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
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617-346-7646
GMO SGM Major Markets Fund
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2022-08-31
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Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
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N
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New York Mercantile Exchange
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-39.00000000
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0.075346614072
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New York Mercantile Exchange
5493008GFNDTXFPHWI47
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NYMEX Light Sweet Crude Oil Future
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N
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UBS AG
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NC
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UBS AG
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2022-10-24
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N
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Barclays Bank PLC
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1.00000000
NC
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-0.00830912104
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DFE
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Barclays Bank PLC
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United States Treasury
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0.652765875598
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UST
US
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2023-04-30
Fixed
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N
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N
N
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JPMorgan Chase Bank N.A.
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NC
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0.044901653984
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JPY
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2022-10-11
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N
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Barclays Bank PLC
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DFE
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Barclays Bank PLC
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Chicago Mercantile Exchange
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2022-09-16
-3200777.47000000
USD
249417.47000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
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1.00000000
NC
9249.73000000
0.004405197376
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
94786380.00000000
JPY
693704.39000000
USD
2022-10-11
9249.73000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
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1.00000000
NC
-2875.27000000
-0.00136935152
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
392634.21000000
USD
54103498.00000000
JPY
2022-09-13
-2875.27000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
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1.00000000
NC
-4050.78000000
-0.00192918987
N/A
DFE
JP
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2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1262234.19000000
USD
174238934.00000000
JPY
2022-10-11
-4050.78000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
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000000000
1.00000000
NC
52106.73000000
0.024815906008
N/A
DFE
US
N
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Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
245596973.00000000
JPY
1821375.27000000
USD
2022-09-13
52106.73000000
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
2277352.40000000
NS
USD
2277352.40000000
1.084592395381
Long
STIV
RF
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CDE8
20000000.00000000
PA
USD
20015535.40000000
9.532427868575
Long
DBT
UST
US
N
1
2023-10-31
Floating
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N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-11597.82000000
-0.00552347865
N/A
DFE
US
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2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1945792.20000000
EUR
1947419.66000000
USD
2022-09-30
-11597.82000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-447203.62000000
-0.21298137496
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
16144933.56000000
USD
2173892701.00000000
JPY
2022-10-11
-447203.62000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
14513.49000000
0.006912070738
N/A
DFE
US
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2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
134963537.00000000
JPY
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USD
2022-10-11
14513.49000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
TRSWAP: NDUGEAFE INDEX_
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7099979.52420000
OU
Notional Amount
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0.125141475537
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Growth EAFE USD Index
NDUGEAFE INDEX
Y
equity-performance leg
2023-05-22
0.00000000
USD
0.00000000
USD
7099979.52420000
USD
262763.45000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-56724.29000000
-0.02701502567
N/A
DFE
CA
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
2863591.88000000
USD
3686843.04000000
CAD
2022-09-19
-56724.29000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
29009.74000000
0.013815930901
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1650649.85000000
EUR
1690878.83000000
USD
2022-09-30
29009.74000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR SEP22
000000000
85.00000000
NC
-223360.43000000
-0.10637572990
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Long
