N-CSRS 1 d803891dncsrs.htm GMO TRUST GMO Trust

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

 

 

GMO Trust

(Exact name of the registrant as specified in charter)

 

 

40 Rowes Wharf, Boston, MA 02110

(Address of principal executive offices) (Zip Code)

 

 

Sheppard N. Burnett, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110

(Name and address of agent for services)

 

 

Registrant’s telephone number, including area code: 617-346-7646

Date of fiscal year end: 02/29/20

Date of reporting period: 08/31/19

 

 

 


Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2019 are filed herewith.

 


GMO Trust

Semiannual Report

August 31, 2019

Asset Allocation Bond Fund

Core Plus Bond Fund

Emerging Country Debt Fund

High Yield Fund

Opportunistic Income Fund

U.S. Treasury Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary.

Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust.

Shareholder Services at

Grantham, Mayo, Van Otterloo & Co. LLC

40 Rowes Wharf, Boston, Massachusetts 02110

1-617-346-7646 (collect)


 

 

 

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q or Form N-PORT (available for filings after March 31, 2019), which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q or Form N-PORT may be reviewed and copied, after paying a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.


TABLE OF CONTENTS

 

Asset Allocation Bond Fund

               

Investment Concentration Summary

     1  

Schedule of Investments

     2  

Core Plus Bond Fund

  

Investment Concentration Summary

     3  

Schedule of Investments

     4  

Emerging Country Debt Fund

  

Investment Concentration Summary

     8  

Schedule of Investments

     9  

High Yield Fund

  

Investment Concentration Summary

     20  

Schedule of Investments

     21  

Opportunistic Income Fund

  

Investment Concentration Summary

     25  

Schedule of Investments

     26  

U.S. Treasury Fund

  

Investment Concentration Summary

     35  

Schedule of Investments

     36  

Portfolio, Counterparty and Currency Abbreviations

     37  

Fund Financial Statements:

  

Statements of Assets and Liabilities

     38  

Statements of Operations

     42  

Statements of Changes in Net Assets

     44  

Financial Highlights

     47  

Notes to Financial Statements

     53  

Board Review of Investment Management Agreements

     96  

Fund Expenses

     104  

 

   


GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Debt Obligations

    95.7

Mutual Funds

    4.0  

Short-Term Investments

    0.3  

Other

    0.0
 

 

 

 
    100.0 % 
 

 

 

 

 

&

In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

 

^

Rounds to 0.0%.

 

 

1


GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value† /

Shares

    Description   Value ($)  
  DEBT OBLIGATIONS — 95.7%

 

          U.S. Government — 95.7%  
    7,188,495     U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (a)     7,296,911  
    23,938,534     U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)     24,221,772  
    45,715,407     U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)     47,446,061  
    48,867,151     U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)     50,153,324  
    25,128,484     U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)     26,149,420  
    53,758,698     U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)     61,461,848  
    14,035,877     U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)     15,008,921  
    17,771,449     U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)     19,233,219  
    42,742,328     U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)     52,610,231  
     

 

 

 
    Total U.S. Government     303,581,707  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $290,271,560)
    303,581,707  
     

 

 

 
          MUTUAL FUNDS — 4.0%  
          United States — 4.0%  
          Affiliated Issuers — 4.0%  
    2,545,838     GMO U.S. Treasury Fund     12,729,189  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $12,729,189)
    12,729,189  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.3%  
          Money Market Funds — 0.3%  
    949,391     State Street Institutional Treasury Money Market Fund-Premier Class, 2.03% (b)     949,391  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $949,391)     949,391  
     

 

 

 
   

TOTAL INVESTMENTS — 100.0%

(Cost $303,950,140)

    317,260,287  
   

Other Assets and Liabilities

(net) — 0.0%

    31,366  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $317,291,653  
     

 

 

 

Notes to Schedule of Investments:

 

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

 

(a)

Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

 

(b)

The rate disclosed is the 7 day net yield as of August 31, 2019.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 37.

 

 

2   See accompanying notes to the financial statements.  


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

 

Asset Class Summary†   % of Total Net Assets  

Debt Obligations

    73.7

Short-Term Investments

    25.6  

Mutual Funds

    15.3  

Swap Contracts

    0.6  

Loan Participations

    0.1  

Rights/Warrants

    0.0

Loan Assignments

    0.0

Purchased Options

    0.0

Written Options/Credit Linked Options

    (0.0 )^ 

Futures Contracts

    (0.0 )^ 

Reverse Repurchase Agreements

    (0.0 )^ 

Forward Currency Contracts

    (0.4

Other

    (14.9
 

 

 

 
    100.0
 

 

 

 
 
Country/Region Summary‡   % of Investments  

United States

    83.9

Canada

    14.9  

Sweden

    11.9  

New Zealand

    11.4  

Other Emerging

    4.8 ¥ 

Switzerland

    2.7  

Japan

    1.7  

United Kingdom

    (6.0

Australia

    (12.2

Euro Region

    (13.1 )§ 
 

 

 

 
    100.0
 

 

 

 

 

The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

 

The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

 

¥

“Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represents between (1.0)% and 1.0% of Investments.

 

§

“Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

 

^

Rounds to 0.0%.

 

 

3


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
    DEBT OBLIGATIONS — 48.1%  
          United States — 48.1%      
          Asset-Backed Securities — 7.4%      
    300,237     Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate,
5.59%, due 12/11/40
    307,537  
    28,970,000     Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A,
3.42%, due 03/10/31
    30,423,370  
    2,900,000     Commercial Mortgage Trust, Series 13-WWP, Class C, 144A,
3.54%, due 03/10/31
    3,056,447  
    2,210,000     Commercial Mortgage Trust, Series 13-WWP, Class B, 144A,
3.73%, due 03/10/31
    2,344,743  
    5,360,000     Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31     5,714,216  
    375,000     Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33     385,115  
    100,000     Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.69%, due 08/11/33     103,113  
    5,000,000     Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.69%, due 08/11/33     5,155,656  
     

 

 

 
    Total Asset-Backed Securities     47,490,197  
     

 

 

 
          U.S. Government — 25.4%  
    7,407,000     U.S. Treasury Bond, 3.75%, due 11/15/43     10,025,201  
    45,764,000     U.S. Treasury Bond, 3.38%, due 05/15/44 (a)     58,676,241  
    27,733,000     U.S. Treasury Note, 1.75%, due 11/30/21     27,887,915  
    22,406,000     U.S. Treasury Note, 2.50%, due 05/15/24     23,507,920  
    27,877,000     U.S. Treasury Note, 2.00%, due 08/15/25     28,761,224  
    12,515,000     U.S. Treasury Note, 2.25%, due 02/15/27     13,216,035  
     

 

 

 
    Total U.S. Government     162,074,536  
     

 

 

 
          U.S. Government Agency — 15.3%  
    25,098,000     Federal National Mortgage Association, TBA, 2.50%, due 09/17/34     25,432,430  
    20,312,000     Federal National Mortgage Association, TBA, 3.00%, due 09/12/49     20,706,338  
    11,260,000     Federal National Mortgage Association, TBA, 3.50%, due 09/12/49     11,573,169  
    14,022,000     Federal National Mortgage Association, TBA, 4.00%, due 09/12/49     14,554,398  
    24,255,000     Government National Mortgage Association, TBA, 3.50%, due 09/19/49     25,198,671  
     

 

 

 
    Total U.S. Government Agency     97,465,006  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $291,307,790)
    307,029,739  
     

 

 

 

Shares /

Par Value†

    Description   Value ($)  
          MUTUAL FUNDS — 44.7%  
          United States — 44.7%  
          Affiliated Issuers — 29.4%  
    1,293,541     GMO Emerging Country Debt Fund, Class IV     35,831,081  
    5,179,318     GMO Opportunistic Income Fund, Class VI     138,494,958  
    2,739,927     GMO U.S. Treasury Fund     13,699,633  
     

 

 

 
    Total Affiliated Issuers     188,025,672  
     

 

 

 
          Exchange-Traded Fund — 15.3%  
    758,862     iShares iBoxx $ Investment Grade Corporate Bond ETF     97,741,426  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $277,648,762)
    285,767,098  
     

 

 

 
    SHORT-TERM INVESTMENTS — 22.7%

 

          Foreign Government Obligations — 22.5%  

JPY

    3,561,000,000     Japan Treasury Discount Bill, Zero Coupon, due 09/09/19     33,520,583  

JPY

    5,600,000,000     Japan Treasury Discount Bill, Zero Coupon, due 09/17/19     52,715,386  

JPY

    3,300,000,000     Japan Treasury Discount Bill, Zero Coupon, due 09/30/19     31,065,645  

JPY

    1,612,000,000     Japan Treasury Discount Bill, Zero Coupon, due 10/28/19     15,176,811  

JPY

    1,223,000,000     Japan Treasury Discount Bill, Zero Coupon, due 11/18/19     11,515,642  
     

 

 

 
        143,994, 067  
     

 

 

 
          Money Market Funds — 0.2%  
    1,207,165     State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (b)     1,207,165  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $142,671,539)
    145,201,232  
     

 

 

 
    TOTAL INVESTMENTS — 115.5% (Cost $711,628,091)     737,998,069  
    Other Assets and Liabilities (net) — (15.5%)     (98,790,116
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $639,207,953  
     

 

 

 
 

 

4   See accompanying notes to the financial statements.  


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

 

 

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

 

Counter-
party

 

Currency
Sold

   

Currency
Purchased

    Net
Unrealized
Appre-
ciation
(Depre-
ciation) ($)
 
11/06/2019   BOA   AUD     4,820,000     USD     3,331,198       79,122  
11/06/2019   GS   AUD     45,366,000     USD     31,095,749       487,093  
11/04/2019   BCLY   BRL     3,318,400     USD     800,000       2,020  
11/04/2019   MSCI   BRL     5,670,690     USD     1,410,000       46,362  
09/04/2019   BOA   CAD     4,301,230     USD     3,230,000       (658
09/04/2019   JPM   CHF     18,962,988     USD     19,010,000       (149,372
09/17/2019   BOA   CHF     36,068,393     USD     36,594,499       109,784  
09/17/2019   JPM   CHF     7,343,279     USD     7,530,000       101,960  
10/04/2019   JPM   CHF     18,962,988     USD     19,246,879       34,125  
10/11/2019   JPM   CLP     56,528,800     USD     80,000       1,632  
10/11/2019   MSCI   CLP     2,752,199,000     USD     3,985,171       169,687  
10/11/2019   BOA   COP     15,712,483,500     USD     4,789,525       232,557  
09/13/2019   BOA   CZK     13,804,176     USD     600,000       15,178  
09/13/2019   CITI   CZK     13,704,402     USD     590,000       9,405  
09/13/2019   MSCI   CZK     56,917,612     USD     2,509,322       97,974  
09/17/2019   BCLY   GBP     5,300,000     USD     6,698,282       245,568  
09/17/2019   JPM   GBP     4,379,000     USD     5,536,795       205,391  
09/13/2019   BCLY   HUF     155,990,396     USD     540,000       22,164  
09/13/2019   BOA   HUF     850,624,665     USD     3,017,363       193,572  
09/13/2019   JPM   HUF     152,842,217     USD     520,000       12,615  
09/12/2019   BCLY   INR     61,627,600     USD     860,000       812  
09/09/2019   BOA   JPY     283,509,945     USD     2,670,000       404  
09/09/2019   JPM   JPY     3,561,000,000     USD     33,060,491       (470,718
09/17/2019   MSCI   JPY     5,600,000,000     USD     51,995,769       (766,657
09/30/2019   CITI   JPY     3,300,000,000     USD     30,824,376       (299,070
10/28/2019   BOA   JPY     1,612,000,000     USD     14,928,276       (304,303
11/18/2019   JPM   JPY     1,223,000,000     USD     11,572,360       (46
09/10/2019   BCLY   KRW     4,625,064,890     USD     3,899,389       76,881  
11/21/2019   BCLY   MXN     11,553,300     USD     570,000       999  
09/04/2019   JPM   NOK     186,875,374     USD     20,760,426       252,165  
10/08/2019   MSCI   NOK     20,469,156     USD     2,280,000       31,772  
09/05/2019   GS   NZD     2,000,000     USD     1,304,280       44,035  
09/05/2019   JPM   NZD     12,810,000     USD     8,445,111       373,239  
09/05/2019   MSCI   NZD     11,230,000     USD     7,207,247       130,969  
10/11/2019   BCLY   PEN     1,068,465     USD     323,601       9,351  
10/11/2019   BOA   PEN     1,949,832     USD     590,000       16,528  
09/09/2019   JPM   PHP     60,220,670     USD     1,150,817       (4,764
09/13/2019   BOA   PLN     6,140,533     USD     1,580,000       37,226  
09/13/2019   MSCI   PLN     9,092,058     USD     2,400,842       116,515  
10/30/2019   BOA   RON     15,789,640     USD     3,718,359       49,921  
10/24/2019   BCLY   RUB     48,182,400     USD     720,000       2,574  
10/24/2019   BOA   RUB     66,827,600     USD     1,010,000       14,950  
10/03/2019   BCLY   SEK     36,974,030     USD     3,930,000       155,286  
11/06/2019   BCLY   SEK     30,470,155     USD     3,210,000       92,546  
09/17/2019   BCLY   SGD     2,297,412     USD     1,682,938       27,203  
09/17/2019   JPM   SGD     1,313,555     USD     970,000       23,327  
09/13/2019   BCLY   THB     19,477,710     USD     630,000       (7,259
09/11/2019   BCLY   TWD     123,315,030     USD     3,923,512       (16,265
11/06/2019   GS   USD     6,867,423     AUD     10,110,000       (46,158
11/04/2019   JPM   USD     1,305,730     BRL     4,977,218       (108,852
09/04/2019   BOA   USD     15,180,000     CAD     20,382,850       129,583  
09/04/2019   JPM   USD     14,909,274     CAD     19,986,893       102,904  
09/04/2019   JPM   USD     19,193,308     CHF     18,962,988       (33,936

Settlement
Date

 

Counter-
party

 

Currency
Sold

   

Currency
Purchased

    Net
Unrealized
Appre-
ciation
(Depre-
ciation) ($)
 
09/17/2019   BOA   USD     8,370,000     CHF     8,239,638       (35,256
10/11/2019   BOA   USD     700,000     COP     2,243,850,000       (49,234
09/13/2019   BCLY   USD     900,000     CZK     20,211,759       (43,717
09/13/2019   BOA   USD     340,000     CZK     7,649,415       (15,928
11/25/2019   CITI   USD     860,627     EUR     770,000       (9,061
09/17/2019   BCLY   USD     11,756,675     GBP     9,660,000       4,310  
09/17/2019   GS   USD     2,014,407     GBP     1,660,000       6,632  
09/17/2019   MSCI   USD     13,615,364     GBP     10,860,000       (393,387
11/26/2019   BCLY   USD     2,209,516     IDR     31,931,990,000       11,737  
11/26/2019   JPM   USD     520,000     IDR     7,520,760,000       3,159  
11/29/2019   BOA   USD     640,000     ILS     2,238,104       (3,533
11/29/2019   MSCI   USD     1,558,506     ILS     5,453,211       (7,734
09/12/2019   BCLY   USD     490,000     INR     33,841,360       (18,197
09/12/2019   JPM   USD     3,354,959     INR     235,087,530       (77,462
09/09/2019   GS   USD     6,470,000     JPY     696,915,502       92,319  
09/09/2019   JPM   USD     1,375,426     JPY     147,757,784       15,896  
09/10/2019   BCLY   USD     980,000     KRW     1,187,466,000       1,413  
11/21/2019   BCLY   USD     1,006,199     MXN     20,215,655       (10,576
09/04/2019   JPM   USD     21,350,000     NOK     186,875,374       (841,739
10/08/2019   MSCI   USD     14,952,923     NOK     127,693,480       (927,721
12/04/2019   JPM   USD     13,241,766     NOK     120,222,585       (26,499
09/05/2019   BOA   USD     1,178,282     NZD     1,830,000       (25,158
09/05/2019   GS   USD     1,680,762     NZD     2,592,000       (47,484
09/05/2019   JPM   USD     3,723,669     NZD     5,650,000       (163,476
09/05/2019   MSCI   USD     4,748,266     NZD     7,247,000       (181,766
09/09/2019   BCLY   USD     630,000     PHP     32,882,220       981  
09/13/2019   MSCI   USD     847,468     PLN     3,200,039       (43,476
10/24/2019   BOA   USD     3,869,664     RUB     247,335,390       (186,891
10/03/2019   BCLY   USD     2,550,000     SEK     24,254,708       (73,814
10/03/2019   MSCI   USD     4,610,000     SEK     42,629,125       (257,952
11/06/2019   BCLY   USD     29,312,169     SEK     281,360,179       (525,727
09/13/2019   BCLY   USD     3,870,137     THB     120,178,472       61,781  
09/13/2019   JPM   USD     570,000     THB     17,412,930       (296
09/20/2019   BCLY   USD     3,818,673     TRY     23,472,237       181,603  
09/11/2019   BCLY   USD     650,000     TWD     20,449,000       3,323  
09/11/2019   JPM   USD     590,000     TWD     18,268,170       (6,352
09/11/2019   MSCI   USD     650,000     TWD     20,124,845       (7,034
10/30/2019   BCLY   USD     2,230,189     ZAR     31,755,978       (151,792
10/30/2019   BCLY   ZAR     28,880,183     USD     1,870,000       (20,179
10/30/2019   BOA   ZAR     16,180,537     USD     1,050,000       (9,000
           

 

 

 
            $ (2,229,946
           

 

 

 
 

 

  See accompanying notes to the financial statements.   5


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

 

 

 

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys  
52   U.S. Long Bond (CBT)   December 2019     8,593,000       (27,741
317   U.S. Treasury Note 2 Yr. (CBT)   December 2019     68,509,149       13,655  
94   U.S. Treasury Note 5 Yr. (CBT)   December 2019     11,277,797       (844
22   U.S. Treasury Note 10 Yr. (CBT)   December 2019     2,897,812       4,354  
165   U.S. Treasury Ultra 10 Yr. (CBT)   December 2019     23,832,187       (45,574
12   U.S. Ultra Bond (CBT)   December 2019     2,369,250       (8,136
     

 

 

   

 

 

 
      $ 117,479,195     $ (64,286
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

 

 

Swap Contracts

Centrally Cleared Interest Rate Swaps

 

Fund Pays

   Fund Receives   

Notional

Amount

     Expiration
Date
    

Periodic
Payment
Frequency

   Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 

6 Month AUD BBSW

   1.11%    AUD      7,370,000        09/18/2029      Semi-Annually            11,981       11,981  

1.10%

   6 Month AUD BBSW    AUD      72,258,000        09/18/2029      Semi-Annually      152,932       (70,331     (223,263

1.14%

   6 Month AUD BBSW    AUD      4,369,000        09/18/2029      Semi-Annually            (16,222     (16,222

1.14%

   6 Month AUD BBSW    AUD      64,745,000        09/18/2029      Semi-Annually      (157,474     (236,179     (78,705

6 Month AUD BBSW

   1.05%    AUD      9,610,000        09/18/2029      Semi-Annually            (20,110     (20,110

6 Month AUD BBSW

   1.08%    AUD      6,920,000        09/18/2029      Semi-Annually            (2,293     (2,293

1.09%

   6 Month AUD BBSW    AUD      15,495,600        09/18/2029      Semi-Annually      (2,326     (2,953     (627

3 Month CAD LIBOR

   1.68%    CAD      135,980,000        09/17/2029      Semi-Annually      617,336       1,057,875       440,539  

3 Month CAD LIBOR

   1.62%    CAD      8,420,000        09/17/2029      Semi-Annually            32,825       32,825  

1.53%

   3 Month CAD LIBOR    CAD      5,650,000        09/17/2029      Semi-Annually            12,662       12,662  

3 Month CAD LIBOR

   1.67%    CAD      10,120,000        09/17/2029      Semi-Annually            75,159       75,159  

3 Month CAD LIBOR

   1.58%    CAD      11,465,000        09/17/2029      Semi-Annually            10,715       10,715  

3 Month CAD LIBOR

   1.57%    CAD      11,465,000        09/17/2029      Semi-Annually            1,006       1,006  

1.63%

   3 Month CAD LIBOR    CAD      30,750,000        09/17/2029      Semi-Annually      (16,860     (130,726     (113,866

3 Month CAD LIBOR

   1.53%    CAD      3,560,000        09/17/2029      Semi-Annually            (7,978     (7,978

