0001752724-22-235468.txt : 20221025
0001752724-22-235468.hdr.sgml : 20221025
20221025154021
ACCESSION NUMBER: 0001752724-22-235468
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: 221329388
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
S000061716
GMO High Yield Fund
C000199930
Class VI
GHVIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000772129
XXXXXXXX
S000061716
C000199930
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
617-346-7646
GMO High Yield Fund
S000061716
5493003UZ8Q1SLUPQX65
2023-02-28
2022-08-31
N
318186287.01
4215950.48
313970336.53
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
349873.68000000
JPY
USD
N
IBOXX US Dollar Liquid High Yield Index
IBOXHY
PG&E CORP
8YQ2GSDWYZXO2EDN3511
PG&E Corp
69331CAH1
836000.00000000
PA
USD
742338.74000000
0.236435947486
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
CROWN AMER/CAP CORP V
N/A
Crown Americas LLC / Crown Americas Capital Corp V
22819KAB6
1750000.00000000
PA
USD
1640582.49000000
0.522527863024
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
4.25000000
N
N
N
N
N
N
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
TRSWAP: IBOXHY INDEX_
000000000
16542000.00000000
OU
Notional Amount
USD
494931.07000000
0.157636251714
N/A
DE
US
N
2
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-09-20
0.00000000
USD
-36.73000000
USD
16542000.00000000
USD
494967.80000000
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAB9
1000000.00000000
PA
USD
881675.14000000
0.280814789621
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
TRSWAP: IBOXHY INDEX_
000000000
589000.00000000
OU
Notional Amount
USD
-4385.95000000
-0.00139693133
N/A
DE
US
N
2
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-09-20
0.00000000
USD
-15.69000000
USD
589000.00000000
USD
-4370.26000000
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AP1
1500000.00000000
PA
USD
1271022.93000000
0.404822616062
Long
DBT
US
N
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAG8
250000.00000000
PA
USD
252236.28000000
0.080337614944
Long
DBT
CORP
NL
N
2
2023-10-15
Fixed
4.88000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AY8
400000.00000000
PA
USD
407252.00000000
0.129710342862
Long
DBT
CORP
LR
N
2
2023-06-01
Fixed
10.88000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAL4
750000.00000000
PA
USD
645412.50000000
0.205564801800
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
3.88000000
N
N
N
N
N
N
Daiwa Capital Markets America, Inc.
M67H5PRC0NQKM73ZAS82
REPO DAIWA
000000000
20083507.50000000
PA
USD
20083507.50000000
6.396625783812
Long
RA
CORP
US
N
2
Repurchase
N
2.25000000
2022-09-01
21100000.00000000
USD
20493375.00000000
USD
UST
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AE4
1375000.00000000
PA
USD
1313648.08000000
0.418398787133
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.95000000
N
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
42642.03000000
NS
USD
42642.03000000
0.013581547375
Long
STIV
RF
US
N
1
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BG9
325000.00000000
PA
USD
266704.72000000
0.084945833720
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.35000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CC9
1625000.00000000
PA
USD
1382111.25000000
0.440204404427
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.38000000
N
N
N
N
N
N
PG&E CORP
8YQ2GSDWYZXO2EDN3511
PG&E Corp
69331CAJ7
750000.00000000
PA
USD
648375.00000000
0.206508362275
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
5.25000000
N
N
N
N
N
N
Hexcel Corp
S6Q7LW43WUBUHXY2QP69
Hexcel Corp
428291AN8
670000.00000000
PA
USD
636912.77000000
0.202857625672
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.20000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC22
000000000
232.00000000
NC
USD
-132989.82000000
-0.04235744735
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVZ2 COMDTY
2022-12-30
25843302.44000000
USD
-132989.82000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAQ2
375000.00000000
PA
USD
342849.38000000
0.109198016535
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.63000000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AX4
1125000.00000000
PA
USD
1007550.00000000
0.320906112066
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
5.63000000
N
N
N
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
NOMURA REPO
000000000
21999362.18000000
PA
USD
21999362.18000000
7.006828231971
Long
RA
CORP
US
N
2
Repurchase
N
2.25000000
2022-09-01
23913000.00000000
USD
22448328.75000000
USD
CDS
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill - WI Post Auction
912796P94
8000000.00000000
PA
USD
7941947.04000000
2.529521459821
Long
STIV
UST
US
N
1
2022-12-01
None
0.00000000
N
N
N
N
N
N
KB HOME
549300LGUCWQURMWLG09
KB Home
48666KAY5
500000.00000000
PA
USD
431002.42000000
0.137274885507
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.80000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC22
000000000
-4.00000000
NC
USD
267.04000000
0.000085052620
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT US Long Bond Futures
USZ2 COMDTY
2022-12-20
-543642.04000000
USD
267.04000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
257509.27000000
0.082017069779
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2362000000.00000000
JPY
17382102.32000000
USD
2022-11-21
257509.27000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
