GMO Trust

The annual reports for each series of the registrant for the period ended February 28, 2021 are filed herewith.

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-PORT which is available on the Commission’s website at www.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.

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Class III shares of GMO Asset Allocation Bond Fund returned +6.33% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

The Fund’s position in Treasury Inflation-Protected Securities drove the vast majority of gains during the fiscal year, as real 10-year yields plummeted from -0.28% at the start of the period to an incredible -0.71% at the end of the period.

The Fund also had a modest exposure to short-dated U.S. Treasuries, and these made a small positive contribution to performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

Comparison of Change in Value of a $5,000,000 Investment in

GMO Asset Allocation Bond Fund Class III Shares and the FTSE 3-Month Treasury Bill Index

As of February 28, 2021

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and VI the gross expense ratio of 0.46% and 0.37%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.40% and 0.31% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		95.5	%
Mutual Funds		4.2
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%.


Par Value† / Shares		Description	Value ($)

		DEBT OBLIGATIONS — 95.5%

		U.S. Government — 95.5%

	8,178,071	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27^(a)		9,066,158

	10,410,878	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28^(a)		11,678,891

	15,054,030	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28^(a)		18,250,659

	6,282,486	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28^(a)		7,214,675

	11,370,925	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29^(a)		13,158,959

	17,015,873	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29^(a)		21,981,384

	16,399,260	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30^(a)		17,906,583

	14,424,644	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/30^(a)		15,800,056


		Total U.S. Government		115,057,365


		TOTAL DEBT OBLIGATIONS (COST $105,455,986)		115,057,365


Par Value† / Shares		Description	Value ($)

		MUTUAL FUNDS — 4.2%

		United States — 4.2%

		Affiliated Issuers — 4.2%

	992,229	GMO U.S. Treasury Fund		5,000,835


		TOTAL MUTUAL FUNDS (COST $5,000,835)		5,000,835


		SHORT-TERM INVESTMENTS — 0.3%

		Money Market Funds — 0.3%

	416,065	State Street Institutional Treasury Money Market Fund-Premier Class, 0.01%^(b)		416,065


		TOTAL SHORT-TERM INVESTMENTS (COST $416,065)		416,065


		TOTAL INVESTMENTS — 100.0% (Cost $110,872,886)		120,474,265


		Other Assets and Liabilities (net) — (0.0%)		(18,193	)


		TOTAL NET ASSETS — 100.0%		$120,456,072

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 56.

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Country Debt team at Grantham, Mayo, Van Otterloo & Co. LLC.

Class III shares of GMO Emerging Country Debt Fund returned +2.67% (net) for the fiscal year ended February 28, 2021, as compared with +0.91% for the J.P. Morgan EMBI Global Diversified + (EMBIGD). As of March 1, 2020, the Fund changed its benchmark so that the Fund now seeks total return in excess of that of the EMBIGD, which GMO believes to be a more appropriate benchmark in light of the Fund’s investment strategy. The Fund formerly sought to outperform the J.P. Morgan Emerging Markets Bond Index Global (EMBIG).

EMBIGD’s spread over U.S. Treasuries tightened by 15 basis points to 359 basis points during the fiscal year, while the yield on the 10-year U.S. Treasury bond rose by 26 basis points to 1.40%.

The Fund had positive alpha from country selection during the fiscal year, driven by gains from overweights in Turkey, Oman, and Ukraine, and underweights in Angola, and Lebanon. While only partly offsetting these gains, the Fund’s overweights in Argentina, Belize, and Ecuador, and underweight in Qatar detracted alpha during the fiscal year.

In terms of security selection, gains from the choice of holdings in Ecuador, Argentina, and Qatar drove positive alpha, followed by smaller contributions from security selection in Brazil and Mexico. Negative alpha from security selection in Tunisia, Turkey, and Egypt only partly offsets these gains. The Fund had negative alpha from holding of bonds in off-benchmark countries, which we consider security selection. The most notable country in this category was Venezuela, followed by Israel and Grenada.

Comparison of Change in Value of a $5,000,000 Investment in

GMO Emerging Country Debt Fund Class III Shares, the J.P. Morgan EMBI Global Diversified +*

and the J.P. Morgan EMBI Global

As of February 28, 2021

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 1.00% on the purchase and 1.00% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For J.P. Morgan disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

For Class III and IV the gross expense ratio of 0.54% and 0.49%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.54% and 0.49% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.


Asset Class Summary†	% of Total Net Assets
Debt Obligations		92.7	%
Short-Term Investments		3.5
Loan Participations		0.9
Loan Assignments		0.6
Rights/Warrants		0.4
Swap Contracts		0.3
Written Options/Credit Linked Options		0.0	^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.2	)
Other		1.8

		100.0	%


Country/Region Summary‡	% of Investments
Other Emerging		17.9	%*
Mexico		7.2
Turkey		5.4
Saudi Arabia		4.6
South Africa		4.5
Indonesia		4.1
Oman		4.0
Egypt		3.5
Ukraine		3.3
Bahrain		3.1
Brazil		2.7
Dominican Republic		2.7
Russia		2.7
Argentina		2.6
Chile		2.6
Tunisia		2.6
United Arab Emirates		2.5
Qatar		2.2
Peru		2.1
Ecuador		1.9
Jordan		1.9
Panama		1.7
Sri Lanka		1.6
Colombia		1.5
Kenya		1.5
Ivory Coast		1.5
Kazakhstan		1.4
Costa Rica		1.2
India		1.1
Philippines		1.1
El Salvador		1.0
Nigeria		1.0
Romania		1.0
United States		0.3

		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. 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%.


Par Value†		Description	Value ($)

		DEBT OBLIGATIONS — 92.7%

		Albania — 1.1%

		Foreign Government Obligations

	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25^{(a) (b)}		45,258,659


		Angola — 0.3%

		Foreign Government Obligations

	7,900,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		7,759,281

	5,500,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		5,290,313


		Total Angola		13,049,594


		Argentina — 2.8%

		Foreign Government Obligations

	11,490,713	Republic of Argentina, 1.00%, due 07/09/29		4,522,212

	23,333,493	Republic of Argentina, Step Up, 0.13%, due 07/09/30		8,487,558

JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 ^(c) (d)		910,404

	56,547,942	Republic of Argentina, Step Up, 0.13%, due 07/09/35		18,095,341

	72,008,994	Republic of Argentina, Step Up, 0.13%, due 01/09/38		26,462,749

JPY	323,575,000	Republic of Argentina, 0.67%, due 12/31/38 ^(c) (d)		605,214

	142,761,240	Republic of Argentina, Step Up, 0.13%, due 07/09/41		49,155,294

	34,047,000	Republic of Argentina, Step Up, 0.13%, due 07/09/46		10,873,761


		Total Argentina		119,112,533


		Armenia — 0.7%

		Corporate Debt — 0.5%

	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		19,700,000


		Foreign Government Obligations — 0.2%

	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,444,681

	7,900,000	Republic of Armenia, 144A, 3.60%, due 02/02/31		7,260,594


				9,705,275


		Total Armenia		29,405,275


		Azerbaijan — 1.3%

		Foreign Government Agency — 0.7%

	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		11,103,300

	18,950,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		19,400,062


				30,503,362


Par Value†		Description	Value ($)

		Azerbaijan — continued

		Foreign Government Obligations — 0.6%

	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		22,624,350


		Total Azerbaijan		53,127,712


		Bahamas — 0.8%

		Foreign Government Obligations

	14,069,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		13,383,136

	6,163,000	Bahamas Government International Bond, Reg S, 6.95%, due 11/20/29		6,066,703

	13,300,000	Bahamas Government International Bond, 144A, 8.95%, due 10/15/32		14,156,188


		Total Bahamas		33,606,027


		Bahrain — 1.7%

		Foreign Government Obligations

	65,290,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		70,717,231


		Barbados — 0.5%

		Foreign Government Obligations

	14,400,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		14,652,000

	7,600,000	Barbados Government International Bond, 144A, 6.50%, due 10/01/29		7,733,000