(0.68)%

   6 Month CHF LIBOR    CHF      6,073,000        09/18/2029      Semi-Annually            53,371       53,371  

(0.61)%

   6 Month CHF LIBOR    CHF      6,350,000        09/18/2029      Semi-Annually            8,636       8,636  

(0.60)%

   6 Month CHF LIBOR    CHF      360,000        09/18/2029      Semi-Annually            12       12  

6 Month CHF LIBOR

   (0.64)%    CHF      18,726,000        09/18/2029      Semi-Annually      6,479       (80,114     (86,593

6 Month CHF LIBOR

   (0.61)%    CHF      14,110,000        09/18/2029      Semi-Annually            (20,436     (20,436

(0.29)%

   6 Month EURIBOR    EUR      5,750,000        09/19/2029      Semi-Annually            8,678       8,678  

(0.30)%

   6 Month EURIBOR    EUR      1,335,000        09/19/2029      Semi-Annually            3,458       3,458  

(0.31)%

   6 Month EURIBOR    EUR      1,995,000        09/19/2029      Semi-Annually            6,869       6,869  

(0.31)%

   6 Month EURIBOR    EUR      1,335,000        09/19/2029      Semi-Annually            4,293       4,293  

(0.31)%

   6 Month EURIBOR    EUR      1,045,000        09/19/2029      Semi-Annually            4,133       4,133  

 

6   See accompanying notes to the financial statements.  


GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (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) ($)
 

(0.22)%

     6 Month EURIBOR      EUR      61,170,000        09/19/2029      Semi-Annually      (229,976     (394,809     (164,833

(0.25)%

     6 Month EURIBOR      EUR      4,200,000        09/19/2029      Semi-Annually            (12,774     (12,774

(0.27)%

     6 Month EURIBOR      EUR      4,200,000        09/19/2029      Semi-Annually            (2,740     (2,740

(0.24)%

     6 Month EURIBOR      EUR      6,060,000        09/19/2029      Semi-Annually            (27,393     (27,393

0.65%

     6 Month GBP LIBOR      GBP      40,800,000        09/19/2029      Semi-Annually      (183,623     (164,174     19,449  

6 Month GBP LIBOR

     0.66%      GBP      4,030,000        09/19/2029      Semi-Annually            21,508       21,508  

6 Month GBP LIBOR

     0.64%      GBP      4,030,000        09/19/2029      Semi-Annually            11,405       11,405  

0.60%

     6 Month GBP LIBOR      GBP      1,602,000        09/19/2029      Semi-Annually            3,212       3,212  

0.60%

     6 Month GBP LIBOR      GBP      1,602,000        09/19/2029      Semi-Annually            3,977       3,977  

0.59%

     6 Month GBP LIBOR      GBP      2,394,000        09/19/2029      Semi-Annually            6,514       6,514  

0.58%

     6 Month GBP LIBOR      GBP      1,380,000        09/19/2029      Semi-Annually            5,732       5,732  

0.59%

     6 Month GBP LIBOR      GBP      1,380,000        09/19/2029      Semi-Annually            4,661       4,661  

0.59%

     6 Month GBP LIBOR      GBP      1,380,000        09/19/2029      Semi-Annually            4,497       4,497  

6 Month GBP LIBOR

     0.61%      GBP      5,482,000        09/19/2029      Semi-Annually            (4,773     (4,773

3 Month NZD Bank Bill Rate

     1.30%      NZD      132,921,000        09/18/2029      Quarterly      145,344       749,604       604,260  

3 Month NZD Bank Bill Rate

     1.23%      NZD      3,740,000        09/18/2029      Quarterly            6,365       6,365  

3 Month SEK STIBOR

     0.27%      SEK      170,300,000        09/18/2029      Quarterly      (8,486     212,969       221,455  

3 Month SEK STIBOR

     0.30%      SEK      299,935,000        09/18/2029      Quarterly      66,056       455,399       389,343  

3 Month SEK STIBOR

     0.27%      SEK      105,700,000        09/18/2029      Quarterly            125,444       125,444  

3 Month SEK STIBOR

     0.16%      SEK      62,700,000        09/18/2029      Quarterly            2,457       2,457  

3 Month SEK STIBOR

     0.21%      SEK      72,200,000        09/18/2029      Quarterly            41,864       41,864  

3 Month SEK STIBOR

     0.25%      SEK      35,800,000        09/18/2029      Quarterly            37,009       37,009  

3 Month SEK STIBOR

     0.19%      SEK      104,900,000        09/18/2029      Quarterly            41,563       41,563  

3 Month USD LIBOR

     1.56%      USD      23,031,000        12/19/2029      Quarterly      (36,040     398,567       434,607  

1.43%

     3 Month USD LIBOR      USD      6,820,000        12/19/2029      Quarterly            (34,588     (34,588

1.48%

     3 Month USD LIBOR      USD      6,840,000        12/19/2029      Quarterly            (68,162     (68,162

1.41%

     3 Month USD LIBOR      USD      9,645,000        12/19/2029      Quarterly            (34,846     (34,846

1.42%

     3 Month USD LIBOR      USD      9,645,000        12/19/2029      Quarterly            (38,023     (38,023

1.38%

     3 Month USD LIBOR      USD      3,737,000        12/19/2029      Quarterly            (1,192     (1,192

1.38%

     3 Month USD LIBOR      USD      3,737,000        12/19/2029      Quarterly            (1,017     (1,017

1.39%

     3 Month USD LIBOR      USD      3,736,000        12/19/2029      Quarterly            (3,126     (3,126
                 

 

 

   

 

 

   

 

 

 
                  $ 353,362     $ 2,049,461     $ 1,696,099  
                 

 

 

   

 

 

   

 

 

 

As of August 31, 2019, 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 (Note 4).

 

(b)

The rate disclosed is the 7 day net yield as of August 31, 2019.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 37.

 

 

  See accompanying notes to the financial statements.   7


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

 

Asset Class Summary†   % of Total Net Assets  

Debt Obligations

    93.7

Short-Term Investments

    2.5  

Loan Participations

    1.3  

Rights/Warrants

    0.4  

Loan Assignments

    0.2  

Swap Contracts

    (0.0 )^ 

Written Options/Credit Linked Options

    (0.0 )^ 

Forward Currency Contracts

    (0.0 )^ 

Reverse Repurchase Agreements

    (0.2

Other

    2.1  
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary‡   % of Investments  

Other Emerging

    15.8 %* 

Mexico

    12.5  

Turkey

    8.1  

Indonesia

    8.0  

Russia

    5.0  

Oman

    3.3  

Argentina

    3.2  

Brazil

    3.2  

Ukraine

    3.2  

Tunisia

    2.9  

South Africa

    2.5  

Philippines

    2.4  

Saudi Arabia

    2.1  

Ecuador

    2.0  

Chile

    1.8  

Colombia

    1.9  

Pakistan

    1.9  

United States

    1.9  

Venezuela

    1.9  

China

    1.8  

Costa Rica

    1.8  

Egypt

    1.8  

Dominican Republic

    1.7  

Israel

    1.6  

Kazakhstan

    1.6  

Uruguay

    1.5  

Ivory Coast

    1.2  

Sri Lanka

    1.2  

Bahrain

    1.1  

Croatia

    1.1  
 

 

 

 
    100.0 % 
 

 

 

 

The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

 

The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security.

 

*

“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

 

^

Rounds to 0.0%.

 

 

8


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
    DEBT OBLIGATIONS — 93.7%

 

          Albania — 1.0%  
          Foreign Government Obligations  
    49,649,849     Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)     41,979,027  
     

 

 

 
          Angola — 0.3%  
          Foreign Government Obligations  
    12,700,000     Angolan Government International Bond, 144A, 9.38%, due 05/08/48     13,398,500  
     

 

 

 
          Argentina — 2.5%      
          Foreign Government Obligations  
    5,400,000     Republic of Argentina,
7.50%, due 04/22/26
    2,043,900  
    23,100,000     Republic of Argentina,
6.88%, due 01/26/27
    8,500,800  

EUR

    12,000,000     Republic of Argentina,
5.25%, due 01/15/28
    4,616,009  

JPY

    407,485,276     Republic of Argentina, Variable Rate,
4.33%, due 12/31/33 (c)
    1,917,848  

EUR

    17,641,371     Republic of Argentina Discount Bond,
7.82%, due 12/31/33
    7,597,964  
    40,308,593     Republic of Argentina Discount Bond,
8.28%, due 12/31/33
    15,884,105  
    10,786,557     Republic of Argentina Discount Bond,
8.28%, due 12/31/33
    5,379,762  

EUR

    109,130,000     Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38     42,578,447  

EUR

    42,850,000     Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38     16,482,997  
     

 

 

 
    Total Argentina     105,001,832  
     

 

 

 
          Armenia — 0.1%  
          Foreign Government Obligations  
    2,195,000     Republic of Armenia, Reg S,
7.15%, due 03/26/25
    2,526,308  
     

 

 

 
          Azerbaijan — 0.5%  
          Foreign Government Agency — 0.2%  
    7,450,000     Southern Gas Corridor CJSC, Reg S,
6.88%, due 03/24/26
    8,800,313  
     

 

 

 
          Foreign Government Obligations — 0.3%  
    13,100,000     Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29     14,147,971  
     

 

 

 
    Total Azerbaijan     22,948,284  
     

 

 

 
          Bahrain — 0.6%  
          Foreign Government Obligations  
    22,550,000     Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47     26,094,578  
     

 

 

 

Par Value†

    Description   Value ($)  
          Belarus — 0.1%  
          Foreign Government Obligations  
    3,700,000     Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30     3,932,406  
     

 

 

 
          Belize — 0.5%  
          Foreign Government Obligations  
    35,228,000     Republic of Belize, Reg S, Step Up,
4.94%, due 02/20/34
    21,367,984  
     

 

 

 
          Bermuda — 0.1%  
          Foreign Government Obligations  
    4,300,000     Bermuda Government International Bond, 144A, 4.75%, due 02/15/29     4,923,500  
     

 

 

 
          Brazil — 2.0%  
          Corporate Debt — 0.5%  
    19,000,000     MV24 Capital BV, 144A,
6.75%, due 06/01/34
    19,224,200  
     

 

 

 
          Foreign Government Agency — 0.8%  
    31,039,000     Petrobras Global Finance BV,
6.85%, due 06/05/2115
    34,670,563  
     

 

 

 
          Foreign Government Obligations — 0.7%  
    16,897,000     Republic of Brazil, 7.13%, due 01/20/37     21,923,857  
    6,340,000     Republic of Brazil, 5.63%, due 02/21/47     7,273,169  
     

 

 

 
        29,197,026  
     

 

 

 
    Total Brazil     83,091,789  
     

 

 

 
          Cameroon — 0.1%  
          Foreign Government Obligations  
    4,500,000     Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25     4,885,313  
     

 

 

 
          Chile — 1.1%  
          Foreign Government Agency — 0.2%  
    8,800,000     Corp Nacional del Cobre de Chile, Reg S,
4.25%, due 07/17/42
    9,864,250  
     

 

 

 
          Corporate Debt — 0.9%  
    4,300,000     Empresa Nacional del Petroleo, 144A,
5.25%, due 11/06/29
    4,998,750  
    3,600,000     Empresa Nacional del Petroleo, Reg S,
4.50%, due 09/14/47
    3,907,688  
    20,411,000     Empresa Nacional de Electricidad SA,
8.13%, due 02/01/97(c)
    28,575,400  
     

 

 

 
        37,481,838  
     

 

 

 
    Total Chile     47,346,088  
     

 

 

 
          Colombia — 1.8%  
          Foreign Government Agency — 1.4%  
    44,011,000     Ecopetrol SA, 7.38%, due 09/18/43     59,167,288  
     

 

 

 
 

 

  See accompanying notes to the financial statements.   9


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
          Colombia — continued  
          Foreign Government Obligations — 0.4%  
    647,000     Colombia Government International Bond, 8.38%, due 02/15/27     772,680  
    7,800,000     Colombia Government International Bond, 5.63%, due 02/26/44     10,059,562  
    3,800,000     Republic of Colombia,
11.85%, due 03/09/28 (c)
    6,080,000  
     

 

 

 
        16,912,242  
     

 

 

 
    Total Colombia     76,079,530  
     

 

 

 
          Congo Republic (Brazzaville) — 1.5%  
          Foreign Government Obligations  
    72,676,938     Republic of Congo, Reg S, Step Up,
6.00%, due 06/30/29 (c)
    62,865,551  
     

 

 

 
          Costa Rica — 1.7%  
          Foreign Government Agency — 0.1%  
    5,500,000     Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43     4,566,719  
     

 

 

 
          Foreign Government Obligations — 1.6%  
    26,400,000     Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26     29,607,286  
    36,631,000     Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45     37,352,172  
     

 

 

 
        66,959,458  
     

 

 

 
    Total Costa Rica     71,526,177  
     

 

 

 
          Dominican Republic — 1.9%  
          Asset-Backed Securities — 0.5%  
    17,872,348     Autopistas Del Nordeste Ltd., Reg S,
9.39%, due 04/15/24
    19,123,412  
     

 

 

 
          Foreign Government Obligations — 1.4%  
    17,687,000     Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27     21,334,944  
    29,811,000     Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45     34,208,123  
    5,100,000     Dominican Republic International Bond, 144A, 6.40%, due 06/05/49     5,602,031  
     

 

 

 
        61,145,098  
     

 

 

 
    Total Dominican Republic     80,268,510  
     

 

 

 
          Ecuador — 1.9%  
          Foreign Government Obligations  
    18,900,000     Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27     19,396,125  
    34,000,000     Ecuador Government International Bond, Reg S, 8.88%, due 10/23/27     33,617,500  
    7,300,000     Ecuador Government International Bond, Reg S, 7.88%, due 01/23/28     6,866,563  
    18,100,000     Ecuador Government International Bond, Reg S, 10.75%, due 01/31/29     19,570,625  
     

 

 

 
    Total Ecuador     79,450,813  
     

 

 

 

Par Value†

    Description   Value ($)  
          Egypt — 1.2%  
          Foreign Government Obligations  
    24,000,000     Egypt Government International Bond, Reg S, 7.90%, due 02/21/48     24,705,000  
    23,400,000     Egypt Government International Bond, 144A, 8.70%, due 03/01/49     25,564,500  
     

 

 

 
    Total Egypt     50,269,500  
     

 

 

 
          El Salvador — 0.8%  
          Foreign Government Obligations  
    26,275,000     El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35     28,163,516  
    5,300,000     El Salvador Government International Bond, 144A, 7.12%, due 01/20/50     5,409,312  
     

 

 

 
    Total El Salvador     33,572,828  
     

 

 

 
          Ethiopia — 0.1%  
          Foreign Government Obligations  
    4,190,000     Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24     4,358,909  
     

 

 

 
          Gabon — 0.4%  
          Foreign Government Obligations  
    15,300,000     Gabonese Republic, Reg S,
6.38%, due 12/12/24
    14,774,063  
     

 

 

 
          Ghana — 0.9%  
          Foreign Government Agency — 0.4%  
    13,514,814     Saderea, Ltd., Reg S,
12.50%, due 11/30/26
    14,730,104  
     

 

 

 
          Foreign Government Obligations — 0.5%  
    17,482,000     Republic of Ghana, Reg S,
10.75%, due 10/14/30
    21,765,090  
     

 

 

 
    Total Ghana     36,495,194  
     

 

 

 
          Greece — 0.2%  
          Foreign Government Obligations  

EUR

    5,800,000     Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36     7,539,691  
     

 

 

 
          Grenada — 0.2%  
          Foreign Government Obligations  
    6,992,597     Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30     6,642,967  
     

 

 

 
          Guatemala — 0.6%  
          Foreign Government Obligations  
    16,195,000     Republic of Guatemala, Reg S,
8.13%, due 10/06/34
    20,871,307  
    2,900,000     Republic of Guatemala, 144A,
6.13%, due 06/01/50
    3,466,406  
     

 

 

 
    Total Guatemala     24,337,713  
     

 

 

 
 

 

10   See accompanying notes to the financial statements.  


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
          Honduras — 0.3%  
          Foreign Government Obligations  
    3,416,000     Honduras Government International Bond, Reg S, 7.50%, due 03/15/24     3,808,840  
    6,646,000     Honduras Government International Bond, Reg S, 6.25%, due 01/19/27     7,221,294  
     

 

 

 
    Total Honduras     11,030,134  
     

 

 

 
          India — 0.1%  
          Corporate Debt  
    3,700,000     Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29     3,877,057  
     

 

 

 
          Indonesia — 5.4%  
          Foreign Government Agency — 1.6%  
    14,400,000     Pertamina Persero PT, Reg S,
6.50%, due 05/27/41
    18,760,500  
    8,100,000     Pertamina Persero PT, Reg S,
5.63%, due 05/20/43
    9,709,875  
    8,800,000     Pertamina Persero PT, 144A,
6.50%, due 11/07/48
    11,836,000  
    6,100,000     Perusahaan Listrik Negara PT, Reg S,
6.15%, due 05/21/48
    7,907,125  
    14,200,000     Perusahaan Listrik Negara PT, 144A,
6.25%, due 01/25/49
    18,673,000  
     

 

 

 
        66,886,500  
     

 

 

 
          Foreign Government Obligations — 3.8%  
    12,200,000     Indonesia Government International Bond, 4.75%, due 02/11/29     14,075,750  
    24,000,000     Indonesia Government International Bond, 4.35%, due 01/11/48     27,300,000  
    12,200,000     Indonesia Government International Bond, 5.35%, due 02/11/49     15,959,125  
    43,091,000     Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37     60,085,013  
    28,780,000     Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42     35,642,231  
    6,000,000     Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47     7,558,125  
     

 

 

 
        160,620,244  
     

 

 

 
    Total Indonesia     227,506,744  
     

 

 

 
          Iraq — 0.4%  
          Foreign Government Obligations  
    15,000,000     Republic of Iraq, Reg S,
5.80%, due 01/15/28
    14,676,563  
     

 

 

 
          Israel — 1.1%  
          Foreign Government Agency  

JPY

    2,500,000,000     Israel Electric Corp., Ltd.,
4.10%, due 01/14/32 (c)
    28,008,660  
    12,323,000     Israel Electric Corp., Ltd., Reg S,
8.10%, due 12/15/96
    17,375,430  
     

 

 

 
    Total Israel     45,384,090  
     

 

 

 

Par Value†

    Description   Value ($)  
          Ivory Coast — 0.8%  
          Foreign Government Obligations  
    4,574,240     Ivory Coast Government International Bond, Reg S, Step Up,
5.75%, due 12/31/32
    4,534,215  

EUR

    24,500,000     Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48     27,827,079  
     

 

 

 
    Total Ivory Coast     32,361,294  
     

 

 

 
          Jamaica — 0.6%  
          Foreign Government Agency — 0.1%  
    4,000,000     National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)     4,820,000  
     

 

 

 
          Foreign Government Obligations — 0.5%  
    16,875,000     Jamaica Government International Bond, 7.88%, due 07/28/45     21,900,586  
     

 

 

 
    Total Jamaica     26,720,586  
     

 

 

 
          Jordan — 0.5%  
          Foreign Government Obligations  
    21,450,000     Jordan Government International Bond, Reg S, 7.38%, due 10/10/47     22,308,000  
     

 

 

 
          Kazakhstan — 1.2%  
          Foreign Government Agency — 0.5%  
    14,700,000     KazMunayGas National Co JSC, 144A,
6.38%, due 10/24/48
    18,563,344  
     

 

 

 
          Foreign Government Obligations — 0.7%  
    21,299,000     Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45     31,043,292  
     

 

 

 
    Total Kazakhstan     49,606,636  
     

 

 

 
          Kenya — 0.5%  
          Foreign Government Obligations  
    21,000,000     Kenya Government International Bond, Reg S, 8.25%, due 02/28/48     21,656,250  
     

 

 

 
          Malaysia — 0.2%  
          Foreign Government Agency  
    7,700,000     1MDB Global Investments Ltd, Reg S,
4.40%, due 03/09/23
    7,372,750  
     

 

 

 
          Mexico — 8.6%  
          Foreign Government Agency — 4.1%  
    5,000,000     Petroleos Mexicanos,
6.50%, due 01/23/29
    5,046,875  
    106,387,000     Petroleos Mexicanos,
6.75%, due 09/21/47
    101,067,650  
    69,851,000     Petroleos Mexicanos,
6.35%, due 02/12/48
    64,210,532  
    6,400,000     Petroleos Mexicanos, Reg S,
6.63%, due 09/29/49
    5,698,000  
     

 

 

 
        176,023,057  
     

 

 

 
 

 

  See accompanying notes to the financial statements.   11


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
          Mexico — continued  
          Foreign Government Obligations — 4.5%  
    102,178,000     United Mexican States,
5.75%, due 10/12/2110
    120,857,415  

GBP

    50,396,000     United Mexican States,
5.63%, due 03/19/2114
    68,488,823  
     

 

 

 
        189,346,238  
     

 

 