2335000000.00000000
PA
16810610.85000000
5.354203532661
Long
STIV
NUSS
JP
N
2
2022-10-31
None
0.00000000
N
N
N
N
N
N
JAGUAR LAND ROVER AUTOMO
529900L73GEWN1O5NH84
Jaguar Land Rover Automotive PLC
47010BAA2
190000.00000000
PA
USD
185337.65000000
0.059030305871
Long
DBT
CORP
GB
N
2
2023-02-01
Fixed
5.63000000
N
N
N
N
N
N
IRON MOUNTAIN INFO MGMT
N/A
Iron Mountain Information Management Services Inc
46285MAA8
2125000.00000000
PA
USD
1763976.70000000
0.561829094906
Long
DBT
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
BRINKER INTERNATIONAL IN
52990067JY6PBGJNTG76
Brinker International Inc
109641AG5
250000.00000000
PA
USD
245625.00000000
0.078231912834
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.88000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
3750000.00000000
PA
USD
3223256.25000000
1.026611712948
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BD7
750000.00000000
PA
USD
559492.50000000
0.178199159252
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
COGENT COMMUNICATIONS GR
549300KFWFYF8Q1U0Y26
Cogent Communications Group Inc
19240CAC7
250000.00000000
PA
USD
225082.42000000
0.071689071804
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fluor Corp
CQ7WZ4NOFWT7FAE6Q943
Fluor Corp
343412AF9
125000.00000000
PA
USD
113183.75000000
0.036049185808
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.25000000
N
N
N
N
N
N
CROWN AMERICAS LLC
RPPGGRL1J75WGF2DFO04
Crown Americas LLC
228180AA3
1500000.00000000
PA
USD
1440000.00000000
0.458642053868
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
5.25000000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CoreCivic Inc
21871NAB7
748000.00000000
PA
USD
739465.97000000
0.235520966143
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.25000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
1375000.00000000
PA
USD
1097882.50000000
0.349677142157
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.63000000
N
N
N
N
N
N
ENACT HOLDINGS INC
N/A
Enact Holdings Inc
37255LAA5
400000.00000000
PA
USD
382000.00000000
0.121667544845
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
6.50000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAT9
250000.00000000
PA
USD
218317.39000000
0.069534400100
Long
DBT
US
N
2
2025-03-15
Fixed
4.50000000
N
N
N
N
N
N
Transocean Guardian Ltd
N/A
Transocean Guardian Ltd
893800AA0
203547.87000000
PA
USD
192861.61000000
0.061426697863
Long
DBT
CORP
KY
N
2
2024-01-15
Fixed
5.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CEL1
54000000.00000000
PA
USD
53883561.42000000
17.16199116627
Long
DBT
UST
US
N
1
2024-04-30
Floating
2.83000000
N
N
N
N
N
N
PBF LOGISTICS LP/FINANCE
N/A
PBF Logistics LP / PBF Logistics Finance Corp
69318UAB1
250000.00000000
PA
USD
250000.00000000
0.079625356574
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC22
000000000
191.00000000
NC
USD
-134588.91000000
-0.04286675979
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYZ2 COMDTY
2022-12-20
22463682.66000000
USD
-134588.91000000
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAR6
1000000.00000000
PA
USD
832700.00000000
0.265216137678
Long
DBT
CORP
GB
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CFD8
4000000.00000000
PA
USD
3994699.60000000
1.272317520231
Long
DBT
UST
US
N
1
2024-07-31
Floating
2.94000000
N
N
N
N
N
N
PDC Energy Inc
5493008W8H2T511J5Y59
PDC Energy Inc
69327RAJ0
2000000.00000000
PA
USD
1915180.00000000
0.609987561616
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
NEW FORTRESS ENERGY INC
N/A
New Fortress Energy Inc
644393AB6
1500000.00000000
PA
USD
1421025.00000000
0.452598489304
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
6.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC22
000000000
72.00000000
NC
USD
-23988.82000000
-0.00764047338
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Futures
TUZ2 COMDTY
2022-12-30
15023613.89000000
USD
-23988.82000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
591052.82000000
0.188251166187
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
2335000000.00000000
JPY
17482872.21000000
USD
2022-10-31
591052.82000000
N
N
N
W & T OFFSHORE INC
549300Q7EOY2YIO3YK85
W&T Offshore Inc
92922PAL0
375000.00000000
PA
USD
367501.53000000
0.117049761471
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
9.75000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130ASSP5
27000000.00000000
PA
USD
27000375.30000000
8.599658043625
Long
DBT
USGSE
US
N
1
2022-11-25
Floating
2.33000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
1020000.00000000
PA
USD
907361.40000000
0.288995900067
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
1125000.00000000
PA
USD
1065937.50000000
0.339502614094
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.40000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AL8
125000.00000000
PA
USD
109119.38000000
0.034754678166
Long
DBT
CORP
US
N
2
2035-11-01
Fixed
6.88000000
N
N
N
N
N
N
OWENS-BROCKWAY
V2UQUCDZJ9WY98W8QU33
Owens-Brockway Glass Container Inc
69073TAR4
166000.00000000
PA
USD
165020.60000000
0.052559296468
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
5.88000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DZ5
812000.00000000
PA
USD
909399.40000000
0.289645005974
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
8.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
TRSWAP: IBOXHY INDEX_