TSE TOPIX (Tokyo Price Index) Future
TPU2 Index
2022-09-08
1686972896.00000000
JPY
-223360.43000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-32248.88000000
-0.01535857604
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1296592.68000000
USD
1660725.70000000
CAD
2022-09-19
-32248.88000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
TRSWAP: NDUVEAFE INDEX_
000000000
6875354.70960000
OU
Notional Amount
USD
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-0.07334082391
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Value EAFE USD Index
NDUVEAFE INDEX
Y
equity-performance leg
2023-05-22
0.00000000
USD
0.00000000
USD
6875354.70960000
USD
-153996.01000000
N
N
N
Singapore Exchange
N/A
FTSE TAIWAN INDEX SEP22
000000000
-109.00000000
NC
USD
129678.64000000
0.061759641058
N/A
DE
SG
N
2
Singapore Exchange
N/A
Short
SGX FTSE Taiwan Index Futures
TWTU2 Index
2022-09-29
-5777945.10000000
USD
129678.64000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES SEP22
000000000
-117.00000000
NC
-186031.30000000
-0.08859767740
N/A
DE
AU
N
2
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SFE S&P ASX Share Price Index 200 Future
XPU2 INDEX
2022-09-15
-19723401.55000000
AUD
-186031.30000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8648.31000000
-0.00411877022
N/A
DFE
AU
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
880614.80000000
USD
1274010.89000000
AUD
2022-09-19
-8648.31000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-135814.63000000
-0.06468191522
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
16534043.67000000
AUD
11180518.74000000
USD
2022-09-19
-135814.63000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-6348.62000000
-0.00302353951
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
770386.06000000
USD
657479.59000000
GBP
2022-09-19
-6348.62000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-61892.60000000
-0.02947644083
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2216236.45000000
USD
2829747.88000000
CAD
2022-09-19
-61892.60000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
SOYBEAN FUTURE NOV22
000000000
160.00000000
NC
USD
-537339.60000000
-0.25590876664
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Soybean Future
S X2 COMDTY
2022-11-14
11917339.60000000
USD
-537339.60000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
61132.58000000
0.029114480208
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
188178068.00000000
JPY
1416758.15000000
USD
2022-09-13
61132.58000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC22
000000000
-216.00000000
NC
USD
129314.66000000
0.061586295053
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYZ2 COMDTY
2022-12-20
-25381064.66000000
USD
129314.66000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
26996.57000000
0.012857155758
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
2292344.65000000
EUR
2334921.97000000
USD
2022-09-30
26996.57000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CEL1
85000000.00000000
PA
USD
84816717.05000000
40.39408495305
Long
DBT
UST
US
N
1
2024-04-30
Floating
2.83000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
72303.16000000
0.034434485193
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
330679567.00000000
JPY
2460148.03000000
USD
2022-10-11
72303.16000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-789565.27000000
-0.37603160911
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
20341568.02000000
USD
2707649846.00000000
JPY
2022-10-11
-789565.27000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-35000.57000000
-0.01666907240
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1716320.14000000
USD
2208426.71000000
CAD
2022-09-19
-35000.57000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE SEP22
000000000
5.00000000
NC
11290.08000000
0.005376917033
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX DAX Index Future
GXU2 INDEX
2022-09-16
1591079.18000000
EUR
11290.08000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-13913.94000000
-0.00662653417
N/A
DFE
CA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1410503.15000000
USD
1834802.25000000
CAD
2022-10-24
-13913.94000000
N
N
N
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
TRSWAP: NDUGEAFE INDEX_
000000000
7451277.48000000
OU
Notional Amount
USD
405881.44000000
0.193301626595
N/A
DE
US
N
2
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
MSCI Daily TR Net Growth EAFE USD Index
NDUGEAFE INDEX
Y
equity-performance leg
2023-05-09
0.00000000
USD
0.00000000
USD
7451277.48000000
USD
405881.44000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-61887.21000000
-0.02947387384
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3285227.79000000
USD
4233883.64000000
CAD
2022-09-19
-61887.21000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-6272.11000000
-0.00298710151
N/A
DFE
CH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
650477.88000000
USD
628309.59000000
CHF
2022-09-30
-6272.11000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
80044.63000000
0.038121371549
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
6633799.00000000
CAD
5129467.30000000
USD
2022-10-24
80044.63000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
136746.49000000
0.065125714908
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
430331791.00000000
JPY
3236835.60000000
USD
2022-09-13
136746.49000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-6527.81000000
-0.00310887901
N/A
DFE
CA
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1042916.55000000
USD
1361580.33000000
CAD
2022-10-24
-6527.81000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CFD8
5000000.00000000
PA
USD
4993374.50000000
2.378101873909
Long
DBT
UST
US
N
1
2024-07-31
Floating
2.94000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-26689.13000000
-0.01271073701
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
695430.92000000
USD
575474.52000000
GBP
2022-09-19
-26689.13000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
39913.87000000
0.019009038685
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
202870755.00000000
JPY
1504848.33000000
USD
2022-10-11
39913.87000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-28215.36000000
-0.01343760626
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1557712.53000000
USD
1491755.87000000
CHF
2022-09-30
-28215.36000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-449.05000000
-0.00021386071
N/A
DFE
AU
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
42570.62000000
USD
61542.89000000
AUD
2022-09-19
-449.05000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-10094.38000000
-0.00480746316
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
861627.49000000
USD
845784.43000000
EUR
2022-09-30
-10094.38000000
N
N
N
Commodities Exchange Center
N/A
GOLD 100 OZ FUTR DEC22
000000000
-10.00000000
NC
USD
26104.94000000
0.012432515672
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Short
COMEX Gold 100 Troy Ounces Future
GCZ2 Comdty
2022-12-28
-1752304.94000000
USD
26104.94000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-44662.62000000
-0.02127063778
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2171914.24000000
USD
2794162.02000000
CAD
2022-09-19
-44662.62000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-14942.52000000
-0.00711639690
N/A
DFE
CH
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
798858.81000000
USD
764572.67000000
CHF
2022-09-30
-14942.52000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP22
000000000
68.00000000
NC
-192248.82000000
-0.09155878035
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex 10 Year Euro BUND Future
RXU2 Comdty
2022-09-08
10253261.80000000
EUR
-192248.82000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-13771.06000000
-0.00655848736
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1000392.21000000
EUR
993420.68000000
USD
2022-09-30
-13771.06000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT SEP22
000000000
353.00000000
NC
-302939.27000000
-0.14427526829
N/A
DE
GB
N
2
ICE Futures Europe - Financial Products Division
N/A
Long
ICF FTSE 100 Index Future
Z U2 INDEX
2022-09-16
25904269.17000000
GBP
-302939.27000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT SEP22
000000000
-46.00000000
NC
324824.41000000
0.154698098072
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
MSE S&P/TSX 60 Index Future
PTU2 INDEX
2022-09-15
-11144608.14000000
CAD
324824.41000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-59068.78000000
-0.02813159245
N/A
DFE
AU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3539831.78000000
USD
5085665.61000000
AUD
2022-09-19
-59068.78000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-42117.02000000
-0.02005829207
N/A
DFE
CH
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1544783.07000000
USD
1465586.83000000
CHF
2022-09-30
-42117.02000000
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AS6J3
10000000.00000000
PA
USD
9965209.50000000
4.745945529590
Long
DBT
USGSE
US
N
1
2022-12-19
Fixed
1.67000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-19041.59000000
-0.00906858495
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
907027.32000000
USD
866074.13000000
CHF
2022-09-30
-19041.59000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-305419.82000000
-0.14545663383
N/A
DFE
JP
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
10512529.62000000
USD
1416876640.00000000
JPY
2022-09-13
-305419.82000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-28685.39000000
-0.01366145874
N/A
DFE
CH
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1016608.67000000
USD
963545.66000000
CHF
2022-09-30
-28685.39000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-18685.21000000
-0.00889885846
N/A
DFE
AU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
888285.32000000
USD
1270553.43000000
AUD
2022-09-19
-18685.21000000
N
N
N
Euronext N.V.
724500QJ4QSZ3H9QU415
CAC40 10 EURO FUT SEP22
000000000
457.00000000
NC
-2144903.98000000
-1.02151364256
N/A
DE
FR
N
2
Euronext N.V.
724500QJ4QSZ3H9QU415
Long
Euronext CAC 40 Index Futures
CFU2 INDEX
2022-09-16
29967914.25000000
EUR
-2144903.98000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
TRSWAP: NDUVEAFE INDEX_
000000000
9378559.66350000
OU
Notional Amount
USD
-499710.63000000
-0.23798791490
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Value EAFE USD Index
NDUVEAFE INDEX
Y
equity-performance leg
2023-05-12
0.00000000
USD
0.00000000
USD
9378559.66350000
USD
-499710.63000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
66773.47000000
0.031800962282
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
145085567.00000000
JPY
1111962.78000000
USD
2022-09-13
66773.47000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-1648.80000000
-0.00078524339
N/A
DFE
AU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
537298.15000000
USD
782625.38000000
AUD
2022-09-19
-1648.80000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI SING IX ETS SEP22
000000000
344.00000000
NC
-182735.83000000
-0.08702820502
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
SGX MSCI Singapore Index Futures
QZU2 INDEX
2022-09-29
10167422.19000000
SGD
-182735.83000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-48225.14000000
-0.02296729312
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1323454.84000000
USD
1097377.51000000
GBP
2022-09-19
-48225.14000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
19176.12000000
0.009132655062
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1711827.58000000
EUR
1742638.76000000
USD
2022-09-30
19176.12000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-43822.10000000
-0.02087033891
N/A
DFE
AU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
2124883.14000000
USD
3040592.12000000
AUD
2022-09-19
-43822.10000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
50754.95000000
0.024172118815
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1888757.66000000
EUR
1952350.24000000
USD
2022-09-30
50754.95000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-16481.96000000
-0.00784955744
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1682436.84000000
USD
2188687.81000000
CAD
2022-10-24
-16481.96000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-71772.51000000
-0.03418176235
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2027495.64000000
USD
2857463.69000000
AUD
2022-09-19
-71772.51000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-32708.05000000
-0.01557725642
N/A
DFE
GB
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
707723.55000000
USD
580873.26000000
GBP
2022-09-19
-32708.05000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-6630.18000000
-0.00315763287
N/A
DFE
AU
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
816680.05000000
USD
1183545.90000000
AUD
2022-09-19
-6630.18000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT SEP22
000000000
30.00000000
NC
21418.60000000
0.010200639426
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE 10 Year Australian Bond Future
XMU2 COMDTY
2022-09-15
3567474.30000000
AUD
21418.60000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR SEP22
000000000
-5.00000000
NC
-20949.33000000
-0.00997714890
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Short
TSE TOPIX (Tokyo Price Index) Future
TPU2 Index
2022-09-08
-94498000.00000000
JPY
-20949.33000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT SEP22
000000000
1.00000000
NC
6130.06000000
0.002919449997
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
MSE S&P/TSX 60 Index Future
PTU2 INDEX
2022-09-15
224949.08000000
CAD
6130.06000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-348.57000000
-0.00016600696
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
11792462.00000000
CAD
8977489.40000000
USD
2022-09-19
-348.57000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-10174.61000000
-0.00484567282
N/A
DFE
AU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
623465.87000000
USD
896066.25000000
AUD
2022-09-19
-10174.61000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
TRSWAP: NDUGEAFE INDEX_
000000000
9965388.49110000
OU
Notional Amount
USD
714186.09000000
0.340132164921
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Growth EAFE USD Index
NDUGEAFE INDEX
Y
equity-performance leg
2023-05-12
0.00000000
USD
0.00000000
USD
9965388.49110000
USD
714186.09000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-37810.17000000
-0.01800714849
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
807356.03000000
USD
662219.77000000
GBP
2022-09-19
-37810.17000000
N
N
N
Commodities Exchange Center
N/A
SILVER FUTURE DEC22
000000000
57.00000000
NC
USD
-737353.38000000
-0.35116562050
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Long
COMEX Silver Future
SIN2 COMDTY
2022-12-28
5833723.38000000
USD
-737353.38000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBD2
21000000.00000000
PA
USD
20799112.32000000
9.905607517288
Long
DBT
UST
US
N
1
2022-12-31
Fixed
0.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
91746.44000000
0.043694375594
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
269813934.00000000
JPY
2040079.16000000
USD
2022-10-11
91746.44000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-13071.12000000
-0.00622513992
N/A
DFE
AU
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1491868.25000000
USD
2160637.69000000
AUD
2022-09-19
-13071.12000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796XT1
1500000.00000000
PA
USD
1479803.54000000
0.704758589905
Long
STIV
UST
US
N
1
2023-02-02
None
0.00000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE DEC22
000000000
-51.00000000
NC
101111.93000000
0.048154703839
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
Long Gilt Futures
G Z2 COMDTY
2022-12-28
-5591467.86000000
GBP
101111.93000000
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT SEP22
000000000
793.00000000
NC
USD
-1813574.61000000
-0.86371754782
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
ICE US MSCI Emerging Markets EM Index Futures
MESU2 Index
2022-09-16
40745909.61000000
USD
-1813574.61000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-21710.13000000
-0.01033948101
N/A
DFE
GB
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
435675.27000000
USD
356230.75000000
GBP
2022-09-19
-21710.13000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE SEP22
000000000
-13.00000000
NC
249144.43000000
0.118655397438
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX DAX Index Future
GXU2 INDEX
2022-09-16
-4413932.63000000
EUR
249144.43000000
N
N
N
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
TRSWAP: NDUGEAFE INDEX_
000000000
762984.84000000
OU
Notional Amount
USD
41560.85000000
0.019793415307
N/A
DE
US
N
2
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
MSCI Daily TR Net Growth EAFE USD Index
NDUGEAFE INDEX
Y
equity-performance leg
2023-05-09
0.00000000
USD
0.00000000
USD
762984.84000000
USD
41560.85000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCK5
31000000.00000000
PA
USD
30163242.11000000
14.36528796006
Long
DBT
UST
US
N
1
2023-06-30
Fixed
0.13000000
N
N
N
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT SEP22
000000000
42.00000000
NC
-80567.45000000
-0.03837036533
N/A
DE
HK
N
2
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Long
HKG Hang Seng Index Futures
HIU2 INDEX
2022-09-29
42116918.42000000
HKD
-80567.45000000
N
N
N
State Street Global Advisors
N/A
State Street Global Advisors Liquidity PLC - US Treasury Liquidity Fund
000000000
214768.96000000
NS
USD
214768.96000000
0.102284029814
Long
STIV
RF
US
N
2
N
N
N
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
TRSWAP: NDUVEAFE INDEX_
000000000
7921690.42500000
OU
Notional Amount
USD
-305737.78000000
-0.14560806275
N/A
DE
US
N
2
Federal Reserve Bank of 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