		Total Barbados		22,385,000


		Belarus — 0.4%

		Foreign Government Agency — 0.2%

	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24		8,410,748


		Foreign Government Obligations — 0.2%

	7,500,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		7,321,875


		Total Belarus		15,732,623


		Belize — 0.5%

		Foreign Government Obligations

	53,485,866	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		21,728,633


		Benin — 0.1%

		Foreign Government Obligations

EUR	3,000,000	Benin Government International Bond, 144A, 6.88%, due 01/19/52		3,746,340


		Bermuda — 0.2%

		Foreign Government Obligations

	6,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		8,350,866


Par Value†		Description	Value ($)

		Bolivia — 0.2%

		Foreign Government Obligations

	9,200,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28^(e)		8,205,250


		Brazil — 2.1%

		Corporate Debt — 0.6%

	2,600,000	Guara Norte Sarl, 144A, 5.20%, due 06/15/34		2,644,720

	21,992,477	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		23,923,416


				26,568,136


		Foreign Government Agency — 1.0%

	40,039,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		43,542,412


		Foreign Government Obligations — 0.5%

	19,800,000	Republic of Brazil, 4.75%, due 01/14/50		18,543,938


		Total Brazil		88,654,486


		Cameroon — 0.3%

		Foreign Government Obligations

	10,300,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		11,120,781


		Chile — 2.3%

		Corporate Debt — 0.6%

	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97^(a)		27,230,315


		Foreign Government Agency — 1.7%

	8,700,000	Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50		8,599,406

	24,100,000	Empresa de Transporte de Pasajeros Metro SA, Reg S, 4.70%, due 05/07/50		28,498,250

	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		9,396,000

	23,750,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		25,390,235


				71,883,891


		Total Chile		99,114,206


		China — 0.5%

		Foreign Government Agency

	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		14,146,750

	7,300,000	Oryx Funding Ltd., 144A, 5.80%, due 02/03/31		7,600,614


		Total China		21,747,364


Par Value†		Description	Value ($)

		Colombia — 1.8%

		Foreign Government Agency — 1.6%

	45,411,000	Ecopetrol SA, 7.38%, due 09/18/43		56,343,698

	2,800,000	Ecopetrol SA, 5.88%, due 05/28/45		3,008,824

COP	30,200,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		8,663,765


				68,016,287


		Foreign Government Obligations — 0.2%

	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		767,504

	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28^(c)		5,458,776


				6,226,280


		Total Colombia		74,242,567


		Congo Republic (Brazzaville) — 1.1%

		Foreign Government Obligations

	63,057,932	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29^(c)		48,022,556


		Costa Rica — 1.2%

		Foreign Government Agency — 0.1%

	3,798,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		3,184,386


		Foreign Government Obligations — 1.1%

	10,200,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		11,433,562

	34,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		34,079,794


				45,513,356


		Total Costa Rica		48,697,742


		Czech Republic — 0.1%

		Foreign Government Agency

	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		6,234,690


		Dominican Republic — 3.0%

		Asset-Backed Securities — 0.3%

	10,544,944	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		10,871,179

		Foreign Government Obligations — 2.7%

	16,587,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		20,075,453

DOP	1,500,000,000	Dominican Republic International Bond, 144A, 10.38%, due 01/11/30		29,037,324

	12,100,000	Dominican Republic International Bond, 144A, 5.30%, due 01/21/41		11,873,125

	56,000,000	Dominican Republic International Bond, 144A, 5.88%, due 01/30/60		54,197,500


				115,183,402


		Total Dominican Republic		126,054,581


Par Value†		Description	Value ($)

		Ecuador — 2.4%

		Foreign Government Obligations

	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25^(c)		900,000

	8,246,892	Ecuador Government International Bond, Zero Coupon, 144A, due 07/31/30		3,422,460

	36,476,250	Ecuador Government International Bond, 144A, 0.50%, due 07/31/30		21,429,797

	101,887,125	Ecuador Government International Bond, 144A, 0.50%, due 07/31/35		46,358,642

	36,603,750	Ecuador Government International Bond, 144A, 0.50%, due 07/31/40		15,373,575

	19,150,729	Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35		13,417,479


		Total Ecuador		100,901,953


		Egypt — 2.7%

		Foreign Government Obligations

	11,000,000	Egypt Government International Bond, 144A, 5.88%, due 02/16/31		10,587,500

	26,800,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		26,414,750

	23,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		24,704,375

	21,400,000	Egypt Government International Bond, 144A, 8.88%, due 05/29/50		22,750,875

	14,814,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		14,675,119

	15,100,000	Egypt Government International Bond, 144A, 7.50%, due 02/16/61		14,118,500


		Total Egypt		113,251,119


		El Salvador — 0.9%

		Foreign Government Obligations

	17,175,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		16,917,375

	21,300,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		19,702,500


		Total El Salvador		36,619,875


		Ethiopia — 0.1%

		Foreign Government Obligations

	4,090,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		3,792,197


		Gabon — 0.3%

		Foreign Government Obligations

	14,000,000	Gabonese Republic, 144A, 6.63%, due 02/06/31		13,706,875


		Ghana — 0.9%

		Foreign Government Agency — 0.3%

	11,986,441	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		12,589,509


Par Value†		Description	Value ($)

		Ghana — continued

		Foreign Government Obligations — 0.6%

	13,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		12,703,438

	14,300,000	Republic of Ghana, 144A, 8.75%, due 03/11/61		13,687,781


				26,391,219


		Total Ghana		38,980,728


		Grenada — 0.2%

		Foreign Government Obligations

	10,926,188	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		8,085,379


		Guatemala — 0.4%

		Foreign Government Obligations

	1,965,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		2,765,737

	13,500,000	Republic of Guatemala, 144A, 6.13%, due 06/01/50		16,288,594


		Total Guatemala		19,054,331


		Honduras — 0.1%

		Foreign Government Obligations

	3,200,000	Honduras Government International Bond, 144A, 5.63%, due 06/24/30		3,508,000


		India — 1.2%

		Corporate Debt

	1,000,000	GMR Hyderabad International Airport Ltd, 144A, 4.75%, due 02/02/26		1,002,188

	21,140,000	GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27		20,413,312

	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		30,099,094


		Total India		51,514,594


		Indonesia — 4.1%

		Foreign Government Agency — 3.1%

	9,200,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		9,846,875

	3,700,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 05/15/30		4,236,500

	15,000,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 05/15/50		17,418,750

	13,300,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		16,882,687

	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,352,969

	8,200,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		7,877,125

	4,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		5,008,406

	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		17,608,000


Par Value†		Description	Value ($)

		Indonesia — continued

		Foreign Government Agency — continued

	5,300,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 3.80%, due 06/23/50		5,283,438

	41,500,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		37,414,844


				130,929,594


		Foreign Government Obligations — 1.0%

	23,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		31,050,179

	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		9,559,000


				40,609,179


		Total Indonesia		171,538,773


		Israel — 0.4%

		Foreign Government Agency

	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,868,350


		Ivory Coast — 0.9%

		Foreign Government Obligations

EUR	29,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		36,969,088


		Jamaica — 0.8%

		Corporate Debt — 0.1%

	6,251,000	TransJamaican Highway Ltd, Reg S, 5.75%, due 10/10/36		6,243,186


		Foreign Government Agency — 0.3%

	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24^(c)		12,768,000


		Foreign Government Obligations — 0.4%

	11,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		15,754,375


		Total Jamaica		34,765,561


		Jordan — 1.2%

		Foreign Government Obligations

	47,395,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		51,393,953


		Kazakhstan — 1.0%

		Foreign Government Agency

	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,386,250

	3,800,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		4,489,700

	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		25,440,906


		Total Kazakhstan		42,316,856


Par Value†		Description	Value ($)

		Kenya — 0.9%

		Foreign Government Obligations

	32,600,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		36,002,625


		Kuwait — 0.3%

		Corporate Debt

	2,300,000	Equate Petrochemical BV, Reg S, 4.25%, due 11/03/26		2,496,219

	9,200,000	MEGlobal Canada ULC, 144A, 5.88%, due 05/18/30		11,129,125


		Total Kuwait		13,625,344


		Lebanon — 0.4%

		Foreign Government Obligations

	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 ^(d)		1,916,625

	41,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31^(d)		5,304,638

	18,800,000	Lebanon Government International Bond, 8.20%, due 05/17/33^(d)		2,385,250

	42,944,000	Lebanon Government International Bond, 8.25%, due 05/17/34^(d)		5,421,680


		Total Lebanon		15,028,193


		Malaysia — 0.6%

		Foreign Government Agency

	10,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		10,742,800

	11,700,000	Petronas Capital Ltd., 144A, 4.80%, due 04/21/60		14,847,323


		Total Malaysia		25,590,123


		Mexico — 6.2%

		Foreign Government Agency — 4.1%

	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		23,439,988

	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,472,000

	131,800,000	Petroleos Mexicanos, 7.69%, due 01/23/50		125,196,820

	22,986,000	Petroleos Mexicanos, 6.95%, due 01/28/60		20,112,750


				174,221,558


		Foreign Government Obligations — 2.1%

GBP	56,796,000	United Mexican States, 5.63%, due 03/19/2114		87,832,292


		Total Mexico		262,053,850


		Mongolia — 0.1%

		Foreign Government Obligations

	2,400,000	Mongolia Government International Bond, 144A, 5.13%, due 04/07/26		2,616,000


Par Value†		Description	Value ($)

		Montenegro — 0.2%

		Foreign Government Obligations

EUR	9,100,000	Montenegro Government International Bond, 144A, 2.88%, due 12/16/27		10,585,031


		Morocco — 0.4%

		Foreign Government Agency

	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		17,767,031


		Mozambique — 0.2%

		Foreign Government Obligations

	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		8,015,044


		Nigeria — 0.8%

		Foreign Government Obligations

	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		10,960,812

	15,550,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		15,831,844

	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		8,668,750


		Total Nigeria		35,461,406


		Oman — 2.4%

		Foreign Government Obligations

	10,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		9,437,500

	86,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		83,451,156

	9,800,000	Oman Government International Bond, 144A, 7.00%, due 01/25/51		9,677,500


		Total Oman		102,566,156


		Pakistan — 0.4%

		Foreign Government Obligations

	17,262,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		18,405,608


		Panama — 1.6%

		Foreign Government Agency — 0.7%

	24,379,199	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		27,883,709


		Foreign Government Obligations — 0.9%

	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,176,124

	9,000,000	Panama Government International Bond, 4.30%, due 04/29/53		9,714,375

	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		18,543,000


				39,433,499


		Total Panama		67,317,208


Par Value†		Description	Value ($)

		Papua New Guinea — 0.0%

		Foreign Government Obligations

	1,400,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		1,453,375


		Peru — 1.8%

		Foreign Government Agency — 1.3%

	11,300,000	Petroleos del Peru SA, 144A, 5.63%, due 06/19/47		12,444,125

	37,295,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		41,071,119


				53,515,244


		Foreign Government Obligations — 0.5%

	26,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		22,127,625


		Total Peru		75,642,869


		Philippines — 1.6%

		Foreign Government Agency

	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97^(c)		8,695,000

	40,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		59,942,977


		Total Philippines		68,637,977


		Qatar — 2.1%

		Foreign Government Agency — 0.4%

	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		14,573,659


		Foreign Government Obligations — 1.7%

	12,000,000	Qatar Government International Bond, 144A, 3.75%, due 04/16/30		13,552,500

	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		13,987,187

	38,200,000	Qatar Government International Bond, 144A, 4.40%, due 04/16/50		44,741,750


				72,281,437


		Total Qatar		86,855,096


		Romania — 0.7%

		Foreign Government Obligations

EUR	4,000,000	Romanian Government International Bond, 144A, 2.63%, due 12/02/40		4,759,842

EUR	10,900,000	Romanian Government International Bond, 144A, 3.38%, due 01/28/50		13,981,584

	10,800,000	Romanian Government International Bond, 144A, 4.00%, due 02/14/51		10,428,750


		Total Romania		29,170,176


Par Value†		Description	Value ($)

		Russia — 2.3%

		Foreign Government Agency — 0.5%

	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		22,860,984


		Foreign Government Obligations — 1.8%

	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		40,003,125

	3,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		4,470,938

	4,400,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		5,762,625

	20,800,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		25,863,500


				76,100,188


		Total Russia		98,961,172


		Saudi Arabia — 2.9%

		Corporate Debt — 0.7%

	26,550,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		31,262,625


		Foreign Government Agency — 0.5%

	21,400,000	Saudi Arabian Oil Co., 144A, 3.50%, due 11/24/70		19,206,500


		Foreign Government Obligations — 1.7%

	10,600,000	Saudi Government International Bond, Reg S, 3.75%, due 01/21/55		10,477,438

	67,500,000	Saudi Government International Bond, 144A, 3.45%, due 02/02/61		62,648,437


				73,125,875


		Total Saudi Arabia		123,595,000


		Senegal — 0.3%

		Foreign Government Obligations

	14,000,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		14,275,625


		South Africa — 3.9%

		Foreign Government Agency — 0.8%

	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		14,256,880

	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		15,225,200

ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,874,183

ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,136,297


				33,492,560


		Foreign Government Obligations — 3.1%

ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		23,542,528


Par Value†		Description	Value ($)

		South Africa — continued

		Foreign Government Obligations — continued

	13,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		12,599,719

	12,600,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		12,332,250

	90,400,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		82,942,000


				131,416,497


		Total South Africa		164,909,057


		Sri Lanka — 1.3%

		Foreign Government Obligations

	7,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		4,170,075

	13,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,802,662

	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		19,611,094

	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		5,016,000

	35,300,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		20,165,125


		Total Sri Lanka		56,764,956


		SupraNational — 0.5%

		Foreign Government Agency

TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		13,123,883

BRL	225,000,000	International Finance Corp., Zero Coupon, due 02/25/41		9,291,960


		Total SupraNational		22,415,843


		Suriname — 0.5%

		Foreign Government Obligations

	14,000,000	Republic of Suriname, 144A, 12.88%, due 12/30/23^(d)		9,655,625

	17,559,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26^(d)		11,649,299


		Total Suriname		21,304,924


		Tajikistan — 0.3%

		Foreign Government Obligations

	13,874,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		11,463,393


		Trinidad And Tobago — 1.1%

		Foreign Government Agency — 1.0%

	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29		10,299,187

	4,027,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		4,181,788

	24,388,000	Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26		27,558,440


				42,039,415


Par Value†		Description	Value ($)

		Trinidad And Tobago — continued

		Foreign Government Obligations — 0.1%

	3,800,000	Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30		3,980,500


		Total Trinidad And Tobago		46,019,915


		Tunisia — 1.5%

		Foreign Government Agency

JPY	900,000,000	Banque Centrale de Tunisie International Bond, 3.50%, due 02/03/33		4,728,177

JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30^(c)		44,124,609

JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31^(c)		14,560,511


		Total Tunisia		63,413,297


		Turkey — 3.7%

		Foreign Government Agency — 0.2%

	9,000,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		9,225,000


		Foreign Government Obligations — 3.5%

	9,500,000	Istanbul Metropolitan Municipality, 144A, 6.38%, due 12/09/25		9,749,280

	10,002,000	Republic of Turkey, 6.00%, due 01/14/41		9,133,076

	18,200,000	Republic of Turkey, 4.88%, due 04/16/43		14,707,875

	23,600,000	Republic of Turkey, 6.63%, due 02/17/45		22,633,875

	102,413,000	Republic of Turkey, 5.75%, due 05/11/47		89,547,367


				145,771,473


		Total Turkey		154,996,473


		Ukraine — 2.6%

		Foreign Government Agency — 0.5%

EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		4,719,574

	15,500,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		15,790,625

	1,052,550	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		1,126,228

	1,000,500	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		1,083,041


				22,719,468


Par Value†		Description	Value ($)

		Ukraine — continued

		Foreign Government Obligations — 2.1%

	1,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		1,711,305

	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		7,134,848

	15,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		16,201,746

	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		4,180,938

	30,200,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		31,058,812

	26,500,000	Ukraine Government International Bond, 144A, 7.25%, due 03/15/33		26,897,500


				87,185,149


		Total Ukraine		109,904,617


		United Arab Emirates — 1.6%

		Foreign Government Agency — 1.1%

	6,000,000	DAE Funding LLC, 144A, 3.38%, due 03/20/28		6,082,500

	3,100,000	DAE Sukuk Difc Ltd., 144A, 3.75%, due 02/15/26		3,212,375

	14,000,000	DP World Plc, Reg S, 4.70%, due 09/30/49		14,910,000

	22,700,000	Finance Department Government of Sharjah, 144A, 4.00%, due 07/28/50		20,770,500


				44,975,375


		Foreign Government Obligations — 0.5%

	15,700,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		15,135,781

	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		7,845,906


				22,981,687


		Total United Arab Emirates		67,957,062


		United States — 5.4%

		Asset-Backed Securities — 0.4%

	1,788,981	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.35%, due 12/15/35		1,718,974

	783,621	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.35%, due 12/15/35		770,761

	1,284,189	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.31%, due 05/15/36		1,216,789

	9,133,076	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.27%, due 11/25/36		4,220,058


Par Value†		Description	Value ($)

		United States — continued

		Asset-Backed Securities — continued

	9,254,850	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.34%, due 11/25/36		4,320,374

	4,747,937	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.48%, due 04/25/37		2,405,745


				14,652,701


		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2169		533,782

	1,411,548	AMBAC LSNI LLC, 3 mo. LIBOR + 5.00%, 6.00%, due 02/12/23		1,416,841


				1,950,623


		U.S. Government — 5.0%

	10,000,000	U.S. Treasury Note, 1.75%, due 02/28/22^(f)		10,166,406

	84,000,000	U.S. Treasury Note, 0.13%, due 05/31/22		84,013,125

	90,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		90,000,000

	6,225,000	U.S. Treasury Note, 1.63%, due 11/15/50		5,535,387

	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 07/31/22		20,005,082


				209,720,000


		Total United States		226,323,324


		Uruguay — 0.8%

		Foreign Government Obligations

	27,918,000	Uruguay Government International Bond, 5.10%, due 06/18/50		34,400,211


		Uzbekistan — 0.5%

		Foreign Government Obligations

	11,700,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		13,127,400

	7,600,000	Republic of Uzbekistan Bond, 144A, 3.70%, due 11/25/30		7,600,000


		Total Uzbekistan		20,727,400


		Venezuela — 1.0%

		Foreign Government Agency — 0.3%

	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18^{(c) (d)}		1,671,975

	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24^{(c) (d)}		7,040,000

	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26^{(c) (d)}		2,478,680


				11,190,655


Par Value†		Description	Value ($)

		Venezuela — continued

		Foreign Government Obligations — 0.7%

	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19^{(c) (d)}		1,807,660

	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20^{(c) (d)}		3,477,000

	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22^{(c) (d)}		2,256,250

	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23^{(c) (d)}		16,415,335

	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31^{(c) (d)}		6,526,500

	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34^{(c) (d)}		665,000


				31,147,745


		Total Venezuela		42,338,400


		Vietnam — 0.8%

		Foreign Government Agency — 0.6%

	28,058,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		24,349,083


		Foreign Government Obligations — 0.2%

	9,918,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.13%, due 03/13/28^(c)		8,975,790


		Total Vietnam		33,324,873


		Zambia — 0.4%

		Foreign Government Obligations

	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 ^(d)		2,010,375

	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 ^(d)		15,698,808


		Total Zambia		17,709,183


		TOTAL DEBT OBLIGATIONS (COST $4,198,772,499)		3,920,180,185


		LOAN ASSIGNMENTS — 0.6%

		Chad — 0.4%

	7,415,303	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.19%, due 09/30/25^(c)		5,561,478

	20,774,455	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.44%, due 12/31/27^(c)		12,049,184


		Total Chad		17,610,662


		Indonesia — 0.0%

EUR	101,262	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21^(a)		121,010


		Kenya — 0.2%

	5,475,000	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25^(a)		5,640,218


		TOTAL LOAN ASSIGNMENTS (COST $23,964,736)		23,371,890


Par Value† / Shares		Description	Value ($)

		LOAN PARTICIPATIONS — 0.9%

		Angola — 0.7%

	702,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 4.76%, due 12/07/23^(c)		660,099

	10,912,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.45%, due 12/13/23^(c)		10,094,062

	6,243,341	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.45%, due 12/20/23^(c)		5,775,091

	12,666,667	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24^(c)		12,666,667


		Total Angola		29,195,919


		Egypt — 0.0%

CHF	686	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24^(a)		630


		Iraq — 0.2%

EUR	783,548	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27^(a)		618,716

JPY	112,663,119	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28^(c)		471,839

JPY	2,028,627,070	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28^(c)		8,472,641

JPY	265,058,341	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28^(c)		1,107,092


		Total Iraq		10,670,288


		Russia — 0.0%

EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.)^{(c) (d)}		3


		TOTAL LOAN PARTICIPATIONS (COST $62,221,378)		39,866,840


		MUTUAL FUNDS — 1.8%

		United States — 1.8%

		Affiliated Issuers — 1.8%

	14,838,144	GMO U.S. Treasury Fund		74,784,247


		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,784,247


Par Value† / Shares		Description	Value ($)

		RIGHTS/WARRANTS — 0.4%

		Argentina — 0.0%

EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35^(g)		1,263,446

JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35^{(c) (g)}		34,800


		Total Argentina		1,298,246


		Ukraine — 0.4%

	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40^(g)		15,786,769


		TOTAL RIGHTS/WARRANTS (COST $49,378,719)		17,085,015


		SHORT-TERM INVESTMENTS — 1.7%

		Money Market Funds — 0.3%

	13,552,268	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01%^(h)		13,552,268


		U.S. Government — 1.4%

	60,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22⁽ⁱ⁾		59,959,883


		TOTAL SHORT-TERM INVESTMENTS (COST $73,513,534)		73,512,151


		TOTAL INVESTMENTS — 98.1% (Cost $4,482,147,296)		4,148,800,328

		Other Assets and Liabilities (net) — 1.9%		79,421,056


		TOTAL NET ASSETS — 100.0%		$4,228,221,384

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
03/19/2021	BOA	EUR	67,025,600	USD	80,762,195		(139,268	)
03/19/2021	MSCI	GBP	66,311,000	USD	91,848,759		(544,777	)
05/19/2021	SSB	JPY	8,000,000,000	USD	75,455,838		339,034

						$	(345,011	)

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.

As of February 28, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b)	Security is backed by U.S. Treasury Bonds.

(c)	Investment valued using significant unobservable inputs (Note 2).

(d)	Security is in default.

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

(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 February 28, 2021.

(i)	The rate shown represents yield-to-maturity.

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

Day-to-day management of the Fund’s portfolio is the responsibility of the Structured Products team at Grantham, Mayo, Van Otterloo & Co. LLC.

Class VI shares of GMO High Yield Fund returned +7.21% (net) for the fiscal year ended February 28, 2021, as compared with +7.09% for the Markit iBoxx USD Liquid High Yield Index.

The Fund was invested in a mix of index portfolio products as well as cash high yield bonds. During the fiscal year, the Fund moved exposures between different products based on changes in the model’s alpha signals as well as other factors. Absolute performance was driven by high yield-based ETFs and fallen angel bonds (bonds originally issued as investment grade that have since been downgraded to below investment grade), which were top contributors for the period. Credit default swaps and short-dated B–CCC bonds also contributed positively during the period, while BB-rated bonds detracted.

Comparison of Change in Value of a $300,000,000 Investment in

GMO High Yield Fund Class VI Shares and the Markit iBoxx USD Liquid High Yield Index

As of February 28, 2021

LOGO

For Class VI the gross expense ratio of 0.56% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.56% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.


Asset Class Summary^&	% of Total Net Assets
Short-Term Investments		57.9	%
Debt Obligations		35.9
Investment Funds		3.1
Swap Contracts		2.1
Forward Currency Contracts		0.3
Futures Contracts		(0.1	)
Other		0.8

		100.0	%


Industry Group Summary¤	% of Investments
Consumer Cyclical		25.6	%
Communications		13.7
Consumer Non-Cyclical		12.8
Energy		9.4
Basic Industry		7.3
Capital Goods		6.1
Finance Companies		4.5
Technology		4.4
Other Industrial		3.9
REITS		2.4
Transportation		2.2
Other Utility		1.8
Banking		1.7
Insurance		1.3
Electric		0.8
Other Financial		0.3
Brokerage/Asset Managers/Exchanges		0.1

		98.3	%

&	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%.


Par Value†		Description	Value ($)

		DEBT OBLIGATIONS — 35.9%

		Corporate Debt — 35.7%

		Australia — 0.1%

	130,000	North Queensland Export Terminal Pty Ltd., 144A, 4.45%, due 12/15/22		128,556


		Canada — 1.9%

	825,000	Methanex Corp., 5.25%, due 12/15/29		846,141

	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		116,562

	500,000	Quebecor Media, Inc., 5.75%, due 01/15/23		533,125

	275,000	Taseko Mines Ltd., 144A, 8.75%, due 06/15/22		281,050


		Total Canada		1,776,878


		Luxembourg — 0.9%

	500,000	ArcelorMittal SA, 3.60%, due 07/16/24		530,676

	225,000	ArcelorMittal SA, 7.25%, due 10/15/39		324,000


		Total Luxembourg		854,676


		New Zealand — 0.6%

	550,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		536,250


		United Kingdom — 1.3%

	350,000	Avon Products, Inc., 7.00%, due 03/15/23		375,813

	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		188,575

	725,000	Rolls-Royce Plc, 144A, 3.63%, due 10/14/25		723,187


		Total United Kingdom		1,287,575


		United States — 30.9%

	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		128,464

	375,000	Ally Financial, Inc., 5.75%, due 11/20/25		429,753

	373,000	AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, due 05/20/24		412,747

	325,000	Apache Corp., 5.35%, due 07/01/49		323,375

	625,000	Arconic Corp., 144A, 6.00%, due 05/15/25		664,062

	500,000	Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144A, 10.50%, due 05/15/25		596,400

	250,000	Bausch Health Cos Inc, 144A, 5.75%, due 08/15/27		269,375

	475,000	Carnival Corp., 144A, 11.50%, due 04/01/23		541,595

	375,000	CDW LLC / CDW Finance Corp., 5.50%, due 12/01/24		413,906

	625,000	Cinemark USA, Inc., 5.13%, due 12/15/22		619,531

	625,000	CIT Group, Inc., 5.00%, due 08/15/22		659,375

	275,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		270,188


Par Value†		Description	Value ($)

		Corporate Debt — continued

		United States — continued

	375,000	Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, due 01/15/23		394,219

	625,000	CSC Holdings LLC, 6.75%, due 11/15/21		645,313

	250,000	CSC Holdings LLC, 5.88%, due 09/15/22		262,996

	500,000	Darling Ingredients, Inc., 144A, 5.25%, due 04/15/27		526,250

	375,000	Delta Air Lines, Inc., 3.63%, due 03/15/22		380,781

	425,000	DISH DBS Corp., 5.88%, due 07/15/22		443,139

	125,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23		127,500

	675,000	Fluor Corp., 3.50%, due 12/15/24		682,958

	1,050,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,105,125

	1,177,000	Ford Motor Credit Co. LLC, 3.82%, due 11/02/27		1,215,252

	375,000	Freeport-McMoRan, Inc., 3.55%, due 03/01/22		380,625

	250,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		260,065

	375,000	G-III Apparel Group Ltd., 144A, 7.88%, due 08/15/25		404,062

	500,000	Gap, Inc. (The), 144A, 8.88%, due 05/15/27		585,590

	400,000	Genworth Mortgage Holdings, Inc., 144A, 6.50%, due 08/15/25		432,252

	670,000	Hexcel Corp., 4.20%, due 02/15/27		703,275

	250,000	Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22		250,788

	250,000	iStar, Inc., REIT, 5.50%, due 02/15/26		255,625

	500,000	KB Home, 4.80%, due 11/15/29		537,500

	625,000	Kraft Heinz Foods Co., 3.88%, due 05/15/27		683,167

	250,000	Kraft Heinz Foods Co., 6.75%, due 03/15/32		338,150

	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27		603,125

	394,000	Macy’s Retail Holdings LLC, 2.88%, due 02/15/23		391,132

	375,000	Netflix, Inc., 4.38%, due 11/15/26		420,941

	525,000	Newell Brands, Inc., 4.70%, due 04/01/26		582,188

	250,000	Nordstrom, Inc., 4.00%, due 03/15/27		247,629

	500,000	Occidental Petroleum Corp., 4.30%, due 08/15/39		443,750

	775,000	Occidental Petroleum Corp., 4.40%, due 08/15/49		682,484

	375,000	Olin Corp., 144A, 9.50%, due 06/01/25		464,008

	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		426,450

	375,000	Pilgrim’s Pride Corp., 144A, 5.88%, due 09/30/27		402,319

	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		404,063

	875,000	QVC, Inc., 5.45%, due 08/15/34		925,312


Par Value†		Description	Value ($)

		Corporate Debt — continued

		United States — continued

	400,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		453,130

	625,000	Sealed Air Corp., 144A, 5.25%, due 04/01/23		659,687

	250,000	Sensata Technologies BV, 144A, 4.88%, due 10/15/23		266,250

	250,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		250,000

	600,000	Service Properties Trust, REIT, 4.38%, due 02/15/30		558,000

	625,000	Southwestern Energy Co., 6.45%, due 01/23/25		656,250

	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		840,264

	600,000	Sprint Corp., 7.88%, due 09/15/23		692,730

	375,000	United Rentals North America, Inc., 5.88%, due 09/15/26		394,103

	250,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23		253,750

	250,000	Vericast Corp., 144A, 8.38%, due 08/15/22		251,563

	500,000	Western Midstream Operating LP, 5.30%, due 02/01/30		541,885

	925,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		934,250

	500,000	XPO Logistics, Inc., 144A, 6.75%, due 08/15/24		525,000


		Total United States		29,213,666


		Total Corporate Debt		33,797,601


		U.S. Government — 0.2%

	150,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.18%, due 01/31/22^(a)		150,104


		TOTAL DEBT OBLIGATIONS (COST $32,489,882)		33,947,705


		INVESTMENT FUNDS — 3.1%

		United States — 3.1%

	33,614	iShares iBoxx $ High Yield Corporate Bond ETF		2,905,594


		TOTAL INVESTMENT FUNDS (COST $2,926,591)		2,905,594


		SHORT-TERM INVESTMENTS — 57.9%

		Foreign Government Obligations — 9.9%

JPY	1,000,000,000	Japan Treasury Discount Bill, zero coupon, due 04/12/21		9,382,404


		Money Market Funds — 0.4%

	399,285	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% ^(b)		399,285


Par Value†		Description	Value ($)

		U.S. Government — 47.6%

	700,000	U.S. Treasury Bill, 0.06%, due 11/04/21^(c)		699,723

	16,600,000	U.S. Treasury Bill, 0.08%, due 12/30/21^(c)		16,589,533

	27,700,000	U.S. Treasury Bill, 0.07%, due 01/27/22^(c)		27,681,480


		Total U.S. Government		44,970,736


		TOTAL SHORT-TERM INVESTMENTS (COST $54,987,454)		54,752,425


		TOTAL INVESTMENTS — 96.9% (Cost $90,403,927)		91,605,724

		Other Assets and Liabilities (net) — 3.1%		2,939,607


		TOTAL NET ASSETS — 100.0%		$94,545,331

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement
Date

Counterparty

Currency
Sold

Currency
Purchased

Net Unrealized
Appreciation
(Depreciation) ($)

04/12/2021

SSB

JPY

1,000,000,000

USD

9,650,211

264,398

Futures Contracts



Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
22	U.S. Treasury Note 5 Yr. (CBT)		June 2021		2,727,312		(20,595	)
22	U.S. Treasury Note 2 Yr. (CBT)		June 2021		4,856,844		(1,668	)
33	U.S. Treasury Note 10 Yr. (CBT)		June 2021		4,379,719		(27,864	)

				$	11,963,875	$	(50,127	)

Sales
3	U.S. Long Bond (CBT)		June 2021		477,656		629
6	U.S. Treasury Ultra 10 Yr. (CBT)		June 2021		1,134,375		(10,559	)

				$	1,612,031	$	(9,930	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Rates & FX team at Grantham, Mayo, Van Otterloo & Co. LLC.

