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 |
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% | $1,688,023,968 | |||||||||
|
|
|
|||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2022 (Unaudited)
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Futures Contracts
| Number of |
Type | Expiration Date |
Notional Amount ($) |
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% | $41,061,554 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Futures Contracts
| Number |
Type | Expiration Date |
Notional Amount ($) |
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% | $434,182,394 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Futures Contracts
| Number |
Type | Expiration Date |
Notional Amount ($) |
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 Level 3 |
Transfer out of Level 3 |
Balances May 31, |
Net Change
in Investments Still Held as 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 Level 3 |
Transfer out of Level 3 |
Balances May 31, |
Net
Change Investments Still Held as 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 |
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 |
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/ Amount |
Floating |
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) |
$(409,328) | |||||||||||||||||||||
|
| ||||||||||||||||||||||
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
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% | $123,559,772 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Apprecia- tion (Deprecia- tion) ($) |
||||||||||||||||
| 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 |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Apprecia- tion (Deprecia- tion) ($) |
||||||||||||||||
| 06/01/2022 | SSB | NZD | 2,610,000 | USD | 1,704,758 | 4,082 | ||||||||||||||
| 08/31/2022 | MSCI | NZD | 12,030,000 | USD | 7,840,011 | 13,202 | ||||||||||||||
| 06/17/2022 | JPM | PEN | 560,000 | USD | 146,004 | (4,511 | ) | |||||||||||||
| 06/17/2022 | MSCI | PEN | 440,000 | USD | 116,649 | (1,613 | ) | |||||||||||||
| 08/03/2022 | CITI | PHP | 2,646,200 | USD | 50,000 | (169 | ) | |||||||||||||
| 08/03/2022 | JPM | PHP | 12,555,440 | USD | 237,253 | (784 | ) | |||||||||||||
| 06/30/2022 | BOA | RON | 887,137 | USD | 190,000 | (1,947 | ) | |||||||||||||
| 06/30/2022 | JPM | RON | 2,393,904 | USD | 530,098 | 12,138 | ||||||||||||||
| 06/07/2022 | GS | SEK | 1,880,884 | USD | 200,000 | 7,383 | ||||||||||||||
| 06/21/2022 | GS | SGD | 136,062 | USD | 100,000 | 693 | ||||||||||||||
| 06/21/2022 | JPM | SGD | 137,342 | USD | 100,000 | (241 | ) | |||||||||||||
| 06/21/2022 | SSB | SGD | 327,282 | USD | 240,000 | 1,127 | ||||||||||||||
| 08/18/2022 | CITI | THB | 34,522,300 | USD | 993,162 | (18,244 | ) | |||||||||||||
| 06/13/2022 | JPM | TWD | 29,145,600 | USD | 984,715 | (20,523 | ) | |||||||||||||
| 08/09/2022 | BCLY | USD | 1,550,543 | AUD | 2,189,000 | 21,867 | ||||||||||||||
| 08/09/2022 | JPM | USD | 660,287 | AUD | 940,000 | 14,937 | ||||||||||||||
| 07/05/2022 | BCLY | USD | 160,000 | BRL | 807,894 | 8,487 | ||||||||||||||
| 07/05/2022 | JPM | USD | 891,835 | BRL | 4,348,585 | 15,065 | ||||||||||||||
| 08/02/2022 | BCLY | USD | 6,828,576 | CAD | 8,721,887 | 64,644 | ||||||||||||||
| 08/02/2022 | BOA | USD | 1,400,000 | CAD | 1,799,182 | 21,958 | ||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2022 (Unaudited)
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Apprecia- tion (Deprecia- tion) ($) |
||||||||||||||||
| 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 |
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 |
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% | $966,288,289 | |||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Forward Currency Contracts
| Settlement |
Counterparty | Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 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/ 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) |
$(79,893) | |||||||||||||||||||||||
|
| ||||||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2022 (Unaudited)
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
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 |
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 |
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% | $208,324,664 | |||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2022 (Unaudited)
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 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 |
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 |
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 |
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 |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| Index Options – Puts |
| |||||||||||||||||||||
| S&P 500 Index |
4,020.00 | 06/03/22 | (12 | ) | USD | (4,958,580 | ) | (9,720 | ) | |||||||||||||
| S&P 500 Index |
3,900.00 | 06/10/22 | (13 | ) | USD | (5,371,795 | ) | (14,170 | ) | |||||||||||||
| S&P 500 Index |
4,155.00 | 06/17/22 | (12 | ) | USD | (4,958,580 | ) | (121,200 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| Total Index Options – Puts | (145,090 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2022 (Unaudited)
Written Options — continued
| Description |
Counterparty | Exercise |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive |
Value ($) | |||||||||||||||||||||
| 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 |
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 |
Counterparty |
Notional |
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 |
Counterparty |
Notional |
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 | ) | |||||||||||||||||||||||||||
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| $ | 7,865,071 | $ | 7,099,161 | $ | (765,910 | ) | ||||||||||||||||||||||||||||||||||
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| ^ | 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 |