 
    Total Mexico     365,369,295  
     

 

 

 
          Morocco — 0.4%  
          Foreign Government Agency  
    14,500,000     Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44     18,029,844  
     

 

 

 
          Mozambique — 0.1%  
          Foreign Government Obligations  
    4,744,000     Mozambique International Bond, Reg S,
10.50%, due 01/18/23 (d) (e)
    4,930,795  
     

 

 

 
          Nigeria — 0.4%  
          Foreign Government Obligations  
    10,750,000     Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47     10,343,516  
    7,200,000     Nigeria Government International Bond,
Reg S, 7.70%, due 02/23/38
    7,184,250  
     

 

 

 
    Total Nigeria     17,527,766  
     

 

 

 
          Oman — 2.3%  
          Foreign Government Obligations  
    33,800,000     Oman Government International Bond, 144A, 6.00%, due 08/01/29     33,588,750  
    24,100,000     Oman Government International Bond, Reg S, 6.50%, due 03/08/47     22,352,750  
    43,700,000     Oman Government International Bond, Reg S, 6.75%, due 01/17/48     41,091,656  
     

 

 

 
    Total Oman     97,033,156  
     

 

 

 
          Pakistan — 0.9%  
          Foreign Government Obligations  
    39,562,000     Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36     39,809,263  
     

 

 

 
          Panama — 0.9%  
          Foreign Government Agency — 0.4%  
    12,900,000     Aeropuerto Internacional de Tocumen SA, 144A, 6.00%, due 11/18/48     16,435,890  
     

 

 

 
          Foreign Government Obligations — 0.5%  
    7,951,000     Panama Government International Bond, 8.13%, due 04/28/34     11,210,910  
    4,000,000     Panama Government International Bond, 4.30%, due 04/29/53     4,911,250  
    4,200,000     Panama Notas del Tesoro, 144A,
3.75%, due 04/17/26
    4,460,400  
     

 

 

 
        20,582,560  
     

 

 

 
    Total Panama     37,018,450  
     

 

 

 

Par Value†

    Description   Value ($)  
          Papua New Guinea — 0.0%  
          Foreign Government Obligations  
    1,400,000     Papua New Guinea Government International Bond, 144A,
8.38%, due 10/04/28
    1,470,000  
     

 

 

 
          Paraguay — 0.1%  
          Foreign Government Obligations  
    3,000,000     Republic of Paraguay, Reg S,
6.10%, due 08/11/44
    3,756,563  
     

 

 

 
          Peru — 1.1%  
          Foreign Government Agency — 1.0%  
    11,796,726     Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)     10,992,897  
    25,895,000     Petroleos del Peru SA, Reg S,
5.63%, due 06/19/47
    31,573,773  
     

 

 

 
        42,566,670  
     

 

 

 
          Foreign Government Obligations — 0.1%  
    5,000,000     Peru Par Bond, Series 30 Yr., Step Up,
4.00%, due 03/07/27 (c)
    5,030,075  
     

 

 

 
    Total Peru     47,596,745  
     

 

 

 
          Philippines — 2.7%  
          Foreign Government Agency  
    9,000,000     Bangko Sentral ng Pilipinas Bond,
8.60%, due 06/15/97 (c)
    19,571,261  
    23,300,000     Central Bank of Philippines, Series A,
8.60%, due 06/15/27
    30,872,500  
    42,012,000     National Power Corp., Global Bond,
9.63%, due 05/15/28
    62,125,245  
     

 

 

 
    Total Philippines     112,569,006  
     

 

 

 
          Qatar — 0.3%  
          Foreign Government Obligations  
    11,000,000     Qatar Government International Bond, Reg S, 5.10%, due 04/23/48     14,674,688  
     

 

 

 
          Romania — 0.2%  
          Foreign Government Obligations  

EUR

    7,200,000     Romanian Government International Bond, 144A, 4.63%, due 04/03/49     10,133,787  
     

 

 

 
          Russia — 4.1%  
          Foreign Government Agency — 1.4%  
    30,067,000     Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34     42,056,217  
    15,700,000     Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22     16,352,531  
     

 

 

 
        58,408,748  
     

 

 

 
 

 

12   See accompanying notes to the financial statements.  


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
          Russia — continued  
          Foreign Government Obligations — 2.7%  
    49,600,000     Russian Foreign Bond, 144A,
5.10%, due 03/28/35
    56,048,000  
    48,600,000     Russian Foreign Bond, Reg S,
5.25%, due 06/23/47
    57,909,937  
     

 

 

 
        113,957,937  
     

 

 

 
    Total Russia     172,366,685  
     

 

 

 
          Rwanda — 0.1%  
          Foreign Government Obligations  
    5,487,000     Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23     5,802,487  
     

 

 

 
          Saudi Arabia — 1.5%  
          Corporate Debt — 0.1%  
    3,700,000     ACWA Power Management And Investments One Ltd, Reg S,
5.95%, due 12/15/39
    4,066,531  
     

 

 

 
          Foreign Government Obligations — 1.4%  
    21,000,000     Saudi Government International Bond, 144A, 5.00%, due 04/17/49     26,250,000  
    26,100,000     Saudi Government International Bond, 144A, 5.25%, due 01/16/50     33,734,250  
     

 

 

 
        59,984,250  
     

 

 

 
    Total Saudi Arabia     64,050,781  
     

 

 

 
          Senegal — 0.3%  
          Foreign Government Obligations  
    14,400,000     Senegal Government International Bond, Reg S, 6.75%, due 03/13/48     13,752,000  
     

 

 

 
          South Africa — 1.8%  
          Foreign Government Agency — 0.5%  
    9,100,000     Eskom Holdings SOC, Ltd., Reg S,
7.13%, due 02/11/25
    9,350,250  
    8,500,000     Eskom Holdings SOC, Ltd., 144A,
8.45%, due 08/10/28
    9,312,812  

ZAR

    163,000,000     Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32     1,552,765  

ZAR

    27,300,000     Transnet, Ltd., 13.50%, due 04/18/28     2,196,760  
     

 

 

 
        22,412,587  
     

 

 

 
          Foreign Government Obligations — 1.3%  
    21,700,000     Republic of South Africa Government International Bond, 5.65%, due 09/27/47     22,812,125  
    28,300,000     Republic of South Africa Government International Bond, 6.30%, due 06/22/48     32,120,500  
     

 

 

 
        54,932,625  
     

 

 

 
    Total South Africa     77,345,212  
     

 

 

 

Par Value†

    Description   Value ($)  
          Sri Lanka — 1.1%  
          Foreign Government Obligations  
    14,500,000     Sri Lanka Government International Bond, 144A, 6.75%, due 04/18/28     13,847,500  
    11,100,000     Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30     11,100,000  
    9,280,000     Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26     9,172,700  
    10,844,000     Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27     10,162,861  
     

 

 

 
    Total Sri Lanka     44,283,061  
     

 

 

 
          SupraNational — 0.3%  
          Corporate Debt  

TRY

    263,000,000     International Finance Corp., Zero Coupon, Reg S, due 02/15/29     12,307,037  
     

 

 

 
          Suriname — 0.3%  
          Foreign Government Obligations  
    16,178,000     Republic of Suriname, Reg S,
9.25%, due 10/26/26 (d)
    14,418,643  
     

 

 

 
          Trinidad And Tobago — 0.4%  
          Foreign Government Agency  
    4,792,000     Trinidad Generation UnLtd, Reg S,
5.25%, due 11/04/27
    4,875,860  
    11,361,000     Trinidad Petroleum Holdings Ltd, 144A, 9.75%, due 06/15/26     12,864,202  
     

 

 

 
    Total Trinidad And Tobago     17,740,062  
     

 

 

 
          Tunisia — 1.8%  
          Foreign Government Agency  

JPY

    7,340,000,000     Banque Centrale de Tunisie SA,
4.30%, due 08/02/30 (c)
    56,138,028  

JPY

    2,500,000,000     Banque Centrale de Tunisie SA,
4.20%, due 03/17/31 (c)
    18,761,002  
     

 

 

 
    Total Tunisia     74,899,030  
     

 

 

 
          Turkey — 6.9%  
          Corporate Debt — 0.3%  
    12,940,000     Akbank Turk AS, Reg S, Variable Rate,
6.80%, due 04/27/28
    10,800,856  
     

 

 

 
          Foreign Government Agency — 1.4%  
    5,000,000     Export Credit Bank of Turkey, Reg S,
6.13%, due 05/03/24
    4,690,625  
    10,950,000     Petkim Petrokimya Holding AS, Reg S,
5.88%, due 01/26/23
    10,539,375  
    11,078,000     QNB Finansbank AS, 144A,
6.88%, due 09/07/24
    11,327,947  
    5,000,000     TC Ziraat Bankasi AS, Reg S,
5.13%, due 09/29/23
    4,550,000  
 

 

  See accompanying notes to the financial statements.   13


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
          Turkey — continued  
          Foreign Government Agency — continued  
    11,200,000     Turkiye Vakiflar Bankasi TAO, Reg S,
5.75%, due 01/30/23
    10,375,121  
    19,700,000     Turkiye Vakiflar Bankasi TAO, 144A,
8.13%, due 03/28/24
    19,256,750  
     

 

 

 
        60,739,818  
     

 

 

 
          Foreign Government Obligations — 5.2%  
    39,600,000     Republic of Turkey, 7.63%, due 04/26/29     40,639,500  
    30,744,000     Republic of Turkey, 6.75%, due 05/30/40     28,697,603  
    83,302,000     Republic of Turkey, 6.00%, due 01/14/41     71,093,051  
    38,100,000     Republic of Turkey, 6.63%, due 02/17/45     34,504,312  
    57,013,000     Republic of Turkey, 5.75%, due 05/11/47     46,715,027  
     

 

 

 
        221,649,493  
     

 

 

 
    Total Turkey     293,190,167  
     

 

 

 
          Ukraine — 2.9%  
          Foreign Government Agency — 0.3%  
    8,189,000     Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25     8,572,859  
    5,100,000     Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25     5,393,250  
     

 

 

 
        13,966,109  
     

 

 

 
          Foreign Government Obligations — 2.6%  

EUR

    7,500,000     Ukraine Government International Bond, 144A, 6.75%, due 06/20/26     8,984,731  
    6,019,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21     6,271,798  
    6,019,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22     6,371,112  
    6,585,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23     6,999,855  
    8,585,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24     9,185,950  
    6,585,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25     6,996,562  
    15,019,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26     15,920,140  
    6,869,000     Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27     7,272,554  
    35,900,000     Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28     42,317,125  
     