Class III shares of GMO Multi-Sector Fixed Income Fund returned +0.59% (net) for the fiscal year ended February 28, 2021, as compared with +1.38% for the Bloomberg Barclays U.S. Aggregate Index.

The Fund’s investment exposure was achieved through global interest rate and currency derivatives, as well as indirect (through ETFs and other GMO Funds, including GMO Opportunistic Income Fund, GMO Emerging Country Debt Fund, and GMO U.S. Treasury Fund) and direct fixed income investments.

Developed markets interest rate positioning contributed negatively during the fiscal year. The Fund’s active duration positions in New Zealand, Switzerland, and Canada detracted value, while positions in European and U.K. rates provided some support. Slope positions (2-year vs. 10-year) in New Zealand and Canada compounded losses in rates.

The Fund’s positions in developed market currencies added value during the fiscal year. Exposure to Swedish krona added to performance, but exposure to New Zealand dollar paired gains. Exposure to emerging market currencies resulted in a net positive contribution to performance. Positioning in South African rand and Brazilian real drove gains.

The Fund’s overweight positioning to securitized products and emerging country debt also added value during the year.

Comparison of Change in Value of a $5,000,000 Investment in

GMO Multi-Sector Fixed Income Fund (Formerly GMO Core Plus Bond Fund) Class III Shares and the Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2021

LOGO

For Class III and IV the gross expense ratio of 0.61% and 0.56%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.45% and 0.40% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.


Asset Class Summary†	% of Total Net Assets
Debt Obligations		61.7	%
Short-Term Investments		23.4
Investment Funds		17.5
Mutual Funds		9.2
Swap Contracts		0.7
Forward Currency Contracts		0.6
Loan Participations		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.1	)
Other		(13.0	)

		100.0	%


Country/Region Summary‡	% of Investments
United States		92.0	%
Canada		20.0
New Zealand		12.8
Australia		7.6
Other Emerging		5.7	*
Other Developed		1.1	¤
United Kingdom		(12.5	)
Euro Region		(26.7	)§

		100.0	%

†

‡

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. 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 comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

¤	“Other Developed” is comprised of developed countries that each represent 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%.


Par Value†	Description	Value ($)

	DEBT OBLIGATIONS — 44.5%

	Brazil — 0.2%

	Corporate Debt

300,000	Suzano Austria GmbH, 3.75%, due 01/15/31		315,735


	Canada — 0.8%

	Corporate Debt

450,000	Bank of Nova Scotia (The), 0.55%, due 09/15/23		451,891

300,000	Cenovus Energy, Inc., 5.38%, due 07/15/25		339,674

350,000	Teck Resources Ltd., 6.25%, due 07/15/41		457,337


	Total Canada		1,248,902


	Chile — 0.3%

	Corporate Debt

400,000	Enel Americas SA, 4.00%, due 10/25/26		441,568


	Germany — 1.4%

	Corporate Debt

1,250,000	Deutsche Bank AG, 3.95%, due 02/27/23		1,325,420

400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		436,675

450,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		475,650


	Total Germany		2,237,745


	Japan — 0.2%

	Corporate Debt

400,000	Sumitomo Mitsui Financial Group Inc., 2.85%, due 01/11/22		408,759


	Switzerland — 0.7%

	Corporate Debt

400,000	Credit Suisse Group AG, 3.75%, due 03/26/25		438,337

300,000	Credit Suisse Group AG, 4.88%, due 05/15/45		385,369

400,000	Credit Suisse Group Funding Guernsey Ltd., 3.80%, due 09/15/22		420,036


	Total Switzerland		1,243,742


	United Kingdom — 0.2%

	Certificate of Deposit

350,000	CNH Industrial NV, 4.50%, due 08/15/23		382,268


	United States — 40.7%

	Corporate Debt — 25.4%

400,000	Abbott Laboratories, 2.55%, due 03/15/22		409,275

400,000	Abbott Laboratories, 2.95%, due 03/15/25		431,028

350,000	Abbott Laboratories, 3.75%, due 11/30/26		398,760

400,000	Ally Financial, Inc., 4.13%, due 02/13/22		413,537

450,000	Alphabet, Inc., 0.45%, due 08/15/25		443,607

450,000	Alphabet, Inc., 0.80%, due 08/15/27		437,431

450,000	Amazon.com, Inc., 0.40%, due 06/03/23		451,119


Par Value†	Description	Value ($)

	United States — continued

	Corporate Debt — continued

450,000	Amazon.com, Inc., 0.80%, due 06/03/25		449,302

400,000	Amazon.com, Inc., 3.30%, due 12/05/21		407,328

400,000	Apple, Inc., 2.15%, due 02/09/22		407,291

400,000	Apple, Inc., 2.50%, due 02/09/22		408,028

450,000	Apple, Inc., 0.75%, due 05/11/23		454,077

350,000	Ares Capital Corp., 2.15%, due 07/15/26		345,695

400,000	Arrow Electronics, Inc., 3.88%, due 01/12/28		444,670

200,000	AstraZeneca Plc, 2.38%, due 06/12/22		204,809

300,000	Bank of America Corp., Variable Rate, 4.33%, due 03/15/50		357,695

400,000	Bank of America Corp., Variable Rate, 2.83%, due 10/24/51		381,801

200,000	Boeing Co. (The), 5.71%, due 05/01/40		251,993

350,000	Boeing Co. (The), 5.04%, due 05/01/27		403,387

350,000	Bunge Ltd. Finance Corp., 3.25%, due 08/15/26		378,782

400,000	Bunge Ltd. Finance Corp., 3.75%, due 09/25/27		447,267

400,000	Bunge Ltd. Finance Corp., 4.35%, due 03/15/24		440,945

400,000	Caterpillar Financial Services Corp., 1.90%, due 09/06/22		409,828

450,000	Caterpillar Financial Services Corp., 0.45%, due 09/14/23		450,648

300,000	Caterpillar, Inc., 4.75%, due 05/15/64		413,758

400,000	Caterpillar, Inc., 3.25%, due 09/19/49		427,645

400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		466,961

350,000	Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25		403,271

350,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		406,102

400,000	Coca-Cola Co. (The), 2.95%, due 03/25/25		433,582

350,000	Conagra Brands, Inc., 5.30%, due 11/01/38		445,034

350,000	Corning, Inc., 5.45%, due 11/15/79		454,354

400,000	Crown Castle International Corp., REIT, 5.25%, due 01/15/23		433,907

350,000	Deere & Co., 3.75%, due 04/15/50		411,180

400,000	DH Europe Finance II Sarl, 2.60%, due 11/15/29		417,956

400,000	DH Europe Finance II Sarl, 3.25%, due 11/15/39		425,895

400,000	DH Europe Finance II Sarl, 3.40%, due 11/15/49		425,117

350,000	Diamondback Energy, Inc., 5.38%, due 05/31/25		362,041

200,000	Discover Bank, 2.45%, due 09/12/24		211,002

350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		452,284

300,000	DuPont de Nemours, Inc., 5.42%, due 11/15/48		400,170

450,000	DuPont de Nemours, Inc., 2.17%, due 05/01/23		452,217

450,000	Enable Midstream Partners LP, 4.95%, due 05/15/28		504,804


Par Value†	Description	Value ($)