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 |
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 | ||||||||||||||||||
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| $ | (55,226 | ) | $ | (818,922 | ) | $ | (763,696 | ) | ||||||||||||||||||
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OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) |
Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| SOFR |
Total Return on iShares iBoxx High Yield Corporate Bond ETF | BCLY | USD | 5,249,999 | 06/20/2022 | Quarterly | (757 | ) | (43,486 | ) | (42,729 | ) | ||||||||||||||||
| 1 Month Federal Funds Rate plus 0.60% |
Total Return on Equity Basket (f) | GS | USD | 112,869 | 07/24/2022 | Monthly | — | 8,933 | 8,933 | |||||||||||||||||||
| Total Return on Equity Basket (f) |
1 Month Federal Funds Rate minus 0.50% | GS | USD | 305,541 | 07/24/2022 | Monthly | — | (32,071 | ) | (32,071 | ) | |||||||||||||||||
| Total Return on Equity Basket (f) |
1 Month Federal Funds Rate minus 0.75% | GS | USD | 164,155 | 07/24/2022 | Monthly | — | (7,879 | ) | (7,879 | ) | |||||||||||||||||
| Total Return on Equity Basket (f) |
1 Month Federal Funds Rate minus 0.50% | GS | USD | 467,568 | 07/24/2022 | Monthly | — | (22,737 | ) | (22,737 | ) | |||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2022 (Unaudited)
OTC Total Return Swaps (continued)
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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- |
Notional |
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% | $251,140,685 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 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% | $222,429,179 | |||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2022 (Unaudited)
A summary of outstanding financial instruments at May 31, 2022 is as follows:
Swap Contracts
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
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 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 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 |
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 | ||||||||||||
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|||||||||||||||
| 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 | |||||||||||||||||||
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|||||||||||||||
| Totals |
$ | 5,122,161,675 | $ | 304,851,541 | $ | 424,336,435 | $ | — | $ | (11,997,604 | ) | $ | (16,656,670 | ) | $ | 4,974,022,507 | ||||||||||||
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|||||||||||||||
| 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 | ||||||||||||||||||||
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|||||||||||||||
| Totals |
$ | 244,931,440 | $ | 139,664,684 | $ | 58,513,800 | $ | — | $ | (3,069,820 | ) | $ | (2,559,805 | ) | $ | 320,452,699 | ||||||||||||
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|||||||||||||||
| 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 |
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 | ||||||||||||||||||||
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|
|||||||||||||||
| Totals |
$ | 623,031,502 | $ | 38,626,621 | $ | 197,034,788 | $ | 298 | $ | (10,645,764 | ) | $ | (14,016,605 | ) | $ | 439,960,966 | ||||||||||||
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|
|||||||||||||||
| 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 | |||||||||||||||||||
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|
|
|
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|
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|
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|
|||||||||||||||
| Totals |
$ | 86,777,788 | $ | 1,100,000 | $ | 1,100,000 | $ | — | $ | 77,702 | $ | (4,004,864 | ) | $ | 82,850,626 | |||||||||||||
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|||||||||||||||
| 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 | |||||||||||||||||||
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|
|
|
|
|
|
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|
|
|
|
|
|
|||||||||||||||
| Totals |
$ | 1,580,276,953 | $ | 48,000,000 | $ | 47,720,000 | $ | — | $ | (1,798,813 | ) | $ | (88,468,439 | ) | $ | 1,490,289,701 | ||||||||||||
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| Consolidated Implementation Fund | ||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 12,509,088 | $ | 135,201,333 | $ | 84,793,495 | $ | — | ** | $ | (23,944 | ) | $ | 7,040 | $ | 62,900,022 | ||||||||||||
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| 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 | |||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Totals |
$ | 230,491,494 | $ | 4,386,412 | $ | 11,513,000 | $ | — | $ | (58,717 | ) | $ | (9,604,543 | ) | $ | 213,701,646 | ||||||||||||
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|||||||||||||||
| 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 | |||||||||||||||||||
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|
|
|
|
|
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|
|
|
|
|
|
|||||||||||||||
| Totals |
$ | 678,975,126 | $ | 15,739,488 | $ | 99,455,000 | $ | — | $ | (1,507,161 | ) | $ | (40,611,191 | ) | $ | 553,141,262 | ||||||||||||
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|
|||||||||||||||
| 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 | ||||||||||||||||||||
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|
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|
|
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|
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|
|||||||||||||||
| Totals |
$ | 145,331,020 | $ | 10,658,893 | $ | 5,000,000 | $ | 8,872 | $ | 359,462 | $ | (9,217,035 | ) | $ | 142,132,340 | |||||||||||||
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| * | 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.