000000000
33200000.00000000
OU
Notional Amount
USD
739730.74000000
0.235605295766
N/A
DE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-12-20
10.60000000
USD
0.00000000
USD
33200000.00000000
USD
739720.14000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC22
000000000
-1.00000000
NC
USD
-1516.99000000
-0.00048316347
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term US Treasury Bond Futures
WNZ2 COMDTY
2022-12-20
-147983.01000000
USD
-1516.99000000
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
Murphy Oil USA Inc
626738AF5
625000.00000000
PA
USD
527950.00000000
0.168152828013
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130ASUY3
10000000.00000000
PA
USD
10000529.70000000
3.185182973183
Long
DBT
USGSE
US
N
1
2022-12-02
Floating
2.32000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CCQ2
3630000.00000000
PA
USD
3633564.48000000
1.157295469424
Long
DBT
UST
US
N
1
2023-07-31
Floating
2.93000000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BE1
1625000.00000000
PA
USD
1476434.38000000
0.470246455865
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.38000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
TRSWAP: IBOXHY INDEX_
000000000
50100000.00000000
OU
Notional Amount
USD
-616385.25000000
-0.19631958127
N/A
DE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-09-20
0.00000000
USD
-1356.87000000
USD
50100000.00000000
USD
-615028.38000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
TRSWAP: IBOXHY INDEX_
000000000
41200000.00000000
OU
Notional Amount
USD
-872302.12000000
-0.27782946938
N/A
DE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-09-20
0.00000000
USD
-709.59000000
USD
41200000.00000000
USD
-871592.53000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAM1
250000.00000000
PA
USD
243006.20000000
0.077397821299
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.88000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
71429MAC9
750000.00000000
PA
USD
649170.00000000
0.206761570909
Long
DBT
CORP
IE
N
2
2030-06-15
Fixed
4.40000000
N
N
N
N
N
N
NEW FORTRESS ENERGY INC
N/A
New Fortress Energy Inc
644393AA8
262000.00000000
PA
USD
253445.70000000
0.080722816939
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
6.75000000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AU9
925000.00000000
PA
USD
908812.50000000
0.289458077487
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.25000000
N
N
N
N
N
N
Spirit AeroSystems Inc
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAG5
800000.00000000
PA
USD
717643.48000000
0.228570471953
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.85000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAP4
1750000.00000000
PA
USD
1708691.25000000
0.544220600227
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.13000000
N
N
N
N
N
N
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
TRSWAP: IBOXHY INDEX_
000000000
18750000.00000000
OU
Notional Amount
USD
-926754.62000000
-0.29517266829
N/A
DE
US
N
2
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Markit iBoxx USD Liquid High Yield Index
IBOXHY INDEX
Y
equity-performance leg
2022-12-20
0.00000000
USD
-327.56000000
USD
18750000.00000000
USD
-926427.06000000
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GBC0
2625000.00000000
PA
USD
2141160.00000000
0.681962513931
Long
DBT
CORP
AU
N
2
2031-04-01
Fixed
4.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBD2
45000000.00000000
PA
USD
44569526.40000000
14.19545772781
Long
DBT
UST
US
N
1
2022-12-31
Fixed
0.13000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
159790.47000000
0.050893492603
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1372000000.00000000
JPY
10106844.52000000
USD
2022-11-21
159790.47000000
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAN9
875000.00000000
PA
USD
815053.75000000
0.259595781884
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.13000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAA1
740000.00000000
PA
USD
658230.00000000
0.209647193831
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AM8
625000.00000000
PA
USD
546723.74000000
0.174132290980
Long
DBT
US
N
2
2027-02-01
Fixed
4.25000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (CDX.NA.HY.38.V2)
000000000
111139380.00000000
OU
Notional Amount
USD
1463602.12000000
0.466159362752
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S38
2I65BRZG8
Y
sell protection
2027-06-22
873892.75000000
USD
0.00000000
USD
111139380.00000000
USD
589709.37000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
8518000000.00000000
PA
61327958.02000000
19.53304210130
Long
STIV
NUSS
JP
N
2
2022-11-21
None
0.00000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
375000.00000000
PA
USD
360813.69000000
0.114919674892
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
512626.39000000
0.163272236372
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4784000000.00000000
JPY
35196814.86000000
USD
2022-11-21
512626.39000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
565000.00000000
PA
USD
533060.49000000
0.169780526367
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.35000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AD3
125000.00000000
PA
USD
123750.00000000
0.039414551504
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.50000000
N
N
N
N
N
N
2022-09-23
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer