0001752724-22-235449.txt : 20221025 0001752724-22-235449.hdr.sgml : 20221025 20221025154005 ACCESSION NUMBER: 0001752724-22-235449 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20220831 FILED AS OF DATE: 20221025 DATE AS OF CHANGE: 20221025 PERIOD START: 20230228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04347 FILM NUMBER: 221329367 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6173467646 MAIL ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 FORMER COMPANY: FORMER CONFORMED NAME: GMO CORE TRUST DATE OF NAME CHANGE: 19900927 0000772129 S000005494 GMO SGM Major Markets Fund C000014953 Class III GSMFX C000014956 Class VI GSMHX C000213382 Class I GSMKX NPORT-P 1 primary_doc.xml NPORT-P false 0000772129 XXXXXXXX S000005494 C000213382 C000014953 C000014956 GMO TRUST 811-04347 0000772129 549300Y2Q6TQD4HU5C66 40 ROWES WHARF BOSTON 02110 617-346-7646 GMO SGM Major Markets Fund S000005494 MNQ6D2305GB58HFPL064 2023-02-28 2022-08-31 N 214069771.38 4096659.85 209973111.53 0.00000000 45853806.52000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5626209.05000000 EUR GBP USD N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT SEP22 000000000 -248.00000000 NC USD -215484.72000000 -0.10262491155 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-Mini Standard & Poor's 500 Index Future ESM2 INDEX 2022-09-16 -48845115.28000000 USD -215484.72000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 WTI CRUDE FUTURE OCT22 000000000 -39.00000000 NC USD 158207.63000000 0.075346614072 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX Light Sweet Crude Oil Future CLV2 COMDTY 2022-09-20 -3650657.63000000 USD 158207.63000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 PURCHASED CAD / SOLD USD 000000000 1.00000000 NC -27533.13000000 -0.01311269323 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1891188.69000000 USD 2448421.77000000 CAD 2022-10-24 -27533.13000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED CHF / SOLD USD 000000000 1.00000000 NC -17446.92000000 -0.00830912104 N/A DFE CH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 701653.08000000 USD 667322.95000000 CHF 2022-09-30 -17446.92000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBX8 1400000.00000000 PA USD 1370632.82000000 0.652765875598 Long DBT UST US N 1 2023-04-30 Fixed 0.13000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD JPY 000000000 1.00000000 NC 94281.40000000 0.044901653984 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 409782352.00000000 JPY 3053329.33000000 USD 2022-10-11 94281.40000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED CHF / SOLD USD 000000000 1.00000000 NC -40137.93000000 -0.01911574758 N/A DFE CH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1046196.45000000 USD 981233.40000000 CHF 2022-09-30 -40137.93000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 E-MINI RUSS 2000 SEP22 000000000 -32.00000000 NC USD 249417.47000000 0.118785433135 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-mini Russell 2000 Index Futures RTYU2 Index 2022-09-16 -3200777.47000000 USD 249417.47000000 N N N Morgan Stanley & Co. 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Boston W22LROWP2IHZNBB6K528 MSCI Daily TR Net Value EAFE USD Index NDUVEAFE INDEX Y equity-performance leg 2023-05-09 0.00000000 USD 0.00000000 USD 7921690.42500000 USD -305737.78000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -3313.64000000 -0.00157812587 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1369352.54000000 EUR 1375346.20000000 USD 2022-09-30 -3313.64000000 N N N The Montreal Exchange / Bourse De Montreal N/A CAN 10YR BOND FUT DEC22 000000000 -7.00000000 NC -26.38000000 -0.00001256351 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Short Montreal Exchange 10 Year Canadian Bond Futures CNZ2 COMDTY 2022-12-19 -872095.36000000 CAD -26.38000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 1560.82000000 0.000743342796 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 3012788.57000000 NZD 1844833.78000000 USD 2022-09-19 1560.82000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 PURCHASED GBP / SOLD USD 000000000 1.00000000 NC -30440.68000000 -0.01449741815 N/A DFE GB N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 779025.01000000 USD 644181.68000000 GBP 2022-09-19 -30440.68000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 PURCHASED USD / SOLD CHF 000000000 1.00000000 NC 348619.04000000 0.166030325244 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 19258066.70000000 CHF 20093913.21000000 USD 2022-09-30 348619.04000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 PURCHASED USD / SOLD GBP 000000000 1.00000000 NC 179106.45000000 0.085299707517 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 8524493.77000000 GBP 10085166.61000000 USD 2022-09-19 179106.45000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 912796T33 35000000.00000000 PA USD 34452577.95000000 16.40809039736 Long STIV UST US N 1 2023-02-23 None 0.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED USD / SOLD CAD 000000000 1.00000000 NC 351.70000000 0.000167497636 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 22432.51000000 CAD 17430.02000000 USD 2022-09-19 351.70000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -38866.17000000 -0.01851007003 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 3402619.66000000 USD 3341044.87000000 EUR 2022-09-30 -38866.17000000 N N N 2022-09-23 GMO TRUST Betty Maganzini Betty Maganzini Treasurer