	130,000	Akeso Inc *		269,399
	454,841	Alibaba Group Holding Ltd *		5,462,744
	21,600	Alibaba Group Holding Ltd Sponsored ADR *		2,074,680
	199,100	Angang Steel Co Ltd – Class A		103,372
	76,000	Angang Steel Co Ltd – Class H		32,103
	110,000	Anhui Conch Cement Co Ltd – Class H		557,157
	42,920	ANTA Sports Products Ltd		486,695
	75,390	Autohome Inc ADR		2,739,673

Shares		Description	Value ($)
		China — continued
	39,960	Autohome Inc – Class A		354,681
	7,093,000	BAIC Motor Corp Ltd – Class H		2,276,129
	12,700	Baidu Inc Sponsored ADR * (b)		1,782,445
	2,234,996	Bank of China Ltd – Class A		1,070,770
	34,229,560	Bank of China Ltd – Class H		13,683,994
	15,857,416	Bank of Communications Co Ltd – Class H		10,799,949
	435,000	Beijing Enterprises Holdings Ltd		1,522,885
	360,220	BYD Electronic International Co Ltd (a)		799,457
	1,530,000	China BlueChemical Ltd – Class H		538,227
	326,500	China Bohai Bank Co Ltd – Class H		54,020
	11,555,000	China Cinda Asset Management Co Ltd – Class H		1,958,320
	7,135,893	China Communications Services Corp Ltd – Class H		3,341,652
	9,411,513	China Construction Bank Corp – Class H		6,976,903
	603,000	China Datang Corp Renewable Power Co Ltd – Class H		209,661
	2,419,480	China Dongxiang Group Co Ltd		132,433
	327,000	China Education Group Holdings Ltd		225,797
	11,684,000	China Energy Engineering Corp Ltd – Class H (a)		1,606,918
	3,313,000	China Everbright Environment Group Ltd		1,991,657
	3,622,200	China Feihe Ltd		3,655,814
	3,659,000	China Greenfresh Group Co Ltd (e)		—
	231,000	China High Speed Transmission Equipment Group Co Ltd – Class H *		132,142
	4,800,500	China Hongqiao Group Ltd (a)		5,949,840
	1,737,480	China Lesso Group Holdings Ltd		2,230,907
	410,000	China Lilang Ltd		197,774
	718,600	China Longyuan Power Group Corp Ltd – Class H		1,530,198
	2,224,925	China Medical System Holdings Ltd		3,287,704
	49,413	China Merchants Bank Co Ltd – Class A		293,541
	1,028,600	China Molybdenum Co Ltd – Class A		733,191
	2,198,000	China National Building Material Co Ltd – Class H		2,772,498
	355,520	China Oriental Group Co Ltd		93,200
	1,923,000	China Overseas Grand Oceans Group Ltd		979,431
	3,889,500	China Overseas Land & Investment Ltd		11,286,920
	3,624,695	China Petroleum & Chemical Corp – Class A		2,413,234
	28,802,000	China Petroleum & Chemical Corp – Class H		13,795,083
	15,650,000	China Railway Group Ltd – Class H		10,816,627
	629,000	China Railway Signal & Communication Corp Ltd – Class H		223,321
	4,211,320	China Reinsurance Group Corp – Class H		370,371
	96,160	China Resources Gas Group Ltd		402,325
	508,640	China Resources Land Ltd		2,263,812
	4,952,000	China Resources Pharmaceutical Group Ltd		2,734,903
	433,297	China Shenhua Energy Co Ltd – Class A		2,206,491
	515,000	China Shenhua Energy Co Ltd – Class H		1,719,906
	340,000	China Shineway Pharmaceutical Group Ltd		255,717

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	2,586,000	China South City Holdings Ltd		217,187
	2,426,000	China State Construction International Holdings Ltd		2,851,256
	53,995	China Suntien Green Energy Corp Ltd – Class A		98,751
	115,000	China Suntien Green Energy Corp Ltd – Class H		67,005
	6,330,000	China Traditional Chinese Medicine Holdings Co Ltd		3,341,580
	13,000	China Yuchai International Ltd		136,500
	4,237,600	China Zhongwang Holdings Ltd * (a) (d)		907,224
	9,139,000	CITIC Ltd		10,249,449
	8,836,000	CSPC Pharmaceutical Group Ltd		9,441,043
	7,976,000	Dongfeng Motor Group Co Ltd – Class H		6,263,934
	102,160	ENN Energy Holdings Ltd		1,563,051
	1,730,000	Fosun International Ltd		1,754,126
	3,570,000	GOME Retail Holdings Ltd *		177,478
	142,040	Greenland Hong Kong Holdings Ltd		27,336
	134,080	Guangdong Investment Ltd		169,060
	578,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,612,812
	4,822,000	Guangzhou R&F Properties Co Ltd – Class H (a)		1,709,911
	574,900	Hello Group Inc Sponsored ADR		3,495,392
	794,444	Hisense Home Appliances Group Co Ltd – Class A		1,475,363
	425,000	Hisense Home Appliances Group Co Ltd – Class H		441,987
	247,310	Hopson Development Holdings Ltd (a)		402,877
	114,000	Huabao International Holdings Ltd		61,307
	88	Industrial & Commercial Bank of China Ltd – Class A		62
	3,556,696	Industrial & Commercial Bank of China Ltd – Class H		2,129,822
	1,482,163	Inner Mongolia Eerduosi Resources Co Ltd – Class A		6,061,750
	3,898	JD.com Inc – Class A		109,496
	850,500	Kingboard Holdings Ltd		4,069,130
	55,260	Kingboard Laminates Holdings Ltd		92,683
	270,000	Kunlun Energy Co Ltd		231,412
	522,000	KWG Group Holdings Ltd		163,882
	34,000	KWG Living Group Holdings Ltd		10,592
	228,000	Lee & Man Paper Manufacturing Ltd		110,712
	1,007,100	Legend Holdings Corp – Class H		1,193,567
	9,818,000	Lenovo Group Ltd		9,673,757
	249,600	Livzon Pharmaceutical Group Inc – Class H		798,198
	2,521,640	Lonking Holdings Ltd		657,855
	9,471,000	Metallurgical Corp of China Ltd – Class H		2,389,668
	148,000	MMG Ltd *		62,718
	55,000	NetDragon Websoft Holdings Ltd		110,517
	15,668	NetEase Inc		327,679
	15,732	NetEase Inc ADR (b)		1,631,880
	4,000	Newborn Town Inc * (a)		1,374
	2,237,000	Nexteer Automotive Group Ltd		1,444,423

Shares		Description	Value ($)
		China — continued
	87,000	PetroChina Co Ltd ADR		4,540,530
	2,756,474	PetroChina Co Ltd – Class A		2,313,885
	10,374,000	PetroChina Co Ltd – Class H		5,462,924
	11,915,720	PICC Property & Casualty Co Ltd – Class H		11,538,672
	1,182,500	Ping An Insurance Group Co of China Ltd – Class H		7,571,343
	754,000	Poly Property Group Co Ltd		180,523
	3,540,926	Postal Savings Bank of China Co Ltd – Class A		2,793,432
	1,945,000	Powerlong Real Estate Holdings Ltd (a)		522,478
	98,000	Road King Infrastructure Ltd		75,496
	2,215,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		3,607,550
	3,118,000	Shimao Group Holdings Ltd (a) (d)		1,756,239
	217,000	Sihuan Pharmaceutical Holdings Group Ltd (a)		31,185
	1,787,500	Sino-Ocean Land Holdings Ltd		316,471
	2,030,540	Sinopec Engineering Group Co Ltd – Class H		1,036,399
	3,659,200	Sinopharm Group Co Ltd – Class H		9,050,784
	2,071,440	Sinotruk Hong Kong Ltd		2,937,862
	6,076,000	Skyworth Group Ltd		3,100,070
	353,000	Sun Art Retail Group Ltd		105,984
	30,000	Sun King Technology Group Ltd		9,069
	5,905,000	Sunac China Holdings Ltd (a) (d)		3,446,439
	737,000	Sunac Services Holdings Ltd *		396,825
	91,672	Sunny Optical Technology Group Co Ltd		1,446,744
	2,029,000	TCL Electronics Holdings Ltd		991,445
	198,237	Tencent Holdings Ltd		9,063,071
	15,092	Tencent Holdings Ltd ADR (b)		687,290
	16,100	Tencent Music Entertainment Group ADR *		67,298
	844,000	Tianjin Port Development Holdings Ltd		67,581
	1,126,000	Tianneng Power International Ltd (a)		1,076,167
	16,000	Truly International Holdings Ltd		4,594
	66,500	Venus MedTech Hangzhou Inc – Class H *		114,619
	585,300	Vipshop Holdings Ltd ADR *		5,443,290
	674,000	Weimob Inc *		405,851
	108,000	West China Cement Ltd		16,379
	47,500	Xiabuxiabu Catering Management China Holdings Co Ltd		21,786
	49,350	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		96,940
	295,500	Zhongsheng Group Holdings Ltd		2,095,654
	301,100	Zijin Mining Group Co Ltd – Class A		451,820
		Total China		309,158,898
		Czech Republic — 0.0%
	189,291	Moneta Money Bank AS		630,106
	627	Philip Morris CR AS		464,543
		Total Czech Republic		1,094,649

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Denmark — 0.5%
	878	AP Moller – Maersk A/S – Class A (b)		2,534,224
	1,841	AP Moller – Maersk A/S – Class B (b)		5,394,833
	4,004	Carlsberg A/S – Class B		509,656
	413,989	Danske Bank A/S		6,773,354
	17,339	Matas A/S		239,918
	55,491	Pandora A/S		4,482,884
	50,473	Scandinavian Tobacco Group A/S		1,084,245
		Total Denmark		21,019,114
		Egypt — 0.0%
	208,820	Commercial International Bank Egypt SAE		463,232
	713,067	Eastern Co SAE		405,813
	402,551	Fawry for Banking & Payment Technology Services SAE *		88,562
	56,312	Medinet Nasr Housing		6,283
	32,198	Misr Fertilizers Production Co SAE		176,909
		Total Egypt		1,140,799
		Finland — 0.4%
	29,503	Kesko Oyj – B Shares		738,665
	126,248	Neste Oyj		5,798,941
	1,267,287	Nokia Oyj		6,369,283
	290,600	Outokumpu Oyj		1,677,780
	5,821	Sanoma Oyj		78,245
	148,699	Stora Enso Oyj – R Shares		2,884,446
		Total Finland		17,547,360
		France — 1.7%
	50,197	ALD SA (b)		697,209
	331	Alten SA (b)		44,186
	30,056	APERAM SA		1,244,664
	206,736	ArcelorMittal SA		6,619,089
	2,727	Arkema SA		330,155
	1,788	Axway Software SA		32,647
	184,580	BNP Paribas SA (a)		10,564,543
	1,836	Boiron SA		86,734
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France		16,439
	91,187	Cie de Saint-Gobain (b)		5,405,001
	13,630	CNP Assurances		305,877
	97,498	Coface SA		1,150,274
	136,078	Derichebourg SA		1,097,575
	4,644	Eramet SA *		703,746
	350	Euroapi SA *		5,088
	694	Groupe Crit (a)		48,127
	989	HEXAOM		30,275
	37,424	Ipsen SA		3,747,097
	33,158	IPSOS		1,610,879
	8,995	Kering SA (b)		4,947,534
	11,923	LVMH Moet Hennessy Louis Vuitton SE (b)		7,697,799

Shares		Description	Value ($)
		France — continued
	4,309	Mersen SA		151,819
	66,554	Metropole Television SA		1,163,420
	116,759	Publicis Groupe SA		6,395,647
	38,448	Quadient SA		801,560
	2,190	Rothschild & Co		86,473
	86,083	Safran SA (b)		8,919,152
	8,031	Sanofi (b)		859,380
	15,291	Societe BIC SA		873,804
	276,173	Societe Generale SA (a)		7,442,178
	28,200	STMicroelectronics NV – NY Shares		1,130,256
	1,570	Synergie SE		58,504
	154,936	Television Francaise 1		1,285,063
	2,003	TotalEnergies SE (b) (c)		118,132
	5,259	TotalEnergies SE (c)		311,244
		Total France		75,981,570
		Germany — 1.2%
	21,598	ADVA Optical Networking SE *		330,088
	279	Amadeus Fire AG		40,772
	12,916	Aurubis AG		1,220,059
	76,941	Bayer AG (Registered) (b)		5,504,975
	57,750	Bayerische Motoren Werke AG		5,017,250
	57,385	Beiersdorf AG		5,956,061
	933	Cewe Stiftung & Co KGaA		90,095
	44,360	Deutsche Pfandbriefbank AG		494,509
	2,151	Draegerwerk AG & Co KGaA		96,616
	4,253	Elmos Semiconductor SE		215,086
	82,139	Fresenius SE & Co KGaA (b)		2,817,241
	4,837	Hamburger Hafen und Logistik AG (b)		84,917
	89,706	HeidelbergCement AG		5,239,117
	8,218	Hornbach Holding AG & Co KGaA		1,037,586
	1,035	HUGO BOSS AG		55,696
	172,535	Kloeckner & Co SE *		2,148,677
	126,341	Mercedes-Benz Group AG (b)		9,002,984
	21,064	Merck KGaA (b)		3,971,590
	5,191	RTL Group SA		240,632
	29,861	Salzgitter AG *		1,223,639
	23,831	SAP SE (b)		2,388,985
	21,889	Siltronic AG		2,134,116
	3,559	Traton SE		65,704
	7,866	Volkswagen AG (b)		1,782,979
	813	Wuestenrot & Wuerttembergische AG		14,859
		Total Germany		51,174,233
		Greece — 0.0%
	19,331	Hellenic Telecommunications Organization SA		366,606
	29,769	JUMBO SA		494,791
		Total Greece		861,397
		Hong Kong — 0.8%
	240,500	ASM Pacific Technology Ltd		2,189,682
	197,000	Bank of East Asia Ltd (The)		285,269

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	130,000	Chow Sang Sang Holdings International Ltd		140,546
	983,000	CITIC Telecom International Holdings Ltd		333,176
	102,000	CK Asset Holdings Ltd (b)		665,061
	1,054,500	CK Hutchison Holdings Ltd		7,469,679
	1,170,000	CSI Properties Ltd		26,845
	274,400	Dah Sing Banking Group Ltd		238,248
	80,800	Dah Sing Financial Holdings Ltd		239,202
	1,376,000	First Pacific Co Ltd		602,679
	616,523	Galaxy Entertainment Group Ltd		3,284,189
	254,000	Giordano International Ltd		49,491
	800,000	HKT Trust & HKT Ltd – Class SS		1,101,461
	517,000	IGG Inc		208,758
	243,500	Johnson Electric Holdings Ltd		317,103
	443,000	K Wah International Holdings Ltd		167,652
	148,000	Kerry Logistics Network Ltd		337,920
	240,000	Kerry Properties Ltd		622,058
	65,000	Luk Fook Holdings International Ltd		150,800
	20,000	Orient Overseas International Ltd (b)		613,398
	783,000	Pacific Textiles Holdings Ltd		359,636
	1,222,000	PAX Global Technology Ltd		965,068
	740,000	PCCW Ltd		403,497
	367,500	Power Assets Holdings Ltd (b)		2,399,479
	636,000	Shun Tak Holdings Ltd *		131,917
	350,000	Singamas Container Holdings Ltd		57,976
	63,000	SITC International Holdings Co Ltd		237,921
	139,500	SmarTone Telecommunications Holdings Ltd		73,893
	246,000	Sun Hung Kai & Co Ltd		114,051
	107,000	Sun Hung Kai Properties Ltd (b)		1,308,189
	139,500	Swire Pacific Ltd – Class A (b)		846,384
	40,000	TAI Cheung Holdings Ltd		22,978
	137,500	Texhong Textile Group Ltd		148,352
	414,000	VPower Group International Holdings Ltd – Class H (a)		47,574
	632,000	VSTECS Holdings Ltd		521,206
	192,600	VTech Holdings Ltd		1,439,204
	6,322,000	WH Group Ltd		4,834,225
	872,920	Xinyi Glass Holdings Ltd		2,206,432
	274,500	Yue Yuen Industrial Holdings Ltd *		399,009
		Total Hong Kong		35,560,208
		Hungary — 0.1%
	71,370	MOL Hungarian Oil & Gas Plc		512,065
	151,140	OTP Bank Nyrt Plc		3,600,500
	2,829	Richter Gedeon Nyrt		55,345
		Total Hungary		4,167,910
		India — 2.4%
	140,370	Adani Power Ltd *		580,086
	491,260	Arvind Ltd *		626,877
	59,521	Asian Paints Ltd		2,177,225

Shares		Description	Value ($)
		India — continued
	190,826	Axis Bank Ltd *		1,671,877
	15,336	Bajaj Consumer Care Ltd		26,836
	2,495	Balrampur Chini Mills Ltd		12,918
	33,114	Bharat Electronics Ltd		99,706
	47,672	Bharat Petroleum Corp Ltd		200,743
	343,628	Brightcom Group Ltd		282,975
	2,576	Chambal Fertilizers and Chemicals Ltd		12,013
	5,608	Clean Science & Technology Ltd *		124,235
	973,594	Coal India Ltd		2,426,310
	861	Colgate-Palmolive India Ltd		18,002
	4,506	Coromandel International Ltd		54,790
	4,217	Cummins India Ltd		55,081
	3	Cyient Ltd		30
	129,948	Dhampur Bio Organics Ltd * (d)		56,658
	116,889	Dhampur Sugar Mills Ltd		372,580
	2,693	Emami Ltd		14,348
	26,184	Engineers India Ltd		21,077
	1,507	Finolex Cables Ltd		7,135
	7,780	Finolex Industries Ltd		15,624
	2,063,517	GAIL India Ltd		3,905,326
	54,274	Glenmark Pharmaceuticals Ltd		273,632
	38,877	Grasim Industries Ltd		710,036
	22,500	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		191,536
	360,588	Gujarat State Fertilizers & Chemicals Ltd		776,506
	17,047	Gujarat State Petronet Ltd		55,606
	214,560	HCL Technologies Ltd		2,862,663
	26,342	HDFC Asset Management Co Ltd		640,430
	74,215	HDFC Bank Ltd		1,312,696
	4,400	HDFC Bank Ltd ADR		253,308
	692,346	Hindalco Industries Ltd		3,804,535
	29,348	Hindustan Aeronautics Ltd		688,895
	443,507	Hindustan Petroleum Corp Ltd		1,295,600
	55,652	Hindustan Zinc Ltd		214,900
	58,825	Housing Development Finance Corp Ltd		1,722,797
	273,550	ICICI Bank Ltd		2,619,161
	9,500	ICICI Bank Ltd Sponsored ADR		182,875
	34,480	Indiabulls Housing Finance Ltd		51,796
	764,123	Indian Oil Corp Ltd		1,141,723
	96,346	Indus Towers Ltd		248,981
	34	Infosys Ltd		659
	238,800	Infosys Ltd Sponsored ADR (b)		4,503,768
	4,282,308	ITC Ltd		14,902,621
	5,418	Jindal Stainless Hisar Ltd *		15,400
	779,899	Karnataka Bank Ltd (The)		670,846
	20,592	Mahanagar Gas Ltd		200,094
	19,623	Manappuram Finance Ltd		23,969
	14,496	Marico Ltd		99,279
	52,816	Mindtree Ltd		2,066,943
	755,407	National Aluminium Co Ltd		933,516
	48,149	NBCC India Ltd		20,522
	135,691	NCC Ltd		111,502
	95,315	NHPC Ltd		41,442

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		India — continued
	1,677,720	NMDC Ltd		2,726,931
	1,765,562	NTPC Ltd		3,577,836
	76	Oberoi Realty Ltd *		781
	8,019,647	Oil & Natural Gas Corp Ltd		15,670,893
	758	Oracle Financial Services Software Ltd		32,077
	95,208	Petronet LNG Ltd		278,755
	1,887	PNC Infratech Ltd		5,819
	438	Polyplex Corp Ltd		13,402
	2,396,183	Power Finance Corp Ltd		3,424,697
	516,910	Power Grid Corp of India Ltd		1,541,851
	13,987	Prestige Estates Projects Ltd		76,900
	97,251	PTC India Ltd		110,737
	132,791	Rajesh Exports Ltd		921,107
	2,359,270	REC Ltd		3,619,775
	405,953	Redington India Ltd		676,907
	629	Reliance Industries Ltd		21,117
	2,942	Sobha Ltd		20,799
	596,172	Sun Pharmaceutical Industries Ltd		6,628,343
	19,478	Sun TV Network Ltd		110,888
	643	Supreme Industries Ltd		15,102
	69,113	Tata Consultancy Services Ltd		2,980,849
	312,310	Tata Steel Ltd		4,242,283
	73,172	Titan Co Ltd		2,153,915
	3,509	Triveni Engineering & Industries Ltd		13,117
	746,867	TV18 Broadcast Ltd *		384,038
	128,580	Vardhman Textiles Ltd		474,920
	57,959	Welspun Corp Ltd		171,177
	21	Zensar Technologies Ltd		82
		Total India		105,295,787
		Indonesia — 0.5%
	4,053,200	Adaro Energy Indonesia Tbk PT		909,686
	14,500	AKR Corporindo Tbk PT		1,112
	17,632,200	Bank Central Asia Tbk PT		9,329,216
	4,040,400	Bank Mandiri Persero Tbk PT		2,357,275
	308,981	Bank Negara Indonesia Persero Tbk PT		194,121
	3,007,300	Bank Pembangunan Daerah Jawa Timur Tbk PT		160,845
	17,521,000	Bank Rakyat Indonesia Persero Tbk PT		5,550,233
	858,600	Bukit Asam Tbk PT		266,687
	81,100	Indika Energy Tbk PT *		16,091
	349,800	Indo Tambangraya Megah Tbk PT		842,121
	238,100	Indocement Tunggal Prakarsa Tbk PT		158,684
	1,459,000	Kalbe Farma Tbk PT		167,535
	5,089,000	Media Nusantara Citra Tbk PT		337,867
	41,707,300	Panin Financial Tbk PT *		800,777
	3,082,868	Telkom Indonesia Persero Tbk PT		910,160
	90,800	United Tractors Tbk PT		195,380
		Total Indonesia		22,197,790
		Ireland — 0.4%
	37,163	AIB Group Plc		99,506
	756,072	Bank of Ireland Group Plc		5,108,077

Shares		Description	Value ($)
		Ireland — continued
	9,400	CRH Plc Sponsored ADR (b)		390,006
	43,296	Glanbia Plc		502,184
	244,384	Hibernia REIT Plc		419,553
	7,783	Kingspan Group Plc		640,742
	38,104	Origin Enterprises Plc		182,339
	31,131	Permanent TSB Group Holdings Plc *		48,855
	194,970	Ryanair Holdings Plc *		2,986,538
	52,276	Ryanair Holdings Plc Sponsored ADR * (b)		4,558,467
	91,389	Smurfit Kappa Group Plc (c)		3,694,396
	11,897	Smurfit Kappa Group Plc (c)		482,643
		Total Ireland		19,113,306
		Israel — 0.5%
	268,799	Bank Leumi Le-Israel BM		2,676,326
	2,124	First International Bank of Israel Ltd (The)		81,894
	11,409	Isracard Ltd		48,448
	836,336	Oil Refineries Ltd		353,057
	749,000	Teva Pharmaceutical Industries Ltd Sponsored ADR *		6,815,900
	251,430	Tower Semiconductor Ltd *		12,134,012
		Total Israel		22,109,637
		Italy — 0.8%
	25,505	ACEA SPA (b)		463,634
	62,754	Anima Holding SPA		302,541
	52,995	Arnoldo Mondadori Editore SPA		105,361
	55,946	Banca IFIS SPA		1,020,903
	175,429	Banco BPM SPA		612,787
	60,403	Credito Emiliano SPA		391,646
	287	De’ Longhi SPA		6,971
	185,561	Enel SPA (b)		1,205,613
	15,389	Eni SPA		233,076
	4,000	Eni SpA Sponsored ADR		121,200
	16,855	Esprinet SPA		147,382
	183,172	EXOR NV (a)		13,529,336
	100,916	IMMSI SPA (a)		46,548
	420,743	Italgas SPA (b)		2,716,994
	196,380	Leonardo SPA *		2,114,486
	1,097	Prima Industrie SPA (a)		18,160
	1,858	Sabaf SPA		50,883
	4,481	Salcef SPA		93,467
	253,272	Stellantis NV		3,799,886
	12,652,186	Telecom Italia SPA		4,046,262
	2,188,843	Telecom Italia SPA – RSP		669,408
	10,058	Unieuro SPA (a)		192,728
	589,054	Unipol Gruppo SPA		3,152,254
		Total Italy		35,041,526
		Japan — 11.7%
	28,600	ADEKA Corp		558,686
	513,000	Aeon Mall Co Ltd		6,193,461

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	162,200	AGC Inc		6,101,257
	15,500	Aichi Corp		105,996
	50,900	Aisin Corp		1,666,446
	193,200	Amano Corp		3,742,059
	29,500	AOKI Holdings Inc		153,459
	122,900	Arcs Co Ltd		1,841,642
	881,600	Asahi Kasei Corp		7,122,934
	94,100	Astellas Pharma Inc (b)		1,502,863
	9,100	Bando Chemical Industries Ltd		63,434
	182,400	Brother Industries Ltd		3,357,035
	900	Calbee Inc		16,657
	5,600	Canon Electronics Inc		67,136
	158,700	Canon Inc (a)		4,030,316
	4,100	Canon Inc Sponsored ADR		104,099
	19,700	Canon Marketing Japan Inc		460,837
	4,800	Central Glass Co Ltd		104,553
	4,000	Chiyoda Integre Co Ltd (a)		60,479
	276,100	Chugoku Marine Paints Ltd (a)		1,823,490
	178,600	Citizen Watch Co Ltd		760,794
	9,600	CONEXIO Corp		103,194
	104,600	Dai Nippon Printing Co Ltd		2,393,255
	13,700	Dai Nippon Toryo Co Ltd		80,372
	4,000	Dai-Dan Co Ltd		63,572
	4,800	Daiichi Jitsugyo Co Ltd		121,641
	2,800	Daito Pharmaceutical Co Ltd (a)		56,753
	132,800	Daiwa House Industry Co Ltd (b)		3,198,375
	705,000	Daiwabo Holdings Co Ltd		9,412,996
	262,400	Denka Co Ltd		6,510,512
	5,200	Dentsu Group Inc (a)		173,118
	2,000	Dowa Holdings Co Ltd		73,171
	5,000	Eizo Corp		134,295
	476,300	EXEO Group Inc		7,626,702
	202,800	Ezaki Glico Co Ltd (a)		5,861,706
	8,200	FJ Next Holdings Co Ltd		67,730
	355,200	Fuji Corp		6,083,567
	23,800	Fuji Electric Co Ltd		1,116,138
	3,800	Fuji Pharma Co Ltd		27,253
	6,300	FUJIFILM Holdings Corp		347,000
	1,200	Fujitsu Ltd (b)		180,183
	6,800	Furuno Electric Co Ltd (a)		53,050
	7,800	Furyu Corp		62,976
	13,100	G-7 Holdings Inc (a)		144,002
	21,800	Hanwa Co Ltd		503,900
	556,894	Haseko Corp		6,643,244
	53,200	Hazama Ando Corp		325,378
	5,900	Heiwado Co Ltd		86,093
	2,700	Hochiki Corp		25,524
	123,500	Hogy Medical Co Ltd		2,922,266
	482,100	Honda Motor Co Ltd		12,004,370
	42,000	Hosiden Corp		397,391
	3,400	Hosokawa Micron Corp		69,153
	5,900	Hyakujushi Bank Ltd (The)		79,401
	65,000	Idemitsu Kosan Co Ltd		1,753,198

Shares		Description	Value ($)
		Japan — continued
	90,400	Iida Group Holdings Co Ltd		1,426,078
	17,200	Inabata & Co Ltd		295,600
	1,045,800	Inpex Corp		13,418,685
	99,900	Isuzu Motors Ltd		1,172,381
	394,200	ITOCHU Corp (b)		11,307,834
	1,300	Itochu-Shokuhin Co Ltd		47,106
	58,500	Itoham Yonekyu Holdings Inc		292,077
	29,400	Itoki Corp		90,471
	15,600	Jaccs Co Ltd		405,774
	302,900	Japan Tobacco Inc (b)		5,513,367
	444,500	JFE Holdings Inc		5,468,303
	274,200	JVCKenwood Corp		405,058
	776,500	K’s Holdings Corp		7,763,451
	11,500	Kaga Electronics Co Ltd		276,756
	279,900	Kajima Corp		3,007,913
	13,400	Kamei Corp		110,215
	29,300	Kandenko Co Ltd		182,293
	13,200	Kaneka Corp		338,768
	308,600	Kanematsu Corp		3,127,891
	6,700	Kanto Denka Kogyo Co Ltd		48,270
	416,200	KDDI Corp		14,519,589
	30,400	Kinden Corp		349,851
	21,300	Kintetsu World Express Inc (b)		690,663
	469,700	Kirin Holdings Co Ltd		7,265,544
	19,400	Kitz Corp		101,865
	7,279	Kohnan Shoji Co Ltd		206,612
	40,300	Komeri Co Ltd		860,971
	193,800	Konoike Transport Co Ltd (b)		1,752,805
	1,700	Krosaki Harima Corp		56,618
	2,400	Kureha Corp		190,262
	11,300	Kyokuto Kaihatsu Kogyo Co Ltd		120,543
	9,500	Kyosan Electric Manufacturing Co Ltd		32,750
	277,300	Kyudenko Corp		5,744,091
	17,500	Lintec Corp		325,878
	16,000	Macnica Fuji Electronics Holdings Inc		352,330
	221,700	Macromill Inc		1,718,579
	271,500	Mandom Corp		2,989,404
	295,800	Marubeni Corp (b)		3,100,964
	282,900	Maruichi Steel Tube Ltd		6,528,250
	5,400	Maruzen Showa Unyu Co Ltd		128,406
	225,600	Maxell Ltd		2,202,504
	29,600	MCJ Co Ltd		199,455
	86,000	Mebuki Financial Group Inc		163,677
	47,100	MEIJI Holdings Co Ltd		2,320,683
	1,600	Melco Holdings Inc		45,597
	225,600	Mitsubishi Corp (b)		7,785,893
	5,300	Mitsubishi Research Institute Inc (b)		169,737
	5,400	Mitsubishi Shokuhin Co Ltd		130,305
	978,200	Mitsubishi UFJ Financial Group Inc		5,564,981
	11,100	Mitsuboshi Belting Ltd		240,736
	58,400	Mitsui & Co Ltd (b)		1,466,924
	12,600	Mitsui DM Sugar Holdings Co Ltd		181,738
	167,100	Mitsui OSK Lines Ltd (b)		4,440,424

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	13,900	Modec Inc (a)		140,965
	233,900	Morinaga & Co Ltd		7,122,454
	206,700	MS&AD Insurance Group Holdings Inc		6,576,439
	13,800	MTI Ltd		49,160
	193,500	NEC Corp (b)		7,772,487
	66,800	NGK Spark Plug Co Ltd		1,265,591
	263,100	NH Foods Ltd		8,019,302
	17,900	Nichias Corp		313,325
	14,800	Nichiha Corp		276,030
	8,400	Nichireki Co Ltd		85,130
	160,800	Nikon Corp		1,995,255
	5,300	Nippn Corp		64,420
	4,200	Nippon Densetsu Kogyo Co Ltd		51,738
	345,300	Nippon Steel Corp		6,017,417
	7,600	Nippon Steel Trading Corp		316,560
	106,400	Nippon Suisan Kaisha Ltd		430,596
	477,300	Nippon Telegraph & Telephone Corp (b)		14,582,662
	102,300	Nippon Television Holdings Inc		966,965
	7,100	Nisshin Oillio Group Ltd (The)		163,797
	3,800	Nissin Corp		49,917
	19,500	Nissin Electric Co Ltd		222,224
	20,600	Nojima Corp		469,683
	700	Nomura Real Estate Holdings Inc (b)		17,506
	3,800	Noritake Co Ltd		124,554
	833,200	Obayashi Corp		5,899,195
	12,400	Okamura Corp		105,917
	36,500	Organo Corp		2,769,969
	160,000	ORIX Corp		3,041,828
	5,600	Osaka Soda Co Ltd		130,372
	7,700	Osaki Electric Co Ltd		30,084
	273,000	Pacific Industrial Co Ltd		2,255,785
	1,052,000	Penta-Ocean Construction Co Ltd		5,173,959
	9,100	Prima Meat Packers Ltd		149,010
	8,000	Proto Corp		61,661
	20,300	Raito Kogyo Co Ltd		264,553
	54,300	Resona Holdings Inc		204,141
	72,100	Rohm Co Ltd		5,893,137
	43,000	San-A Co Ltd		1,311,716
	21,600	Sanki Engineering Co Ltd		242,865
	219,700	Sankyu Inc (b)		6,575,730
	131,100	Sawai Group Holdings Co Ltd		3,867,442
	106,500	Secom Co Ltd (b)		7,013,421
	15,300	Sega Sammy Holdings Inc		283,652
	7,200	Seikitokyu Kogyo Co Ltd (a)		44,970
	95,600	Seiko Epson Corp		1,600,413
	17,400	Sekisui Chemical Co Ltd		248,890
	423,600	Sekisui House Ltd		7,526,421
	7,500	Sekisui Jushi Corp		97,598
	28,300	Shimamura Co Ltd (b)		2,391,109
	671,800	Shimizu Corp		3,569,767
	6,900	Shin-Etsu Polymer Co Ltd		59,292
	4,700	Shinnihon Corp		26,995
	16,900	Shizuoka Gas Co Ltd (a)		107,691

Shares		Description	Value ($)
		Japan — continued
	2,000	Sinanen Holdings Co Ltd		54,164
	10,600	Sinko Industries Ltd		129,575
	303,520	Sojitz Corp		4,813,205
	504,900	Stanley Electric Co Ltd		9,153,613
	166,400	Subaru Corp		2,888,508
	441,100	SUMCO Corp		7,107,729
	2,517,100	Sumitomo Chemical Co Ltd		10,404,591
	342,600	Sumitomo Corp		4,901,953
	52,600	Sumitomo Electric Industries Ltd		582,594
	75,500	Sumitomo Forestry Co Ltd		1,158,330
	5,300	Sumitomo Heavy Industries Ltd (a)		124,939
	294,800	Sumitomo Mitsui Financial Group Inc		9,041,369
	264,400	Sumitomo Mitsui Trust Holdings Inc		7,997,016
	387,600	Sumitomo Pharma Co Ltd (a)		3,316,858
	1,500	Sumitomo Seika Chemicals Co Ltd		33,775
	6,600	Sumitomo Warehouse Co Ltd (The) (b)		109,808
	27,500	Suzuki Motor Corp		814,400
	678,400	T&D Holdings Inc		7,837,063
	183,400	Tachi-S Co Ltd		1,635,365
	168,300	Taisei Corp		5,018,232
	333,100	Takara Holdings Inc		2,472,876
	75,800	Takara Leben Co Ltd		194,661
	435,800	Takuma Co Ltd		4,804,362
	7,500	Tamron Co Ltd		142,315
	625,900	Teijin Ltd		6,437,072
	303,700	THK Co Ltd		6,202,365
	172,100	Toho Holdings Co Ltd (a)		2,607,425
	616,500	Tokai Carbon Co Ltd (a)		5,197,396
	2,500	Token Corp		166,801
	239,000	Tokyo Gas Co Ltd (b)		4,669,263
	190,900	Tokyo Seimitsu Co Ltd		7,344,263
	420,600	Toppan Inc		7,904,776
	258,300	Tosei Corp		2,251,970
	505,249	Tosoh Corp		7,341,817
	19,900	Towa Pharmaceutical Co Ltd		370,456
	69,300	Toyo Construction Co Ltd		447,728
	2,500	Toyo Ink SC Holdings Co Ltd		37,024
	62,800	Toyota Boshoku Corp		1,014,691
	126,200	Toyota Industries Corp		8,111,743
	32,900	Toyota Tsusho Corp		1,255,852
	2,700	Tsubakimoto Chain Co		66,265
	177,500	Tsumura & Co		4,045,380
	18,800	TV Asahi Holdings Corp		211,727
	32,700	Ulvac Inc (a)		1,377,604
	10,600	Unipres Corp		73,124
	7,200	Vital KSK Holdings Inc		39,069
	8,900	Wacoal Holdings Corp		137,574
	9,100	Warabeya Nichiyo Holdings Co Ltd		116,275
	23,800	YAMABIKO Corp (a)		218,454
	118,800	Yamaha Motor Co Ltd		2,404,113
	23,300	Yamazen Corp		170,446
	19,300	Yellow Hat Ltd		241,762
	106,000	Yokogawa Bridge Holdings Corp		1,584,849

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	10,700	Yokohama Rubber Co Ltd (The)		137,290
	7,200	Yuasa Trading Co Ltd		178,721
	181,500	Zenkoku Hosho Co Ltd		6,024,031
		Total Japan		516,352,419
		Kuwait — 0.0%
	14,744	Humansoft Holding Co KSC		149,348
	396,182	Kuwait Finance House KSCP		1,161,802
		Total Kuwait		1,311,150
		Luxembourg — 0.1%
	116,100	Ternium SA Sponsored ADR		5,104,917
		Malaysia — 0.1%
	11,300	Fraser & Neave Holdings Bhd		50,045
	247,800	Kossan Rubber Industries Bhd		93,317
	855,500	Petronas Chemicals Group Bhd		2,003,184
	426,700	Westports Holdings Bhd		336,117
		Total Malaysia		2,482,663
		Mexico — 1.2%
	102,644	America Movil SAB de CV – Class L Sponsored ADR		2,190,423
	1,855,100	America Movil SAB de CV – Series L		1,999,272
	91,640	Arca Continental SAB de CV		618,508
	260,700	Banco del Bajio SA		647,892
	162,000	Becle SAB de CV		364,902
	300	Bolsa Mexicana de Valores SAB de CV		561
	7,096	Coca-Cola Femsa SAB de CV Sponsored ADR		423,276
	1,136,700	Credito Real SAB de CV SOFOM ER *		20,850
	101,328	El Puerto de Liverpool SAB de CV – Class C1		536,335
	1,183,549	Fomento Economico Mexicano SAB de CV		8,855,344
	24,976	Fomento Economico Mexicano SAB de CV Sponsored ADR		1,869,204
	500	GCC SAB de CV		3,517
	770	Gruma SAB de CV – Class B		9,230
	19,975	Grupo Aeroportuario del Sureste SAB de CV – Class B		436,861
	265,300	Grupo Bimbo SAB de CV – Series A		870,022
	2,496,800	Grupo Financiero Banorte SAB de CV – Class O		16,141,250
	15,800	Grupo Financiero Inbursa SAB de CV – Class O *		32,603
	29,255	Grupo Herdez SAB de CV – Series *		44,104
	2,555,403	Grupo Mexico SAB de CV – Series B		12,616,982
	104,344	Industrias Bachoco SAB de CV – Series B		406,496
	114,800	Megacable Holdings SAB de CV CPO		325,667
	74,924	Qualitas Controladora SAB de CV		374,610
	91,100	Regional SAB de CV		540,059
	120,948	Unifin Financiera SAB de CV SOFOM ENR *		103,799

Shares		Description	Value ($)
		Mexico — continued
	1,236,200	Wal-Mart de Mexico SAB de CV		4,571,562
		Total Mexico		54,003,329
		Netherlands — 1.3%
	246,900	ABN AMRO Bank NV CVA GDR (a)		2,882,886
	1,190,232	Aegon NV (a)		6,336,848
	94,900	AerCap Holdings NV *		4,691,856
	10,227	ASR Nederland NV		465,662
	16,510	Evander Gold Mines Ltd (d)		177
	59,053	ForFarmers NV (a)		188,623
	559	Hunter Douglas NV *		104,650
	370,505	ING Groep NV		4,189,542
	171,666	JDE Peet’s NV (a)		5,023,535
	301,271	Koninklijke Ahold Delhaize NV (b)		8,307,644
	9,947	Koninklijke BAM Groep NV *		28,503
	79,523	Koninklijke KPN NV		289,462
	86,472	Koninklijke Philips NV (b)		2,228,957
	145,121	NN Group NV		7,192,426
	9,609	PostNL NV (b)		32,697
	100,526	Prosus NV (a)		5,197,133
	138,921	Randstad NV (a) (b)		7,816,253
	37,274	Signify NV		1,486,240
	46,497	Stellantis NV		697,705
	5,557	Wolters Kluwer NV (b)		548,317
		Total Netherlands		57,709,116
		New Zealand — 0.1%
	208,179	Auckland International Airport Ltd * (b)		1,012,210
	794,192	Meridian Energy Ltd (b)		2,428,345
	165,084	Spark New Zealand Ltd		522,147
		Total New Zealand		3,962,702
		Norway — 0.4%
	16,797	Austevoll Seafood ASA		225,942
	41,418	BW LPG Ltd		341,073
	136,440	Equinor ASA		5,177,454
	154,034	Europris ASA		793,019
	14,940	Kongsberg Gruppen ASA		534,398
	846,283	Norsk Hydro ASA		6,790,785
	80,970	Orkla ASA		637,248
	27,627	Selvaag Bolig ASA		129,114
	44,541	SpareBank 1 Nord Norge		442,593
	48,640	SpareBank 1 SMN		660,351
	62,370	SpareBank 1 SR-Bank ASA		796,137
	2,997	Stolt-Nielsen Ltd (b)		55,526
	88,501	Wallenius Wilhelmsen ASA (b)		636,220
		Total Norway		17,219,860
		Panama — 0.0%
	494,873	BAC Holding International Corp *		44,079

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Peru — 0.1%
	51,300	Southern Copper Corp		3,169,314
		Philippines — 0.0%
	32,610	GT Capital Holdings Inc		312,258
	128,872	Manila Electric Co		917,811
	5,535,024	Megaworld Corp		291,310
	223,000	Puregold Price Club Inc		140,347
		Total Philippines		1,661,726
		Poland — 0.3%
	29,475	Asseco Poland SA		532,050
	343,777	Bank Polska Kasa Opieki SA		7,502,988
	14,181	Budimex SA		733,746
	121,182	Cyfrowy Polsat SA		637,044
	1,674	Grupa Lotos SA *		27,614
	11	LPP SA		26,438
	97,521	Polski Koncern Naftowy ORLEN SA		1,683,222
	485,467	Polskie Gornictwo Naftowe i Gazownictwo SA		680,511
	11,232	Powszechna Kasa Oszczednosci Bank Polski SA *		83,895
	135,652	Powszechny Zaklad Ubezpieczen SA		1,028,386
		Total Poland		12,935,894
		Portugal — 0.4%
	1,893,351	Banco Comercial Portugues SA – Class R *		389,175
	690,239	EDP – Energias de Portugal SA		3,458,487
	531,519	Galp Energia SGPS SA		6,939,593
	49,091	Jeronimo Martins SGPS SA		1,003,568
	175,945	Navigator Co SA (The)		785,506
	191,068	NOS SGPS SA (a)		811,469
	151,443	REN – Redes Energeticas Nacionais SGPS SA		469,045
	1,569,095	Sonae SGPS SA		1,860,132
		Total Portugal		15,716,975
		Qatar — 0.1%
	903,246	Qatar National Bank QPSC		5,339,669
	160,925	Qatar National Cement Co QSC		220,910
		Total Qatar		5,560,579
		Russia — 0.2%
	10,221,010	Alrosa PJSC (e)		841,462
	376,870,000	Federal Grid Co Unified Energy System PJSC (e)		39,981
	214,678	Fix Price Group Ltd GDR (e)		51,315
	402,578	Gazprom Neft PJSC (e)		188,371
	2,557	Gazprom Neft PJSC Sponsored ADR (e)		5,959
	873,330	Gazprom PJSC (e)		286,181
	2,025,633	Gazprom PJSC Sponsored ADR (e)		1,322,289
	75,924	Globaltrans Investment Plc Sponsored GDR (Registered) (e)		27,258

Shares		Description	Value ($)
		Russia — continued
	18,204,300	Inter RAO UES PJSC (e)		64,172
	4	LSR Group PJSC GDR (Registered) (e)		—
	88,304	LSR Group PJSC – Class A (e)		49,312
	192,855	LUKOIL PJSC Sponsored ADR (e)		870,312
	4,239,830	Magnitogorsk Iron & Steel Works PJSC (e)		168,897
	116,953	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) (e)		60,326
	35,900	Mechel PJSC Sponsored ADR * (e)		10,358
	127,978	MMC Norilsk Nickel PJSC ADR (e)		287,097
	23,942	Mobile TeleSystems PJSC (e)		6,809
	37,065	Mobile TeleSystems PJSC ADR (e)		20,999
	1,472,470	Moscow Exchange MICEX-RTS PJSC * (e)		144,548
	7,545,000	Mosenergo PJSC (e)		15,937
	19,196	Novatek PJSC Sponsored GDR (Registered) (e)		194,093
	119,670	Novolipetsk Steel PJSC (e)		19,264
	337,373	Novolipetsk Steel PJSC GDR (e)		540,921
	118	PhosAgro PJSC GDR * (e) (f)		311
	18,345	PhosAgro PJSC GDR (Registered) (e)		48,410
	254,956	Polymetal International Plc		759,692
	51,105	Polyus PJSC GDR (Registered) (e)		330,025
	4,500	QIWI Plc Sponsored ADR (c) (e)		2,023
	138,892	QIWI Plc Sponsored ADR (c) (e)		72,401
	1,493	Ros Agro Plc GDR (Registered) (c) (e)		1,532
	1,208	Ros Agro Plc GDR (Registered) (c) (e)		1,055
	47,669,440	RusHydro PJSC (e)		42,648
	23,047	RusHydro PJSC ADR (e)		2,054
	2,211,870	Sberbank of Russia PJSC * (e) (f)		291,896
	1,465,525	Sberbank of Russia PJSC Sponsored ADR (e) (f)		770,539
	261,549	Severstal PAO GDR (Registered) (e)		283,287
	7,395	Severstal PJSC (e)		8,042
	29,090	SFI PJSC * (e)		16,797
	100	Surgutneftegas PJSC (e)		3
	2,777,057	Surgutneftegas PJSC Sponsored ADR (e)		687,011
	35,844	Tatneft PJSC (e)		15,674
	158,512	Tatneft PJSC Sponsored ADR (e)		414,244
	725,480	Unipro PJSC (e)		995
	55,470	United Co Rusal International PJSC * (e)		3,660
	376,156	VTB Bank PJSC GDR (Registered) (e) (f)		15,305
		Total Russia		8,983,465
		Saudi Arabia — 0.2%
	6,713	Abdullah Al Othaim Markets Co		198,086
	4,524	Al Rajhi Bank		119,011
	15,885	Co for Cooperative Insurance (The)		252,697
	6,935	Jarir Marketing Co		299,611
	230,733	Saudi Arabian Oil Co		2,576,666
	111,017	Saudi Basic Industries Corp		3,391,674
	21,881	Saudi Electricity Co		141,657
	96,492	Saudi Telecom Co		2,644,138
		Total Saudi Arabia		9,623,540

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Singapore — 0.6%
	231,200	AIMS APAC (REIT)		232,569
	149,900	Ascendas India Trust		124,512
	83,900	Ascendas Real Estate Investment Trust (REIT)		170,616
	621,000	Asian Pay Television Trust		59,333
	171,573	Capitaland Investment Ltd		493,494
	5,612	CDL Hospitality Trusts (REIT)		5,101
	143,000	City Developments Ltd		860,434
	524,300	ComfortDelGro Corp Ltd		548,755
	226,324	DBS Group Holdings Ltd		5,102,504
	512,600	First Real Estate Investment Trust		106,358
	3,114,200	Golden Agri-Resources Ltd		646,075
	940,299	Japfa Ltd		417,178
	98,700	Jardine Cycle & Carriage Ltd		2,110,027
	469,200	Keppel Corp Ltd		2,348,879
	242,500	Sasseur Real Estate Investment Trust		145,895
	3,900	Sembcorp Industries Ltd		8,098
	57,600	Sheng Siong Group Ltd		64,272
	746,200	Silverlake Axis Ltd		168,819
	279,000	StarHub Ltd		252,252
	35,400	UOL Group Ltd		191,887
	596,500	Wilmar International Ltd		1,814,798
	6,329,277	Yangzijiang Financial Holding Ltd *		2,309,871
	9,849,513	Yangzijiang Shipbuilding Holdings Ltd		6,634,519
	530,800	Yanlord Land Group Ltd		432,319
		Total Singapore		25,248,565
		South Africa — 0.9%
	989,482	Absa Group Ltd		11,624,080
	39,872	AECI Ltd		262,941
	6,650	Anglo American Platinum Ltd		727,784
	74,744	Aspen Pharmacare Holdings Ltd		770,979
	28,563	Astral Foods Ltd		349,335
	146,065	Barloworld Ltd		920,783
	280,949	Bidvest Group Ltd (The)		3,916,358
	302,582	Blue Label Telecoms Ltd *		108,597
	9,785	Capitec Bank Holdings Ltd		1,407,831
	53,928	Investec Ltd		332,724
	148,984	Kumba Iron Ore Ltd		5,610,371
	148,951	Lewis Group Ltd		493,801
	245,075	Motus Holdings Ltd		1,795,734
	379,912	MTN Group Ltd		4,095,091
	11,393	Ninety One Ltd		31,293
	128,820	Pepkor Holdings Ltd		179,908
	68,797	Reunert Ltd		179,805
	675,044	RMB Holdings Ltd *		64,871
	3,420	Santam Ltd		63,739
	37,125	Sibanye Stillwater Ltd		120,222
	8,900	Sibanye Stillwater Ltd ADR		115,611
	680,860	Telkom SA SOC Ltd *		2,022,744
	68,730	Tiger Brands Ltd		629,500
	368,933	Truworths International Ltd		1,284,660

Shares		Description	Value ($)
		South Africa — continued
	270,551	Tsogo Sun Gaming Ltd *		223,822
		Total South Africa		37,332,584
		South Korea — 3.6%
	518,110	BNK Financial Group Inc		3,302,526
	12,144	Cheil Worldwide Inc		254,490
	125,046	Daewoo Engineering & Construction Co Ltd *		658,779
	4,927	Daihan Pharmaceutical Co Ltd		115,006
	991	Daou Data Corp		10,546
	1,866	DB Insurance Co Ltd		97,591
	240,758	DGB Financial Group Inc		1,691,220
	5,792	DL E&C Co Ltd		243,771
	213,183	Dongwon Development Co Ltd		837,613
	1,717	Fila Holdings Corp		43,892
	82,638	GS Engineering & Construction Corp		2,647,785
	4,356	GS Holdings Corp		159,229
	292,900	Hana Financial Group Inc		11,714,036
	11,389	Handsome Co Ltd		352,685
	197	Hankook & Co Co Ltd		2,262
	99,521	Hankook Tire & Technology Co Ltd		2,855,158
	50,831	Hanwha Investment & Securities Co Ltd		168,412
	49,745	Hanwha Life Insurance Co Ltd *		105,432
	57,761	HDC Hyundai Development Co-Engineering & Construction		644,986
	1,270	Hyosung TNC Corp		437,713
	97,643	Hyundai Engineering & Construction Co Ltd		3,403,404
	9,656	Hyundai Home Shopping Network Corp		459,227
	4,488	Hyundai Marine & Fire Insurance Co Ltd		113,758
	5,298	Hyundai Mobis Co Ltd		930,631
	5,895	Hyundai Motor Co GDR (Registered)		217,872
	83,576	Industrial Bank of Korea		759,997
	135,740	JB Financial Group Co Ltd		981,410
	107,052	KB Financial Group Inc		5,232,003
	19,500	KB Financial Group Inc ADR		954,330
	9,994	KC Co Ltd		184,692
	1,665	KC Tech Co Ltd		26,978
	119	KCC Corp		33,331
	1,293	KCC Glass Corp		60,321
	314,621	Kia Corp		21,704,468
	565	KIWOOM Securities Co Ltd		43,448
	4,566	Korea Petrochemical Ind Co Ltd		572,750
	16,065	Korea Real Estate Investment & Trust Co Ltd		25,777
	3,642	Korea Zinc Co Ltd		1,743,921
	54,413	KT Skylife Co Ltd		407,735
	349,253	KT&G Corp		23,964,270
	25,668	Kumho Petrochemical Co Ltd		3,308,040
	23,042	LF Corp		362,818
	17,853	LG Corp		1,151,490
	114,526	LG Electronics Inc		9,659,802
	1,430	LG Household & Health Care Ltd		844,502

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	250	LG Innotek Co Ltd		77,257
	12,118	Lotte Chemical Corp		1,995,470
	43,774	LOTTE Fine Chemical Co Ltd		2,956,177
	5,172	LOTTE Himart Co Ltd		91,263
	10,718	LX Semicon Co Ltd		1,093,599
	4,596	Meritz Securities Co Ltd		22,521
	26,936	NAVER Corp		6,237,017
	22,776	POSCO Holdings Inc		5,294,041
	79,000	POSCO Sponsored ADR		4,544,080
	14,484	Samjin Pharmaceutical Co Ltd		295,803
	184,377	Samsung Electronics Co Ltd		10,026,042
	1,706	Samsung Electronics Co Ltd GDR (Registered) (b)		2,291,613
	37,582	Samsung Engineering Co Ltd *		743,022
	2,180	Samsung Fire & Marine Insurance Co Ltd		349,232
	2,477	Samsung SDS Co Ltd		296,193
	1,332	Samsung Securities Co Ltd		42,517
	126	Sangsangin Co Ltd		1,116
	46,712	SD Biosensor Inc		1,882,488
	242,168	Shinhan Financial Group Co Ltd		8,430,152
	122	SK Gas Ltd		12,843
	3,321	SK Telecom Co Ltd		152,917
	87,867	SK Telecom Co Ltd Sponsored ADR		2,246,759
	6,335	SL Corp		159,180
	180	Taekwang Industrial Co Ltd		141,060
	882	TKG Huchems Co Ltd		17,757
	1,053	TY Holdings Co Ltd *		21,587
	505,878	Woori Financial Group Inc		6,092,885
	26,079	Woori Technology Investment Co Ltd *		145,769
	13,398	Youngone Corp		499,894
		Total South Korea		159,650,361
		Spain — 1.4%
	3,760	Acciona SA (b)		725,075
	521,767	Acerinox SA		6,769,492
	124,660	Amadeus IT Group SA * (b)		7,756,801
	96,182	Atresmedia Corp de Medios de Comunicacion SA (a)		402,574
	2,164,153	Banco Bilbao Vizcaya Argentaria SA		11,842,831
	6,597,302	Banco de Sabadell SA		5,917,386
	2,957,692	Banco Santander SA		9,594,206
	8,906	Bankinter SA		56,629
	68,970	Cia de Distribucion Integral Logista Holdings SA (b)		1,334,367
	82,865	Faes Farma SA		356,889
	2,218	Grupo Catalana Occidente SA		69,277
	8,138	Iberdrola SA (b)		96,423
	206,039	Industria de Diseno Textil SA (b)		4,966,526
	199,542	Mediaset Espana Comunicacion SA *		869,607
	9,181	Red Electrica Corp SA (b)		190,224
	367,386	Repsol SA		5,895,205
	546,448	Telefonica SA (a)		2,971,158
	213,435	Unicaja Banco SA		213,159
		Total Spain		60,027,829

Shares		Description	Value ($)
		Sweden — 0.6%
	73,838	Industrivarden AB – A Shares (a)		1,915,294
	69,707	Industrivarden AB – C Shares (a)		1,808,953
	168,296	Investor AB – A Shares		3,513,077
	274,743	Investor AB – B Shares (b)		5,153,361
	63,098	Inwido AB		860,319
	161,983	Kinnevik AB – Class B *		3,236,790
	40,889	New Wave Group AB – B Shares		666,240
	117,352	Skanska AB – B Shares		2,026,904
	18,253	SSAB AB – A Shares		112,789
	17,793	SSAB AB – B Shares		102,630
	52,981	Svenska Cellulosa AB SCA – Class B		961,660
	466,459	Swedish Match AB		4,821,132
		Total Sweden		25,179,149
		Switzerland — 0.6%
	149,642	Adecco Group AG (Registered)		5,833,543
	326	ALSO Holding AG (Registered)		67,101
	4,740	BKW AG (b)		540,325
	5,139	Bobst Group SA (Registered)		395,573
	5,170	Cie Financiere Richemont SA – Class A (Registered) (b)		575,370
	184	Kuehne + Nagel International AG (Registered) (b)		48,658
	2,119	Leonteq AG		130,410
	44,708	Logitech International SA (Registered)		2,734,789
	10,530	Mobilezone Holding AG (Registered)		170,315
	6,970	Novartis AG (Registered) (b)		633,153
	33,591	Roche Holding AG (b)		11,447,508
	148,681	UBS Group AG (Registered) (b)		2,803,927
	2,258	Zehnder Group AG		164,963
		Total Switzerland		25,545,635
		Taiwan — 5.0%
	218,000	Acer Inc		217,132
	21,788	Acter Group Corp Ltd		151,994
	880,224	AmTRAN Technology Co Ltd		393,551
	36,000	Asia Vital Components Co Ltd		138,926
	2,000	ASROCK Inc		10,497
	1,675,672	Asustek Computer Inc		19,618,782
	60,000	Aten International Co Ltd		162,824
	323,000	AU Optronics Corp		198,367
	1,000	Bizlink Holding Inc		10,681
	3,210,000	Catcher Technology Co Ltd		18,067,403
	3,514,000	Cathay Financial Holding Co Ltd		6,702,638
	469,451	Chailease Holding Co Ltd		3,612,222
	47,490	Chicony Electronics Co Ltd		140,616
	489,200	China Development Financial Holding Corp		271,254
	1,034,000	China Steel Corp		1,229,115
	1,349,000	Chipbond Technology Corp		3,214,610
	1,000	Chlitina Holding Ltd		6,852
	122,640	Chong Hong Construction Co Ltd		318,631