 

 

 
        110,319,827  
     

 

 

 
    Total Ukraine     124,285,936  
     

 

 

 
          United States — 16.5%  
          Asset-Backed Securities — 0.4%  
    2,789,650     Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%,
2.44%, due 12/15/35
    2,448,965  

Par Value†

    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    1,406,085     Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%,
2.44%, due 12/15/35
    1,367,877  
    1,979,924     Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%,
2.40%, due 05/15/36
    1,889,182  
    9,733,238     Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%,
2.30%, due 11/25/36
    4,797,882  
    9,863,014     Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%,
2.37%, due 11/25/36
    4,920,023  
    5,303,175     Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 2.51%, due 04/25/37     2,871,794  
     

 

 

 
        18,295,723  
     

 

 

 
          Corporate Debt — 0.1%  
    385,402     AMBAC Assurance Corp., 144A,
5.10%, due 06/07/20
    548,234  
    1,649,828     AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%,
7.32%, due 02/12/23
    1,674,575  
     

 

 

 
        2,222,809  
     

 

 

 
          U.S. Government — 16.0%  
    30,000,000     U.S. Treasury Bond, 3.00%, due 02/15/47     36,667,969  
    79,218,300     U.S. Treasury Inflation Indexed Note,
0.13%, due 01/15/22 (g)
    78,691,547  
    28,500,000     U.S. Treasury Note, 1.63%, due 12/31/19     28,466,601  
    40,000,000     U.S. Treasury Note, 1.38%, due 01/31/20     39,906,250  
    57,000,000     U.S. Treasury Note, 1.38%, due 02/29/20     56,848,594  
    22,000,000     U.S. Treasury Note, 1.38%, due 03/31/20     21,934,687  
    35,000,000     U.S. Treasury Note, 1.13%, due 04/30/20     34,825,000  
    30,000,000     U.S. Treasury Note, 2.38%, due 04/30/20     30,096,094  
    14,000,000     U.S. Treasury Note, 2.50%, due 08/15/49     14,888,672  
    95,000,000     U.S. Treasury Note, Variable Rate, USBMMY3M 1.96%, due 01/31/20     94,936,277  
    51,500,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20     51,458,207  
    46,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.04%,
2.00%, due 07/31/20 (d) (f)
    45,946,507  
    143,500,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.00%, due 10/31/20     143,245,270  
     

 

 

 
        677,911,675  
     

 

 

 
    Total United States     698,430,207  
     

 

 

 
 

 

14   See accompanying notes to the financial statements.  


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
          Uruguay — 1.2%  
          Foreign Government Obligations  
    42,218,000     Uruguay Government International Bond, 5.10%, due 06/18/50     52,521,831  
     

 

 

 
          Uzbekistan — 0.2%  
          Foreign Government Obligations  
    7,200,000     Republic of Uzbekistan Bond, 144A,
5.38%, due 02/20/29
    7,924,500  
     

 

 

 
          Venezuela — 2.2%  
          Foreign Government Agency — 1.1%  
    111,465,000     Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (e)     16,719,750  
    176,000,000     Petroleos de Venezuela SA, Reg S,
6.00%, due 05/16/24 (c) (e)
    22,000,000  
    61,967,000     Petroleos de Venezuela SA, Reg S,
6.00%, due 11/15/26 (c) (e)
    7,745,875  
     

 

 

 
        46,465,625  
     

 

 

 
          Foreign Government Obligations — 1.1%  
    7,000,000     Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (e)     1,015,000  
    19,028,000     Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (e)     2,759,060  
    36,600,000     Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (e)     5,307,000  
    23,750,000     Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (e)     3,443,750  
    172,793,000     Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (e)     25,054,985  
    68,700,000     Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (e)     9,961,500  
     

 

 

 
        47,541,295  
     

 

 

 
    Total Venezuela     94,006,920  
     

 

 

 
          Vietnam — 0.6%  
          Foreign Government Agency — 0.5%  
    25,105,000     Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25     18,703,225  
     

 

 

 
          Foreign Government Obligations — 0.1%  
    6,428,000     Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 3.50%, due 03/13/28 (c)     5,592,360  
     

 

 

 
    Total Vietnam     24,295,585  
     

 

 

 
          Zambia — 0.3%  
          Foreign Government Obligations  
    3,600,000     Zambia Government International Bond, Reg S, 5.38%, due 09/20/22     2,367,000  
    14,900,000     Zambia Government International Bond, Reg S, 8.97%, due 07/30/27     9,969,031  
     

 

 

 
    Total Zambia     12,336,031  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $3,996,797,541)
    3,962,052,692  
     

 

 

 

Par Value†

    Description   Value ($)  
    LOAN ASSIGNMENTS — 0.2%

 

          Indonesia — 0.0%  
    136,023     Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 2.69%, due 12/16/19 (c)     126,012  

EUR

    377,334     Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (b)     392,788  
     

 

 

 
    Total Indonesia     518,800  
     

 

 

 
          Kenya — 0.2%  
    7,300,000     Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (b)     7,483,636  
     

 

 

 
    TOTAL LOAN ASSIGNMENTS
(COST $7,884,573)
    8,002,436  
     

 

 

 
    LOAN PARTICIPATIONS — 1.3%

 

          Angola — 0.9%  
    15,637,500     Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/13/23 (c)     15,481,125  
    5,708,813     Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/20/23 (c)     5,651,724  
    15,833,333     Republic of Angola Loan agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)     15,041,667  
     

 

 

 
    Total Angola     36,174,516  
     

 

 

 
          Egypt — 0.0%  

CHF

    40,326     Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)     39,286  
     

 

 

 
          Indonesia — 0.0%  
    782,239     Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%,
3.56%, due 09/29/19 (c)
    724,666  
    99,875     Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%,
3.56%, due 10/14/19 (c)
    92,525  
     

 

 

 
    Total Indonesia     817,191  
     

 

 

 
          Iraq — 0.4%  

EUR

    951,289     Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)     791,396  

JPY

    2,463,336,397     Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)     13,234,942  
 

 

  See accompanying notes to the financial statements.   15


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value† /

Shares

    Description   Value ($)  
          Iraq — continued  

JPY

    321,860,542     Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)     1,729,353  

JPY

    136,806,132     Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)     731,582  
     

 

 

 
    Total Iraq     16,487,273  
     

 

 

 
          Russia — 0.0%  

EUR

    76,893,500     Russian Foreign Trade Obligations (Participation with GML
International Ltd.) (c) (e)
    2  
     

 

 

 
    TOTAL LOAN PARTICIPATIONS (COST $73,111,458)     53,518,268  
     

 

 

 
          MUTUAL FUNDS — 1.8%      
          United States — 1.8%      
          Affiliated Issuers      
    14,838,144     GMO U.S. Treasury Fund     74,190,722  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $74,296,430)
    74,190,722  
     

 

 

 
          RIGHTS/WARRANTS — 0.4%  
          Argentina — 0.1%  

EUR

    335,089,675     Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (g)     2,762,102  

JPY

    740,189,000     Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (g)     452,885  
     

 

 

 
    Total Argentina     3,214,987  
     

 

 

 
          Nigeria — 0.0%  
    28,000     Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate,
Expires 11/15/20 (c) (g)
    870,334  
     

 

 

 
          Ukraine — 0.3%  
    14,446,000     Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (g)     12,640,250  
     

 

 

 
          Uruguay — 0.0%  
    4,000,000     Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (b) (g)      
     

 

 

 
          Venezuela — 0.0%  
    1,080,062     Republic of Venezuela Oil Warrants, Expires 04/15/20 (c) (e) (g)     1,080,062  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $55,515,265)
    17,805,633  
     

 

 

 
Shares /
Par Value†
    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 0.7%

 

          Money Market Funds — 0.4%  
    15,683,856     State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (h)     15,683,856  
     

 

 

 
          U.S. Government — 0.3%      
    15,000,000     U.S. Treasury Note,
1.25%, due 02/29/20
    14,951,367  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $30,600,180)
    30,635,223  
     

 

 

 
    TOTAL INVESTMENTS — 98.1%
(Cost $4,238,205,447)
    4,146,204,974  
    Other Assets and Liabilities
(net) — 1.9%
    81,999,588  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $4,228,204,562  
     

 

 

 

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation) ($)
 
10/21/2019   JPM   EUR     19,297,600       USD       21,540,753       253,458  
10/21/2019   MSCI   GBP     50,411,000       USD       61,230,461       (231,534
09/12/2019   JPM   USD     9,671,367       ARS       500,000,000       (1,521,242
10/21/2019   MSCI   USD     13,954,722       JPY       1,500,000,000       212,848  
           

 

 

 
            $ (1,286,470
           

 

 

 
 

 

16   See accompanying notes to the financial statements.  


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

 

 

Reverse Repurchase Agreements(i)

 

Face Value

    

Description

   Value ($)  
USD     4,864,473      JP Morgan Securities, Inc, 1.25%, dated 08/05/19 (collateral: Mozambique International Bond, Reg S, 10.50%, due 01/18/23), to be repurchased on demand at face value plus accrued interest.      (4,864,473
USD     5,381,971      JP Morgan Securities, Inc, 1.75%, dated 08/01/19 (collateral: Republic of Suriname, Reg S, 9.25%, due 10/26/26), to be repurchased on demand at face value plus accrued interest.      (5,381,971
       

 

 

 
        $ (10,246,444
       

 

 

 
     Average balance outstanding    $ (34,127,868
     Average interest rate (net)      (1.99 )% 
     Maximum balance outstanding    $ (69,681,984

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     24,000,000     03/10/2020   Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)     (361,333     (233,743
Put Sold   USD     45,000,000     01/20/2021   Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)     (587,500     205,034  
Put Sold   USD     46,000,000     04/13/2021   Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)     (947,472     (1,589,539
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) (b)     (38,551     44,406  
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) (b)     (861,874     391,294  
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) (b)     (3,043,333     111,738  
         

 

 

   

 

 

 
          $ (5,840,063   $ (1,070,810
         

 

 

   

 

 

 

Swap Contracts

Centrally Cleared Credit Default Swaps

 

Reference Entity

 

Notional
Amount

  Annual
Premium
    Implied
Credit
Spread (1)
    Maximum
Potential
Amount of

Future
Payments by
the Fund
Under the
Contract (2)
    Expiration
Date
    Periodic
Payment
Frequency
    Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 

Buy Protection^:

                   

CDX-EMS.31.V1-5Y

  USD   199,000,000     1.00%       2.12%       N/A       06/20/2024       Quarterly     $ 6,218,750     $ 10,300,240     $ 4,081,490  
               