	United States — continued

	Corporate Debt — continued

400,000	Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30		423,826

400,000	Expedia Group, Inc., 5.00%, due 02/15/26		452,041

450,000	Expedia Group, Inc., 3.80%, due 02/15/28		482,706

250,000	Expedia Group, Inc., 3.25%, due 02/15/30		256,323

400,000	FedEx Corp., 4.10%, due 04/15/43		447,626

350,000	FedEx Corp., 5.10%, due 01/15/44		438,029

300,000	FedEx Corp., 5.25%, due 05/15/50		386,373

350,000	Fortive Corp., 4.30%, due 06/15/46		410,815

300,000	General Electric Co., 4.13%, due 10/09/42		331,059

250,000	General Electric Co., 4.50%, due 03/11/44		286,310

400,000	GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31		425,836

400,000	Halliburton Co., 4.85%, due 11/15/35		461,723

300,000	Halliburton Co., 5.00%, due 11/15/45		349,606

350,000	International Paper Co., 4.80%, due 06/15/44		434,337

400,000	John Deere Capital Corp., 2.65%, due 01/06/22		408,147

400,000	John Deere Capital Corp., 3.20%, due 01/10/22		409,981

350,000	Johnson & Johnson, 3.63%, due 03/03/37		407,031

350,000	Marathon Petroleum Corp., 6.50%, due 03/01/41		472,989

400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		453,183

400,000	Marriott International Inc/MD, 5.75%, due 05/01/25		461,867

400,000	Marriott International Inc/MD, 4.63%, due 06/15/30		455,552

250,000	Marriott International Inc/MD, 3.50%, due 10/15/32		263,407

300,000	Morgan Stanley, Variable Rate, 5.60%, due 03/24/51		434,689

300,000	Morgan Stanley, 6.38%, due 07/24/42		455,139

350,000	Mosaic Co. (The), 5.45%, due 11/15/33		433,385

350,000	Mosaic Co. (The), 5.63%, due 11/15/43		451,564

400,000	NextEra Energy Capital Holdings, Inc., Variable Rate, 4.80%, due 12/01/77		432,000

350,000	NextEra Energy Capital Holdings, Inc., Variable Rate, 5.65%, due 05/01/79		408,969

350,000	NIKE, Inc., 3.38%, due 03/27/50		383,165

350,000	PacifiCorp, 4.15%, due 02/15/50		414,699

400,000	Procter & Gamble Co. (The), 2.30%, due 02/06/22		407,824

400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		428,843

350,000	Starbucks Corp., 4.45%, due 08/15/49		423,656

400,000	Starbucks Corp., 3.50%, due 11/15/50		417,527

150,000	Synchrony Bank, 3.00%, due 06/15/22		154,454

300,000	Synchrony Financial, 4.25%, due 08/15/24		329,378

400,000	Synchrony Financial, 4.38%, due 03/19/24		439,030

150,000	Synchrony Financial, 5.15%, due 03/19/29		178,099

400,000	Synchrony Financial, 2.85%, due 07/25/22		412,049

350,000	Sysco Corp., 5.95%, due 04/01/30		448,412


Par Value†	Description	Value ($)

	United States — continued

	Corporate Debt — continued

300,000	Sysco Corp., 6.60%, due 04/01/40		426,962

300,000	Sysco Corp., 6.60%, due 04/01/50		444,240

300,000	Tapestry, Inc., 4.25%, due 04/01/25		325,675

400,000	Thermo Fisher Scientific, Inc., 4.13%, due 03/25/25		447,599

350,000	Thermo Fisher Scientific, Inc., 4.50%, due 03/25/30		416,528

350,000	Union Pacific Corp., 4.38%, due 11/15/65		428,003

350,000	Union Pacific Corp., 4.10%, due 09/15/67		402,556

400,000	United Parcel Service, Inc., 2.35%, due 05/16/22		409,580

300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		398,838

400,000	United Parcel Service, Inc., 3.90%, due 04/01/25		445,819

400,000	Verizon Communications, Inc., 3.38%, due 02/15/25		436,654

350,000	Verizon Communications, Inc., 4.33%, due 09/21/28		407,281

350,000	Verizon Communications, Inc., 3.88%, due 02/08/29		398,977

400,000	VMware, Inc., 4.50%, due 05/15/25		449,820

400,000	Walt Disney Co. (The), 2.65%, due 01/13/31		419,216

400,000	Walt Disney Co. (The), 1.75%, due 01/13/26		412,299

400,000	Walt Disney Co. (The), 2.20%, due 01/13/28		414,748

350,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		438,262

400,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		474,258

400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		481,712


			42,026,259


	U.S. Government Agency — 15.3%

4,100,000	Federal National Mortgage Association, TBA, 2.50%, due 03/16/36		4,286,960

10,900,000	Federal National Mortgage Association, TBA, 3.00%, due 03/11/51		11,407,531

1,300,000	Federal National Mortgage Association, TBA, 4.00%, due 03/11/51		1,396,789

6,000,000	Federal National Mortgage Association, TBA, 3.50%, due 03/11/51		6,361,805

1,700,000	Government National Mortgage Association, TBA, 3.50%, due 03/18/51		1,800,918


			25,254,003


	Total United States		67,280,262


	TOTAL DEBT OBLIGATIONS (COST $73,340,640)		73,558,981


	Par Value†	Description	Value ($)

		INVESTMENT FUNDS — 17.5%

		United States — 17.5%

USD	76,000	iShares Core S&P 500 ETF		29,014,520


		TOTAL INVESTMENT FUNDS (COST $27,690,600)		29,014,520


		MUTUAL FUNDS — 30.9%

		United States — 30.9%

		Affiliated Issuers

	336,655	GMO Emerging Country Debt Fund, Class IV		8,584,702

	1,069,719	GMO Opportunistic Income Fund, Class VI		27,641,535

	2,941,558	GMO U.S. Treasury Fund		14,825,453


		TOTAL MUTUAL FUNDS (COST $52,961,551)		51,051,690


		SHORT-TERM INVESTMENTS — 20.1%

		Foreign Government Obligations — 15.5%

JPY	2,725,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/05/21		25,566,527

		Money Market Funds — 1.0%

	1,707,995	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01%^(a)		1,707,995


		U.S. Government — 3.6%

	6,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21^(b) (c)		5,996,860


		TOTAL SHORT-TERM INVESTMENTS (COST $34,239,586)		33,271,382


		TOTAL INVESTMENTS — 113.0% (Cost $188,232,377)		186,896,573

		Other Assets and Liabilities (net) — (13.0%)		(21,432,121	)


		TOTAL NET ASSETS — 100.0%		$165,464,452

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/10/2021	MSCI	AUD	11,491,000		USD	8,758,268		(85,372	)
04/05/2021	GS	BRL	702,351		USD	130,000		4,820
04/05/2021	JPM	BRL	1,704,778		USD	316,297		12,456
04/05/2021	MSCI	BRL	809,790		USD	150,000		5,672
05/03/2021	BCLY	CAD	1,399,815		USD	1,100,000		(51	)
05/03/2021	JPM	CAD	681,075		USD	537,227		2,000



Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/13/2021	JPM	CHF	367,817		USD	410,000		5,173
04/13/2021	MSCI	CHF	10,684,287		USD	12,028,604		269,265
05/24/2021	JPM	CLP	112,760,000		USD	160,000		4,067
05/24/2021	MSCI	CLP	64,538,000		USD	91,126		1,878
03/31/2021	BCLY	EUR	330,000		USD	400,209		1,776
04/13/2021	BCLY	GBP	580,000		USD	801,800		(6,451	)
04/13/2021	JPM	GBP	1,790,000		USD	2,439,149		(55,278	)
04/13/2021	BCLY	HUF	286,971,981		USD	965,460		10,799
04/13/2021	JPM	HUF	68,490,051		USD	230,000		2,156
04/30/2021	GS	ILS	487,985		USD	150,000		2,426
04/19/2021	JPM	INR	8,768,040		USD	120,000		2,231
03/09/2021	BCLY	JPY	56,700,000		USD	540,000		8,048
03/09/2021	JPM	JPY	65,312,158		USD	620,000		7,249
04/05/2021	CITI	JPY	2,725,000,000		USD	26,501,878		927,541
04/21/2021	DB	MXN	2,977,134		USD	150,000		8,447
04/19/2021	JPM	NOK	7,649,210		USD	900,000		17,855
05/05/2021	JPM	NZD	900,000		USD	656,409		6,164
05/05/2021	MSCI	NZD	4,650,000		USD	3,350,418		(9,183	)
04/21/2021	JPM	PHP	24,877,090		USD	516,585		10,923
05/28/2021	BCLY	RON	2,588,388		USD	641,629		3,621
05/05/2021	JPM	SEK	2,563,582		USD	310,000		6,191
04/15/2021	MSCI	SGD	730,245		USD	551,232		3,650
04/16/2021	BOA	THB	4,882,449		USD	162,079		85
05/03/2021	BCLY	TWD	852,235		USD	30,774		(21	)
05/03/2021	JPM	TWD	2,763,600		USD	100,000		139
05/10/2021	JPM	USD	323,855		AUD	410,000		(8,313	)
04/05/2021	JPM	USD	130,000		BRL	701,878		(4,905	)
05/03/2021	BCLY	USD	930,000		CAD	1,173,164		(8,063	)
05/03/2021	MSCI	USD	10,013,259		CAD	12,850,896		85,677
04/13/2021	JPM	USD	190,000		CHF	170,965		(1,833	)
04/13/2021	MSCI	USD	690,000		CHF	612,368		(16,016	)
04/30/2021	MSCI	USD	442,691		COP	1,586,642,700		(8,505	)
05/17/2021	MSCI	USD	386,201		CZK	8,211,026		(7,586	)
03/31/2021	MSCI	USD	8,106,483		EUR	6,679,000		(42,426	)
04/13/2021	MSCI	USD	3,749,010		GBP	2,781,000		126,410
04/13/2021	CITI	USD	190,000		HUF	55,907,367		(4,015	)
05/11/2021	JPM	USD	110,000		IDR	1,562,110,000		(2,619	)
05/11/2021	MSCI	USD	501,821		IDR	7,080,689,000		(15,087	)
04/19/2021	CITI	USD	110,000		INR	8,128,824		(817	)
04/19/2021	JPM	USD	633,929		INR	46,927,240		(3,623	)
03/09/2021	MSCI	USD	8,927,307		JPY	941,082,808		(98,186	)
04/19/2021	MSCI	USD	246,034		KRW	271,835,720		(4,810	)
04/21/2021	JPM	USD	692,435		MXN	13,761,109		(38,137	)
04/19/2021	BCLY	USD	560,000		NOK	4,775,176		(9,303	)
04/19/2021	JPM	USD	335,467		NOK	2,874,034		(4,019	)
05/05/2021	BOA	USD	173,461		NZD	241,385		938
05/05/2021	JPM	USD	3,173,401		NZD	4,408,615		11,801
05/24/2021	MSCI	USD	285,392		PEN	1,042,336		298
05/17/2021	CITI	USD	618,181		PLN	2,291,411		(6,354	)
05/12/2021	MSCI	USD	814,352		RUB	60,545,072		(10,071	)
05/05/2021	BCLY	USD	5,227,472		SEK	43,944,223		(19,653	)
05/05/2021	JPM	USD	2,460,000		SEK	20,614,924		(16,930	)
04/15/2021	DB	USD	210,000		SGD	277,656		(1,796	)
04/15/2021	GS	USD	280,000		SGD	371,304		(1,573	)
04/16/2021	MSCI	USD	162,564		THB	4,882,449		(570	)
05/17/2021	BCLY	USD	696,434		TRY	5,098,382		(33,110	)
04/30/2021	MSCI	USD	993,736		ZAR	15,342,789		12,823

							$	1,037,903


Face Value		Description	Value ($)

USD	6,685,232	J.P. Morgan Securities plc, (0.50)%, dated 01/06/21, (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.	$	(6,685,232	)


		Average balance outstanding	$	(7,687,893	)

		Average interest rate (net)		0.49	%

		Maximum balance outstanding	$	(15,287,742	)



Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)

Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB)^(a)		(947,472	)		(64,608	)

Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB)^(a)		(92,858	)		73,886

Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB)^(a)		(1,094,693	)		286,483

Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB)^(a)		(3,715,556	)		94,758


					$	(5,850,579	)	$	390,519


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	140,060,000		1.00%		1.10%		N/A		06/20/2024		Quarterly		4,376,875		468,501		(3,908,374	)
CDX-EMS.34.V1-5Y	USD	75,000,000		1.00%		1.92%		N/A		12/20/2025		Quarterly		2,096,250		3,127,650		1,031,400

													$	6,473,125	$	3,596,151	$	(2,876,974	)


Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread⁽¹⁾		Maximum Potential Amount of Future Payments by the Fund Under the Contract⁽²⁾		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Banque Centrale de Tunisie SA	JPM	USD	19,500,000		1.00%		6.43%		N/A		06/20/2022		Quarterly		2,109,320			1,332,634			(776,686	)
Republic of South Africa	GS	USD	9,700,000		1.00%		1.20%		N/A		12/20/2022		Quarterly		152,652			35,936			(116,716	)
Republic of South Africa	CITI	USD	26,200,000		1.00%		1.20%		N/A		12/20/2022		Quarterly		659,930			97,065			(562,865	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		1.66%		N/A		06/20/2024		Quarterly		1,923,458			795,597			(1,127,861	)
Commonwealth of Bahamas	DB	EUR	37,970,815		1.00%		4.49%		N/A		06/20/2025		Quarterly		5,153,296			3,955,465			(1,197,831	)
Republic of South Africa	GS	USD	41,800,000		1.00%		2.38%		N/A		12/20/2025		Quarterly		4,006,975			2,627,964			(1,379,011	)
Republic of Turkey	CITI	USD	15,000,000		1.00%		3.15%		N/A		12/20/2025		Quarterly		2,748,570			1,426,661			(1,321,909	)
Republic of Turkey	GS	USD	12,000,000		1.00%		3.15%		N/A		12/20/2025		Quarterly		2,223,997			1,141,328			(1,082,669	)
Republic of Turkey	GS	USD	5,000,000		1.00%		3.15%		N/A		12/20/2025		Quarterly		947,400			475,554			(471,846	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.65%		N/A		06/20/2029		Quarterly		1,589,641			989,976			(599,665	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.82%		N/A		09/20/2031		Quarterly		2,640,655			1,508,030			(1,132,625	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		4.36%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(256,124	)		385,339
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		4.36%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(512,321	)		751,594
Commonwealth of Bahamas	DB	USD	50,827,085		1.00%		4.48%		50,827,085 USD		06/20/2025		Quarterly		(5,838,385	)		(4,323,758	)		1,514,627

														$	16,412,131		$	9,294,007		$	(7,118,124	)


Fund Pays	Fund Receives	Notional Amount		Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.53%	6 Month EURIBOR	EUR	30,000,000	01/24/2050		Semi-Annual		(29,167	)		(1,511,124	)		(1,481,957	)
0.82%	GBP - SONIA - COMPOUND	GBP	10,600,000	02/18/2051		Annually		(41,304	)		365,522			406,826

							$	(70,471	)	$	(1,145,602	)	$	(1,075,131	)


Asset Allocation Bond Fund
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance			6
Performance Graph			7
Investment Concentration Summary			8
Schedule of Investments			9
High Yield Fund
Management Discussion and Analysis of Fund Performance			22
Performance Graph			23
Investment Concentration Summary			24
Schedule of Investments			25
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Management Discussion and Analysis of Fund Performance			30
Performance Graph			31
Investment Concentration Summary			32
Schedule of Investments			33
Opportunistic Income Fund
Management Discussion and Analysis of Fund Performance			38
Performance Graph			39
Investment Concentration Summary			40
Schedule of Investments			41
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance			52
Performance Graph			53
Investment Concentration Summary			54
Schedule of Investments			55
Portfolio, Counterparty and Currency Abbreviations			56
Fund Financial Statements:
Statements of Assets and Liabilities			57
Statements of Operations			61
Statements of Changes in Net Assets			63
Financial Highlights			66
Notes to Financial Statements			72
Report of Independent Registered Public Accounting Firm			118
Fund Expenses			119
Tax Information			120
Trustees and Officers			121


Average balance outstanding	$	(743,429	)
Average interest rate (net)		(0.21	)%
Maximum balance outstanding	$	(898,268	)



		See accompanying notes to the financial statements.		5



		See accompanying notes to the financial statements.		9



10		See accompanying notes to the financial statements.



		See accompanying notes to the financial statements.		11