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	119,000	Chung Hung Steel Corp		133,008
	530,000	Chunghwa Telecom Co Ltd		2,303,435
	2,500	Chunghwa Telecom Co Ltd Sponsored ADR		107,500
	1,000	Cleanaway Co Ltd		6,655
	1,833,000	Compal Electronics Inc		1,447,840
	106,000	Compeq Manufacturing Co Ltd		171,743
	404,080	Coretronic Corp		777,834
	52,200	Delta Electronics Inc		429,512
	61,000	Depo Auto Parts Ind Co Ltd		142,910
	23,000	E Ink Holdings Inc		159,965
	96,000	E.Sun Financial Holding Co Ltd		100,606
	79,080	Elan Microelectronics Corp		402,880
	46,960	Elite Material Co Ltd		373,730
	53,000	Far EasTone Telecommunications Co Ltd		145,095
	299,000	Farglory Land Development Co Ltd		674,018
	520	Feng Hsin Steel Co Ltd		1,413
	125,000	First Financial Holding Co Ltd		117,266
	121,000	FIT Hon Teng Ltd *		17,101
	339,709	FLEXium Interconnect Inc *		1,180,884
	127,000	Formosa Advanced Technologies Co Ltd		176,512
	72,000	Formosa Petrochemical Corp		239,444
	1,039,000	Formosa Plastics Corp		3,746,865
	618,000	Foxconn Technology Co Ltd		1,155,679
	4,491,903	Fubon Financial Holding Co Ltd		9,849,710
	16,000	Gamania Digital Entertainment Co Ltd		37,364
	5,000	Getac Holdings Corp		7,807
	69,000	Gigabyte Technology Co Ltd		266,584
	814,000	Grand Pacific Petrochemical		683,406
	1,000	Grand Plastic Technology Corp		10,541
	417,160	HannStar Display Corp		178,378
	95,000	Hiwin Technologies Corp		731,276
	7,000	Holtek Semiconductor Inc		23,930
	7,857,406	Hon Hai Precision Industry Co Ltd		30,465,670
	222,000	Huaku Development Co Ltd		720,934
	414,980	IEI Integration Corp		637,354
	42,941	International Games System Co Ltd		1,107,337
	321,000	King’s Town Bank Co Ltd		396,072
	154,000	Kung Long Batteries Industrial Co Ltd		720,583
	80,000	Largan Precision Co Ltd		4,578,436
	1,221,000	Lite-On Technology Corp		2,641,445
	507,000	MediaTek Inc		15,677,013
	88,000	Mega Financial Holding Co Ltd		116,907
	371,714	Mercuries Life Insurance Co Ltd *		91,997
	710,000	Micro-Star International Co Ltd		3,273,536
	737,000	Mitac Holdings Corp		709,154
	953,000	Nan Ya Plastics Corp		2,787,607
	392,502	Nantex Industry Co Ltd		692,714
	95,000	Nanya Technology Corp		216,809
	47,000	Novatek Microelectronics Corp		651,057
	113,000	Oneness Biotech Co Ltd *		735,262
	104,000	Pegatron Corp		248,193
	166,000	Phison Electronics Corp		2,245,790

Shares		Description	Value ($)
		Taiwan — continued
	2,829,566	Pou Chen Corp		3,036,739
	55,000	Powertech Technology Inc		184,629
	330,000	Quanta Computer Inc		900,500
	186,263	Radiant Opto-Electronics Corp		667,497
	3,000	Realtek Semiconductor Corp		45,533
	17,000	Rexon Industrial Corp Ltd		23,171
	1,691,400	Ruentex Development Co Ltd		4,469,146
	544,000	Ruentex Industries Ltd		1,582,152
	140,280	Shin Zu Shing Co Ltd		415,191
	153,000	Shinkong Insurance Co Ltd		282,598
	51,518	Silicon Motion Technology Corp ADR		4,652,591
	69,000	Simplo Technology Co Ltd		712,245
	42,360	Sitronix Technology Corp		373,245
	303,000	Syncmold Enterprise Corp		698,500
	9,000	T3EX Global Holdings Corp		40,896
	79,000	TA Chen Stainless Pipe		117,228
	25,311	Tah Hsin Industrial Corp		68,822
	1,373,000	Taiwan Cement Corp		2,011,310
	1,037,000	Taiwan Semiconductor Manufacturing Co Ltd		19,610,629
	185,050	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)		17,635,265
	1,000	Thinking Electronic Industrial Co Ltd		4,888
	411,699	TOPBI International Holdings Ltd *		202,589
	281,000	Transcend Information Inc		695,899
	164,000	Tripod Technology Corp		654,590
	142,000	Tung Ho Steel Enterprise Corp		309,427
	30,000	Unimicron Technology Corp		220,188
	113,681	United Integrated Services Co Ltd		703,776
	308,000	Universal Inc		338,416
	65,000	Vanguard International Semiconductor Corp		238,420
	92,000	Walsin Technology Corp		363,809
	18,000	Wan Hai Lines Ltd		96,346
	9,000	Yageo Corp		124,487
	576,000	Yang Ming Marine Transport Corp *		2,446,134
	272,000	Youngtek Electronics Corp		705,681
	6,770,000	Yuanta Financial Holding Co Ltd		5,651,063
	7,000	Yulon Nissan Motor Co Ltd		58,725
		Total Taiwan		219,323,181
		Thailand — 0.8%
	382,400	Advanced Info Service Pcl NVDR		2,422,380
	6,185,500	AP Thailand Pcl NVDR		2,024,048
	1,133,400	Bangkok Bank Pcl NVDR		4,334,970
	147,600	CP ALL Pcl (Foreign Registered)		285,496
	38,700	CP ALL Pcl NVDR		74,856
	52,300	Kasikornbank Pcl (Foreign Registered)		224,355
	2,326,900	Kasikornbank Pcl NVDR		9,981,848
	377,300	Kiatnakin Phatra Bank Pcl NVDR		793,480
	7,313,700	Krung Thai Bank Pcl NVDR		3,224,944
	159,808	Pruksa Holding Pcl (Foreign Registered)		62,964
	565,380	Pruksa Holding Pcl NVDR		222,759

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	703,100	PTT Exploration & Production Pcl NVDR		3,461,660
	1,596,000	PTT Global Chemical Pcl NVDR		2,245,413
	1,070,400	PTT Pcl NVDR		1,191,950
	15,601,400	Sansiri Pcl NVDR		519,261
	849,700	SC Asset Corp Pcl (Foreign Registered)		85,372
	172,400	Siam Cement Pcl NVDR (The)		1,870,955
	207,800	Somboon Advance Technology Pcl NVDR		117,623
	842,500	Sri Trang Gloves Thailand Pcl NVDR		494,091
	78,499	Supalai Pcl (Foreign Registered)		46,796
	2,733,800	Thai Union Group Pcl NVDR		1,372,504
	189,300	Thai Vegetable Oil Pcl NVDR		179,681
		Total Thailand		35,237,406
		Turkey — 0.4%
	9,710,320	Akbank TAS		4,927,713
	832,475	Arcelik AS		3,949,248
	143,947	Dogus Otomotiv Servis ve Ticaret AS		609,540
	88,587	Enerjisa Enerji AS		79,936
	408,334	Eregli Demir ve Celik Fabrikalari TAS		849,614
	82,711	Ford Otomotiv Sanayi AS		1,554,321
	3,439,539	Haci Omer Sabanci Holding AS		4,458,263
	168,568	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D *		151,374
	127,585	Tofas Turk Otomobil Fabrikasi AS		589,503
	387,697	Turkiye Garanti Bankasi AS		344,119
	83,227	Vestel Elektronik Sanayi ve Ticaret AS		136,758
	6,527,280	Yapi ve Kredi Bankasi AS		1,835,238
		Total Turkey		19,485,627
		United Kingdom — 4.4%
	325,326	3i Group Plc		5,202,610
	8,214	AG Barr Plc		55,268
	556,878	Airtel Africa Plc		1,079,941
	417,312	Atotech Ltd *		8,475,607
	2,771,571	Avast Plc (b)		16,953,240
	11,845	Bank of Georgia Group Plc		239,405
	1,029,024	Barratt Developments Plc		6,546,749
	110,954	Bellway Plc		3,262,422
	222,508	Berkeley Group Holdings Plc		11,784,181
	216,900	BP Plc Sponsored ADR (b)		7,021,053
	64,996	British American Tobacco Plc (b)		2,866,657
	127,200	British American Tobacco Plc Sponsored ADR (b)		5,627,328
	5,759,399	BT Group Plc		13,574,861
	58,786	Bunzl Plc		2,049,412
	334,628	Centrica Plc * (b)		333,877
	356,931	Coca-Cola HBC AG *		7,863,660
	524,863	Compass Group Plc (b)		11,765,499
	3,537	Computacenter Plc (b)		113,125
	90,869	Crest Nicholson Holdings Plc		298,476
	1,869	DCC Plc		132,147
	10,765	EMIS Group Plc (b)		176,290

Shares		Description	Value ($)
		United Kingdom — continued
	30,601	Evraz Plc (e)		789
	624,007	Ferrexpo Plc		1,378,619
	110,417	Glencore Plc * (b)		728,264
	19,354	Grafton Group Plc		228,568
	47,600	GSK Plc Sponsored ADR (b)		2,089,640
	180,667	Halfords Group Plc		510,727
	111,284	Imperial Brands Plc		2,512,793
	349,272	Indivior Plc *		1,456,765
	27,836	International Personal Finance Plc		29,048
	253,785	Investec Plc		1,539,776
	678,434	ITV Plc		601,325
	11,440	Keller Group Plc		112,245
	2,296,512	Kingfisher Plc		7,626,740
	691,910	Legal & General Group Plc		2,265,210
	4,109,909	M&G Plc		11,191,209
	843,036	Meggitt Plc *		8,233,877
	44,906	Morgan Sindall Group Plc		1,179,823
	10,373	Next Plc (b)		848,005
	34,898	Ninety One Plc		99,036
	122,553	OSB Group Plc		801,715
	51,773	Paragon Banking Group Plc		320,863
	259,673	Persimmon Plc		7,123,132
	111,672	Pets at Home Group Plc		487,809
	171,497	Plus500 Ltd		3,367,679
	133,018	Premier Foods Plc		198,296
	5,631	Reach Plc		8,717
	101,046	Redde Northgate Plc (b)		479,880
	280,935	Redrow Plc		1,883,107
	132,366	Royal Mail Plc (b)		518,366
	116,821	Serica Energy Plc		383,022
	362,328	Shell Plc (b)		10,716,196
	78,300	Shell Plc ADR (b)		4,636,926
	101,487	Spirent Communications Plc		297,214
	1,485,405	Taylor Wimpey Plc		2,436,822
	8,168	TBC Bank Group Plc		152,525
	59,308	Unilever Plc (c)		2,865,256
	40,708	Unilever Plc (b) (c)		1,959,422
	42,325	Vesuvius Plc		188,095
	8,814	Vistry Group Plc		100,575
	40,600	Vodafone Group Plc Sponsored ADR		675,584
	417,095	WPP Plc		4,842,251
		Total United Kingdom		192,497,719
		United States — 21.6%
	272,760	Activision Blizzard, Inc. (b)		21,242,549
	62,500	Advanced Micro Devices, Inc. *		6,366,250
	96,500	Aflac, Inc. (b)		5,845,005
	13,040	Alleghany Corp. *		10,872,491
	131,100	Ally Financial, Inc.		5,773,644
	1,200	Alphabet, Inc. – Class A * (b)		2,730,288
	500	Alphabet, Inc. – Class C * (b)		1,140,390
	56,218	American Express Co. (b)		9,490,723

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,888,723	Anchor Hocking Holdings, Inc. (e)		1,945,385
	25,100	Arch Capital Group Ltd. *		1,191,246
	59,100	Arrow Electronics, Inc. *		7,130,415
	296,100	AT&T, Inc. (b)		6,303,969
	60,300	Best Buy Co., Inc. (b)		4,948,218
	10,200	Bio-Rad Laboratories, Inc. – Class A *		5,485,458
	28,800	Biogen, Inc. *		5,760,000
	3,878	Booking Holdings, Inc. * (b)		8,700,526
	331,045	BorgWarner, Inc.		13,347,734
	78	Bristol-Myers Squibb Co. (b)		5,885
	99,576	Bruin Blocker LLC (d)		57,226
	50,500	Capital One Financial Corp. (b)		6,456,930
	144,100	Carrier Global Corp. (b)		5,664,571
	74,600	CBRE Group, Inc. – Class A * (b)		6,179,864
	90,500	Centene Corp. * (b)		7,370,320
	75,108	Cerner Corp. (b)		7,123,994
	941,894	Change Healthcare, Inc. * (b)		22,690,226
	293,348	Chatham Lodging Trust (REIT) *		3,737,254
	57,861	Chevron Corp. (b)		10,106,002
	30,600	Cigna Corp. (b)		8,209,674
	130,121	Citigroup, Inc.		6,949,763
	25,461	Citizens Financial Group, Inc.		1,053,576
	104,904	Citrix Systems, Inc. (b)		10,562,784
	60,191	CMC Materials, Inc.		10,650,196
	77,400	Cognizant Technology Solutions Corp. – Class A (b)		5,781,780
	19,507	Coherent, Inc. *		5,285,617
	150,300	Comcast Corp. – Class A (b)		6,655,284
	99,222	Contra Zogenix, Inc.		74,416
	193,868	Cornerstone Building Brands, Inc. *		4,759,459
	58,700	CVS Health Corp. (b)		5,679,225
	156,998	Darling Ingredients, Inc. *		12,570,830
	17,700	Dell Technologies – Class C		883,938
	53,800	Discover Financial Services		6,105,762
	244,300	DISH Network Corp. – Class A *		5,577,369
	73,000	DR Horton, Inc. (b)		5,485,950
	114,600	eBay, Inc. (b)		5,577,582
	101,146	EOG Resources, Inc.		13,852,956
	19,300	Exelon Corp. (b)		948,595
	16,800	FedEx Corp. (b)		3,772,944
	125,100	Fidelity National Financial, Inc.		5,291,730
	935,805	First Horizon Corp.		21,364,428
	132,346	Flagstar Bancorp, Inc.		5,099,291
	400,800	Ford Motor Co.		5,482,944
	32,700	Fortune Brands Home & Security, Inc.		2,267,745
	46,600	Fox Corp. – Class A		1,654,766
	502,887	Fox Corp. – Class B		16,449,434
	217,900	Franklin Resources, Inc.		5,900,732
	5,300	Garmin Ltd.		559,786
	131,100	General Motors Co. *		5,070,948
	108,300	Gilead Sciences, Inc. (b)		7,023,255
	38,154	Global Payments, Inc. (b)		4,999,700
	18,700	Goldman Sachs Group, Inc. (The) (b)		6,112,095

Shares		Description	Value ($)
		United States — continued
	66,707	Green Plains, Inc. *		2,173,314
	12,031	Gulfport Energy Corp. *		1,163,999
	696,858	Healthcare Trust of America, Inc. (REIT) – Class A (b)		20,940,583
	37,639	HEICO Corp. – Class A		4,407,150
	6,100	Henry Schein, Inc. * (b)		522,404
	53,572	Hilton Worldwide Holdings, Inc. (b)		7,546,152
	192,900	HP, Inc.		7,492,236
	70,400	IAC/InterActiveCorp *		6,005,120
	82,400	Incyte Corp. *		6,253,336
	149,300	Intel Corp. (b)		6,631,906
	64,853	Intercontinental Exchange, Inc. (b)		6,640,299
	57,500	International Business Machines Corp. (b)		7,983,300
	244,600	Invesco Ltd.		4,730,564
	45,800	Jazz Pharmaceuticals Plc *		6,855,344
	404,200	Kinder Morgan, Inc.		7,958,698
	47,300	Knight-Swift Transportation Holdings, Inc. (b)		2,300,672
	9,300	Kroger Co. (The) (b)		492,621
	27,400	Laboratory Corp. of America Holdings (b)		6,760,128
	3,989	Lam Research Corp.		2,074,400
	112,705	Las Vegas Sands Corp. * (b)		3,996,519
	27,600	Leidos Holdings, Inc. (b)		2,884,200
	69,500	Lennar Corp. – Class A		5,577,375
	40,135	Liberty Broadband Corp. – Class C * (b)		5,023,698
	104,800	Liberty Global Plc – Class A *		2,548,736
	222,900	Liberty Global Plc – Class C *		5,663,889
	106,300	Lincoln National Corp.		6,157,959
	91,500	LKQ Corp. (b)		4,702,185
	501,100	Lumen Technologies, Inc.		6,133,464
	193,188	Lyft, Inc. – Class A * (b)		3,415,564
	74,800	LyondellBasell Industries NV – Class A (b)		8,545,900
	63,800	Macquarie Infrastructure Holdings Corp.		243,716
	565,934	Mandiant, Inc. * (b)		12,478,845
	5,988	Markel Corp. *		8,200,147
	55,300	Merck & Co., Inc. (b)		5,089,259
	31,000	Meta Platforms, Inc. – Class A * (b)		6,002,840
	82,100	MetLife, Inc.		5,532,719
	116,589	Micron Technology, Inc.		8,608,932
	38,500	Mohawk Industries, Inc. *		5,446,210
	138,700	Molson Coors Brewing Co. – Class B		7,745,008
	17,400	Netflix, Inc. * (b)		3,435,456
	551,676	Nielsen Holdings Plc		14,100,839
	1,288,200	NII Holdings, Inc. (d)		450,870
	76,500	Novavax, Inc. *		4,232,745
	132,100	NRG Energy, Inc. (b)		6,081,884
	4,200	Nucor Corp. (b)		556,332
	160	NVR, Inc. *		712,099
	74,500	Oracle Corp. (b)		5,358,040
	7,500	PACCAR, Inc. (b)		651,300
	185,800	Paramount Global – Class B		6,378,514
	90,078	Park Hotels & Resorts, Inc. (REIT)		1,626,809

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	71,100	PayPal Holdings, Inc. * (b)		6,058,431
	755,227	Pershing Square Tontine Holdings Ltd. – Class A *		14,998,808
	45,400	Pfizer, Inc. (b)		2,408,016
	63,400	Prudential Financial, Inc.		6,736,250
	131,100	PulteGroup, Inc.		5,933,586
	47,500	Quest Diagnostics, Inc. (b)		6,698,450
	94,850	Raytheon Technologies Corp. (b)		9,022,132
	11,100	Regeneron Pharmaceuticals, Inc. * (b)		7,378,614
	15,600	Resolute Forest Products, Inc. (c)		225,086
	3,800	Resolute Forest Products, Inc. (c)		54,948
	26,329	Rogers Corp. *		6,987,190
	173,988	Sensata Technologies Holding Plc		8,356,644
	114,350	Skillsoft Corp. *		670,091
	6,500	Skyworks Solutions, Inc.		707,655
	509,532	South Jersey Industries, Inc. (b)		17,757,190
	298,457	Southeastern Grocers, Inc. * (e)		6,827,204
	249,781	Sportsman’s Warehouse Holdings, Inc. *		2,362,928
	18,300	SS&C Technologies Holdings, Inc. (b)		1,171,017
	10,800	Stanley Black & Decker, Inc.		1,281,852
	65,200	Steel Dynamics, Inc.		5,566,776
	286,203	Switch, Inc. – Class A (b)		9,659,351
	166,000	Synchrony Financial		6,148,640
	1,507,100	Syncora Holdings Ltd. (e)		15,071
	1	Take-Two Interactive Software, Inc. *		122
	510,905	TEGNA, Inc.		11,188,819
	23,689	Tempur Sealy International, Inc.		624,679
	421,205	Terminix Global Holdings, Inc. * (b)		18,284,509
	78,500	Textron, Inc.		5,125,265
	160,204	TRU Taj LLC/TRU Taj Finance, Inc. (c) (e)		861,096
	5,869	TRU Taj LLC/TRU Taj Finance, Inc. (c) (e)		59
	66,541	Twitter, Inc. * (b)		2,635,024
	83,500	Tyson Foods, Inc. – Class A (b)		7,482,435
	22,700	UGI Corp. (b)		970,198
	725,929	Umpqua Holdings Corp.		12,812,647
	19,100	United Parcel Service, Inc. – Class B (b)		3,480,975
	50,700	Universal Health Services, Inc. – Class B (b)		6,317,727
	178,423	US Bancorp		9,468,909
	119,300	Verizon Communications, Inc. (b)		6,118,897
	19,300	Vertex Pharmaceuticals, Inc. * (b)		5,184,945
	106,224	VF Corp.		5,360,063
	518,800	Viatris, Inc.		6,365,676
	55,100	VMware, Inc. – Class A (b)		7,058,310
	185,517	Vonage Holdings Corp. * (b)		3,593,464
	127,400	Walgreens Boots Alliance, Inc. (b)		5,583,942
	64,277	Warner Bros Discovery, Inc. * (b)		1,185,911
	187,207	Wells Fargo & Co.		8,568,464
	329,600	Western Union Co. (The) (b)		5,978,944
	106,700	Western Digital Corp. *		6,475,623
	107,060	Westmoreland Mining Holdings (d)		26,765
	30,300	Whirlpool Corp.		5,582,472
	46,585	Willis Towers Watson Plc		9,832,696

Shares		Description	Value ($)
		United States — continued
	57,500	Zoom Video Communications, Inc. – Class A * (b)		6,178,375
		Total United States		951,268,337
		Vietnam — 0.1%
	11,000	PetroVietnam Nhon Trach 2 Power JSC		11,080
	11,600	PetroVietnam Technical Services Corp		15,301
	35,000	Pha Lai Thermal Power JSC		26,978
	1,526,900	Vietnam Joint Stock Commercial Bank for Industry and Trade		1,833,251
		Total Vietnam		1,886,610
		TOTAL COMMON STOCKS (COST $3,842,038,031)		3,443,277,412
		PREFERRED STOCKS (g) — 1.4%
		Brazil — 0.7%
	147,300	Alpargatas SA		674,117
	1,380,602	Bradespar SA		8,302,407
	837,990	Cia Energetica de Minas Gerais		2,054,178
	272,540	Cia Energetica de Minas Gerais Sponsored ADR (b)		673,174
	4,418,600	Cia Paranaense de Energia – Class B		6,852,128
	8,500	Petroleo Brasileiro SA		53,763
	853,700	Petroleo Brasileiro SA Sponsored ADR		10,731,009
		Total Brazil		29,340,776
		Chile — 0.2%
	16,888	Embotelladora Andina SA – Class B		33,818
	59,800	Sociedad Quimica y Minera de Chile SA Sponsored ADR		6,348,966
	2,404	Sociedad Quimica y Minera de Chile SA – Class B		256,781
		Total Chile		6,639,565
		Colombia — 0.0%
	215,514	Grupo Aval Acciones y Valores SA		48,305
		Germany — 0.1%
	51,561	Bayerische Motoren Werke AG		4,045,473
	9,066	Draegerwerk AG & Co KGaA		478,517
	3,461	Villeroy & Boch AG		76,614
	5,463	Volkswagen AG (b)		911,760
		Total Germany		5,512,364
		Russia — 0.0%
	15,222	Bashneft PJSC (e)		13,245
	79,750	Nizhnekamskneftekhim PJSC – Class S (e)		5,505
	49,530	Sberbank of Russia PJSC * (e) (f)		6,167
	20,862,000	Surgutneftegas PJSC (e)		822,794
	12,313	Tatneft PJSC (e)		4,852

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Russia — continued
	337	Transneft PJSC (e)		42,800
		Total Russia		895,363
		South Korea — 0.4%
	20,433	LG Electronics Inc		899,841
	277,666	Samsung Electronics Co Ltd		13,619,868
	1,387	Samsung Electronics Co Ltd GDR (Registered)		1,681,111
		Total South Korea		16,200,820
		Taiwan — 0.0%
	97,864	Chailease Holding Co Ltd		343,932
	368,832	China Development Financial Holding Corp *		110,471
		Total Taiwan		454,403
		United States — 0.0%
	39	Gulfport Energy Corp. (d)		273,000
	2,313	Murray Energy Corp. (e)		948,330
		Total United States		1,221,330
		TOTAL PREFERRED STOCKS (COST $64,013,876)		60,312,926
		RIGHTS/WARRANTS — 0.0%
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. CVR * (d)		592,997
	222,285	Clementia Pharmaceuticals, Inc. * (d)		277,856
		Total United States		870,853
		TOTAL RIGHTS/WARRANTS (COST $1,183,901)		870,853
		INVESTMENT FUNDS — 0.7%
		United States — 0.7%
	3,927,656	Altaba, Inc. (d)		22,584,022
	121,591	iShares Core MSCI Emerging Markets ETF		6,392,039
		Total United States		28,976,061
		TOTAL INVESTMENT FUNDS (COST $26,510,506)		28,976,061
		DEBT OBLIGATIONS — 34.5%
		Canada — 0.1%
		Corporate Debt — 0.1%
	242,511	Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28		228,004
	5,154,000	Bombardier Inc, 144A, 7.88%, due 04/15/27		4,701,417
		Total Canada		4,929,421

	Par Value†		Description	Value ($)
			China — 0.0%
			Corporate Debt — 0.0%
		6,630,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (h)		674,602
		709,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (h)		74,135
		2,130,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (h)		212,589
			Total China		961,326
			Israel — 0.1%
			Corporate Debt — 0.1%
		5,496,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		5,049,450
			Macau — 0.1%
			Corporate Debt — 0.1%
		1,120,000	Wynn Macau Ltd., 144A, 5.50%, due 10/01/27		859,600
		2,250,000	Wynn Macau Ltd., 144A, 5.63%, due 08/26/28		1,680,175
			Total Macau		2,539,775
			Netherlands — 0.0%
			Corporate Debt — 0.0%
EUR		490,150	Evander Gold Mines Ltd, 1.00%, due 04/19/26 (e) (h)		53
			Ukraine — 0.0%
			Corporate Debt — 0.0%
		814,000	MHP SE, Reg S, 7.75%, due 05/10/24 (d) (h)		435,490
		319,000	MHP Lux SA, 144A, 6.95%, due 04/03/26 (d) (h)		170,665
		1,740,000	MHP Lux SA, Reg S, 6.25%, due 09/19/29 (d) (h)		896,100
			Total Ukraine		1,502,255
			United States — 34.2%
			Asset-Backed Securities — 0.1%
		4,697,761	Alaska Airlines Pass-Through Trust, Series 20-1, Class B, 144A, 8.00%, due 02/15/27		4,887,301
		7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (h)		7
		460,969	JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30		491,303
			Total Asset-Backed Securities		5,378,611
			Bank Loans — 0.3%
		1,834,336	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 1 mo. LIBOR plus 13.00%, 14.00%, due 09/16/25 (d)		1,871,022
		1,906,230	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 1 mo. LIBOR plus 3.75%, 4.81%, due 10/10/25 (d)		738,664

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — continued
	2,441,504	Frontier Communications Corp., 2021 DIP Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.75%, 4.81%, due 05/01/28 (d)		2,319,429
	4,015,517	Quorum Health Corporation, 2020 Term Loan, Variable Rate, 3 mo. LIBOR plus 7.75%, 8.75%, due 04/29/25 (d)		3,051,793
	4,917,077	SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, Variable Rate, 1 mo. LIBOR plus 3.00%, 4.06%, due 08/25/28 (d)		4,761,353
		Total Bank Loans		12,742,261
		Corporate Debt — 2.8%
	1,200,635	American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24		1,200,258
	1,777,780	American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24		1,737,138
	4,898,866	American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25		4,753,220
	2,205,560	American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25		2,153,334
	1,916,750	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		1,803,771
	2,866,554	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		2,723,494
	3,525,805	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		3,280,256
	2,697,104	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,474,321
	2,601,646	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,344,341
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,140,000
	422,000	Boeing Co. (The), 5.81%, due 05/01/50		415,230
	2,963,000	Boeing Co. (The), 5.93%, due 05/01/60		2,895,719
	6,270,000	Carnival Corp, 144A, 7.63%, due 03/01/26		5,879,379
	1,610,000	Carnival Corp, 144A, 5.75%, due 03/01/27		1,428,352
	3,579,000	Carnival Corp, 6.65%, due 01/15/28		3,194,311
	2,240,000	Carrols Restaurant Group, Inc., 144A, 5.88%, due 07/01/29		1,683,450
	4,765,000	CEC Entertainment LLC, 144A, 6.75%, due 05/01/26		4,268,963
	7,850,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, due 10/01/28		7,732,642
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		746,792
	4,856,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		4,874,210
	2,010,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		1,628,809
	1,818,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,439,430

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,400,000	Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (e) (h)		140
	1,340,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24 (b)		1,355,914
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27 (b)		278,349
	890,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 (b)		867,412
	330,563	Frontier Communications Holdings LLC, 5.88%, due 11/01/29		278,919
	7,923,000	Frontier Communications Holdings LLC, 144A, 6.00%, due 01/15/30		6,727,499
	860,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99		807,451
	4,040,000	Guitar Center, Inc., 144A, 8.50%, due 01/15/26		3,687,242
	18,156	Gulfport Energy Corp., 8.00%, due 05/17/26		18,758
	2,534,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		2,204,825
	3,590,000	LD Holdings Group LLC, 144A, 6.50%, due 11/01/25		2,997,650
	1,120,000	LD Holdings Group LLC, 144A, 6.13%, due 04/01/28		898,800
	2,615,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		2,405,800
	10,720,000	NCL Finance Ltd., 144A, 6.13%, due 03/15/28		9,012,679
	6,282,000	New Residential Investment Corp., 144A, REIT, 6.25%, due 10/15/25		5,905,080
	1,540,000	Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30		1,322,290
	1,454,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,440,465
	2,986,000	Redfin Corp., due 10/15/25		1,841,989
	2,780,000	Rite Aid Corp., 144A, 7.50%, due 07/01/25		2,343,192
	4,746,000	Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27		4,342,590
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,073,812
	770,000	Triumph Group, Inc., 144A, 8.88%, due 06/01/24		797,913
	4,300,000	Triumph Group, Inc., 144A, 6.25%, due 09/15/24		4,103,748
	3,660,000	United Wholesale Mortgage LLC, 144A, 5.75%, due 06/15/27		3,298,795
	1,680,000	Wayfair, Inc., 0.63%, due 10/01/25		1,202,040
	278,000	XHR LP, 144A, REIT, 4.88%, due 06/01/29		260,625
		Total Corporate Debt		121,271,397
		U.S. Government — 31.0%
	372,100,000	U.S. Treasury Note, 0.13%, due 02/28/23 (b)		367,143,512