 

 

   

 

 

   

 

 

 

 

  See accompanying notes to the financial statements.   17


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

 

 

OTC Credit Default Swaps

 

Reference Entity

 

Counter-
party

 

Notional

Amount

    Annual
Premium
    Implied
Credit
Spread (1)
    Maximum
Potential
Amount of

Future
Payments by
the Fund

Under the
Contract (2)
    Expiration
Date
    Periodic
Payment
Frequency
    Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 

Buy Protection^:

 

Commonwealth of Bahamas

  DB   EUR     51,746,000       1.00%       1.99%       N/A         12/20/2020       Quarterly       7,730,397       739,001       (6,991,396

Petrobras Global Finance BV

  CITI   USD     53,000,000       1.00%       2.05%       N/A         06/20/2024       Quarterly       2,755,224       2,052,436       (702,788

Republic of Argentina

  BOA   USD     2,500,000       5.00%       12.07%       N/A         06/20/2024       Quarterly       359,815       1,521,453       1,161,638  

Republic of Argentina

  CITI   USD     10,000,000       5.00%       12.07%       N/A         06/20/2024       Quarterly       1,476,727       6,085,812       4,609,085  

Commonwealth of Bahamas

  DB   EUR     55,770,291       1.00%       5.37%       N/A         06/20/2025       Quarterly       7,903,309       3,344,138       (4,559,171

United States of Mexico

  GS   USD     20,000,000       1.00%       1.98%       N/A         06/20/2029       Quarterly       1,589,641       1,466,137       (123,504

United States of Mexico

  GS   USD     20,000,000       1.00%       2.17%       N/A         09/20/2031       Quarterly       2,640,655       1,930,739       (709,916

Sell Protection^:

 

Commonwealth of Bahamas

  DB   USD     61,270,000       1.00%       1.99%       61,270,000       USD       12/20/2020       Quarterly       (7,515,364     (782,193     6,733,171  

Commonwealth of Bahamas

  DB   USD     3,487,000       1.00%       2.34%       3,487,000       USD       06/20/2023       Quarterly       (641,463     (165,094     476,369  

Commonwealth of Bahamas

  DB   USD     6,975,000       1.00%       2.34%       6,975,000       USD       06/20/2023       Quarterly       (1,263,915     (330,235     933,680  

Republic of Croatia

  JPM   USD     40,000,000       1.00%       0.70%       40,000,000       USD       06/20/2023       Quarterly       (6,395,816     576,607       6,972,423  

Peoples Republic of China

  JPM   USD     4,873,000       1.00%       0.59%       4,873,000       USD       06/20/2024       Quarterly       3,073       121,519       118,446  

Peoples Republic of China

  JPM   USD     60,000,000       1.00%       0.59%       60,000,000       USD       06/20/2024       Quarterly       (2,413,417     1,496,237       3,909,654  

Peoples Republic of China

  GS   USD     25,000,000       1.00%       0.69%       25,000,000       USD       03/20/2025       Quarterly       (744,727     582,766       1,327,493  

Commonwealth of Bahamas

  DB   USD     74,745,714       1.00%       5.30%       74,745,714       USD       06/20/2025       Quarterly       (8,891,823     (3,896,255     4,995,568  

Indonesia

  GS   USD     36,208,000       1.00%       1.38%       36,208,000       USD       06/20/2025       Quarterly       (3,153,880     (210,640     2,943,240  

Indonesia

  GS   USD     10,000,000       1.00%       1.38%       10,000,000       USD       06/20/2025       Quarterly       (961,768     (58,175     903,593  

Peoples Republic of China

  GS   USD     22,436,000       1.00%       0.72%       22,436,000       USD       06/20/2025       Quarterly       (590,310     510,906       1,101,216  

Republic of Brazil

  BOA   USD     4,873,000       1.00%       2.16%       4,873,000       USD       12/20/2025       Quarterly       (726,704     (191,494     535,210  

Russia

  GS   USD     2,436,000       1.00%       1.60%       2,436,000       USD       12/20/2025       Quarterly       (238,041     (36,033     202,008  

Russia

  GS   USD     8,487,000       1.00%       1.72%       8,487,000       USD       12/20/2026       Quarterly       (1,059,663     (206,635     853,028  

Republic of Malaysia

  CITI   USD     17,200,000       1.00%       1.17%       17,200,000       USD       12/20/2028       Quarterly       (845,599     93,970       939,569  

Republic of Brazil

  JPM   USD     40,000,000       1.00%       2.65%       40,000,000       USD       03/20/2030       Quarterly       (5,674,358     (4,184,892     1,489,466  
                   

 

 

   

 

 

   

 

 

 
                    $ (16,658,007   $ 10,460,075     $ 27,118,082  
                   

 

 

   

 

 

   

 

 

 

 

^

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 August 31, 2019, 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.

 

18   See accompanying notes to the financial statements.  


GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

 

 

OTC Cross-Currency Basis Swaps

 

Fund Pays

 

Fund Receives

 

Counterparty

  Notional
Amount
    Expiration
Date
   

Periodic
Payment
Frequency

  Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 
3 Month EURIBOR plus a spread of (0.35)%   3 Month USD LIBOR   JPM     EUR       122,436,000       09/11/2020     Quarterly   $     $ 3,660,656     $ 3,660,656  
             

 

 

   

 

 

   

 

 

 

OTC Cross-Currency Interest Rate Swaps

 

Fund Pays

  

Fund Receives

 

Counterparty

  Notional
Amount
   

Expiration
Date

 

Periodic
Payment
Frequency

  Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 

(0.22)%

   3 Month USD LIBOR   GS     JPY       14,852,761,000     04/28/2025   Quarterly   $     $ (6,592,720   $ (6,592,720
              

 

 

   

 

 

   

 

 

 

Centrally Cleared Interest Rate Swaps

 

Fund Pays

  

Fund Receives

                         

Notional
Amount

    Expiration
Date
   

Periodic
Payment
Frequency

  Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 

(1.53)%

   6 Month EURIBOR      EUR     18,000,000       03/20/2048     Annual           (8,414,141     (8,414,141

1.76%

   6 Month GBP LIBOR      GBP     24,493,000       12/16/2048     Semi-Annual           (9,005,686     (9,005,686
               

 

 

   

 

 

   

 

 

 
  $     $ (17,419,827   $ (17,419,827
               

 

 

   

 

 

   

 

 

 

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 JPEICORE Index Short Swap    3 Month USD LIBOR plus a spread of 0.45%   JPM     USD       24,000,001       10/23/2019     Monthly           (254,256     (254,256
Total Return on JPEICORE Index Short Swap    3 Month USD LIBOR plus a spread of 0.45%   JPM     USD       36,000,003       11/08/2019     Monthly           (270,814     (270,814
              

 

 

   

 

 

   

 

 

 
               $     $ (525,070   $ (525,070
              

 

 

   

 

 

   

 

 

 

As of August 31, 2019, 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)

Security is backed by U.S. Treasury Bonds.

(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 (Note 2).

(c)

Investment valued using significant unobservable inputs (Note 2).

(d)

All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(e)

Security is in default.

(f)

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 (Note 4).

(g)

Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(h)

The rate disclosed is the 7 day net yield as of August 31, 2019.

(i)

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 37.

 

 

  See accompanying notes to the financial statements.   19


GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Debt Obligations

    58.8

Short-Term Investments

    21.1  

Mutual Funds

    19.6  

Swap Contracts

    1.9  

Futures Contracts

    0.0

Forward Currency Contracts

    (0.1

Reverse Repurchase Agreements

    (1.4

Other

    0.1  
 

 

 

 
    100.0 % 
 

 

 

 

 

Industry Group Summary¤   % of Investments  

Communications

    21.1

Consumer Cyclical

    14.9  

Consumer Non-Cyclical

    13.2  

Energy

    11.9  

Capital Goods

    8.0  

Technology

    7.2  

Basic Industry

    5.7  

Finance Companies

    5.6  

Industrial Other

    2.0  

Electric

    1.8  

Cash / Cash Equivalents

    1.7  

REITS

    1.6  

Insurance

    1.3  

Banking

    1.1  

Financial Other

    1.0  

Utilities Other

    1.0  

Transportation

    0.9  
 

 

 

 
    100.0 % 
 

 

 

 

 

&

In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/ (depreciation).

 

¤

The table excludes short-term investments and mutual funds, if any. The table includes exposure through the use of certain derivative financial instruments and excludes exposures through certain currency linked derivatives such as forward currency contracts. The table takes in account the market values of securities and the notional amounts of swaps. The table is not normalized, thus the table may not total to 100%.

 

^

Rounds to 0.0%.

 

 

20


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value†

    Description   Value ($)  
    DEBT OBLIGATIONS — 58.8%

 

          Canada — 0.6%  
          Corporate Debt — 0.6%  
    375,000     MEG Energy Corp., 144A,
6.50%, due 01/15/25
    376,875  
    1,000,000     Tervita Corp., 144A, 7.63%, due 12/01/21     1,015,000  
     

 

 

 
    Total Canada     1,391,875  
     

 

 

 
          Germany — 0.5%      
          Corporate Debt — 0.5%  
    1,208,000     Deutsche Bank AG, 4.50%, due 04/01/25     1,141,270  
     

 

 

 
          Italy — 0.7%      
          Corporate Debt — 0.7%  
    1,375,000     Telecom Italia SpA, 144A,
5.30%, due 05/30/24
    1,471,250  
     

 

 

 
          United States — 57.0%      
          Corporate Debt — 22.6%  
    750,000     Acadia Healthcare Co., Inc.,
6.13%, due 03/15/21
    751,875  
    750,000     ACCO Brands Corp., 144A,
5.25%, due 12/15/24
    769,688  
    1,250,000     ADT Security Corp. (The),
4.13%, due 06/15/23
    1,269,922  
    875,000     Alcoa Nederland Holding BV, 144A,
6.13%, due 05/15/28
    910,000  
    1,000,000     Amsted Industries, Inc., 144A,
5.63%, due 07/01/27
    1,067,500  
    2,500,000     Antero Resources Corp.,
5.63%, due 06/01/23 (a)
    2,306,250  
    1,000,000     Berry Global, Inc., 144A,
4.88%, due 07/15/26
    1,050,000  
    1,000,000     Brinker International, Inc., 144A,
5.00%, due 10/01/24
    1,030,000  
    2,455,000     CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22     2,479,550  
    375,000     CDK Global, Inc., 144A,
5.25%, due 05/15/29
    387,188  
    1,000,000     CEC Entertainment, Inc.,
8.00%, due 02/15/22
    950,000  
    1,125,000     CF Industries, Inc., 4.95%, due 06/01/43     1,105,312  
    825,000     CHS/Community Health Systems, Inc.,
5.13%, due 08/01/21
    825,000  
    1,000,000     Clean Harbors, Inc., 144A,
4.88%, due 07/15/27
    1,057,500  
    825,000     Denbury Resources, Inc., 144A,
9.00%, due 05/15/21
    750,750  
    500,000     Diamond Sports Group LLC / Diamond Sports Finance Co., 144A,
5.38%, due 08/15/26
    525,000  
    875,000     EnLink Midstream Partners LP,
4.40%, due 04/01/24
    866,250  

Par Value†

    Description   Value ($)  
          United States — continued      
          Corporate Debt — continued  
    1,000,000     EnLink Midstream Partners LP,
4.15%, due 06/01/25
    955,000  
    875,000     Ferrellgas LP/Ferrellgas Finance Corp.,
6.50%, due 05/01/21
    743,750  
    750,000     Genworth Holdings, Inc.,
7.20%, due 02/15/21
    770,625  
    1,125,000     Goodyear Tire & Rubber Co. (The),
5.00%, due 05/31/26 (a)
    1,113,750  
    1,000,000     Graphic Packaging International LLC, 144A, 4.75%, due 07/15/27     1,050,000  
    750,000     HAT Holdings I LLC / HAT Holdings II LLC, 144A, REIT, 5.25%, due 07/15/24     790,125  
    750,000     Hologic, Inc., 144A, 4.63%, due 02/01/28     775,312  
    750,000     Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.38%, due 12/15/25     794,062  
    875,000     Ingles Markets, Inc., 5.75%, due 06/15/23     892,500  
    1,000,000     Mack-Cali Realty LP, REIT,
4.50%, due 04/18/22
    1,004,469  
    750,000     Navient Corp., 5.50%, due 01/25/23     787,725  
    875,000     Nielsen Finance LLC / Nielsen Finance Co., 144A, 5.00%, due 04/15/22     879,375  
    625,000     Nuance Communications, Inc.,
5.63%, due 12/15/26
    658,594  
    1,250,000     NuStar Logistics LP, 6.75%, due 02/01/21     1,303,125  
    750,000     NuStar Logistics LP, 5.63%, due 04/28/27     780,000  
    1,625,000     Pitney Bowes, Inc., 4.70%, due 04/01/23     1,543,750  
    825,000     Pyxus International, Inc., 144A,
8.50%, due 04/15/21
    831,187  
    375,000     QEP Resources, Inc., 5.25%, due 05/01/23     328,125  
    1,154,000     Quebecor Media, Inc., 5.75%, due 01/15/23     1,249,586  
    1,500,000     Quicken Loans, Inc., 144A,
5.25%, due 01/15/28
    1,556,250  
    500,000     RR Donnelley & Sons Co.,
7.88%, due 03/15/21
    500,000  
    500,000     Senior Housing Properties Trust, REIT,
4.75%, due 02/15/28
    501,520  
    375,000     Sensata Technologies BV, 144A,
5.00%, due 10/01/25
    397,500  
    1,000,000     Sirius XM Radio, Inc., 144A,
5.38%, due 07/15/26
    1,056,250  
    1,125,000     Steel Dynamics, Inc., 5.25%, due 04/15/23     1,143,000  
    1,500,000     T-Mobile USA, Inc., 5.38%, due 04/15/27     1,622,820  
    875,000     TerraForm Power Operating LLC, 144A,
4.25%, due 01/31/23
    896,569  
    1,000,000     Triumph Group, Inc., 4.88%, due 04/01/21     987,500  
    875,000     United Airlines Holdings, Inc.,
4.88%, due 01/15/25
    916,562  
    625,000     Urban One, Inc., 144A, 7.38%, due 04/15/22     623,438  
    1,000,000     VeriSign, Inc., 4.75%, due 07/15/27     1,057,500  
    2,125,000     Wyndham Destinations, Inc.,
5.40%, due 04/01/24
    2,230,586  
 

 

  See accompanying notes to the financial statements.   21


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

 

Par Value† /
Shares
    Description   Value ($)  
          United States — continued      
          Corporate Debt — continued  
    750,000     Xerox Corp., 4.13%, due 03/15/23     763,125  
     

 

 

 
    Total Corporate Debt     49,605,465  
     

 

 

 
    U.S. Government — 26.6%  
    11,500,000     U.S. Treasury Note, 1.38%, due 03/31/20     11,465,859  
    6,000,000     U.S. Treasury Note, 1.13%, due 04/30/20     5,970,000  
    11,750,000     U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20 (b)     11,740,465  
    16,300,000     U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20     16,281,045  
    12,992,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.00%, due 10/31/20     12,968,937  
     

 

 

 
    Total U.S. Government     58,426,306  
     

 

 

 
          U.S. Government Agency — 7.8%      
    17,000,000     Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%,
2.19%, due 12/26/19
    16,999,189  
     

 

 

 
  Total United States     125,030,960  
     

 

 

 
  TOTAL DEBT OBLIGATIONS
(COST $128,005,631)
    129,035,355  
     

 

 

 
    MUTUAL FUNDS — 19.6%  
          United States — 19.6%      
    Affiliated Issuers — 6.1%  
    2,692,218     GMO U.S. Treasury Fund     13,461,091  
     

 

 

 
      Exchange-Traded Fund — 13.5%  
    339,950     iShares iBoxx $ High Yield Corporate Bond ETF     29,630,042  
     

 

 

 
  Total United States     43,091,133  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $43,070,736)
    43,091,133  
     

 

 

 
Par Value† /
Shares
    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 21.0%

 

          Foreign Government Obligations — 19.5%  

JPY

    1,731,000,000     Japan Treasury Discount Bill, Zero Coupon, due 09/24/19     16,295,040  

JPY

    680,000,000     Japan Treasury Discount Bill, Zero Coupon, due 10/07/19     6,401,565  

JPY

    407,750,000     Japan Treasury Discount Bill, Zero Coupon, due 10/15/19     3,838,706  

JPY

    1,731,000,000     Japan Treasury Discount Bill, Zero Coupon, due 11/18/19     16,298,918  
     

 

 

 
    Total Foreign Government Obligations     42,834,229  
     

 

 

 
          Money Market Funds — 0.2%      
    444,247     State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (c)     444,247  
     

 

 

 
      U.S. Government — 1.3%  
    350,000     U.S. Treasury Bill,
1.83%, due 10/01/19 (d)
    349,441  
    580,500     U.S. Treasury Bill,
1.79%, due 10/03/19 (d)
    579,536  
    2,040,000     U.S. Treasury Bill,
1.81%, due 10/08/19 (d)
    2,036,070  
     

 

 

 
    Total U.S. Government     2,965,047  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $45,907,121)
    46,243,523  
     

 

 

 
    TOTAL INVESTMENTS — 99.4%
(Cost $216.983,488)
    218,370,011  
    Other Assets and Liabilities (net) — 0.6%     1,216,076  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $219,586,087  
     

 

 

 
 

 

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

 

Settlement
Date

 

Counter-
party

 

Currency
Sold

   

Currency
Purchased

    Net
Unrealized
Appre-
ciation
(Depre-
ciation) ($)
 
09/24/2019   JPM   JPY     1,731,000,000     USD     16,212,888       (105,191
10/07/2019   BOA   JPY     680,000,000     USD     6,316,228       (100,368
10/15/2019   JPM   JPY     407,750,000     USD     3,789,957       (59,709
11/18/2019   JPM   JPY     1,731,000,000     USD     16,379,195       (65
           

 

 

 
  $ (265,333
           

 

 

 
 

 

22   See accompanying notes to the financial statements.  


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

 

 

Futures Contracts

 

Number of
Contracts+

 

Type

  Expiration
Date
  Notional
Amount ($)
  Value/Net
Unrealized
Appreciation
(Depreciation) ($)
Buys            
45   U.S. Treasury Note 10 Yr. (CBT)   December 2019       5,927,344       8,027
52   U.S. Treasury Note
2 Yr. (CBT)
  December 2019       11,238,094       2,240
71   U.S. Treasury Note
5 Yr. (CBT)
  December 2019       8,518,336       (638 )
       

 

 

     

 

 

 
        $ 25,683,774     $ 9,629
       

 

 

     

 

 

 
Sales            
5   U.S. Long Bond (CBT)   December 2019     $ 826,250     $ (1,881 )
       

 

 

     

 

 

 
+

Buys - Fund is long the futures contract.

    

Sales - Fund is short the futures contract.

 

Reverse Repurchase Agreements(e)

 

Face Value

    

Description

   Value ($)  
USD     942,293      Barclays Bank plc, 1.50%, dated 08/22/19 (collateral: Antero Resources Corp., 5.63%, due 06/01/23), to be repurchased on demand at face value plus accrued interest.      (942,293
USD     2,032,684      Barclays Bank plc, 2.00%, dated 08/15/19 (collateral: Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26), to be repurchased on demand at face value plus accrued interest.      (2,032,684
       

 

 

 
        $ (2,974,977
       

 

 

 
     Average balance outstanding    $ (1,640,532
     Average interest rate (net)      0.88
     Maximum balance outstanding    $ (2,977,139

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.

Swap Contracts

Centrally Cleared Credit Default Swaps

 

Reference Entity

 

Notional
Amount

  Annual
Premium
    Implied
Credit
Spread (1)
    Maximum
Potential
Amount of

Future
Payments by
the Fund
Under the
Contract (2)
    Expiration
Date
    Periodic
Payment
Frequency
    Premiums
Paid/
(Received) ($)
    Value ($)     Net
Unrealized
Appreciation/
(Depreciation) ($)
 

Sell Protection^:

                   

CDX-NAHYS32V1-5Y

  USD   40,131,630     5.00%       3.93%     $ 40,131,630       06/20/2024       Quarterly     $ 2,848,791     $ 2,691,067     $ (157,724
               

 

 

   

 

 

   

 

 

 

 

  See accompanying notes to the financial statements.   23


GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

 

 

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) ($)
 

Sell Protection^:

                     

Frontier Communications

  BOA   USD     1,250,000       5.00%       20.36%     $ 1,250,000       12/20/2019       Quarterly     $ (118,750   $ (279,810   $ (161,060
                 

 

 

   

 

 

   

 

 

 

 

^

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 August 31, 2019, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default