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	180,550,000	U.S. Treasury Note, 0.13%, due 03/31/23		177,785,328
	246,150,000	U.S. Treasury Note, 0.13%, due 04/30/23		241,765,453
	205,000,000	U.S. Treasury Note, 0.13%, due 06/30/23 (b)		200,491,601
	100,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		97,609,375
	70,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.15%, due 07/31/23 (b)		70,113,870
	88,450,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.16%, due 10/31/23 (b)		88,623,570
	121,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 1.05%, due 04/30/24 (b)		121,025,058
		Total U.S. Government		1,364,557,767
		Total United States		1,503,950,036
		TOTAL DEBT OBLIGATIONS (COST $1,547,911,835)		1,518,932,316
		MUTUAL FUNDS — 1.4%
		United States — 1.4%
		Affiliated Issuers — 1.4%
	12,580,004	GMO U.S. Treasury Fund		62,900,022
		TOTAL MUTUAL FUNDS (COST $62,956,364)		62,900,022
		SHORT-TERM INVESTMENTS — 4.2%
		Money Market Funds — 0.4%
	18,014,063	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (i)		18,014,063
	970,688	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.59% (j)		970,688
		Total Money Market Funds		18,984,751
		Repurchase Agreements — 3.2%
	140,016,581	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/22, maturing on 06/01/22 with a maturity value of $140,019,537 and an effective yield of 0.76%, collateralized by a U.S. Treasury Note with maturity date 03/31/26 and a market value of $142,779,241.		140,016,581
		U.S. Government — 0.4%
	1,790,000	U.S. Treasury Bill, 1.44%, due 11/03/22 (b) (j) (k)		1,779,029
	18,600,000	U.S. Treasury Bill, 2.06%, due 05/18/23 (j) (k)		18,236,515
		Total U.S. Government		20,015,544

Shares			Description	Value ($)
			U.S. Government Agency — 0.2%
	7,500,000		Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 0.85%, due 11/10/22 (b)		7,502,166
			TOTAL SHORT-TERM INVESTMENTS (COST $186,533,367)		186,519,042
			TOTAL INVESTMENTS — 120.4% (Cost $5,731,147,880)		5,301,788,632
			SECURITIES SOLD SHORT — (22.3)%
			Common Stocks — (22.1)%
			Australia — (0.4)%
	(806,242	)	APA Group		(6,563,069	)
	(85,111	)	ASX Ltd		(4,924,428	)
	(19,265	)	Cochlear Ltd		(3,073,460	)
	(1,568,744	)	Qantas Airways Ltd *		(6,188,314	)
			Total Australia		(20,749,271	)
			Austria — (0.2)%
	(68,843	)	Verbund AG		(6,848,832	)
			Belgium — (0.1)%
	(104,136	)	Anheuser-Busch InBev SA/NV		(5,870,208	)
			Canada — (1.1)%
	(41,200	)	Agnico Eagle Mines Ltd		(2,180,716	)
	(170,800	)	Algonquin Power & Utilities Corp		(2,486,848	)
	(253,600	)	AltaGas Ltd		(6,123,211	)
	(45,200	)	BCE Inc		(2,461,140	)
	(125,700	)	Brookfield Renewable Corp – Class A		(4,547,826	)
	(89,300	)	Cameco Corp		(2,185,171	)
	(145,100	)	Enbridge Inc		(6,696,365	)
	(41,700	)	Franco-Nevada Corp		(5,923,902	)
	(150,800	)	Pan American Silver Corp		(3,313,076	)
	(179,400	)	Pembina Pipeline Corp		(7,219,056	)
	(105,800	)	Restaurant Brands International Inc		(5,555,558	)
			Total Canada		(48,692,869	)
			Denmark — (0.1)%
	(196,715	)	Ambu A/S – Class B		(2,697,446	)
			France — (0.7)%
	(187,993	)	Accor SA *		(6,185,860	)
	(39,969	)	Aeroports de Paris *		(5,986,260	)
	(391,208	)	Getlink SE		(7,540,143	)
	(4,423	)	Hermes International		(5,288,409	)
	(4,963	)	Sartorius Stedim Biotech		(1,714,368	)
	(42,227	)	Ubisoft Entertainment SA *		(2,220,003	)
	(24,109	)	Wendel SE		(2,480,886	)
			Total France		(31,415,929	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			Germany — (0.9)%
	(160,047	)	Delivery Hero SE *		(6,172,724	)
	(9,366	)	MTU Aero Engines AG		(1,854,535	)
	(63,672	)	Puma SE		(4,751,444	)
	(48,311	)	QIAGEN NV *		(2,223,120	)
	(2,784	)	Rational AG		(1,812,536	)
	(48,071	)	Scout24 SE		(2,981,720	)
	(51,223	)	Symrise AG – Class A		(5,660,225	)
	(2,406,334	)	Telefonica Deutschland Holding AG		(7,658,567	)
	(103,200	)	Uniper SE		(2,670,722	)
	(79,744	)	Zalando SE *		(3,244,552	)
			Total Germany		(39,030,145	)
			Israel — (0.2)%
	(40,600	)	CyberArk Software Ltd *		(5,639,340	)
	(28,300	)	Kornit Digital Ltd *		(1,187,751	)
	(31,800	)	Wix.com Ltd *		(2,003,718	)
			Total Israel		(8,830,809	)
			Italy — (0.5)%
	(132,387	)	Amplifon SPA		(4,561,974	)
	(26,456	)	Ferrari NV		(5,162,243	)
	(409,297	)	FinecoBank Banca Fineco SPA		(5,799,975	)
	(496,573	)	Infrastrutture Wireless Italiane SPA		(5,534,203	)
			Total Italy		(21,058,395	)
			Japan — (2.1)%
	(159,700	)	Aeon Co Ltd		(2,915,013	)
	(249,800	)	ANA Holdings Inc *		(4,930,126	)
	(210,200	)	Asahi Intecc Co Ltd		(3,163,179	)
	(71,700	)	Benefit One Inc		(1,117,474	)
	(75,300	)	East Japan Railway Co		(3,860,329	)
	(1,800	)	Fast Retailing Co Ltd		(864,751	)
	(65,500	)	GMO Payment Gateway Inc		(5,399,464	)
	(282,200	)	Japan Airlines Co Ltd *		(5,172,402	)
	(113,600	)	Japan Exchange Group Inc		(1,797,123	)
	(81,700	)	Keio Corp		(2,729,173	)
	(53,600	)	Kintetsu Group Holdings Co Ltd		(1,566,086	)
	(41,400	)	Lasertec Corp		(5,992,224	)
	(70,800	)	Lixil Corp		(1,347,004	)
	(178,300	)	M3 Inc		(5,128,078	)
	(129,500	)	Mercari Inc *		(2,250,856	)
	(311,700	)	MonotaRO Co Ltd		(4,550,841	)
	(60,200	)	Nidec Corp		(4,025,200	)
	(273,500	)	Nihon M&A Center Holdings Inc		(3,138,306	)
	(494,200	)	Nippon Paint Holdings Co Ltd		(3,652,593	)
	(59,900	)	Nissin Foods Holdings Co Ltd		(3,917,628	)
	(207,800	)	Odakyu Electric Railway Co Ltd		(2,741,783	)
	(39,400	)	ORIENTAL LAND CO LTD		(5,855,168	)
	(819,300	)	Rakuten Group Inc		(4,580,218	)
	(58,400	)	Shiseido Co Ltd		(2,449,631	)
	(91,600	)	Tobu Railway Co Ltd		(2,054,113	)
	(168,300	)	Tokyu Corp		(1,909,883	)

Shares			Description	Value ($)
			Japan — continued
	(143,100	)	West Japan Railway Co		(5,284,533	)
			Total Japan		(92,393,179	)
			Netherlands — (0.4)%
	(3,758	)	Adyen NV *		(5,819,884	)
	(1,914	)	ASML Holding NV		(1,101,421	)
	(12,260	)	Heineken Holding NV		(969,838	)
	(19,959	)	IMCD NV		(2,984,905	)
	(170,735	)	Just Eat Takeaway.com NV *		(3,799,632	)
	(131,863	)	Universal Music Group NV		(2,947,952	)
			Total Netherlands		(17,623,632	)
			New Zealand — (0.1)%
	(89,501	)	Xero Ltd *		(5,721,143	)
			Peru — (0.1)%
	(39,500	)	Southern Copper Corp		(2,440,310	)
			Singapore — (0.3)%
	(35,663	)	CDL Hospitality Trusts (REIT)		(32,415	)
	(224,300	)	City Developments Ltd		(1,349,618	)
	(1,587,600	)	Singapore Airlines Ltd *		(6,399,634	)
	(549,600	)	Singapore Exchange Ltd		(3,810,298	)
			Total Singapore		(11,591,965	)
			Spain — (0.5)%
	(33,340	)	Aena SME SA *		(5,086,313	)
	(128,288	)	Cellnex Telecom SA		(5,789,529	)
	(262,671	)	Ferrovial SA (c)		(6,774,748	)
	(3,019	)	Ferrovial SA (c)		(77,823	)
	(289,101	)	Siemens Gamesa Renewable Energy SA *		(5,605,103	)
			Total Spain		(23,333,516	)
			Sweden — (0.3)%
	(719,743	)	Embracer Group AB – Class B *		(6,548,292	)
	(49,805	)	Evolution AB		(5,220,563	)
	(581,699	)	Sinch AB *		(2,816,312	)
			Total Sweden		(14,585,167	)
			Switzerland — (0.3)%
	(9	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(933,513	)
	(5,464	)	Partners Group Holding AG		(5,879,148	)
	(8,594	)	Sika AG (Registered)		(2,385,597	)
	(34,347	)	Straumann Holding AG (Registered)		(4,381,869	)
			Total Switzerland		(13,580,127	)
			United Kingdom — (1.5)%
	(75,187	)	Admiral Group Plc		(2,105,038	)
	(145,452	)	Antofagasta Plc		(2,715,027	)
	(795,991	)	Auto Trader Group Plc		(5,921,511	)
	(15,444	)	Croda International Plc		(1,344,768	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			United Kingdom — continued
	(28,081	)	Experian Plc		(939,372	)
	(71,317	)	Halma Plc		(2,004,028	)
	(375,572	)	Hargreaves Lansdown Plc		(4,051,028	)
	(937,227	)	Informa Plc *		(6,442,162	)
	(43,927	)	InterContinental Hotels Group Plc		(2,733,032	)
	(255,902	)	Land Securities Group Plc (REIT)		(2,471,294	)
	(69,526	)	London Stock Exchange Group Plc		(6,487,677	)
	(553,087	)	Ocado Group Plc *		(6,494,349	)
	(73,873	)	Prudential Plc		(963,293	)
	(2,236,388	)	Rentokil Initial Plc		(14,252,255	)
	(5,225,400	)	Rolls-Royce Holdings Plc *		(5,707,091	)
	(17,943	)	Spirax-Sarco Engineering Plc		(2,391,235	)
			Total United Kingdom		(67,023,160	)
			United States — (12.3)%
	(9,300	)	AbbVie, Inc.		(1,370,541	)
	(246,100	)	AES Corp. (The)		(5,424,044	)
	(23,762	)	Albertsons Cos, Inc. – Class A		(725,929	)
	(41,300	)	Alnylam Pharmaceuticals, Inc. *		(5,195,540	)
	(99,700	)	Altria Group, Inc.		(5,392,773	)
	(399,100	)	AMC Entertainment Holdings, Inc. – Class A *		(5,723,094	)
	(14,700	)	American Tower Corp. (REIT)		(3,765,111	)
	(55,370	)	Aon Plc – Class A		(15,263,848	)
	(167,600	)	Aramark		(5,777,172	)
	(34,300	)	Arthur J Gallagher & Co.		(5,554,542	)
	(170,300	)	Asana, Inc. – Class A *		(3,702,322	)
	(26,900	)	Autodesk, Inc. *		(5,588,475	)
	(63,000	)	Avalara, Inc. *		(5,334,210	)
	(16,700	)	Ball Corp.		(1,183,863	)
	(45,600	)	Bill.com Holdings, Inc. *		(5,391,744	)
	(14,900	)	Bio-Techne Corp.		(5,508,977	)
	(69,300	)	BioMarin Pharmaceutical, Inc. *		(5,206,509	)
	(41,600	)	Block, Inc. – Class A *		(3,640,416	)
	(39,200	)	Boeing Co. (The) *		(5,150,880	)
	(11,700	)	Broadcom, Inc.		(6,787,521	)
	(27,700	)	Burlington Stores, Inc. *		(4,661,910	)
	(92,400	)	Caesars Entertainment, Inc. *		(4,635,708	)
	(141,900	)	Carnival Corp. *		(1,969,572	)
	(117,500	)	Carvana Co. – Class A *		(3,459,200	)
	(42,300	)	Catalent, Inc. *		(4,359,438	)
	(100,100	)	Ceridian HCM Holding, Inc. *		(5,635,630	)
	(9,917	)	Charter Communications, Inc. – Class A *		(5,027,225	)
	(4,200	)	Chipotle Mexican Grill, Inc. – Class A *		(5,890,710	)
	(280,200	)	Clarivate Plc *		(4,138,554	)
	(84,900	)	Cloudflare, Inc. – Class A *		(4,754,400	)
	(25,600	)	CME Group, Inc.		(5,090,048	)
	(432,510	)	Columbia Banking System, Inc.		(13,040,177	)
	(72,000	)	Coupa Software, Inc. *		(4,952,880	)
	(19,400	)	Crown Castle International Corp. (REIT)		(3,679,210	)
	(151,200	)	Delta Air Lines, Inc. *		(6,303,528	)
	(16,100	)	Dexcom, Inc. *		(4,796,834	)

Shares			Description	Value ($)
			United States — continued
	(40,500	)	Diamondback Energy, Inc.		(6,156,810	)
	(66,900	)	DocuSign, Inc. – Class A *		(5,613,579	)
	(68,900	)	Dominion Energy, Inc.		(5,802,758	)
	(286,400	)	DraftKings, Inc. – Class A *		(3,880,720	)
	(43,700	)	Dynatrace, Inc. *		(1,646,179	)
	(27,123	)	Entegris, Inc.		(3,009,568	)
	(4,400	)	Equinix, Inc. (REIT)		(3,023,196	)
	(47,200	)	Equity LifeStyle Properties, Inc. (REIT)		(3,573,040	)
	(100,200	)	Exact Sciences Corp. *		(4,990,962	)
	(91,600	)	Fastenal Co.		(4,906,096	)
	(8,400	)	First Republic Bank		(1,302,252	)
	(21,500	)	FirstEnergy Corp.		(923,640	)
	(7,000	)	Fortinet, Inc. *		(2,058,980	)
	(295,170	)	Fox Corp. – Class A		(10,481,487	)
	(10,200	)	Gartner, Inc. *		(2,676,480	)
	(1	)	Goldman Sachs Group , Inc. (The)		(327	)
	(65,600	)	Guidewire Software, Inc. *		(5,244,064	)
	(348,429	)	Healthcare Realty Trust, Inc. (REIT)		(10,128,831	)
	(30,800	)	HEICO Corp.		(4,405,940	)
	(5,800	)	Hershey Co. (The)		(1,227,918	)
	(45,200	)	Hess Corp.		(5,562,764	)
	(15,600	)	HubSpot, Inc. *		(5,267,964	)
	(15,400	)	IDEXX Laboratories, Inc. *		(6,030,948	)
	(17,614	)	II-VI, Inc. *		(1,100,875	)
	(68,700	)	Ingersoll Rand, Inc.		(3,239,205	)
	(26,200	)	Insulet Corp. *		(5,593,176	)
	(29,500	)	IQVIA Holdings, Inc. *		(6,349,875	)
	(68,700	)	Iron Mountain, Inc. (REIT)		(3,702,930	)
	(84,500	)	Keurig Dr Pepper, Inc.		(2,935,530	)
	(14,600	)	Kroger Co. (The)		(773,362	)
	(14,300	)	Liberty Broadband Corp. – Class A *		(1,744,743	)
	(109,100	)	Liberty Media Corp.-Liberty Formula One – Class C *		(6,795,839	)
	(19,300	)	Linde Plc		(6,266,324	)
	(63,500	)	Live Nation Entertainment, Inc. *		(6,035,675	)
	(5,100	)	Lululemon Athletica, Inc. *		(1,492,719	)
	(3	)	M&T Bank Corp.		(540	)
	(20,800	)	MarketAxess Holdings, Inc.		(5,858,944	)
	(36,900	)	Marriott International, Inc. – Class A		(6,331,302	)
	(17,900	)	Marsh & McLennan Cos, Inc.		(2,863,105	)
	(18,000	)	Marvell Technology, Inc.		(1,064,700	)
	(5,000	)	Mastercard, Inc. – Class A		(1,789,350	)
	(34	)	MaxLinear, Inc. *		(1,346	)
	(11,134	)	MKS Instruments, Inc.		(1,375,049	)
	(17,400	)	MongoDB, Inc. – Class A *		(4,126,410	)
	(8,800	)	Monolithic Power Systems, Inc.		(3,963,432	)
	(9,300	)	Moody’s Corp.		(2,804,601	)
	(12,800	)	MSCI, Inc. – Class A		(5,662,080	)
	(531,244	)	New York Community Bancorp, Inc.		(5,301,815	)
	(40,400	)	Newmont Corp.		(2,741,140	)
	(174,800	)	NiSource, Inc.		(5,497,460	)
	(83,567	)	NortonLifeLock, Inc.		(2,034,021	)
	(83,000	)	Novocure Ltd. *		(6,671,540	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(54,200	)	Okta, Inc. *		(4,501,310	)
	(78,400	)	ONEOK, Inc.		(5,162,640	)
	(198,300	)	Palantir Technologies, Inc. – Class A *		(1,721,244	)
	(11,300	)	Palo Alto Networks, Inc. *		(5,681,414	)
	(45,800	)	Paychex, Inc.		(5,671,414	)
	(121,800	)	Peloton Interactive, Inc. – Class A *		(1,700,328	)
	(60,700	)	Philip Morris International, Inc.		(6,449,375	)
	(4,800	)	Public Storage (REIT)		(1,587,072	)
	(45,900	)	RingCentral, Inc. – Class A *		(2,898,126	)
	(57,100	)	Roku, Inc. *		(5,418,790	)
	(143,150	)	Rollins, Inc.		(5,076,099	)
	(86,200	)	Royal Caribbean Cruises Ltd. *		(5,005,634	)
	(6,300	)	S&P Global, Inc.		(2,201,724	)
	(44,400	)	Seagen, Inc. *		(6,024,192	)
	(12,400	)	ServiceNow, Inc. *		(5,796,628	)
	(18,900	)	Sherwin-Williams Co. (The)		(5,065,956	)
	(25,700	)	Simon Property Group, Inc. (REIT)		(2,946,505	)
	(225,700	)	Snap, Inc. – Class A *		(3,184,627	)
	(19,300	)	Southern Co. (The)		(1,460,238	)
	(15,300	)	Starbucks Corp.		(1,201,050	)
	(55,500	)	Sysco Corp.		(4,671,990	)
	(77,000	)	Teladoc Health, Inc. *		(2,624,930	)
	(7,900	)	Tesla, Inc. *		(5,990,254	)
	(17,600	)	Trade Desk, Inc. (The) – Class A *		(916,080	)
	(3,600	)	TransDigm Group, Inc. *		(2,179,332	)
	(51,900	)	Twilio, Inc. – Class A *		(5,458,323	)
	(161,100	)	Uber Technologies, Inc. *		(3,737,520	)
	(63,700	)	UDR, Inc. (REIT)		(3,044,860	)
	(22,800	)	Vail Resorts, Inc.		(5,750,388	)
	(176,400	)	Vistra Corp.		(4,651,668	)
	(15,400	)	Waste Connections, Inc.		(1,964,116	)
	(9,300	)	Waste Management, Inc.		(1,474,143	)
	(34,500	)	Wayfair, Inc. – Class A *		(2,048,955	)
	(228,500	)	Williams Cos, Inc. (The)		(8,468,210	)
	(11,400	)	Yum! Brands, Inc.		(1,384,758	)
	(141,100	)	Zillow Group, Inc. – Class A *		(5,638,356	)
	(67,749	)	Zillow Group, Inc. – Class C *		(2,703,185	)

Shares / Par Value†			Description	Value ($)
			United States — continued
	(25,000	)	Zoetis, Inc.		(4,273,250	)
	(74,600	)	ZoomInfo Technologies, Inc. – Class A *		(3,013,094	)
	(32,100	)	Zscaler, Inc. *		(4,914,189	)
			Total United States		(539,776,093	)
			TOTAL COMMON STOCKS (PROCEEDS $1,168,281,487)		(973,262,196	)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(15,760	)	Sartorius AG		(6,372,028	)
			TOTAL PREFERRED STOCKS (PROCEEDS $6,480,119)		(6,372,028	)
			DEBT OBLIGATIONS — (0.1)%
			China — (0.1)%
			Corporate Debt — (0.1)%
	(2,500,000	)	Huarong Finance 2019 Co. Ltd, 3.75%, due 05/29/24		(2,450,000	)
	(2,500,000	)	Huarong Finance II Co. Ltd, 5.50%, due 01/16/25		(2,515,625	)
			Total China		(4,965,625	)
			United States — (0.0)%
			Corporate Debt — (0.0)%
	(1,390,000	)	Rite Aid Corp., 7.70%, due 02/15/27		(889,343	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $5,945,440)		(5,854,968	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,180,707,046)		(985,489,192	)
			Other Assets and Liabilities (net) — 2.0%		86,218,182
			TOTAL NET ASSETS — 100.0%		$4,402,517,622

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of May 31, 2022
PhosAgro PJSC GDR	04/20/22		2,792	0.00%		311
Sberbank of Russia PJSC	09/09/20		6,314,555	0.01%		291,896
Sberbank of Russia PJSC	01/10/22		183,324	0.00%		6,167
Sberbank of Russia PJSC Sponsored ADR	07/10/19		23,249,052	0.02%		770,539
VTB Bank PJSC GDR (Registered)	01/09/20		568,863	0.00%		15,305
					$	1,084,218

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/21/2022	BOA	AUD	32,311,810		USD	24,081,249		886,007
07/18/2022	DB	AUD	24,324,707		USD	16,777,675		(690,735	)
07/05/2022	GS	BRL	9,516,390		USD	1,950,000		(34,649	)
06/10/2022	MSCI	CAD	1,944,000		USD	1,494,505		(42,298	)
06/10/2022	SSB	CAD	25,892,582		USD	19,942,015		(527,009	)
06/22/2022	BCLY	CAD	13,334,197		USD	10,672,181		131,366
07/25/2022	DB	CAD	16,715,851		USD	13,054,556		(157,274	)
08/02/2022	BCLY	CAD	11,969,490		USD	9,340,000		(119,916	)
07/29/2022	BCLY	CHF	1,403,952		USD	1,467,963		(371	)
07/29/2022	JPM	CHF	1,411,253		USD	1,474,078		(1,892	)
07/29/2022	SSB	CHF	3,612,978		USD	3,772,940		(5,722	)
06/13/2022	JPM	CLP	11,950,274,000		USD	13,840,947		(638,536	)
06/16/2022	JPM	COP	10,459,240,000		USD	2,651,775		(117,778	)
08/18/2022	GS	CZK	31,400,000		USD	1,324,964		(25,699	)
08/18/2022	MSCI	CZK	302,511,617		USD	12,604,651		(407,818	)
06/21/2022	DB	EUR	3,457,100		USD	3,610,458		(104,342	)
06/21/2022	SSB	EUR	89,823,871		USD	97,500,031		980,501
06/30/2022	DB	EUR	17,210,000		USD	18,637,139		135,378
06/30/2022	JPM	EUR	31,040,000		USD	33,664,995		295,171
06/30/2022	MSCI	EUR	46,140,000		USD	51,407,342		1,804,132
06/16/2022	JPM	GBP	8,410,000		USD	10,622,314		24,783
06/21/2022	SSB	GBP	26,240,052		USD	34,272,316		1,205,718
07/25/2022	DB	GBP	14,595,718		USD	18,022,574		(375,418	)
06/21/2022	MSCI	HKD	44,583,400		USD	5,691,260		7,078
08/31/2022	JPM	ILS	36,187,392		USD	10,827,741		(132,297	)
06/03/2022	GS	INR	137,298,520		USD	1,780,000		11,690
06/03/2022	MSCI	INR	1,057,044,730		USD	13,836,570		222,567
08/30/2022	MSCI	INR	1,143,193,440		USD	14,606,887		22,608
06/06/2022	BCLY	JPY	642,390,956		USD	4,936,262		(54,331	)
06/06/2022	JPM	JPY	245,364,558		USD	1,898,586		(7,597	)
06/21/2022	DB	JPY	3,893,678,400		USD	31,119,878		853,058
08/08/2022	MSCI	KRW	8,100,418,559		USD	6,431,042		(89,050	)
06/01/2022	JPM	NZD	145,700,000		USD	97,930,069		2,991,958
06/01/2022	MSCI	NZD	44,720,000		USD	30,481,012		1,341,462
06/01/2022	SSB	NZD	16,470,000		USD	11,088,345		356,494
07/18/2022	BCLY	NZD	1,857,623		USD	1,212,963		3,366
08/31/2022	MSCI	NZD	177,200,000		USD	115,482,126		194,459
06/17/2022	JPM	PEN	8,760,000		USD	2,283,926		(70,569	)
06/17/2022	MSCI	PEN	6,160,000		USD	1,633,086		(22,587	)
08/03/2022	JPM	PHP	224,626,450		USD	4,244,642		(14,018	)
06/30/2022	BOA	RON	5,942,941		USD	1,300,000		14,148
06/30/2022	JPM	RON	43,202,050		USD	9,566,408		218,938
06/07/2022	MSCI	SEK	65,399,296		USD	6,727,376		29,970
06/21/2022	GS	SGD	2,966,147		USD	2,180,000		15,109
06/21/2022	JPM	SGD	2,595,763		USD	1,890,000		(4,560	)
06/21/2022	SSB	SGD	3,716,941		USD	2,740,000		27,130
08/18/2022	CITI	THB	503,698,956		USD	14,490,764		(266,192	)
06/13/2022	JPM	TWD	434,415,523		USD	14,677,192		(305,893	)
06/21/2022	BOA	USD	21,974,610		AUD	30,678,210		47,941
06/21/2022	MSCI	USD	1,138,917		AUD	1,633,600		33,773
07/18/2022	BCLY	USD	2,961,411		AUD	4,217,145		67,067
07/18/2022	JPM	USD	81,491		AUD	114,813		960
08/09/2022	BCLY	USD	22,403,828		AUD	31,619,950		309,528
08/09/2022	JPM	USD	9,651,429		AUD	13,740,000		218,337
07/05/2022	JPM	USD	16,036,330		BRL	78,193,146		270,895
06/10/2022	DB	USD	769,050		CAD	991,561		14,815
06/22/2022	DB	USD	1,016,919		CAD	1,297,731		8,950
06/22/2022	UBSA	USD	1,009,277		CAD	1,278,489		1,381
08/02/2022	BCLY	USD	120,165,175		CAD	153,482,532		1,137,561

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/16/2022	MSCI	USD	7,057,855		CHF	7,027,125		273,370
06/16/2022	JPM	USD	12,690,394		COP	49,058,279,900		299,984
06/16/2022	MSCI	USD	2,830,000		COP	10,762,490,000		19,852
08/18/2022	DB	USD	1,769,890		CZK	41,400,000		10,921
06/21/2022	BCLY	USD	12,901,684		EUR	12,211,100		219,657
06/21/2022	BOA	USD	552,408		EUR	531,324		18,523
06/21/2022	JPM	USD	79,338,901		EUR	73,824,300		(11,584	)
06/21/2022	MSCI	USD	957,015		EUR	880,730		(10,635	)
06/30/2022	DB	USD	2,220,616		EUR	2,000,000		(70,499	)
06/30/2022	JPM	USD	7,398,348		EUR	6,780,000		(109,449	)
07/29/2022	JPM	USD	7,384,977		EUR	6,851,925		(6,841	)
07/29/2022	UBSA	USD	5,997,881		EUR	5,598,830		30,926
06/16/2022	DB	USD	13,894,321		GBP	11,380,000		445,739
06/16/2022	JPM	USD	7,112,932		GBP	5,660,000		19,295
06/21/2022	BCLY	USD	2,086,700		GBP	1,692,900		46,621
06/21/2022	JPM	USD	17,344,341		GBP	13,713,400		(63,297	)
06/21/2022	MSCI	USD	5,129,334		GBP	4,089,464		24,035
06/21/2022	JPM	USD	4,807,365		HKD	37,713,800		974
06/21/2022	SSB	USD	875,861		HKD	6,869,600		(18	)
08/16/2022	GS	USD	1,239,830		HUF	460,000,000		(7,972	)
08/16/2022	MSCI	USD	4,053,871		HUF	1,504,351,113		(25,292	)
08/09/2022	JPM	USD	9,811,825		IDR	142,928,857,400		79
08/09/2022	MSCI	USD	4,175,882		IDR	61,198,158,000		25,302
06/03/2022	GS	USD	670,000		INR	51,149,810		(11,226	)
06/03/2022	MSCI	USD	14,740,612		INR	1,143,193,440		(17,074	)
06/06/2022	BCLY	USD	4,022,754		JPY	505,905,208		(92,489	)
06/06/2022	MSCI	USD	13,341,614		JPY	1,619,051,577		(763,562	)
06/06/2022	SSB	USD	17,435,084		JPY	2,113,834,851		(1,013,170	)
06/06/2022	UBSA	USD	3,141,833		JPY	399,180,957		(40,685	)
06/09/2022	JPM	USD	10,773,851		JPY	1,368,000,000		(145,256	)
06/09/2022	MSCI	USD	45,980,022		JPY	5,963,470,971		352,809
06/21/2022	BCLY	USD	3,597,604		JPY	466,798,600		30,973
06/21/2022	JPM	USD	26,943,476		JPY	3,426,879,800		(305,232	)
07/11/2022	JPM	USD	25,981,312		JPY	3,383,291,647		340,966
08/10/2022	MSCI	USD	15,384,768		JPY	2,000,000,000		199,109
08/08/2022	UBSA	USD	1,644,051		KRW	2,080,000,000		30,157
07/22/2022	BOA	USD	2,570,000		MXN	52,043,955		48,836
07/22/2022	MSCI	USD	12,041,028		MXN	245,137,277		294,206
07/18/2022	BCLY	USD	70,265,142		NOK	691,522,042		3,547,163
07/18/2022	JPM	USD	6,010,861		NOK	58,000,000		179,995
06/01/2022	MSCI	USD	131,283,172		NZD	200,290,000		(774,220	)
06/01/2022	SSB	USD	4,571,032		NZD	6,600,000		(270,472	)
07/18/2022	MSCI	USD	1,455,915		NZD	2,334,308		64,077
07/18/2022	UBSA	USD	1,869,921		NZD	2,950,799		51,500
06/17/2022	MSCI	USD	5,944,506		PEN	22,227,900		29,865
08/03/2022	BCLY	USD	1,441,715		PHP	76,000,000		(842	)
07/19/2022	DB	USD	1,114,238		PLN	4,950,000		37,769
07/19/2022	GS	USD	1,706,776		PLN	7,600,000		61,962
07/19/2022	MSCI	USD	2,540,857		PLN	11,016,901		23,091
06/30/2022	DB	USD	1,746,038		RON	8,150,000		17,348
06/30/2022	GS	USD	1,802,922		RON	8,421,897		19,293
06/30/2022	JPM	USD	1,875,072		RON	8,850,000		39,770
06/07/2022	BCLY	USD	25,706,363		SEK	249,160,369		(190,366	)
06/07/2022	JPM	USD	29,610,000		SEK	282,721,568		(657,071	)
06/21/2022	SSB	USD	120,000		SGD	162,394		(1,474	)
06/13/2022	GS	USD	1,219,430		TWD	36,000,000		22,218
08/31/2022	MSCI	USD	1,426,819		ZAR	22,848,506		18,908
							$	11,924,315

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
166	Australian Government Bond 10 Yr.		June 2022		14,559,808		(632,782	)
466	CAC40 10 Euro		June 2022		32,362,078		551,162
14	DAX Index		June 2022		5,419,327		54,494
97	Euro Bund		June 2022		15,783,643		(135,501	)
385	FTSE 100 Index		June 2022		36,770,706		2,008,386
243	FTSE/JSE 40		June 2022		10,143,471		(248,580	)
49	Gold 100 OZ (j)		August 2022		9,057,160		(78,432	)
51	Hang Seng Index		June 2022		6,953,512		487,389
437	MSCI Singapore		June 2022		9,555,943		266,845
156	Soybean (j)		July 2022		13,129,350		154,896
39	WTI Crude (j)		June 2022		4,472,130		484,038
				$	158,207,128	$	2,911,915

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
101	Corn (j)		July 2022		3,805,175		126,672
111	E-mini Russell 2000 Index		June 2022		10,333,545		94,509
126	FTSE Taiwan Index		June 2022		7,240,125		(256,308	)
1,221	Mini MSCI Emerging Markets		June 2022		64,914,465		3,866,169
2,230	S&P 500 E-Mini		June 2022		460,634,375		12,063,997
12	S&P/TSX 60		June 2022		2,378,464		(43,858	)
479	SGX Nifty 50		June 2022		15,771,027		(239,117	)
20	SPI 200 Futures		June 2022		2,573,565		98,029
40	TOPIX Index		June 2022		5,923,316		(135,714	)
454	U.S. Treasury Note 10 Yr. (CBT)		September 2022		54,231,719		212,244
4	U.S. Ultra Bond (CBT)		September 2022		623,000		14,787
122	UK Gilt Long Bond		September 2022		17,828,319		312,211
				$	646,257,095	$	16,113,621

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread(1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract(2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Halliburton Co.	BOA	USD	1,140,000		1.00%		0.58%		N/A		12/20/2024		Quarterly		96,637			(11,963	)		(108,600	)
HCA, Inc.	BCLY	USD	1,140,000		5.00%		1.01%		N/A		12/20/2024		Quarterly		(139,584	)		(112,298	)		27,286
Tenet Healthcare Corp.	JPM	USD	570,000		5.00%		2.73%		N/A		12/20/2024		Quarterly		14,842			(31,156	)		(45,998	)
Tenet Healthcare Corp.	JPM	USD	1,140,000		5.00%		2.73%		N/A		12/20/2024		Quarterly		142,500			(62,315	)		(204,815	)
United Rentals North America, Inc.	CSI	USD	1,140,000		5.00%		1.18%		N/A		12/20/2024		Quarterly		(96,605	)		(107,200	)		(10,595	)
United Rentals North America, Inc.	JPM	USD	1,140,000		5.00%		1.18%		N/A		12/20/2024		Quarterly		(51,323	)		(107,200	)		(55,877	)
American Airlines Group, Inc.	GS	USD	1,120,000		5.00%		10.80%		N/A		12/20/2025		Quarterly		232,400			171,510			(60,890	)
American Airlines Group, Inc.	BCLY	USD	2,970,000		5.00%		10.98%		N/A		06/20/2026		Quarterly		564,300			508,268			(56,032	)
Sell Protection^:
American Airlines Group, Inc.	GS	USD	1,120,000		5.00%		8.81%		1,120,000 USD		12/20/2023		Quarterly		(128,800	)		(60,039	)		68,761
American Airlines Group, Inc.	BCLY	USD	2,970,000		5.00%		9.37%		2,970,000 USD		06/20/2024		Quarterly		(222,750	)		(230,300	)		(7,550	)
														$	411,617		$	(42,693	)	$	(454,310	)

^ 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, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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 CAD CDOR	3.21%	CAD	116,370,000		06/15/2024	Semi-Annually		—			170,339			170,339
3.22%	3 Month CAD CDOR	CAD	828,260,000		06/15/2024	Semi-Annually		(306,015	)		(1,263,261	)		(957,246	)
0.31%	CHF - SARON - OIS - COMPOUND	CHF	576,400,000		06/15/2024	Annually		257,559			1,522,662			1,265,103
GBP - SONIA - COMPOUND	2.13%	GBP	369,900,000		06/15/2024	Annually		124,408			(2,285,350	)		(2,409,758	)
3 Month SEK STIBOR	2.15%	SEK	597,990,000		06/15/2024	Quarterly		52,659			61,645			8,986
3 Month SEK STIBOR	2.12%	SEK	521,800,000		06/15/2024	Quarterly		—			18,683			18,683
1.01%	6 Month EURIBOR	EUR	81,710,000		06/19/2024	Semi-Annually		6,416			169,793			163,377
6 Month EURIBOR	1.00%	EUR	413,220,000		06/19/2024	Semi-Annually		(70,892	)		(946,926	)		(876,034	)
USD - SOFR - COMPOUND	2.71%	USD	29,790,000		09/21/2024	Annually		1,727			(47,037	)		(48,764	)
3.39%	6 Month AUD BBSW	AUD	20,270,000		06/15/2032	Semi-Annually		—			385,221			385,221
3.44%	6 Month AUD BBSW	AUD	30,270,000		06/15/2032	Semi-Annually		—			489,039			489,039
6 Month AUD BBSW	3.39%	AUD	172,050,000		06/15/2032	Semi-Annually		187,933			(3,295,514	)		(3,483,447	)
6 Month AUD BBSW	3.67%	AUD	18,570,000		06/15/2032	Semi-Annually		—			(46,661	)		(46,661	)
3.17%	3 Month CAD CDOR	CAD	21,750,000		06/15/2032	Semi-Annually		—			285,691			285,691
3.12%	3 Month CAD CDOR	CAD	26,560,000		06/15/2032	Semi-Annually		—			428,611			428,611
3.21%	3 Month CAD CDOR	CAD	28,450,000		06/15/2032	Semi-Annually		—			282,459			282,459
3 Month CAD CDOR	3.40%	CAD	10,580,000		06/15/2032	Semi-Annually		—			32,122			32,122
3 Month CAD CDOR	3.53%	CAD	189,530,000		06/15/2032	Semi-Annually		135,753			2,217,822			2,082,069
3.25%	3 Month CAD CDOR	CAD	28,220,000		06/15/2032	Semi-Annually		—			208,930			208,930
3.27%	3 Month CAD CDOR	CAD	16,290,000		06/15/2032	Semi-Annually		—			96,152			96,152
3 Month CAD CDOR	3.15%	CAD	218,990,000		06/15/2032	Semi-Annually		63,405			(3,175,329	)		(3,238,734	)
3.37%	3 Month CAD CDOR	CAD	16,670,000		06/15/2032	Semi-Annually		—			(17,625	)		(17,625	)
3.48%	3 Month CAD CDOR	CAD	26,500,000		06/15/2032	Semi-Annually		—			(219,686	)		(219,686	)
1.27%	CHF - SARON - OIS - COMPOUND	CHF	173,880,000		06/15/2032	Annually		—			2,426,009			2,426,009
CHF - SARON - OIS - COMPOUND	1.25%	CHF	197,640,000		06/15/2032	Annually		160,765			(3,150,728	)		(3,311,493	)
CHF - SARON - OIS - COMPOUND	1.23%	CHF	16,810,000		06/15/2032	Annually		—			(309,786	)		(309,786	)
CHF - SARON - OIS - COMPOUND	1.26%	CHF	118,600,000		06/15/2032	Annually		(571,567	)		(1,772,712	)		(1,201,145	)
EUR - EuroSTR - COMPOUND	1.34%	EUR	11,230,000		06/15/2032	Annually		—			(258,225	)		(258,225	)
EUR - EuroSTR - COMPOUND	1.28%	EUR	18,190,000		06/15/2032	Annually		—			(516,685	)		(516,685	)
EUR - EuroSTR - COMPOUND	1.29%	EUR	18,200,000		06/15/2032	Annually		—			(515,129	)		(515,129	)
EUR - EuroSTR - COMPOUND	1.40%	EUR	10,730,000		06/15/2032	Annually		—			(179,447	)		(179,447	)
EUR - EuroSTR - COMPOUND	1.51%	EUR	20,640,000		06/15/2032	Annually		—			(111,389	)		(111,389	)
1.95%	GBP - SONIA - COMPOUND	GBP	317,490,000		06/15/2032	Annually		(1,754,831	)		7,334,577			9,089,408
1.98%	GBP - SONIA - COMPOUND	GBP	9,730,000		06/15/2032	Annually		—			184,248			184,248
1.87%	GBP - SONIA - COMPOUND	GBP	79,500,000		06/15/2032	Annually		(128,855	)		2,504,270			2,633,125
GBP - SONIA - COMPOUND	1.99%	GBP	153,990,000		06/15/2032	Annually		(302,376	)		(2,781,470	)		(2,479,094	)
GBP - SONIA - COMPOUND	1.96%	GBP	6,120,000		06/15/2032	Annually		—			(134,187	)		(134,187	)
4.13%	3 Month NZD Bank Bill Rate	NZD	139,320,000		06/15/2032	Quarterly		55,166			(1,214,714	)		(1,269,880	)
2.49%	3 Month SEK STIBOR	SEK	128,230,000		06/15/2032	Quarterly		4,935			74,322			69,387
3 Month SEK STIBOR	2.28%	SEK	1,886,000,000		06/15/2032	Quarterly		1,160,106			(4,783,012	)		(5,943,118	)
2.61%	3 Month SEK STIBOR	SEK	321,900,000		06/15/2032	Quarterly		—			(157,612	)		(157,612	)
2.56%	3 Month SEK STIBOR	SEK	116,000,000		06/15/2032	Quarterly		—			(5,601	)		(5,601	)
2.56%	3 Month SEK STIBOR	SEK	114,600,000		06/15/2032	Quarterly		—			(6,577	)		(6,577	)
3 Month SEK STIBOR	2.46%	SEK	188,400,000		06/15/2032	Quarterly		—			(153,771	)		(153,771	)
2.52%	USD - SOFR - COMPOUND	USD	372,830,000		06/15/2032	Annually		(68,425	)		4,181,435			4,249,860
USD - SOFR - COMPOUND	2.71%	USD	15,390,000		06/15/2032	Annually		—			80,246			80,246
USD - SOFR - COMPOUND	2.66%	USD	12,670,000		06/15/2032	Annually		—			18,627			18,627
USD - SOFR - COMPOUND	2.53%	USD	16,920,000		06/15/2032	Annually		—			(182,312	)		(182,312	)
USD - SOFR - COMPOUND	2.52%	USD	37,520,000		06/15/2032	Annually		—			(410,886	)		(410,886	)
USD - SOFR - COMPOUND	2.46%	USD	19,570,000		06/15/2032	Annually		—			(325,511	)		(325,511	)
1.75%	6 Month EURIBOR	EUR	84,770,000		06/16/2032	Semi-Annually		321,822			843,955			522,133
1.71%	6 Month EURIBOR	EUR	27,370,000		06/16/2032	Semi-Annually		—			381,636			381,636
6 Month EURIBOR	1.79%	EUR	17,590,000		06/16/2032	Semi-Annually		31,844			(104,978	)		(136,822	)
6 Month EURIBOR	1.81%	EUR	93,160,000		06/16/2032	Semi-Annually		23,142			(370,233	)		(393,375	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Centrally Cleared Interest Rate Swaps (continued)

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CHF - SARON - OIS - COMPOUND	1.34%	CHF	174,340,000		09/21/2032	Annually		—			(2,513,092	)		(2,513,092	)
2.01%	GBP - SONIA - COMPOUND	GBP	154,620,000		09/21/2032	Annually		241,189			2,771,186			2,529,997
3 Month SEK STIBOR	2.51%	SEK	127,100,000		09/21/2032	Quarterly		—			(116,740	)		(116,740	)
2.64%	USD - SOFR - COMPOUND	USD	6,810,000		09/21/2032	Annually		(17,905	)		27,477			45,382
2.57%	USD - SOFR - COMPOUND	USD	12,010,000		09/21/2032	Annually		—			121,452			121,452
							$	(392,037	)	$	(4,053,577	)	$	(3,661,540	)

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 (l)	1 Month Federal Funds Rate minus 0.75%	GS		USD	4,411,416		07/24/2022		Monthly		—		(115,603	)		(115,603	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.50%	GS		USD	5,104,635		07/24/2022		Monthly		—		(478,683	)		(478,683	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.75%	GS		USD	2,810,639		07/24/2022		Monthly		—		(137,331	)		(137,331	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.75%	GS		USD	2,733,233		07/24/2022		Monthly		—		(141,283	)		(141,283	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	1,487,898		10/18/2022		Monthly		—		31,845			31,845
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	52,381,669		10/18/2022		Monthly		—		(1,213,642	)		(1,213,642	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	1,344,731		10/18/2022		Monthly		—		(91,815	)		(91,815	)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	GS		USD	9,750,970		05/09/2023		Monthly		—		393,318			393,318
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS		USD	890,802		05/09/2023		Monthly		—		(29,694	)		(29,694	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS		USD	8,715,762		05/09/2023		Monthly		—		(286,029	)		(286,029	)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	11,045,945		05/12/2023		Monthly		—		781,392			781,392
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	UBSA		USD	11,044,884		05/12/2023		Monthly		—		(765,789	)		(765,789	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 2.66%	MORD		USD	27,096,188		05/18/2023		Monthly		—		(2,231,995	)		(2,231,995	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	10,689,978		05/22/2023		Monthly		—		357,956			357,956
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.05%	UBSA		USD	10,685,708		05/22/2023		Monthly		—		(417,344	)		(417,344	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	10,905,349		11/20/2023		Monthly		—		(423,649	)		(423,649	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.50%	GS		USD	459,880		05/24/2024		Monthly		—		(12,894	)		(12,894	)
										$	—	$	(4,781,240	)	$	(4,781,240	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(d) Investment valued using significant unobservable inputs.

(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) The security is restricted as to resale.

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

(h) Security is in default.

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

(j) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

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

(l) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(m) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2022:

Shares		Description	% of Equity Basket			Value ($)
	4,978,000	Alibaba Health Information Technology Ltd		4.7	%		2,535,649
	11,360,000	Alibaba Pictures Group Ltd		1.9	%		998,895
	10,923,000	China Molybdenum Co Ltd – Class H		10.0	%		5,344,705
	716,000	China Resources Beer Holdings Co Ltd		8.4	%		4,462,591
	913,500	Citic Securities Co Ltd – Class H		3.7	%		1,977,134
	3,079,000	Cosco Shipping Holdings Co – Class H		10.2	%		5,448,020
	309,800	Ganfeng Lithium Co Ltd – Class H		7.4	%		3,970,877
	2,610,000	Greentown Service Group Co Ltd		4.9	%		2,625,228
	132,100	Hong Kong Exchanges and Clearing Ltd		10.7	%		5,699,859
	2,826,000	Kingdee International Software Group Co Ltd		10.4	%		5,565,172
	205,500	Kuaishou Technology		3.7	%		1,989,693
	327,700	Microport Scientific Corp		1.2	%		649,024
	252,000	New World Development Co Ltd		1.8	%		959,010
	2,524,000	Sands China Ltd		9.0	%		4,823,223
	4,752,000	Zijin Mining Group Co Ltd – Class H		12.0	%		6,418,522
		TOTAL COMMON STOCKS				$	53,467,602

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

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

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

CDOR - Canadian Dollar Offering Rate

CMT - Constant Maturity Treasury

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

EuroSTR - Euro Short-Term Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

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

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

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, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,160,217	GMO Emerging Markets ex-China Fund, Class VI		17,264,027
	8,493,120	GMO International Equity Fund, Class IV		187,952,744
	484,297	GMO-Usonian Japan Value Creation Fund, Class VI		8,484,875
		TOTAL MUTUAL FUNDS (COST $227,897,765)		213,701,646
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	48,710	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		48,710
		TOTAL SHORT-TERM INVESTMENTS (COST $48,710)		48,710
		TOTAL INVESTMENTS — 100.0% (Cost $227,946,475)		213,750,356
		Other Assets and Liabilities (net) — 0.00%		29,182
		TOTAL NET ASSETS — 100.0%		$213,779,538

Notes to Schedule of Investments:

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

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	2,935,317	GMO Emerging Markets ex-China Fund, Class VI		43,677,519
	6,241,219	GMO Emerging Markets Fund, Class VI		162,895,806
	14,690,268	GMO International Equity Fund, Class IV		325,095,638
	1,225,588	GMO-Usonian Japan Value Creation Fund, Class VI		21,472,299
		TOTAL MUTUAL FUNDS (COST $611,557,597)		553,141,262
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	349,598	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (a)		349,598
		TOTAL SHORT-TERM INVESTMENTS (COST $349,598)		349,598
		TOTAL INVESTMENTS — 100.0% (Cost $611,907,195)		553,490,860
		Other Assets and Liabilities (net) — (0.0%)		(96,286	)
		TOTAL NET ASSETS — 100.0%		$553,394,574

Notes to Schedule of Investments:

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

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 91.2%
		United States — 91.2%
		U.S. Government — 91.2%
	33,400,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		33,098,617
	20,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		19,777,344
	35,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		34,464,062
	1,400,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a) (b)		1,375,062
	31,000,000	U.S. Treasury Note, 0.13%, due 06/30/23		30,318,242
	60,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.17%, due 01/31/23 (a)		60,066,664
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.16%, due 10/31/23 (b)		20,039,247
	30,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 0.99%, due 04/30/24		30,006,213
		Total U.S. Government		229,145,451
		Total United States		229,145,451
		TOTAL DEBT OBLIGATIONS (COST $230,661,808)		229,145,451
		SHORT-TERM INVESTMENTS — 8.9%
		Money Market Funds — 1.9%
	3,676,856	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (c)		3,676,856
	1,050,539	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.59% (a)		1,050,539
		Total Money Market Funds		4,727,395
		U.S. Government — 3.0%
	7,500,000	U.S. Treasury Bill, 1.51%, due 11/17/22 (d)		7,447,716
		U.S. Government Agency — 4.0%
	10,000,000	Federal Home Loan Banks, 1.67%, due 12/19/22		10,005,094
		TOTAL SHORT-TERM INVESTMENTS (COST $22,175,640)		22,180,205
		TOTAL INVESTMENTS — 100.1% (Cost $252,837,448)		251,325,656
		Other Assets and Liabilities (net) — (0.1%)		(184,971	)
		TOTAL NET ASSETS — 100.0%		$251,140,685

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

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/18/2022	DB	AUD	16,263,605		USD	11,217,627		(461,828	)
06/22/2022	BCLY	CAD	8,513,557		USD	6,813,926		83,874
07/25/2022	DB	CAD	11,792,462		USD	9,209,543		(110,952	)
07/29/2022	BCLY	CHF	943,222		USD	986,227		(249	)
07/29/2022	JPM	CHF	944,995		USD	987,063		(1,267	)
07/29/2022	SSB	CHF	2,423,042		USD	2,530,320		(3,837	)
07/25/2022	DB	GBP	9,783,788		USD	12,080,875		(251,650	)
06/06/2022	BCLY	JPY	416,634,796		USD	3,201,786		(34,958	)
06/06/2022	JPM	JPY	145,783,065		USD	1,128,042		(4,514	)
07/18/2022	BCLY	NZD	1,245,390		USD	813,196		2,257
07/18/2022	BCLY	USD	1,955,810		AUD	2,785,123		44,284
07/18/2022	JPM	USD	49,933		AUD	70,351		588
06/22/2022	DB	USD	794,359		CAD	1,013,713		6,992
06/22/2022	UBSA	USD	683,682		CAD	866,045		935
07/29/2022	JPM	USD	4,953,149		EUR	4,595,628		(4,587	)
07/29/2022	UBSA	USD	4,022,477		EUR	3,754,854		20,740
06/06/2022	BCLY	USD	2,378,967		JPY	299,517,243		(52,084	)
06/06/2022	MSCI	USD	9,201,597		JPY	1,116,646,020		(526,622	)
06/06/2022	SSB	USD	13,007,745		JPY	1,577,062,855		(755,893	)
06/06/2022	UBSA	USD	2,179,929		JPY	276,841,589		(29,208	)
07/11/2022	JPM	USD	10,880,621		JPY	1,416,876,640		142,792
08/10/2022	MSCI	USD	15,384,768		JPY	2,000,000,000		199,109
07/18/2022	MSCI	USD	973,431		NZD	1,560,728		42,842
07/18/2022	UBSA	USD	1,256,887		NZD	1,983,410		34,616
							$	(1,658,620	)

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
112	Australian Government Bond 10 Yr.	June 2022		9,823,485		(429,708	)
312	CAC40 10 Euro	June 2022		21,667,314		369,951
10	DAX Index	June 2022		3,870,948		32,988
65	Euro Bund	June 2022		10,576,668		(91,132	)
258	FTSE 100 Index	June 2022		24,641,148		1,373,389
163	FTSE/JSE 40	June 2022		6,804,057		(169,455	)
32	Gold 100 OZ (a)	August 2022		5,914,880		(46,175	)
33	Hang Seng Index	June 2022		4,499,331		315,364
887	Mini MSCI Emerging Markets	June 2022		47,157,355		413,441
292	MSCI Singapore	June 2022		6,385,207		178,270
104	Soybean (a)	July 2022		8,752,900		106,916
26	WTI Crude (a)	June 2022		2,981,420		321,545
			$	153,074,713	$	2,375,394

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
68	Corn (a)	July 2022		2,561,900		85,309
75	E-mini Russell 2000 Index	June 2022		6,982,125		58,852
85	FTSE Taiwan Index	June 2022		4,884,211		(172,508	)
208	S&P 500 E-Mini	June 2022		42,965,000		2,562,690
7	S&P/TSX 60	June 2022		1,387,437		(24,165	)
13	SPI 200 Futures	June 2022		1,672,817		63,794
27	TOPIX Index	June 2022		3,998,239		(92,824	)
305	U.S. Treasury Note 10 Yr. (CBT)	September 2022		36,433,203		142,408
82	UK Gilt Long Bond	September 2022		11,982,969		209,940
			$	112,867,901	$	2,833,496

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Growth Index	GS		USD	8,254,534	05/09/2023		Monthly		—		332,957			332,957
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS		USD	754,373	05/09/2023		Monthly		—		(25,146	)		(25,146	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	GS		USD	7,370,861	05/09/2023		Monthly		—		(241,893	)		(241,893	)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA		USD	9,346,612	05/12/2023		Monthly		—		661,181			661,181
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.09%	UBSA		USD	9,345,594	05/12/2023		Monthly		—		(647,970	)		(647,970	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA		USD	7,326,430	05/22/2023		Monthly		—		245,327			245,327
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA		USD	7,104,172	05/22/2023		Monthly		—		(277,463	)		(277,463	)
									$	—	$	46,993		$	46,993

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Notes to Schedule of Investments:

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

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

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

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

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

Portfolio Abbreviations:

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

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 Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 41.2%
		Australia — 1.3%
	28,066	Aurizon Holdings Ltd (a)		80,850
	81,259	Beach Energy Ltd		99,417
	34,208	BlueScope Steel Ltd		443,571
	30,204	Brambles Ltd (a)		235,394
	1,134	Brickworks Ltd		16,888
	15,165	CSR Ltd		50,690
	20,521	Dexus (REIT) (a)		154,159
	36,153	Fortescue Metals Group Ltd (a)		521,943
	22,136	Genworth Mortgage Insurance Australia Ltd		47,364
	44,850	GPT Group (The) (REIT) (a)		154,579
	9,987	GrainCorp Ltd – Class A (a)		70,342
	3,297	JB Hi-Fi Ltd (a)		108,681
	3,919	McMillan Shakespeare Ltd		33,087
	38,140	Metcash Ltd (a)		117,643
	174	Mineral Resources Ltd		7,922
	98,347	Mirvac Group (REIT) (a)		159,296
	1,983	Rio Tinto Ltd (a)		162,244
	61,166	Scentre Group (REIT) (a)		125,767
	5,324	Sims Ltd		67,011
	57,074	Stockland (REIT) (a)		163,571
		Total Australia		2,820,419
		Belgium — 0.4%
	476	Ackermans & van Haaren NV		80,330
	6,034	Ageas SA/NV		303,684
	1,493	Bekaert SA		60,303
	4,298	Proximus SADP		74,123
	429	Sofina SA		100,984
	2,152	UCB SA (a)		189,865
	76	VGP NV (a)		14,746
		Total Belgium		824,035
		Brazil — 0.1%
	9,100	Petroleo Brasileiro SA Sponsored ADR (a)		126,308
	8,200	Telefonica Brasil SA ADR		88,068
	4,255	Vale SA		77,184
		Total Brazil		291,560
		Canada — 1.6%
	7,200	BlackBerry Ltd * (a)		43,560
	5,570	Brookfield Asset Management Inc – Class A (a)		281,842
	4,200	Canadian Apartment Properties (REIT) (a)		164,367
	2,000	Canadian Tire Corp Ltd – Class A (a)		274,784
	3,900	Canfor Corp *		82,542
	8,358	Celestica Inc *		92,378
	700	Cogeco Inc		43,140
	10,400	Corus Entertainment Inc – Class B		36,754
	4,300	Finning International Inc		114,295
	400	iA Financial Corp Inc		20,771

Shares		Description	Value ($)
		Canada — continued
	1,500	Interfor Corp *		39,942
	3,800	Magna International Inc		246,594
	1,700	Manulife Financial Corp (a) (b)		31,501
	9,200	Manulife Financial Corp (a) (b)		170,420
	3,900	Nutrien Ltd (a)		379,041
	2,300	Onex Corp		137,234
	4,500	Parex Resources Inc		99,652
	2,000	Power Corp of Canada		57,762
	3,200	PrairieSky Royalty Ltd		47,917
	7,300	Quebecor Inc – Class B		165,640
	900	Russel Metals Inc		22,570
	14,700	Teck Resources Ltd – Class B		609,454
	1,900	Topaz Energy Corp		35,511
	3,200	West Fraser Timber Co Ltd		295,244
	1,100	Westshore Terminals Investment Corp (a)		31,482
		Total Canada		3,524,397
		China — 1.2%
	42,000	Agile Group Holdings Ltd		17,807
	13,944	Alibaba Group Holding Ltd *		167,471
	1,300	Autohome Inc ADR		47,242
	340,000	Bank of Communications Co Ltd – Class H		231,563
	22,000	Beijing Enterprises Holdings Ltd		77,019
	118,000	China Communications Services Corp Ltd – Class H		55,258
	104,000	China Overseas Land & Investment Ltd		301,797
	353,000	China Railway Group Ltd – Class H		243,979
	286,000	China Zhongwang Holdings Ltd * (c)		61,229
	158,000	CITIC Ltd		177,198
	176,000	Dongfeng Motor Group Co Ltd – Class H		138,221
	32,000	Fosun International Ltd		32,446
	189,200	Guangzhou R&F Properties Co Ltd – Class H		67,091
	27,500	Hello Group Inc Sponsored ADR		167,200
	128	JD.com Inc – Class A		3,596
	17,500	Kingboard Holdings Ltd		83,727
	40,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		66,430
	154,000	Shimao Group Holdings Ltd (c)		86,742
	73,200	Sinopharm Group Co Ltd – Class H		181,055
	271,000	Sunac China Holdings Ltd (c)		158,169
	2,701	Tencent Holdings Ltd		123,485
	14,500	Vipshop Holdings Ltd ADR *		134,850
		Total China		2,623,575
		Denmark — 0.4%
	34	AP Moller – Maersk A/S – Class A (a)		98,136
	88	AP Moller – Maersk A/S – Class B (a)		257,873
	184	Carlsberg A/S – Class B (a)		23,421
	20,531	Danske Bank A/S		335,912
	2,723	Pandora A/S		219,980
	3,387	Scandinavian Tobacco Group A/S		72,758
		Total Denmark		1,008,080

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Finland — 0.4%
	4,227	Neste Oyj		194,158
	57,326	Nokia Oyj (a)		288,116
	16,345	Outokumpu Oyj		94,368
	13,318	Stora Enso Oyj – R Shares (a)		258,341
		Total Finland		834,983
		France — 1.4%
	3,743	ALD SA (a)		51,988
	2,505	APERAM SA		103,736
	10,159	ArcelorMittal SA		325,262
	225	Arkema SA		27,240
	4,609	BNP Paribas SA		263,799
	7,301	Coface SA		86,137
	7,253	Derichebourg SA		58,501
	2,637	Ipsen SA		264,031
	1,905	IPSOS		92,548
	301	Kering SA (a)		165,559
	399	LVMH Moet Hennessy Louis Vuitton SE (a)		257,605
	4,198	Metropole Television SA		73,385
	8,871	Publicis Groupe SA (a)		485,922
	2,705	Quadient SA		56,394
	2,882	Safran SA (a)		298,607
	1,103	Societe BIC SA		63,031
	9,903	Societe Generale SA		266,861
	8,502	Television Francaise 1		70,517
		Total France		3,011,123
		Germany — 0.8%
	1,436	ADVA Optical Networking SE *		21,947
	1,118	Aurubis AG		105,607
	3,664	Bayer AG (Registered) (a)		262,152
	2,855	Bayerische Motoren Werke AG (a)		248,039
	1,921	Beiersdorf AG (a)		199,383
	3,942	Deutsche Pfandbriefbank AG		43,944
	182	Draegerwerk AG & Co KGaA (a)		8,175
	3,969	Fresenius SE & Co KGaA (a)		136,131
	4,100	HeidelbergCement AG (a)		239,453
	368	Hornbach Holding AG & Co KGaA		46,463
	9,298	Kloeckner & Co SE *		115,793
	4,069	Mercedes-Benz Group AG (a)		289,954
	1,307	Salzgitter AG *		53,558
	1,259	SAP SE (a)		126,211
		Total Germany		1,896,810
		Hong Kong — 0.8%
	15,300	ASM Pacific Technology Ltd		139,302
	13,200	Bank of East Asia Ltd (The)		19,115
	12,000	Chow Sang Sang Holdings International Ltd		12,974
	122,000	CITIC Telecom International Holdings Ltd		41,350
	46,500	CK Hutchison Holdings Ltd (a)		329,388
	7,200	Dah Sing Financial Holdings Ltd		21,315

Shares		Description	Value ($)
		Hong Kong — continued
	124,000	First Pacific Co Ltd		54,311
	20,323	Galaxy Entertainment Group Ltd		108,260
	21,000	HK Electric Investments & HK Electric Investments Ltd (a)		20,095
	70,000	HKT Trust & HKT Ltd – Class SS		96,378
	26,000	Johnson Electric Holdings Ltd		33,859
	40,000	K Wah International Holdings Ltd		15,138
	20,000	Kerry Properties Ltd (a)		51,838
	74,000	Pacific Textiles Holdings Ltd		33,989
	47,000	PCCW Ltd		25,628
	32,500	Power Assets Holdings Ltd (a)		212,199
	60,000	Shun Tak Holdings Ltd *		12,445
	34,000	Sun Hung Kai & Co Ltd		15,763
	4,500	Sun Hung Kai Properties Ltd (a)		55,017
	12,500	Swire Pacific Ltd – Class A (a)		75,841
	64,000	VSTECS Holdings Ltd		52,780
	12,000	VTech Holdings Ltd		89,670
	289,500	WH Group Ltd		221,371
	33,500	Yue Yuen Industrial Holdings Ltd *		48,695
		Total Hong Kong		1,786,721
		India — 0.4%
	17,787	GAIL India Ltd		33,663
	4,702	Hindalco Industries Ltd		25,838
	17,130	Hindustan Petroleum Corp Ltd		50,041
	16,918	Indian Oil Corp Ltd		25,278
	84,790	NTPC Ltd		171,823
	160,581	Oil & Natural Gas Corp Ltd		313,786
	13,532	Tata Steel Ltd		183,813
		Total India		804,242
		Ireland — 0.5%
	52,388	Bank of Ireland Group Plc		353,937
	5,092	Glanbia Plc		59,062
	30,608	Hibernia REIT Plc		52,547
	6,929	Origin Enterprises Plc		33,157
	15,024	Ryanair Holdings Plc *		230,137
	325	Ryanair Holdings Plc Sponsored ADR * (a)		28,340
	7,081	Smurfit Kappa Group Plc		286,249
		Total Ireland		1,043,429
		Israel — 0.3%
	26,873	Bank Leumi Le-Israel BM		267,564
	357	First International Bank of Israel Ltd (The)		13,765
	8,519	Isracard Ltd		36,175
	33,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		306,670
		Total Israel		624,174
		Italy — 0.8%
	2,000	ACEA SPA (a)		36,356
	2,745	Ascopiave SPA (a)		9,884

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	2,511	Banca IFIS SPA		45,821
	3,249	Credito Emiliano SPA		21,066
	8,993	EXOR NV		664,235
	30,261	Italgas SPA (a)		195,414
	16,823	Leonardo SPA *		181,139
	12,006	Stellantis NV		180,128
	599,619	Telecom Italia SPA		191,762
	217,413	Telecom Italia SPA – RSP		66,491
	43,953	Unipol Gruppo SPA		235,209
		Total Italy		1,827,505
		Japan — 10.3%
	1,500	ADEKA Corp		29,302
	20,500	Aeon Mall Co Ltd (a)		247,497
	10,800	AGC Inc		406,249
	2,700	Aisin Corp		88,397
	5,100	Amano Corp		98,781
	400	Arata Corp		12,429
	2,300	Arcland Sakamoto Co Ltd		26,426
	9,300	Arcs Co Ltd		139,359
	36,900	Asahi Kasei Corp		298,136
	3,600	Astellas Pharma Inc (a)		57,495
	11,300	Brother Industries Ltd		207,974
	1,400	Calbee Inc		25,910
	1,900	Canon Marketing Japan Inc		44,446
	20,700	Chugoku Marine Paints Ltd		136,712
	14,200	Citizen Watch Co Ltd		60,489
	9,700	Dai Nippon Printing Co Ltd		221,937
	200	Dai Nippon Toryo Co Ltd		1,173
	300	Daiichi Jitsugyo Co Ltd		7,603
	600	Daishi Hokuetsu Financial Group Inc		11,580
	6,000	Daiwa House Industry Co Ltd (a)		144,505
	33,400	Daiwabo Holdings Co Ltd		445,949
	10,200	Denka Co Ltd		253,076
	200	Eizo Corp		5,372
	700	ESPEC Corp		9,992
	19,100	EXEO Group Inc		305,837
	8,800	Ezaki Glico Co Ltd		254,354
	12,200	Fuji Corp		208,951
	2,300	Fuji Electric Co Ltd		107,862
	1,900	Hanwa Co Ltd		43,918
	24,300	Haseko Corp		289,877
	2,900	Hazama Ando Corp		17,737
	8,600	Hogy Medical Co Ltd (a)		203,494
	17,900	Honda Motor Co Ltd		445,713
	2,900	Idemitsu Kosan Co Ltd		78,220
	8,800	Iida Group Holdings Co Ltd		138,822
	60,500	Inpex Corp		776,277
	9,600	Isuzu Motors Ltd		112,661
	9,300	ITOCHU Corp (a)		266,775
	2,100	Itochu Enex Co Ltd		16,988
	5,300	Itoham Yonekyu Holdings Inc		26,462

Shares		Description	Value ($)
		Japan — continued
	1,500	Jaccs Co Ltd		39,017
	20,000	JFE Holdings Inc		246,043
	1,700	Juroku Financial Group Inc		29,533
	28,900	JVCKenwood Corp		42,692
	30,700	K’s Holdings Corp		306,939
	24,600	Kajima Corp		264,361
	4,800	Kandenko Co Ltd		29,864
	800	Kaneka Corp		20,531
	20,700	Kanematsu Corp		209,810
	500	Kanematsu Electronics Ltd (a)		15,340
	6,700	KDDI Corp (a)		233,737
	4,500	Kinden Corp		51,787
	1,000	Kintetsu World Express Inc (a)		32,425
	19,000	Kirin Holdings Co Ltd (a)		293,901
	600	Kissei Pharmaceutical Co Ltd		11,740
	800	Kohnan Shoji Co Ltd		22,708
	3,100	Kokuyo Co Ltd		39,619
	2,900	Komeri Co Ltd		61,956
	13,100	Konoike Transport Co Ltd (a)		118,482
	10,800	Kyudenko Corp		223,715
	1,000	Macnica Fuji Electronics Holdings Inc		22,021
	16,700	Macromill Inc		129,455
	18,300	Mandom Corp		201,496
	12,200	Maruichi Steel Tube Ltd		281,529
	400	Maruzen Showa Unyu Co Ltd		9,512
	17,500	Maxell Ltd		170,850
	10,800	Mebuki Financial Group Inc		20,555
	2,200	MEIJI Holdings Co Ltd		108,397
	7,400	Mitsubishi Corp (a)		255,388
	700	Mitsuboshi Belting Ltd		15,182
	900	Mitsui DM Sugar Holdings Co Ltd		12,981
	8,800	Mitsui OSK Lines Ltd (a)		233,846
	9,300	Morinaga & Co Ltd		283,193
	7,800	MS&AD Insurance Group Holdings Inc		248,167
	7,700	NEC Corp (a)		309,293
	800	NEC Networks & System Integration Corp (a)		11,309
	5,300	NGK Spark Plug Co Ltd		100,414
	11,000	NH Foods Ltd		335,281
	1,100	Nichiha Corp		20,516
	14,600	Nikon Corp		181,161
	1,100	Nippon Soda Co Ltd		34,172
	14,400	Nippon Steel Corp (a)		250,944
	200	Nippon Steel Trading Corp		8,331
	10,700	Nippon Suisan Kaisha Ltd		43,302
	12,300	Nippon Telegraph & Telephone Corp (a)		375,795
	8,500	Nippon Television Holdings Inc		80,344
	1,900	Nojima Corp		43,320
	700	Nomura Real Estate Holdings Inc (a)		17,506
	41,600	Obayashi Corp		294,535
	3,400	Okamura Corp		29,042
	2,500	Organo Corp		189,724
	8,100	ORIX Corp (a)		153,993

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	400	Osaka Soda Co Ltd		9,312
	18,400	Pacific Industrial Co Ltd		152,038
	42,300	Penta-Ocean Construction Co Ltd		208,040
	1,400	Proto Corp		10,791
	1,000	Raito Kogyo Co Ltd		13,032
	1,400	Raiznext Corp		12,557
	10,900	Resona Holdings Inc		40,979
	2,800	Rohm Co Ltd		228,860
	3,200	San-A Co Ltd		97,616
	1,600	San-Ai Oil Co Ltd		11,878
	3,100	Sanki Engineering Co Ltd		34,856
	8,700	Sankyu Inc (a)		260,395
	6,200	Sawai Group Holdings Co Ltd		182,900
	4,600	Secom Co Ltd (a)		302,927
	1,300	Sega Sammy Holdings Inc		24,101
	7,300	Seiko Epson Corp		122,207
	16,600	Sekisui House Ltd		294,945
	400	Sekisui Jushi Corp		5,205
	2,400	Shimamura Co Ltd (a)		202,780
	28,800	Shimizu Corp		153,036
	1,100	Shizuoka Gas Co Ltd		7,009
	1,100	Sinko Industries Ltd		13,446
	16,940	Sojitz Corp		268,634
	22,100	Stanley Electric Co Ltd		400,663
	9,600	Subaru Corp		166,645
	17,900	SUMCO Corp		288,434
	131,400	Sumitomo Chemical Co Ltd		543,150
	15,400	Sumitomo Corp (a)		220,345
	20,800	Sumitomo Pharma Co Ltd		177,994
	5,700	Sumitomo Forestry Co Ltd		87,450
	1,100	Sumitomo Heavy Industries Ltd		25,931
	11,900	Sumitomo Mitsui Financial Group Inc		364,967
	11,700	Sumitomo Mitsui Trust Holdings Inc		353,877
	400	Sumitomo Seika Chemicals Co Ltd		9,007
	1,400	Suzuki Motor Corp		41,460
	28,200	T&D Holdings Inc		325,774
	12,000	Tachi-S Co Ltd		107,003
	7,800	Taisei Corp		232,574
	9,200	Takara Holdings Inc		68,299
	5,700	Takara Leben Co Ltd		14,638
	17,600	Takuma Co Ltd		194,027
	1,900	Tamron Co Ltd		36,053
	27,200	Teijin Ltd		279,739
	12,700	THK Co Ltd		259,368
	11,500	Toho Holdings Co Ltd (a)		174,232
	24,500	Tokai Carbon Co Ltd		206,547
	18,400	Tokyo Gas Co Ltd (a)		359,475
	7,700	Tokyo Seimitsu Co Ltd		296,233
	5,000	Tokyu Construction Co Ltd		22,658
	17,700	Toppan Inc		332,655
	17,100	Tosei Corp		149,085
	17,900	Tosoh Corp		260,106

Shares		Description	Value ($)
		Japan — continued
	1,200	Totetsu Kogyo Co Ltd		20,147
	900	Towa Pharmaceutical Co Ltd		16,754
	3,300	Toyo Construction Co Ltd		21,320
	5,800	Toyota Boshoku Corp		93,714
	5,200	Toyota Industries Corp (a)		334,240
	5,000	Tsumura & Co		113,954
	1,700	TV Asahi Holdings Corp		19,145
	3,500	Ulvac Inc		147,450
	2,000	YAMABIKO Corp		18,357
	3,800	Yamaha Motor Co Ltd		76,899
	2,000	Yamazen Corp		14,631
	2,200	Yellow Hat Ltd		27,558
	8,100	Yokogawa Bridge Holdings Corp		121,106
	2,600	Yokohama Rubber Co Ltd (The)		33,360
	600	Yuasa Trading Co Ltd		14,893
	7,700	Zenkoku Hosho Co Ltd		255,565
		Total Japan		23,025,517
		Malta — 0.0%
	125,500	BGP Holdings Plc * (d)		—
		Mexico — 0.3%
	39,619	Fomento Economico Mexicano SAB de CV		296,430
	78,208	Grupo Mexico SAB de CV – Series B		386,142
		Total Mexico		682,572
		Netherlands — 1.2%
	22,917	ABN AMRO Bank NV CVA GDR		267,587
	50,971	Aegon NV		271,372
	4,400	AerCap Holdings NV *		217,536
	532	ASR Nederland NV		24,223
	17,278	ING Groep NV		195,374
	8,521	JDE Peet’s NV (a)		249,354
	8,884	Koninklijke Ahold Delhaize NV (a)		244,979
	6,070	Koninklijke BAM Groep NV *		17,393
	4,023	Koninklijke Philips NV (a)		103,699
	8,054	NN Group NV		399,169
	4,803	Prosus NV		248,312
	6,468	Randstad NV (a)		363,916
		Total Netherlands		2,602,914
		New Zealand — 0.1%
	7,740	Auckland International Airport Ltd * (a)		37,634
	47,527	Meridian Energy Ltd (a)		145,320
	7,741	Spark New Zealand Ltd		24,484
		Total New Zealand		207,438
		Norway — 0.2%
	12,647	Europris ASA		65,111
	1,646	Kongsberg Gruppen ASA		58,877
	20,962	Norsk Hydro ASA		168,204

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	8,112	Orkla ASA		63,843
	3,519	SpareBank 1 Nord Norge		34,967
	3,239	SpareBank 1 SMN		43,974
	6,083	SpareBank 1 SR-Bank ASA		77,648
	7,121	Wallenius Wilhelmsen ASA (a)		51,192
		Total Norway		563,816
		Portugal — 0.4%
	135,103	Banco Comercial Portugues SA – Class R *		27,770
	13,312	CTT – Correios de Portugal SA		53,469
	32,772	EDP – Energias de Portugal SA		164,206
	24,353	Galp Energia SGPS SA		317,957
	9,241	Navigator Co SA (The)		41,256
	16,961	NOS SGPS SA		72,034
	13,264	REN – Redes Energeticas Nacionais SGPS SA		41,081
	98,476	Sonae SGPS SA		116,741
		Total Portugal		834,514
		Russia — 0.0%
	2,505	LUKOIL PJSC Sponsored ADR (d)		11,305
	541	Novatek PJSC Sponsored GDR (Registered) (d)		5,470
		Total Russia		16,775
		Singapore — 0.5%
	10,700	Ascendas Real Estate Investment Trust (REIT)		21,759
	2,100	Capitaland Investment Ltd		6,040
	10,800	City Developments Ltd		64,984
	53,400	ComfortDelGro Corp Ltd		55,891
	222,800	Golden Agri-Resources Ltd		46,222
	27,900	Japfa Ltd		12,378
	8,400	Jardine Cycle & Carriage Ltd		179,577
	33,900	Keppel Corp Ltd		169,708
	48,600	StarHub Ltd		43,941
	4,100	UOL Group Ltd		22,224
	388,900	Yangzijiang Financial Holding Ltd *		141,929
	388,900	Yangzijiang Shipbuilding Holdings Ltd		261,959
	35,100	Yanlord Land Group Ltd		28,588
		Total Singapore		1,055,200
		South Africa — 0.1%
	13,690	Bidvest Group Ltd (The)		190,835
		South Korea — 0.3%
	4,164	Kia Corp		287,258
	1,223	LG Corp		78,882
	135	NAVER Corp		31,259
	137	POSCO Holdings Inc		31,844
	3,200	POSCO Sponsored ADR		184,064
		Total South Korea		613,307

Shares		Description	Value ($)
		Spain — 1.2%
	33,101	Acerinox SA		429,458
	4,175	Amadeus IT Group SA * (a)		259,784
	7,772	Atresmedia Corp de Medios de Comunicacion SA		32,530
	52,770	Banco Bilbao Vizcaya Argentaria SA		288,772
	236,551	Banco de Sabadell SA		212,172
	100,175	Banco Santander SA		324,949
	1,991	Bankinter SA		12,660
	6,296	Cia de Distribucion Integral Logista Holdings SA (a)		121,809
	3,874	Faes Farma SA		16,685
	721	Grupo Catalana Occidente SA		22,520
	6,898	Industria de Diseno Textil SA (a)		166,275
	15,553	Mediaset Espana Comunicacion SA *		67,780
	1,258	Red Electrica Corp SA (a)		26,065
	30,259	Repsol SA		485,546
	28,227	Telefonica SA		153,476
		Total Spain		2,620,481
		Sweden — 0.4%
	3,837	Industrivarden AB – A Shares (a)		99,528
	3,217	Industrivarden AB – C Shares (a)		83,484
	6,618	Investor AB – A Shares (a)		138,147
	13,341	Investor AB – B Shares (a)		250,237
	5,114	Inwido AB		69,728
	7,068	Kinnevik AB – Class B *		141,235
	1,539	New Wave Group AB – B Shares		25,076
	5,381	Skanska AB – B Shares		92,941
	2,571	SSAB AB – A Shares		15,887
	2,725	Svenska Cellulosa AB SCA – Class B (a)		49,461
		Total Sweden		965,724
		Switzerland — 0.3%
	6,717	Adecco Group AG (Registered)		261,851
	487	BKW AG (a)		55,514
	2,028	Logitech International SA (Registered)		124,053
	689	Roche Holding AG (a)		234,805
	27	Schindler Holding AG (Registered) (a)		5,418
	281	Zehnder Group AG		20,529
		Total Switzerland		702,170
		Taiwan — 0.1%
	34,000	Hon Hai Precision Industry Co Ltd		131,829
	77,800	Ruentex Development Co Ltd		205,569
		Total Taiwan		337,398
		United Kingdom — 2.9%
	17,403	3i Group Plc		278,309
	40,420	Airtel Africa Plc		78,386
	923	Bank of Georgia Group Plc		18,655
	59,215	Barratt Developments Plc		376,731

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	6,788	Bellway Plc		199,590
	8,910	Berkeley Group Holdings Plc		471,880
	142,567	BT Group Plc		336,029
	5,443	Bunzl Plc (a)		189,755
	21,578	Coca-Cola HBC AG *		475,392
	17,578	Compass Group Plc (a)		394,034
	9,585	Crest Nicholson Holdings Plc		31,484
	290	DCC Plc		20,504
	34,999	Ferrexpo Plc		77,323
	3,201	Go-Ahead Group Plc (The) * (a)		41,021
	1,249	Grafton Group Plc		14,750
	13,618	Halfords Group Plc		38,497
	33,563	Indivior Plc *		139,987
	17,036	Investec Plc		103,362
	64,440	ITV Plc		57,116
	113,012	Kingfisher Plc (a)		375,314
	250,130	M&G Plc		681,100
	3,036	Morgan Sindall Group Plc		79,765
	2,343	Ninety One Plc		6,648
	2,853	Numis Corp Plc		8,935
	11,884	OSB Group Plc		77,743
	7,807	Paragon Banking Group Plc		48,384
	7,198	Persimmon Plc		197,449
	10,305	Pets at Home Group Plc		45,015
	11,397	Plus500 Ltd		223,802
	45,667	Premier Foods Plc		68,078
	4,864	Reach Plc		7,530
	9,276	Redde Northgate Plc (a)		44,053
	16,468	Redrow Plc		110,385
	5,278	Serica Energy Plc		17,305
	12,127	Shell Plc (a)		358,668
	3,700	Shell Plc ADR (a)		219,114
	72,474	Taylor Wimpey Plc		118,894
	2,076	Unilever Plc (a)		99,925
	1,900	Vodafone Group Plc Sponsored ADR		31,616
	22,365	WPP Plc (a)		259,646
		Total United Kingdom		6,422,174
		United States — 12.5%
	2,800	Advanced Micro Devices, Inc. * (a)		285,208
	4,300	Aflac, Inc. (a)		260,451
	6,000	Ally Financial, Inc.		264,240
	100	Alphabet, Inc. – Class A* (a)		227,524
	1,878	American Express Co. (a)		317,044
	1,300	Arch Capital Group Ltd. *		61,698
	2,700	Arrow Electronics, Inc. *		325,755
	12,500	AT&T, Inc. (a)		266,125
	2,900	Best Buy Co., Inc. (a)		237,974
	500	Bio-Rad Laboratories, Inc. – Class A * (a)		268,895
	1,200	Biogen, Inc. * (a)		240,000
	130	Booking Holdings, Inc. * (a)		291,663
	12,913	BorgWarner, Inc.		520,652
	2,400	Capital One Financial Corp. (a)		306,864
	6,300	Carrier Global Corp. (a)		247,653

Shares		Description	Value ($)
		United States — continued
	3,600	CBRE Group, Inc. – Class A * (a)		298,224
	4,000	Centene Corp. * (a)		325,760
	1,959	Chevron Corp. (a)		342,159
	1,400	Cigna Corp. (a)		375,606
	5,300	Citigroup, Inc. (a)		283,073
	1,400	Citizens Financial Group, Inc.		57,932
	3,400	Cognizant Technology Solutions Corp. – Class A (a)		253,980
	6,700	Comcast Corp. – Class A (a)		296,676
	2,600	CVS Health Corp. (a)		251,550
	5,220	Darling Ingredients, Inc. * (a)		417,966
	700	Dell Technologies – Class C		34,958
	2,600	Discover Financial Services (a)		295,074
	11,000	DISH Network Corp. – Class A * (a)		251,130
	3,500	DR Horton, Inc. (a)		263,025
	5,100	eBay, Inc. (a)		248,217
	3,373	EOG Resources, Inc. (a)		461,966
	700	Exelon Corp. (a)		34,405
	800	FedEx Corp. (a)		179,664
	5,600	Fidelity National Financial, Inc.		236,880
	17,800	Ford Motor Co.		243,504
	1,400	Fortune Brands Home & Security, Inc.		97,090
	1,100	Fox Corp. – Class A (a)		39,061
	9,500	Fox Corp. – Class B (a)		310,745
	9,800	Franklin Resources, Inc.		265,384
	200	Garmin Ltd.		21,124
	6,000	General Motors Co. *		232,080
	5,000	Gilead Sciences, Inc.(a)		324,250
	1,308	Global Payments, Inc. (a)		171,400
	800	Goldman Sachs Group, Inc. (The) (a)		261,480
	2,197	Green Plains, Inc. *		71,578
	800	Henry Schein, Inc. * (a)		68,512
	1,796	Hilton Worldwide Holdings, Inc. (a)		252,985
	9,200	HP, Inc.		357,328
	3,200	IAC/InterActiveCorp * (a)		272,960
	4,100	Incyte Corp. *		311,149
	6,400	Intel Corp. (a)		284,288
	2,184	Intercontinental Exchange, Inc. (a)		223,620
	2,700	International Business Machines Corp. (a)		374,868
	12,000	Invesco Ltd.		232,080
	2,100	Jazz Pharmaceuticals Plc *		314,328
	19,600	Kinder Morgan, Inc. (a)		385,924
	2,000	Knight-Swift Transportation Holdings, Inc. (a)		97,280
	500	Kroger Co. (The) (a)		26,485
	1,300	Laboratory Corp. of America Holdings (a)		320,736
	134	Lam Research Corp.		69,684
	3,770	Las Vegas Sands Corp. * (a)		133,684
	1,600	Leidos Holdings, Inc. (a)		167,200
	3,400	Lennar Corp. – Class A		272,850
	4,388	Liberty Global Plc – Class A *		106,716
	9,699	Liberty Global Plc – Class C *		246,452
	5,000	Lincoln National Corp.		289,650
	4,200	LKQ Corp. (a)		215,838
	23,400	Lumen Technologies, Inc.		286,416

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	6,447	Lyft, Inc. – Class A * (a)		113,983
	3,300	LyondellBasell Industries NV – Class A (a)		377,025
	196	Markel Corp. *		268,408
	2,800	Merck & Co., Inc. (a)		257,684
	1,400	Meta Platforms, Inc. – Class A * (a)		271,096
	3,700	MetLife, Inc. (a)		249,343
	5,169	Micron Technology, Inc. (a)		381,679
	2,000	Mohawk Industries, Inc. *		282,920
	6,700	Molson Coors Brewing Co. – Class B		374,128
	900	Netflix, Inc. * (a)		177,696
	3,500	Novavax, Inc. *		193,655
	6,700	NRG Energy, Inc. (a)		308,468
	300	Nucor Corp. (a)		39,738
	10	NVR, Inc. *		44,506
	3,600	Oracle Corp. (a)		258,912
	500	PACCAR, Inc. (a)		43,420
	9,200	Paramount Global – Class B (a)		315,836
	3,200	PayPal Holdings, Inc. * (a)		272,672
	2,200	Pfizer, Inc. (a)		116,688
	3,100	Prudential Financial, Inc. (a)		329,375
	6,200	PulteGroup, Inc.		280,612
	2,200	Quest Diagnostics, Inc. (a)		310,244
	3,187	Raytheon Technologies Corp. (a)		303,148
	500	Regeneron Pharmaceuticals, Inc. * (a)		332,370
	2,000	Regions Financial Corp.		44,180
	5,798	Sensata Technologies Holding Plc		278,478
	700	Skyworks Solutions, Inc.		76,209
	1,600	SS&C Technologies Holdings, Inc. (a)		102,384
	600	Stanley Black & Decker, Inc. (a)		71,214
	3,100	Steel Dynamics, Inc.		264,678
	8,000	Synchrony Financial		296,320
	3,600	Textron, Inc. (a)		235,044
	3,700	Tyson Foods, Inc. – Class A (a)		331,557
	1,100	UGI Corp. (a)		47,014
	1,000	United Parcel Service, Inc. – Class B (a)		182,250
	2,400	Universal Health Services, Inc. – Class B (a)		299,064
	6,018	US Bancorp (a)		319,375
	5,200	Verizon Communications, Inc. (a)		266,708
	1,000	Vertex Pharmaceuticals, Inc. * (a)		268,650
	3,550	VF Corp.		179,133
	24,000	Viatris, Inc.		294,480
	2,500	VMware, Inc. – Class A (a)		320,250
	5,700	Walgreens Boots Alliance, Inc. (a)		249,831
	3,023	Warner Bros Discovery, Inc. * (a)		55,774
	6,252	Wells Fargo & Co.		286,154
	16,100	Western Union Co. (The) (a)		292,054
	5,400	Western Digital Corp. *		327,726
	1,300	Whirlpool Corp.		239,512
	2,600	Zoom Video Communications, Inc. – Class A * (a)		279,370
		Total United States		27,889,735
		TOTAL COMMON STOCKS (COST $92,366,903)		91,651,623

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (e) — 0.3%
		Brazil — 0.2%
	46,048	Bradespar SA		276,915
	14,400	Petroleo Brasileiro SA Sponsored ADR (a)		181,008
		Total Brazil		457,923
		Germany — 0.1%
	1,572	Bayerische Motoren Werke AG		123,339
	742	Draegerwerk AG & Co KGaA (a)		39,164
	184	Volkswagen AG (a)		30,709
		Total Germany		193,212
		TOTAL PREFERRED STOCKS (COST $591,115)		651,135
		DEBT OBLIGATIONS — 12.5%
		United States — 12.5%
		U.S. Government — 12.5%
	12,725,000	U.S. Treasury Note, 0.13%, due 02/28/23 (a)		12,555,499
	7,015,000	U.S. Treasury Note, 0.13%, due 03/31/23 (a)		6,907,583
	8,515,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a)		8,363,326
		Total U.S. Government		27,826,408
		TOTAL DEBT OBLIGATIONS (COST $28,077,470)		27,826,408
		MUTUAL FUNDS — 63.9%
		United States — 63.9%
		Affiliated Issuers — 63.9%
	380,581	GMO Emerging Country Debt Fund, Class VI		7,721,993
	963,300	GMO Emerging Markets ex-China Fund, Class VI		14,333,904
	1,114,595	GMO Emerging Markets Fund, Class VI		29,090,939
	1,315,829	GMO International Equity Fund, Class IV		29,119,307
	774,021	GMO Multi-Sector Fixed Income Fund, Class IV		13,700,165
	433,496	GMO Quality Fund, Class VI		11,656,708
	1,323,468	GMO U.S. Equity Fund, Class VI		17,469,781
	767,979	GMO U.S. Small Cap Value Fund, Class VI		14,530,153
	901,878	GMO U.S. Treasury Fund		4,509,390
		TOTAL MUTUAL FUNDS (COST $151,077,113)		142,132,340
		SHORT-TERM INVESTMENTS — 4.6%
		Money Market Funds — 0.5%
	1,207,216	State Street Institutional Treasury Money Market Fund – Premier Class, 0.67% (f)		1,207,216

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			Repurchase Agreements — 4.1%
	8,999,575		Nomura Securities International, Inc., Repurchase Agreement, dated 05/31/22, maturing on 06/01/22 with a maturity value of $8,999,760 and an effective yield of 0.74%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $9,195,169.		8,999,575
			TOTAL SHORT-TERM INVESTMENTS (COST $10,206,791)		10,206,791
			TOTAL INVESTMENTS — 122.5% (Cost $282,319,392)		272,468,297
			SECURITIES SOLD SHORT — (18.9)%
			Common Stocks — (18.8)%
			Australia — (0.4)%
	(37,851	)	APA Group		(308,119	)
	(4,253	)	ASX Ltd		(246,074	)
	(860	)	Cochlear Ltd		(137,201	)
	(70,956	)	Qantas Airways Ltd *		(279,904	)
			Total Australia		(971,298	)
			Austria — (0.2)%
	(3,419	)	Verbund AG		(340,139	)
			Belgium — (0.1)%
	(5,114	)	Anheuser-Busch InBev SA/NV		(288,279	)
			Canada — (1.0)%
	(1,400	)	Agnico Eagle Mines Ltd		(74,102	)
	(8,200	)	Algonquin Power & Utilities Corp		(119,392	)
	(12,300	)	AltaGas Ltd		(296,985	)
	(2,200	)	BCE Inc		(119,790	)
	(5,700	)	Brookfield Renewable Corp – Class A		(206,226	)
	(5,000	)	Cameco Corp		(122,350	)
	(6,500	)	Enbridge Inc		(299,975	)
	(1,900	)	Franco-Nevada Corp		(269,914	)
	(8,964	)	Pan American Silver Corp		(196,939	)
	(8,100	)	Pembina Pipeline Corp		(325,944	)
	(4,800	)	Restaurant Brands International Inc		(252,048	)
			Total Canada		(2,283,665	)
			Denmark — (0.1)%
	(9,822	)	Ambu A/S – Class B		(134,684	)
			France — (0.7)%
	(9,238	)	Accor SA *		(303,974	)
	(1,812	)	Aeroports de Paris *		(271,388	)
	(19,392	)	Getlink SE		(373,761	)
	(228	)	Hermes International		(272,611	)
	(248	)	Sartorius Stedim Biotech		(85,667	)

Shares			Description	Value ($)
			France — continued
	(1,913	)	Ubisoft Entertainment SA *		(100,572	)
	(1,163	)	Wendel SE		(119,676	)
			Total France		(1,527,649	)
			Germany — (0.8)%
	(7,774	)	Delivery Hero SE *		(299,829	)
	(464	)	MTU Aero Engines AG		(91,875	)
	(3,030	)	Puma SE		(226,110	)
	(2,526	)	QIAGEN NV *		(116,239	)
	(131	)	Rational AG		(85,288	)
	(2,386	)	Scout24 SE		(147,997	)
	(2,276	)	Symrise AG – Class A		(251,502	)
	(122,040	)	Telefonica Deutschland Holding AG		(388,413	)
	(5,065	)	Uniper SE		(131,078	)
	(3,682	)	Zalando SE *		(149,810	)
			Total Germany		(1,888,141	)
			Israel — (0.2)%
	(1,800	)	CyberArk Software Ltd *		(250,020	)
	(1,400	)	Kornit Digital Ltd *		(58,758	)
	(1,600	)	Wix.com Ltd *		(100,816	)
			Total Israel		(409,594	)
			Italy — (0.4)%
	(6,384	)	Amplifon SPA		(219,989	)
	(1,242	)	Ferrari NV		(242,346	)
	(19,543	)	FinecoBank Banca Fineco SPA		(276,935	)
	(22,515	)	Infrastrutture Wireless Italiane SPA		(250,925	)
			Total Italy		(990,195	)
			Japan — (2.0)%
	(7,700	)	Aeon Co Ltd		(140,549	)
	(11,300	)	ANA Holdings Inc *		(223,020	)
	(9,500	)	Asahi Intecc Co Ltd		(142,960	)
	(3,600	)	Benefit One Inc		(56,108	)
	(3,900	)	East Japan Railway Co		(199,937	)
	(100	)	Fast Retailing Co Ltd		(48,042	)
	(2,900	)	GMO Payment Gateway Inc		(239,060	)
	(13,600	)	Japan Airlines Co Ltd *		(249,272	)
	(6,100	)	Japan Exchange Group Inc		(96,500	)
	(3,700	)	Keio Corp		(123,598	)
	(2,900	)	Kintetsu Group Holdings Co Ltd		(84,732	)
	(1,700	)	Lasertec Corp		(246,058	)
	(4,800	)	LIXIL Corp		(91,322	)
	(8,000	)	M3 Inc		(230,088	)
	(5,900	)	Mercari Inc *		(102,549	)
	(15,200	)	MonotaRO Co Ltd		(221,921	)
	(2,700	)	Nidec Corp		(180,532	)
	(12,400	)	Nihon M&A Center Holdings Inc		(142,285	)
	(26,100	)	Nippon Paint Holdings Co Ltd		(192,903	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(2,700	)	Nissin Foods Holdings Co Ltd		(176,588	)
	(10,700	)	Odakyu Electric Railway Co Ltd		(141,179	)
	(1,800	)	ORIENTAL LAND CO LTD		(267,495	)
	(36,900	)	Rakuten Group Inc		(206,286	)
	(2,800	)	Shiseido Co Ltd		(117,448	)
	(3,400	)	Tobu Railway Co Ltd		(76,244	)
	(7,500	)	Tokyu Corp		(85,111	)
	(6,500	)	West Japan Railway Co		(240,038	)
			Total Japan		(4,321,825	)
			Netherlands — (0.4)%
	(169	)	Adyen NV *		(261,724	)
	(120	)	ASML Holding NV		(69,055	)
	(744	)	Heineken Holding NV		(58,855	)
	(968	)	IMCD NV		(144,766	)
	(7,938	)	Just Eat Takeaway.com NV *		(176,657	)
	(6,125	)	Universal Music Group NV		(136,931	)
			Total Netherlands		(847,988	)
			New Zealand — (0.1)%
	(4,035	)	Xero Ltd *		(257,928	)
			Singapore — (0.2)%
	(1,637	)	CDL Hospitality Trusts (REIT)		(1,488	)
	(10,300	)	City Developments Ltd		(61,975	)
	(77,700	)	Singapore Airlines Ltd *		(313,210	)
	(22,100	)	Singapore Exchange Ltd		(153,216	)
			Total Singapore		(529,889	)
			Spain — (0.5)%
	(1,512	)	Aena SME SA *		(230,669	)
	(6,269	)	Cellnex Telecom SA		(282,915	)
	(12,247	)	Ferrovial SA (b)		(315,872	)
	(141	)	Ferrovial SA (b)		(3,628	)
	(13,034	)	Siemens Gamesa Renewable Energy SA *		(252,704	)
			Total Spain		(1,085,788	)
			Sweden — (0.3)%
	(34,125	)	Embracer Group AB – Class B *		(310,473	)
	(2,276	)	Evolution AB		(238,570	)
	(25,658	)	Sinch AB *		(124,224	)
			Total Sweden		(673,267	)
			Switzerland — (0.3)%
	(5	)	Chocoladefabriken Lindt & Spruengli AG		(50,299	)
	(223	)	Partners Group Holding AG		(239,943	)
	(26	)	Schindler Holding AG		(5,349	)
	(419	)	Sika AG (Registered)		(116,310	)
	(1,550	)	Straumann Holding AG (Registered)		(197,744	)
			Total Switzerland		(609,645	)

Shares			Description	Value ($)
			United Kingdom — (1.1)%
	(3,808	)	Admiral Group Plc		(106,614	)
	(6,591	)	Antofagasta Plc		(123,028	)
	(36,068	)	Auto Trader Group Plc		(268,316	)
	(580	)	Croda International Plc		(50,503	)
	(1,375	)	Experian Plc		(45,997	)
	(3,812	)	Halma Plc		(107,118	)
	(16,968	)	Hargreaves Lansdown Plc		(183,022	)
	(44,390	)	Informa Plc *		(305,121	)
	(2,126	)	InterContinental Hotels Group Plc		(132,275	)
	(11,586	)	Land Securities Group Plc (REIT)		(111,888	)
	(3,373	)	London Stock Exchange Group Plc		(314,745	)
	(24,936	)	Ocado Group Plc *		(292,799	)
	(3,448	)	Prudential Plc		(44,961	)
	(243,337	)	Rolls-Royce Holdings Plc *		(265,768	)
	(813	)	Spirax-Sarco Engineering Plc		(108,347	)
			Total United Kingdom		(2,460,502	)
			United States — (10.0)%
	(500	)	AbbVie, Inc.		(73,685	)
	(12,200	)	AES Corp. (The)		(268,888	)
	(1,900	)	Alnylam Pharmaceuticals, Inc. *		(239,020	)
	(4,600	)	Altria Group, Inc.		(248,814	)
	(18,000	)	AMC Entertainment Holdings, Inc. – Class A *		(258,120	)
	(700	)	American Tower Corp. (REIT)		(179,291	)
	(700	)	Aon Plc – Class A		(192,969	)
	(8,200	)	Aramark		(282,654	)
	(1,700	)	Arthur J Gallagher & Co.		(275,298	)
	(8,600	)	Asana, Inc. – Class A *		(186,964	)
	(1,200	)	Autodesk, Inc. *		(249,300	)
	(3,100	)	Avalara, Inc. *		(262,477	)
	(900	)	Ball Corp.		(63,801	)
	(2,100	)	Bill.com Holdings, Inc. *		(248,304	)
	(700	)	Bio-Techne Corp.		(258,811	)
	(3,400	)	BioMarin Pharmaceutical, Inc. *		(255,442	)
	(2,000	)	Block, Inc. – Class A *		(175,020	)
	(1,800	)	Boeing Co. (The) *		(236,520	)
	(500	)	Broadcom, Inc.		(290,065	)
	(1,200	)	Burlington Stores, Inc. *		(201,960	)
	(4,200	)	Caesars Entertainment, Inc. *		(210,714	)
	(6,500	)	Carnival Corp. *		(90,220	)
	(5,300	)	Carvana Co. – Class A *		(156,032	)
	(2,200	)	Catalent, Inc. *		(226,732	)
	(4,300	)	Ceridian HCM Holding, Inc. *		(242,090	)
	(200	)	Chipotle Mexican Grill, Inc. – Class A *		(280,510	)
	(10,900	)	Clarivate Plc *		(160,993	)
	(3,800	)	Cloudflare, Inc. – Class A *		(212,800	)
	(1,200	)	CME Group, Inc.		(238,596	)
	(3,200	)	Coupa Software, Inc. *		(220,128	)
	(1,000	)	Crown Castle International Corp. (REIT)		(189,650	)
	(7,000	)	Delta Air Lines, Inc. *		(291,830	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2022 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(700	)	Dexcom, Inc. *		(208,558	)
	(2,000	)	Diamondback Energy, Inc.		(304,040	)
	(2,900	)	DocuSign, Inc. – Class A *		(243,339	)
	(3,100	)	Dominion Energy, Inc.		(261,082	)
	(12,900	)	DraftKings, Inc. – Class A *		(174,795	)
	(2,400	)	Dynatrace, Inc. *		(90,408	)
	(200	)	Equinix, Inc. (REIT)		(137,418	)
	(2,300	)	Equity LifeStyle Properties, Inc. (REIT)		(174,110	)
	(4,200	)	Exact Sciences Corp. *		(209,202	)
	(4,500	)	Fastenal Co.		(241,020	)
	(400	)	First Republic Bank		(62,012	)
	(1,200	)	FirstEnergy Corp.		(51,552	)
	(400	)	Fortinet, Inc. *		(117,656	)
	(500	)	Gartner, Inc. *		(131,200	)
	(3,100	)	Guidewire Software, Inc. *		(247,814	)
	(300	)	Hershey Co. (The)		(63,513	)
	(2,100	)	Hess Corp.		(258,447	)
	(700	)	HubSpot, Inc. *		(236,383	)
	(700	)	IDEXX Laboratories, Inc. *		(274,134	)
	(3,300	)	Ingersoll Rand, Inc.		(155,595	)
	(1,300	)	Insulet Corp. *		(277,524	)
	(1,300	)	IQVIA Holdings, Inc. *		(279,825	)
	(3,200	)	Iron Mountain, Inc. (REIT)		(172,480	)
	(3,900	)	Keurig Dr Pepper, Inc.		(135,486	)
	(700	)	Liberty Broadband Corp. – Class A *		(85,407	)
	(5,200	)	Liberty Media Corp.-Liberty Formula One – Class C *		(323,908	)
	(900	)	Linde Plc		(292,212	)
	(2,900	)	Live Nation Entertainment, Inc. *		(275,645	)
	(200	)	Lululemon Athletica, Inc. *		(58,538	)
	(900	)	MarketAxess Holdings, Inc.		(253,512	)
	(1,700	)	Marriott International, Inc. – Class A		(291,686	)
	(800	)	Marsh & McLennan Cos, Inc.		(127,960	)
	(1,000	)	Marvell Technology, Inc.		(59,150	)
	(200	)	Mastercard, Inc. – Class A		(71,574	)
	(800	)	MongoDB, Inc. – Class A *		(189,720	)
	(400	)	Monolithic Power Systems, Inc.		(180,156	)
	(400	)	Moody’s Corp.		(120,628	)
	(600	)	MSCI, Inc. – Class A		(265,410	)
	(1,900	)	Newmont Corp.		(128,915	)
	(7,900	)	NiSource, Inc.		(248,455	)
	(3,700	)	Novocure Ltd. *		(297,406	)
	(2,400	)	Okta, Inc. *		(199,320	)
	(3,800	)	ONEOK, Inc.		(250,230	)
	(10,200	)	Palantir Technologies, Inc. – Class A *		(88,536	)
	(500	)	Palo Alto Networks, Inc. *		(251,390	)
	(2,100	)	Paychex, Inc.		(260,043	)
	(5,700	)	Peloton Interactive, Inc. – Class A *		(79,572	)
	(2,700	)	Philip Morris International, Inc.		(286,875	)
	(300	)	Public Storage (REIT)		(99,192	)
	(2,100	)	RingCentral, Inc. – Class A *		(132,594	)
	(2,600	)	Roku, Inc. *		(246,740	)

Shares			Description	Value ($)
			United States — continued
	(7,300	)	Rollins, Inc.		(258,858	)
	(4,200	)	Royal Caribbean Cruises Ltd. *		(243,894	)
	(300	)	S&P Global, Inc.		(104,844	)
	(2,000	)	Seagen, Inc. *		(271,360	)
	(600	)	ServiceNow, Inc. *		(280,482	)
	(900	)	Sherwin-Williams Co. (The)		(241,236	)
	(1,200	)	Simon Property Group, Inc. (REIT)		(137,580	)
	(10,200	)	Snap, Inc. – Class A *		(143,922	)
	(1,400	)	Snowflake, Inc. – Class A *		(178,710	)
	(1,100	)	Southern Co. (The)		(83,226	)
	(700	)	Starbucks Corp.		(54,950	)
	(2,600	)	Sysco Corp.		(218,868	)
	(3,500	)	Teladoc Health, Inc. *		(119,315	)
	(400	)	Tesla, Inc. *		(303,304	)
	(800	)	Trade Desk, Inc. (The) – Class A *		(41,640	)
	(200	)	TransDigm Group, Inc. *		(121,074	)
	(2,100	)	Twilio, Inc. – Class A *		(220,857	)
	(7,300	)	Uber Technologies, Inc. *		(169,360	)
	(3,100	)	UDR, Inc. (REIT)		(148,180	)
	(1,100	)	Vail Resorts, Inc.		(277,431	)
	(8,100	)	Vistra Corp.		(213,597	)
	(800	)	Waste Connections, Inc.		(102,032	)
	(500	)	Waste Management, Inc.		(79,255	)
	(1,600	)	Wayfair, Inc. – Class A *		(95,024	)
	(10,300	)	Williams Cos, Inc. (The)		(381,718	)
	(500	)	Yum! Brands, Inc.		(60,735	)
	(6,600	)	Zillow Group, Inc. – Class A *		(263,736	)
	(2,242	)	Zillow Group, Inc. – Class C *		(89,455	)
	(1,300	)	Zoetis, Inc.		(222,209	)
	(3,600	)	ZoomInfo Technologies, Inc. – Class A *		(145,404	)
	(1,400	)	Zscaler, Inc. *		(214,326	)
			Total United States		(22,126,647	)
			TOTAL COMMON STOCKS (PROCEEDS $52,245,474)		(41,747,123	)
			PREFERRED STOCKS (e) — (0.1)%
			Germany — (0.1)%
	(669	)	Sartorius AG		(270,488	)
			TOTAL PREFERRED STOCKS (PROCEEDS $283,184)		(270,488	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $52,528,658)		(42,017,611	)
			Other Assets and Liabilities (net) — (3.6%)		(8,021,507	)
			TOTAL NET ASSETS — 100.0%		$222,429,179

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

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

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	131,107		07/24/2022	Monthly		—		(6,066	)		(6,066	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.50%	GS	USD	223,209		07/24/2022	Monthly		—		(22,386	)		(22,386	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.63%	GS	USD	362,001		07/24/2022	Monthly		—		(17,697	)		(17,697	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	133,847		07/24/2022	Monthly		—		(7,046	)		(7,046	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	2,480,340		10/18/2022	Monthly		—		(58,652	)		(58,652	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	75,513		10/18/2022	Monthly		—		1,615			1,615
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	71,889		10/18/2022	Monthly		—		(5,010	)		(5,010	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 2.50%	MORD	USD	1,158,295		05/18/2023	Monthly		—		(94,822	)		(94,822	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	545,537		11/20/2023	Monthly		—		(21,232	)		(21,232	)
								$	—	$	(231,296	)	$	(231,296	)

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

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security 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) Securities are traded on separate exchanges for the same entity.

(c) Investment valued using significant unobservable inputs.

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

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

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

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2022 (Unaudited)

(h) The following table represents the individual short positions within the custom equity basket swap as of May 31, 2022:

Shares		Description	% of Equity Basket			Value ($)
	244,000	Alibaba Health Information Technology Ltd		4.9	%		124,287
	500,000	Alibaba Pictures Group Ltd		1.7	%		43,965
	492,000	China Molybdenum Co Ltd – Class H		9.5	%		240,739
	32,000	China Resources Beer Holdings Co Ltd		7.9	%		199,445
	44,000	Citic Securities Co Ltd – Class H		3.8	%		95,231
	149,000	Cosco Shipping Holdings Co – Class H		10.4	%		263,643
	17,800	Ganfeng Lithium Co Ltd – Class H		9.0	%		228,152
	130,000	Greentown Service Group Co Ltd		5.2	%		130,759
	6,100	Hong Kong Exchanges and Clearing Ltd		10.4	%		263,203
	128,000	Kingdee International Software Group Co Ltd		9.9	%		252,067
	10,700	Kuaishou Technology		4.1	%		103,600
	17,600	Microport Scientific Corp		1.4	%		34,858
	12,000	New World Development Co Ltd		1.8	%		45,667
	113,600	Sands China Ltd		8.6	%		217,083
	214,000	Zijin Mining Group Co Ltd – Class H		11.4	%		289,050
		TOTAL COMMON STOCKS				$	2,531,749

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

ETF - Exchange-Traded Fund

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd. and GMO Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds”. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

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 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 and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries and the accompanying 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.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2022:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,665,107	$	—	$	3,665,107
Belgium		—		657,726		—		657,726
Brazil		225,166		—		—		225,166
Canada		6,131,740		—		—		6,131,740
China		474,704		2,118,302		419,123		3,012,129
Denmark		—		1,160,511		—		1,160,511
Finland		—		357,795		—		357,795
France		—		1,167,049		—		1,167,049
Germany		—		1,968,415		—		1,968,415
Hong Kong		—		478,093		—		478,093
India		—		951,500		—		951,500
Israel		2,741,431		—		—		2,741,431
Italy		—		762,363		—		762,363
Japan		—		19,395,062		—		19,395,062
Netherlands		266,976		1,926,779		—		2,193,755
New Zealand		—		212,432		—		212,432
Portugal		—		193,969		—		193,969
South Africa		—		224,946		—		224,946
South Korea		218,576		511,626		—		730,202
Spain		—		948,038		—		948,038
Sweden		—		1,972,452		—		1,972,452
Switzerland		—		743,302		—		743,302
Taiwan		948,345		227,064		—		1,175,409
United Kingdom		1,965,519		7,260,079		—		9,225,598
United States		87,355,818		18,716		—		87,374,534
TOTAL COMMON STOCKS		100,328,275		46,921,326		419,123		147,668,724
Preferred Stocks
Brazil		247,629		—		—		247,629
Germany		—		209,830		—		209,830
TOTAL PREFERRED STOCKS		247,629		209,830		—		457,459
Rights/Warrants
United States		—		—		282,966		282,966
TOTAL RIGHTS/WARRANTS		—		—		282,966		282,966
Investment Funds
United States		—		—		5,754,738		5,754,738
TOTAL INVESTMENT FUNDS		—		—		5,754,738		5,754,738
Debt Obligations
United States		98,936,050		4,527,180		—		103,463,230
TOTAL DEBT OBLIGATIONS		98,936,050		4,527,180		—		103,463,230
Mutual Funds
United States		6,683,098		—		—		6,683,098
TOTAL MUTUAL FUNDS		6,683,098		—		—		6,683,098
Short-Term Investments		1,005,577		—		—		1,005,577
Purchased Options		—		60,500		—		60,500
Total Investments		207,200,629		51,718,836		6,456,827		265,376,292
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,824,271		—		2,824,271
Futures Contracts
Equity Risk		1,158,771		672,739		—		1,831,510
Interest Rate Risk		128,797		—		—		128,797

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Swap Contracts
Credit Risk	$	—		$	7,268,333		$	—	$	7,268,333
Equity Risk		—			685,558			—		685,558
Interest Rate Risk		—			4,325,198			—		4,325,198
Total	$	208,488,197		$	67,494,935		$	6,456,827	$	282,439,959
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,195,351	)	$	—	$	(1,195,351	)
Austria		—			(374,560	)		—		(374,560	)
Belgium		—			(354,740	)		—		(354,740	)
Canada		(2,782,780	)		—			—		(2,782,780	)
Denmark		—			(162,890	)		—		(162,890	)
France		—			(1,876,413	)		—		(1,876,413	)
Germany		—			(2,258,885	)		—		(2,258,885	)
Israel		(515,218	)		—			—		(515,218	)
Italy		—			(1,256,078	)		—		(1,256,078	)
Japan		—			(5,395,810	)		—		(5,395,810	)
Netherlands		—			(992,760	)		—		(992,760	)
New Zealand		—			(302,290	)		—		(302,290	)
Singapore		—			(679,130	)		—		(679,130	)
Spain		(4,907	)		(1,413,039	)		—		(1,417,946	)
Sweden		—			(922,207	)		—		(922,207	)
Switzerland		—			(760,693	)		—		(760,693	)
United Kingdom		—			(5,997,610	)		—		(5,997,610	)
United States		(40,301,813	)		—			—		(40,301,813	)
TOTAL COMMON STOCKS		(43,604,718	)		(23,942,456	)		—		(67,547,174	)
Preferred Stocks
Germany		—			(327,496	)		—		(327,496	)
TOTAL PREFERRED STOCKS		—			(327,496	)		—		(327,496	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,645,286	)		—		(1,645,286	)
Futures Contracts
Equity Risk		(10,027	)		(144,708	)		—		(154,735	)
Interest Rate Risk		(138,384	)		—			—		(138,384	)
Written Options
Credit Risk		—			(22,524	)		—		(22,524	)
Equity Risk		(145,090	)		—			—		(145,090	)
Swap Contracts
Credit Risk		—			(766,921	)		—		(766,921	)
Equity Risk		—			(703,609	)		—		(703,609	)
Interest Rate Risk		—			(5,144,120	)		—		(5,144,120	)
Total	$	(43,898,219	)	$	(32,697,120	)	$	—	$	(76,595,339	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	4,974,022,507		$	—		$	—	$	4,974,022,507
Short-Term Investments		4,759,559			—			—		4,759,559
Total Investments		4,978,782,066			—			—		4,978,782,066
Total	$	4,978,782,066		$	—		$	—	$	4,978,782,066
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	46,886		$	—		$	—	$	46,886
Australia		—			20,951,760			—		20,951,760
Austria		—			50,010			—		50,010

Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Belgium	$	—	$	6,250,639	$	—		$	6,250,639
Brazil		5,093,287		13,961,053		—			19,054,340
Canada		33,707,847		78,735		—			33,786,582
Chile		167,097		1,186,981		—			1,354,078
China		7,509,059		100,300,649		2,151,147			109,960,855
Czech Republic		—		368,596		—			368,596
Denmark		—		6,925,972		—			6,925,972
Egypt		—		445,340		—			445,340
Finland		—		6,487,620		—			6,487,620
France		509,016		27,893,255		—			28,402,271
Germany		—		17,890,413		—			17,890,413
Greece		—		427,360		0	§		427,360
Hong Kong		—		12,704,846		—			12,704,846
Hungary		—		1,319,663		—			1,319,663
India		1,504,122		36,597,911		18,556			38,120,589
Indonesia		—		7,203,609		—			7,203,609
Ireland		1,326,924		5,968,818		—			7,295,742
Israel		2,217,670		1,332,718		—			3,550,388
Italy		63,630		12,704,013		—			12,767,643
Japan		12,695		195,509,663		—			195,522,358
Kuwait		—		540,391		—			540,391
Luxembourg		1,692,845		—		—			1,692,845
Malaysia		—		1,123,482		—			1,123,482
Mexico		19,651,484		—		—			19,651,484
Netherlands		1,685,904		19,049,139		—			20,735,043
New Zealand		—		1,477,040		—			1,477,040
Norway		—		7,055,697		—			7,055,697
Panama		26,533		—		—			26,533
Peru		926,700		—		—			926,700
Philippines		—		198,058		—			198,058
Poland		—		4,654,178		—			4,654,178
Portugal		—		6,016,346		—			6,016,346
Qatar		—		1,765,395		—			1,765,395
Russia		—		388,147		3,038,801			3,426,948
Saudi Arabia		—		3,495,004		—			3,495,004
Singapore		—		9,801,861		—			9,801,861
South Africa		—		13,582,972		—			13,582,972
South Korea		2,461,139		56,358,478		—			58,819,617
Spain		—		22,748,974		—			22,748,974
Sweden		—		6,947,837		—			6,947,837
Switzerland		—		9,187,877		—			9,187,877
Taiwan		3,414,841		70,936,827		—			74,351,668
Thailand		—		12,903,413		—			12,903,413
Turkey		—		7,308,509		—			7,308,509
United Kingdom		7,493,572		52,842,717		600			60,336,889
United States		218,474,952		—		—			218,474,952
Vietnam		—		565,259		—			565,259
TOTAL COMMON STOCKS		307,986,203		785,507,225		5,209,104			1,098,702,532
Preferred Stocks
Brazil		3,326,021		7,989,260		—			11,315,281
Chile		1,762,422		342,980		—			2,105,402
Colombia		66,766		—		—			66,766
Germany		—		1,677,264		—			1,677,264
Russia		—		—		403,138			403,138
South Korea		—		3,529,035		—			3,529,035
Taiwan		—		44,243		—			44,243
TOTAL PREFERRED STOCKS		5,155,209		13,582,782		403,138			19,141,129
Investment Funds
United States		712,691		—		—			712,691
TOTAL INVESTMENT FUNDS		712,691		—		—			712,691

Description	Level 1			Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	333,689,367		$	3		$	—		$	333,689,370
TOTAL DEBT OBLIGATIONS		333,689,367			3			—			333,689,370
Mutual Funds
United States		320,452,699			—			—			320,452,699
TOTAL MUTUAL FUNDS		320,452,699			—			—			320,452,699
Short-Term Investments		5,024,887			21,966,945			—			26,991,832
Total Investments		973,021,056			821,056,955			5,612,242			1,799,690,253
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			3,719,169			—			3,719,169
Futures Contracts
Equity Risk		2,819,775			—			—			2,819,775
Swap Contracts
Equity Risk		—			11,253			—			11,253
Interest Rate Risk		—			4,424,803			—			4,424,803
Total	$	975,840,831		$	829,212,180		$	5,612,242		$	1,810,665,253
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(6,785,137	)	$	—		$	(6,785,137	)
Austria		—			(2,234,130	)		—			(2,234,130	)
Belgium		—			(1,914,909	)		—			(1,914,909	)
Canada		(16,175,393	)		—			—			(16,175,393	)
Denmark		—			(880,669	)		—			(880,669	)
France		—			(10,592,391	)		—			(10,592,391	)
Germany		—			(12,864,085	)		—			(12,864,085	)
Israel		(2,883,302	)		—			—			(2,883,302	)
Italy		—			(6,888,037	)		—			(6,888,037	)
Japan		—			(30,664,051	)		—			(30,664,051	)
Netherlands		—			(6,051,302	)		—			(6,051,302	)
New Zealand		—			(1,785,231	)		—			(1,785,231	)
Russia		—			—			(5,867	)		(5,867	)
Singapore		—			(3,781,486	)		—			(3,781,486	)
Spain		(25,386	)		(7,522,458	)		—			(7,547,844	)
Sweden		—			(4,754,436	)		—			(4,754,436	)
Switzerland		—			(4,396,681	)		—			(4,396,681	)
United Kingdom		—			(17,502,459	)		—			(17,502,459	)
United States		(156,647,126	)		—			—			(156,647,126	)
TOTAL COMMON STOCKS		(175,731,207	)		(118,617,462	)		(5,867	)		(294,354,536	)
Preferred Stocks
Germany		—			(1,988,429	)		—			(1,988,429	)
TOTAL PREFERRED STOCKS		—			(1,988,429	)		—			(1,988,429	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(871,760	)		—			(871,760	)
Futures Contracts
Equity Risk		(437,302	)		(88,521	)		—			(525,823	)
Swap Contracts
Equity Risk		—			(1,601,763	)		—			(1,601,763	)
Interest Rate Risk		—			(5,082,921	)		—			(5,082,921	)
Total	$	(176,168,509	)	$	(128,250,856	)	$	(5,867	)	$	(304,425,232	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	439,960,966		$	—		$	—		$	439,960,966
Short-Term Investments		518,267			—			—			518,267
Total Investments		440,479,233			—			—			440,479,233
Total	$	440,479,233		$	—		$	—		$	440,479,233

Description	Level 1		Level 2		Level 3		Total
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	82,850,626	$	—	$	—	$	82,850,626
Short-Term Investments		54,151		—		—		54,151
Total Investments		82,904,777		—		—		82,904,777
Total	$	82,904,777	$	—	$	—	$	82,904,777
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,490,289,701	$	—	$	—	$	1,490,289,701
Short-Term Investments		789,914		—		—		789,914
Total Investments		1,491,079,615		—		—		1,491,079,615
Total	$	1,491,079,615	$	—	$	—	$	1,491,079,615
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	66,832,160	$	—	$	66,832,160
Belgium		—		17,498,590		—		17,498,590
Brazil		13,258,869		41,219,764		—		54,478,633
Canada		110,589,674		184,141		—		110,773,815
Chile		564,438		3,140,861		—		3,705,299
China		22,598,978		280,450,018		6,109,902		309,158,898
Czech Republic		—		1,094,649		—		1,094,649
Denmark		—		21,019,114		—		21,019,114
Egypt		—		1,140,799		—		1,140,799
Finland		—		17,547,360		—		17,547,360
France		1,130,256		74,851,314		—		75,981,570
Germany		—		51,174,233		—		51,174,233
Greece		—		861,397		—		861,397
Hong Kong		—		35,560,208		—		35,560,208
Hungary		—		4,167,910		—		4,167,910
India		4,939,951		100,299,178		56,658		105,295,787
Indonesia		—		22,197,790		—		22,197,790
Ireland		4,948,473		14,164,833		—		19,113,306
Israel		18,949,912		3,159,725		—		22,109,637
Italy		121,200		34,920,326		—		35,041,526
Japan		104,099		516,248,320		—		516,352,419
Kuwait		—		1,311,150		—		1,311,150
Luxembourg		5,104,917		—		—		5,104,917
Malaysia		—		2,482,663		—		2,482,663
Mexico		54,003,329		—		—		54,003,329
Netherlands		4,691,856		53,017,083		177		57,709,116
New Zealand		—		3,962,702		—		3,962,702
Norway		—		17,219,860		—		17,219,860
Panama		44,079		—		—		44,079
Peru		3,169,314		—		—		3,169,314
Philippines		—		1,661,726		—		1,661,726
Poland		—		12,935,894		—		12,935,894
Portugal		—		15,716,975		—		15,716,975
Qatar		—		5,560,579		—		5,560,579
Russia		—		759,692		8,223,773		8,983,465
Saudi Arabia		—		9,623,540		—		9,623,540
Singapore		—		25,248,565		—		25,248,565
South Africa		115,611		37,216,973		—		37,332,584
South Korea		7,745,169		151,905,192		—		159,650,361
Spain		—		60,027,829		—		60,027,829
Sweden		—		25,179,149		—		25,179,149
Switzerland		—		25,545,635		—		25,545,635
Taiwan		22,395,356		196,927,825		—		219,323,181
Thailand		—		35,237,406		—		35,237,406
Turkey		—		19,485,627		—		19,485,627
United Kingdom		28,526,138		163,970,792		789		192,497,719

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United States	$	941,010,245		$	74,416		$	10,183,676	$	951,268,337
Vietnam		—			1,886,610			—		1,886,610
TOTAL COMMON STOCKS		1,244,011,864			2,174,690,573			24,574,975		3,443,277,412
Preferred Stocks
Brazil		11,404,183			17,936,593			—		29,340,776
Chile		6,348,966			290,599			—		6,639,565
Colombia		48,305			—			—		48,305
Germany		—			5,512,364			—		5,512,364
Russia		—			—			895,363		895,363
South Korea		—			16,200,820			—		16,200,820
Taiwan		—			454,403			—		454,403
United States		—			—			1,221,330		1,221,330
TOTAL PREFERRED STOCKS		17,801,454			40,394,779			2,116,693		60,312,926
Rights/Warrants
United States		—			—			870,853		870,853
TOTAL RIGHTS/WARRANTS		—			—			870,853		870,853
Investment Funds
United States		6,392,039			—			22,584,022		28,976,061
TOTAL INVESTMENT FUNDS		6,392,039			—			22,584,022		28,976,061
Debt Obligations
Canada		—			4,929,421			—		4,929,421
China		—			961,326			—		961,326
Israel		—			5,049,450			—		5,049,450
Macau		—			2,539,775			—		2,539,775
Netherlands		—			—			53		53
Ukraine		—			—			1,502,255		1,502,255
United States		1,364,557,767			126,649,868			12,742,401		1,503,950,036
TOTAL DEBT OBLIGATIONS		1,364,557,767			140,129,840			14,244,709		1,518,932,316
Mutual Funds
United States		62,900,022			—			—		62,900,022
TOTAL MUTUAL FUNDS		62,900,022			—			—		62,900,022
Short-Term Investments		45,531,773			140,987,269			—		186,519,042
Total Investments		2,741,194,919			2,496,202,461			64,391,252		5,301,788,632
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			20,729,592			—		20,729,592
Futures Contracts
Equity Risk		16,024,675			3,466,305			—		19,490,980
Interest Rate Risk		539,242			—			—		539,242
Physical Commodity Contract Risk		765,606			—			—		765,606
Swap Contracts
Credit Risk		—			679,778			—		679,778
Equity Risk		—			1,564,511			—		1,564,511
Interest Rate Risk		—			27,318,609			—		27,318,609
Total	$	2,758,524,442		$	2,549,961,256		$	64,391,252	$	5,372,876,950
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(20,749,271	)	$	—	$	(20,749,271	)
Austria		—			(6,848,832	)		—		(6,848,832	)
Belgium		—			(5,870,208	)		—		(5,870,208	)
Canada		(48,692,869	)		—			—		(48,692,869	)
Denmark		—			(2,697,446	)		—		(2,697,446	)
France		—			(31,415,929	)		—		(31,415,929	)
Germany		—			(39,030,145	)		—		(39,030,145	)
Israel		(8,830,809	)		—			—		(8,830,809	)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Italy	$	—		$	(21,058,395	)	$	—	$	(21,058,395	)
Japan		—			(92,393,179	)		—		(92,393,179	)
Netherlands		—			(17,623,632	)		—		(17,623,632	)
New Zealand		—			(5,721,143	)		—		(5,721,143	)
Peru		(2,440,310	)		—			—		(2,440,310	)
Singapore		—			(11,591,965	)		—		(11,591,965	)
Spain		(77,823	)		(23,255,693	)		—		(23,333,516	)
Sweden		—			(14,585,167	)		—		(14,585,167	)
Switzerland		—			(13,580,127	)		—		(13,580,127	)
United Kingdom		—			(67,023,160	)		—		(67,023,160	)
United States		(539,776,093	)		—			—		(539,776,093	)
TOTAL COMMON STOCKS		(599,817,904	)		(373,444,292	)		—		(973,262,196	)
Preferred Stocks
Germany		—			(6,372,028	)		—		(6,372,028	)
TOTAL PREFERRED STOCKS		—			(6,372,028	)		—		(6,372,028	)
Debt Obligations
China		—			(4,965,625	)		—		(4,965,625	)
United States		—			(889,343	)		—		(889,343	)
TOTAL DEBT OBLIGATIONS		—			(5,854,968	)		—		(5,854,968	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(8,805,277	)		—		(8,805,277	)
Futures Contracts
Equity Risk		(43,858	)		(879,719	)		—		(923,577	)
Interest Rate Risk		(768,283	)		—			—		(768,283	)
Physical Commodity Contract Risk		(78,432	)		—			—		(78,432	)
Swap Contracts
Credit Risk		—			(722,471	)		—		(722,471	)
Equity Risk		—			(6,345,751	)		—		(6,345,751	)
Interest Rate Risk		—			(31,372,186	)		—		(31,372,186	)
Total	$	(600,708,477	)	$	(433,796,692	)	$	—	$	(1,034,505,169	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	213,701,646		$	—		$	—	$	213,701,646
Short-Term Investments		48,710			—			—		48,710
Total Investments		213,750,356			—			—		213,750,356
Total	$	213,750,356		$	—		$	—	$	213,750,356
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	553,141,262		$	—		$	—	$	553,141,262
Short-Term Investments		349,598			—			—		349,598
Total Investments		553,490,860			—			—		553,490,860
Total	$	553,490,860		$	—		$	—	$	553,490,860
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	229,145,451		$	—		$	—	$	229,145,451
TOTAL DEBT OBLIGATIONS		229,145,451			—			—		229,145,451
Short-Term Investments		21,129,666			1,050,539			—		22,180,205
Total Investments		250,275,117			1,050,539			—		251,325,656
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			579,029			—		579,029

Description	Level 1			Level 2			Level 3			Total
Consolidated SGM Major Markets Fund (continued)
Asset Valuation Inputs (continued)
Futures Contracts
Equity Risk	$	3,034,983		$	2,333,756		$	—		$	5,368,739
Interest Rate Risk		352,348			—			—			352,348
Physical Commodity Contract Risk		513,770			—			—			513,770
Swap Contracts
Equity Risk		—			1,239,465			—			1,239,465
Total	$	254,176,218		$	5,202,789		$	—		$	259,379,007
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,237,649	)	$	—		$	(2,237,649	)
Futures Contracts
Equity Risk		(24,165	)		(434,787	)		—			(458,952	)
Interest Rate Risk		(520,840	)		—			—			(520,840	)
Physical Commodity Contract Risk		(46,175	)		—			—			(46,175	)
Swap Contracts
Equity Risk		—			(1,192,472	)		—			(1,192,472	)
Total	$	(591,180	)	$	(3,864,908	)	$	—		$	(4,456,088	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	2,820,419		$	—		$	2,820,419
Belgium		—			824,035			—			824,035
Brazil		214,376			77,184			—			291,560
Canada		3,524,397			—			—			3,524,397
China		349,292			1,968,143			306,140			2,623,575
Denmark		—			1,008,080			—			1,008,080
Finland		—			834,983			—			834,983
France		—			3,011,123			—			3,011,123
Germany		—			1,896,810			—			1,896,810
Hong Kong		—			1,786,721			—			1,786,721
India		—			804,242			—			804,242
Ireland		28,340			1,015,089			—			1,043,429
Israel		306,670			317,504			—			624,174
Italy		—			1,827,505			—			1,827,505
Japan		—			23,025,517			—			23,025,517
Malta		—			—			0	§		0	§
Mexico		682,572			—			—			682,572
Netherlands		217,536			2,385,378			—			2,602,914
New Zealand		—			207,438			—			207,438
Norway		—			563,816			—			563,816
Portugal		—			834,514			—			834,514
Russia		—			—			16,775			16,775
Singapore		—			1,055,200			—			1,055,200
South Africa		—			190,835			—			190,835
South Korea		184,064			429,243			—			613,307
Spain		—			2,620,481			—			2,620,481
Sweden		—			965,724			—			965,724
Switzerland		—			702,170			—			702,170
Taiwan		—			337,398			—			337,398
United Kingdom		250,730			6,171,444			—			6,422,174
United States		27,889,735			—			—			27,889,735
TOTAL COMMON STOCKS		33,647,712			57,680,996			322,915			91,651,623
Preferred Stocks
Brazil		181,008			276,915			—			457,923
Germany		—			193,212			—			193,212
TOTAL PREFERRED STOCKS		181,008			470,127			—			651,135

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	27,826,408		$	—		$	—	$	27,826,408
TOTAL DEBT OBLIGATIONS		27,826,408			—			—		27,826,408
Mutual Funds
United States		142,132,340			—			—		142,132,340
TOTAL MUTUAL FUNDS		142,132,340			—			—		142,132,340
Short-Term Investments		1,207,216			8,999,575			—		10,206,791
Total Investments		204,994,684			67,150,698			322,915		272,468,297
Derivatives^
Swap Contracts
Equity Risk		—			1,615			—		1,615
Total	$	204,994,684		$	67,152,313		$	322,915	$	272,469,912
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(971,298	)	$	—	$	(971,298	)
Austria		—			(340,139	)		—		(340,139	)
Belgium		—			(288,279	)		—		(288,279	)
Canada		(2,283,665	)		—			—		(2,283,665	)
Denmark		—			(134,684	)		—		(134,684	)
France		—			(1,527,649	)		—		(1,527,649	)
Germany		—			(1,888,141	)		—		(1,888,141	)
Israel		(409,594	)		—			—		(409,594	)
Italy		—			(990,195	)		—		(990,195	)
Japan		—			(4,321,825	)		—		(4,321,825	)
Netherlands		—			(847,988	)		—		(847,988	)
New Zealand		—			(257,928	)		—		(257,928	)
Singapore		—			(529,889	)		—		(529,889	)
Spain		(3,628	)		(1,082,160	)		—		(1,085,788	)
Sweden		—			(673,267	)		—		(673,267	)
Switzerland		—			(609,645	)		—		(609,645	)
United Kingdom		—			(2,460,502	)		—		(2,460,502	)
United States		(22,126,647	)		—			—		(22,126,647	)
TOTAL COMMON STOCKS		(24,823,534	)		(16,923,589	)		—		(41,747,123	)
Preferred Stock
Germany		—			(270,488	)		—		(270,488	)
TOTAL PREFERRED STOCKS		—			(270,488	)		—		(270,488	)
Derivatives^
Swap Contracts
Equity Risk		—			(232,911	)		—		(232,911	)
Total	$	(24,823,534	)	$	(17,426,988	)	$	—	$	(42,250,522	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2022.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund’s Level 3 holdings each include three

common stocks valued at their last price prior to trading being suspended. Benchmark-Free Fund’s Level 3 holdings also include ten depositary receipts valued off the corresponding local securities with a 9,300 basis point discount and adjusted for the depositary receipt conversion ratio and currency impact and five common and/or preferred stocks valued off the last traded price with a 9,300 basis discount. Implementation Fund’s Level 3 holdings also include nine depositary receipts valued off the corresponding local securities with a 9,300 basis point discount and adjusted for the depositary receipt conversion ratio and currency impact, four common and/or preferred stocks valued off the last traded price with a 9,300 basis discount, three common and/or preferred stocks that are priced at the average of broker bids, and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 2022.

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

	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of May 31, 2022			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held  as of May 31, 2022
Consolidated Alternative Allocation Fund
Common Stocks
China	$	66,215	$	—	$	—		$	—	$	—		$	(276	)	$	353,184	‡	$	—	$	419,123		$	(276	)
Investment Funds
United States		5,607,602		301,290		(240,198	)		—		—			86,044			—			—		5,754,738			86,044
Rights/Warrants
United States		263,451		—		—			—		—			19,515			—			—		282,966			19,515
Total Investments	$	5,937,268	$	301,290	$	(240,198	)	$	—	$	—		$	105,283		$	353,184		$	—	$	6,456,827		$	105,283
Benchmark-Free Fund
Common Stocks
China	$	381,895	$	—	$	(251,325	)	$	—	$	—		$	249,738		$	1,770,839	‡	$	—	$	2,151,147		$	249,738
India		—		14,885		—			—		—			3,671			—			—		18,556			3,671
Russia		965,229		213,275		—			—		—			(925,569	)		2,785,866	‡		—		3,038,801			(925,569	)
United Kingdom		—		—		—			—		—			—			600	‡		—		600			—
Preferred Stocks
Russia		—		—		—			—		—			—			403,138	‡		—		403,138			—
Total Investments	$	1,347,124	$	228,160	$	(251,325	)	$	—	$	—		$	(672,160	)	$	4,960,443		$	—	$	5,612,242		$	(672,160	)
Securities Sold Short
Common Stocks
Russia	$	—	$	—	$	—		$	—	$	—		$	—		$	(5,867	)‡	$	—	$	(5,867	)	$	—
Total	$	—	$	—	$	—		$	—	$	—		$	—		$	(5,867	)	$	—	$	(5,867	)	$	—
Consolidated Implementation Fund
Common Stocks
China	$	965,024	$	—	$	(898,221	)	$	—	$	(33,595	)	$	874,015		$	5,202,679	‡	$	—	$	6,109,902		$	(3,785	)
India		—		46,321		—			—		—			10,337			—			—		56,658			10,337
Netherlands		185		—		—			—		—			(8	)		—			—		177			(8	)
Russia		1,248,215		436,792		—			—		(4	)		(2,282,554	)		8,821,324	‡		—		8,223,773			(2,282,554	)
United Kingdom		—		—		—			—		—			—			789	‡		—		789			—
United States		8,961,199		1,460,086		—			—		—			(237,609	)		—			—		10,183,676			(237,609	)
Preferred Stocks
Russia		—		—		—			—		—			—			895,363	‡		—		895,363			—
United States		875,250		—		—			—		—			346,080			—			—		1,221,330			346,080
Rights/Warrants
United States		983,025		—		(277,922	)		—		277,922			(112,172	)		—			—		870,853			(112,172	)
Investment Funds
United States		22,156,919		1,030,031		(942,637	)		—		—			339,709			—			—		22,584,022			339,709
Debt Obligations
Bank Loans
Luxembourg		2,436,433		—		(2,429,250	)		695		(21,290	)		13,412			—			—		—			—
United States		18,428,534		13,682		(4,243,692	)		130,433		(97,844	)		(1,488,852	)		—			—		12,742,261			(1,512,690	)
Corporate Debt
Netherlands		55		—		—			—		—			(2	)		—			—		53			(2	)
Ukraine		—		1,249,515		—			43,888		—			208,852			—			—		1,502,255			208,852
United States		140		—		—			—		—			—			—			—		140			—
Total Investments	$	56,054,979	$	4,236,427	$	(8,791,722	)#	$	175,016	$	125,189		$	(2,328,792	)	$	14,920,155		$	—	$	64,391,252		$	(3,243,842	)

	Balances as of February 28, 2022		Purchases		Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of May 31, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held  as of May 31, 2022
Strategic Opportunities Allocation Fund
Common Stocks
China	$	61,485	$	—	$	—	$	—	$	—	$	(255	)	$	244,910	‡	$	—	$	306,140	$	(255	)
Russia		—		—		—		—		—		—			16,775	‡		—		16,775		—
Total Investments	$	61,485	$	—	$	—	$	—	$	—	$	(255	)	$	261,685		$	—	$	322,915	$	(255	)

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

# Includes $290,372 of proceeds received from partial calls and/or principal paydowns as applicable.

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

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Consolidated Alternative Allocation Fund
Benchmark-Free Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		944,165	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock		600	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (American Depositary Receipt)		1,534,679	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		559,957	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		403,138	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Consolidated Implementation Fund
Common Stock		1,945,385	Fair Value	Discount rate	30% (27.97%)
Common Stock		8,636,630	Fair Value	Most relevant broker quote	N/A
Common Stock		15,130	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Corporate Debt		193	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		2,204,649	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock		789	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (American Depositary Receipt)		4,465,286	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		1,553,838	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		895,363	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Strategic Opportunities Allocation Fund
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock (American Depositary Receipt)		11,305	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		5,470	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2022, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund was $6,456,827, $2,163,836, $44,673,989 and $306,140, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2022 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
Consolidated Alternative Allocation Fund
GMO Emerging Markets Fund, Class VI	$	9,811,873	$	—	$	2,085,000	$	—	$	(313,594	)	$	(730,181	)	$	6,683,098
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	115,273,843	$	9,600,000	$	—	$	—	$	—		$	(5,531,680	)	$	119,342,163
GMO High Yield Fund, Class VI		—		144,000,000		—		—		—			4,457,854			148,457,854
GMO Implementation Fund		4,681,432,538		148,251,541		404,396,435		—		(10,728,609	)		(12,650,697	)		4,401,908,338
GMO Opportunistic Income Fund, Class VI		183,719,672		3,000,000		13,410,000		—		(558,402	)		(2,021,135	)		170,730,135
GMO SGM Major Markets Fund, Class VI		141,735,622		—		6,530,000		—		(710,593	)		(911,012	)		133,584,017
Totals	$	5,122,161,675	$	304,851,541	$	424,336,435	$	—	$	(11,997,604	)	$	(16,656,670	)	$	4,974,022,507
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class VI	$	48,097,631	$	—	$	—	$	—	$	—		$	(2,280,686	)	$	45,816,945
GMO Emerging Markets Fund, Class VI		34,016,640		—		13,500,000		—		(3,050,576	)		(538,118	)		16,927,946
GMO High Yield Fund, Class VI		—		72,500,000		—		—		—			2,244,405			74,744,405
GMO Opportunistic Income Fund, Class VI		91,945,071		—		—		—		—			(1,330,973	)		90,614,098
GMO SGM Major Markets Fund, Class VI		60,781,806		—		—		—		—			(664,509	)		60,117,297
GMO U.S. Treasury Fund		10,090,292		67,164,684		45,013,800		—		(19,244	)		10,076			32,232,008
Totals	$	244,931,440	$	139,664,684	$	58,513,800	$	—	$	(3,069,820	)	$	(2,559,805	)	$	320,452,699
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	130,004,197	$	350,000	$	63,241,847	$	—	$	(6,355,355	)	$	6,165,962		$	66,922,957
GMO Asset Allocation Bond Fund, Class VI		37,983,141		1,030,000		10,235,397		—		(172,313	)		(2,401,824	)		26,203,607
GMO Emerging Country Debt Fund, Class VI		18,116,964		—		3,600,000		—		(849,107	)		110,097			13,777,954
GMO Emerging Markets ex-China Fund, Class VI		27,671,845		3,340,000		7,011,927		—		(840,198	)		(1,802,575	)		21,357,145
GMO Emerging Markets Fund, Class VI		68,376,141		7,321,324		16,648,018		—		(1,922,071	)		(5,500,491	)		51,626,885
GMO High Yield Fund, Class VI		—		8,500,000		—		—		—			263,137			8,763,137
GMO International Equity Fund, Class IV		107,093,353		—		29,569,492		—		158,469			(3,032,232	)		74,650,098
GMO-Usonian Japan Value Creation Fund, Class VI		24,981,389		—		5,123,831		—		(302,090	)		(2,091,972	)		17,463,496
GMO Multi-Sector Fixed Income Fund, Class IV		56,164,303		14,685,000		15,022,498		—		(1,758,011	)		(1,453,292	)		52,615,502
GMO Opportunistic Income Fund, Class VI		19,591,715		500,000		6,512,594		—		(231,290	)		(8,934	)		13,338,897
GMO Quality Cyclicals Fund , Class VI		20,219,676		—		6,098,142		—		1,403,652			(2,019,734	)		13,505,452

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
Global Asset Allocation Fund (continued)
GMO Quality Fund, Class VI	$	12,268,439	$	—	$	2,868,058	$	—		$	716,011		$	(1,056,079	)	$	9,060,313
GMO U.S. Equity Fund, Class VI		61,434,084		100,000		17,851,994		—			(428,359	)		(30,940	)		43,222,791
GMO U.S. Small Cap Value Fund, Class VI		39,124,376		—		10,450,990		—			(64,895	)		(1,157,732	)		27,450,759
GMO U.S. Treasury Fund		1,879		2,800,297		2,800,000		298			(207	)		4			1,973
Totals	$	623,031,502	$	38,626,621	$	197,034,788	$	298		$	(10,645,764	)	$	(14,016,605	)	$	439,960,966
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,198,953	$	1,100,000	$	—	$	—		$	—		$	(572,215	)	$	5,726,738
GMO Emerging Markets Fund, Class VI		2,322,106		—		—		—			—			(271,803	)		2,050,303
GMO International Equity Fund, Class IV		35,410,730		—		—		—			—			(1,280,091	)		34,130,639
GMO-Usonian Japan Value Creation Fund, Class VI		3,551,214		—		—		—			—			(394,579	)		3,156,635
GMO Quality Cyclicals Fund, Class VI		4,855,891		—		500,000		—			97,909			(319,679	)		4,134,121
GMO Quality Fund, Class VI		10,955,561		—		—		—			—			(456,807	)		10,498,754
GMO U.S. Equity Fund, Class VI		15,406,078		—		—		—			—			(364,641	)		15,041,437
GMO U.S. Small Cap Value Fund, Class VI		9,077,255		—		600,000		—			(20,207	)		(345,049	)		8,111,999
Totals	$	86,777,788	$	1,100,000	$	1,100,000	$	—		$	77,702		$	(4,004,864	)	$	82,850,626
Global Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	109,848,838	$	19,265,000	$	—	$	—		$	—		$	(12,013,463	)	$	117,100,375
GMO Emerging Markets Fund, Class VI		234,294,075		28,150,000		—		—			—			(27,759,530	)		234,684,545
GMO International Equity Fund, Class IV		558,402,561		—		23,530,000		—			(3,488,297	)		(16,838,282	)		514,545,982
GMO-Usonian Japan Value Creation Fund, Class VI		64,071,354		—		—		—			—			(7,119,039	)		56,952,315
GMO Quality Cyclicals Fund, Class VI		88,997,330		—		11,000,000		—			2,154,001			(6,195,653	)		73,955,678
GMO Quality Fund, Class VI		217,951,740		—		695,000		—			100,540			(9,170,954	)		208,186,326
GMO U.S. Equity Fund, Class VI		142,993,024		—		1,495,000		—			(166,095	)		(3,205,874	)		138,126,055
GMO U.S. Small Cap Value Fund, Class VI		163,718,031		585,000		11,000,000		—			(398,962	)		(6,165,644	)		146,738,425
Totals	$	1,580,276,953	$	48,000,000	$	47,720,000	$	—		$	(1,798,813	)	$	(88,468,439	)	$	1,490,289,701
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	12,509,088	$	135,201,333	$	84,793,495	$	—	**	$	(23,944	)	$	7,040		$	62,900,022
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	16,722,440	$	2,393,327	$	—	$	—		$	—		$	(1,851,740	)	$	17,264,027
GMO International Equity Fund, Class IV		204,248,674		1,546,990		11,070,000		—			(18,771	)		(6,754,149	)		187,952,744
GMO-Usonian Japan Value Creation Fund, Class VI		9,520,380		446,095		443,000		—			(39,946	)		(998,654	)		8,484,875
Totals	$	230,491,494	$	4,386,412	$	11,513,000	$	—		$	(58,717	)	$	(9,604,543	)	$	213,701,646
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	51,415,947	$	4,193,061	$	6,645,000	$	—		$	(1,749,733	)	$	(3,536,756	)	$	43,677,519
GMO Emerging Markets Fund, Class VI		195,154,856		11,401,427		21,230,000		—			(3,364,175	)		(19,066,302	)		162,895,806
GMO International Equity Fund, Class IV		404,162,685		—		67,500,000		—			3,858,901			(15,425,948	)		325,095,638
GMO-Usonian Japan Value Creation Fund, Class VI		28,241,638		145,000		4,080,000		—			(252,154	)		(2,582,185	)		21,472,299
Totals	$	678,975,126	$	15,739,488	$	99,455,000	$	—		$	(1,507,161	)	$	(40,611,191	)	$	553,141,262
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	8,106,380	$	—	$	—	$	—		$	—		$	(384,387	)	$	7,721,993
GMO Emerging Markets ex-China Fund, Class VI		14,945,997		1,000,000		—		—			—			(1,612,093	)		14,333,904
GMO Emerging Markets Fund, Class VI		30,720,697		2,000,000		—		—			—			(3,629,758	)		29,090,939
GMO International Equity Fund, Class IV		31,835,141		—		1,565,000		—			115,925			(1,266,759	)		29,119,307
GMO Multi-Sector Fixed Income Fund, Class IV		6,442,772		7,650,000		—		—			—			(392,607	)		13,700,165
GMO Quality Fund, Class VI		12,951,749		—		755,000		—			152,460			(692,501	)		11,656,708
GMO U.S. Equity Fund, Class VI		19,532,079		—		1,600,000		—			152,727			(615,025	)		17,469,781
GMO U.S. Small Cap Value Fund, Class VI		16,286,703		—		1,080,000		—			(61,650	)		(614,900	)		14,530,153
GMO U.S. Treasury Fund		4,509,502		8,893		—		8,872			—			(9,005	)		4,509,390
Totals	$	145,331,020	$	10,658,893	$	5,000,000	$	8,872		$	359,462		$	(9,217,035	)	$	142,132,340

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

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $64,001 and $137,760 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

* * *

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