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)

Tara Pari, 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: 02/28/21

Date of reporting period: 02/28/21

Item 1. Reports to Stockholders.

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

GMO Trust

Annual Report

February 28, 2021

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

Opportunistic Income Fund

U.S. Treasury Fund

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.

TABLE OF CONTENTS

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

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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.

2

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

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

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.

3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

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%.

4

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

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

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 February 28, 2021.

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.

See accompanying notes to the financial statements. 5

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Portfolio Management

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.

Management Discussion and Analysis of Fund Performance

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.

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.

6

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

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

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/

* As of March 1, 2020, the Emerging Country Debt Fund changed its benchmark so that the Fund now seeks total return in excess of that of the J.P. Morgan Emerging Markets Bond Index Global Diversified. The Fund formerly sought to outperform the J.P. Morgan Emerging Markets Bond Index Global. In order to present a performance comparison that tracks changes in the Fund’s benchmark over time, the J.P. Morgan Emerging Markets Bond Index Global Diversified + (composite index) is shown in the graph above and reflects the performance of the J.P. Morgan Emerging Markets Bond Index Global through 2/29/2020 and the J.P. Morgan EMBI Global Diversified thereafter.

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.

7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

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%.

8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

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

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)

February 28, 2021

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

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)

February 28, 2021

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

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)

February 28, 2021

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

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)

February 28, 2021

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

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)

February 28, 2021

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

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)

February 28, 2021

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

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)

February 28, 2021

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

16 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)

February 28, 2021

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	)

See accompanying notes to the financial statements. 17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Reverse Repurchase Agreements^(j)

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	)

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	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

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	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	)

18 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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) ($)
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	)

^ 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 February 28, 2021, 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.

Centrally Cleared Interest Rate Swaps

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	)

See accompanying notes to the financial statements. 19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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 J.P. Morgan EMBI Global Core IG Index Short Swap

3 Month USD LIBOR minus a spread of 0.45%

JPM

USD

19,000,001

04/13/2021

At Maturity

$

—

$

691,966

$

691,966

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.

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.

20 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO High Yield Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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.

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.

22

GMO High Yield Fund

(A Series of GMO Trust)

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

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.

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.

23

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

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%.

24

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

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

See accompanying notes to the financial statements. 25

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

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.

26 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Reverse Repurchase Agreements

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

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. The Fund had no reverse repurchase agreements at the end of the period.

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.NA.HYS.35.V1-5Y

USD

26,029,000

5.00%

3.11%

23,712,000 USD

12/20/2025

Quarterly

$

1,661,291

$

2,136,044

$

474,753

^ 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 February 28, 2021, 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.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month USD LIBOR minus a spread of 0.60%	Total Return on iBoxx High Yield Corporate Bond ETF	GS		USD	8,656,086		03/01/2021		At Maturity		—		(60,682	)		(60,682	)
1 Month USD LIBOR minus a spread of 0.75%	Total Return on iBoxx High Yield Corporate Bond ETF	GS		USD	4,722,988		03/01/2021		At Maturity		—		(36,108	)		(36,108	)
1 Month USD LIBOR minus a spread of 0.75%	Total Return on iBoxx High Yield Corporate Bond ETF	GS		USD	15,445,872		03/01/2021		At Maturity		—		(31,116	)		(31,116	)
										$	—	$	(127,906	)	$	(127,906	)

See accompanying notes to the financial statements. 27

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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) 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 February 28, 2021.

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

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.

28 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Portfolio Management

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.

Management Discussion and Analysis of Fund Performance

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.

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.

30

GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund)

(A Series of GMO Trust)

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

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 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.

31

GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund)

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

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 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. 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%.

32

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

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

See accompanying notes to the financial statements. 33

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

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

34 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

	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

See accompanying notes to the financial statements. 35

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
23	U.S. Long Bond (CBT)		June 2021		3,662,031		(855	)
37	U.S. Treasury Note 10 Yr. (CBT)		June 2021		4,910,594		(49,501	)
82	U.S. Treasury Note 2 Yr. (CBT)		June 2021		18,102,781		(10,469	)
230	U.S. Treasury Note 5 Yr. (CBT)		June 2021		28,512,812		(215,308	)
38	U.S. Treasury Ultra 10 Yr. (CBT)		June 2021		5,599,063		(41,314	)
62	U.S. Ultra Bond (CBT)		June 2021		11,721,875		137,478
				$	72,509,156	$	(179,969	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
9	U.S. Treasury Note 2 Yr. (CBT)		June 2021		1,986,891		1,329
5	U.S. Treasury Ultra 10 Yr. (CBT)		June 2021		945,312		(8,799	)
				$	2,932,203	$	(7,470	)

+ 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) ($)
3 Month CAD LIBOR	0.52%	CAD	3,100,000		03/13/2023	Semi-Annually		—			(7,441	)		(7,441	)
0.49%	3 Month CAD LIBOR	CAD	51,430,000		03/13/2023	Semi-Annually		13,060			147,535			134,475
6 Month EURIBOR	(0.55)%	EUR	10,260,000		03/15/2023	Semi-Annually		(2,541	)		(22,623	)		(20,082	)
6 Month GBP LIBOR	0.10%	GBP	48,020,000		03/15/2023	Semi-Annually		2,482			(235,470	)		(237,952	)
6 Month GBP LIBOR	0.10%	GBP	1,900,000		03/15/2023	Semi-Annually		—			(9,422	)		(9,422	)
6 Month GBP LIBOR	0.18%	GBP	2,010,000		03/15/2023	Semi-Annually		36			(5,337	)		(5,373	)
0.23%	3 Month USD LIBOR	USD	12,010,000		03/15/2023	Quarterly		454			4,768			4,314
0.21%	3 Month USD LIBOR	USD	15,040,000		03/15/2023	Quarterly		(1,683	)		11,963			13,646
0.21%	3 Month USD LIBOR	USD	4,800,000		03/15/2023	Quarterly		(1,899	)		4,105			6,004
0.12%	3 Month AUD BBSW	AUD	5,740,000		03/17/2023	Quarterly		—			7,926			7,926
0.07%	3 Month AUD BBSW	AUD	10,400,000		03/17/2023	Quarterly		139			21,794			21,655
3 Month AUD BBSW	0.10%	AUD	2,300,000		03/17/2023	Quarterly		(272	)		(3,795	)		(3,523	)
0.09%	3 Month AUD BBSW	AUD	4,920,000		03/17/2023	Quarterly		—			9,252			9,252
6 Month CHF LIBOR	(0.70)%	CHF	2,370,000		03/17/2023	Semi-Annually		—			(4,870	)		(4,870	)
(0.72)%	6 Month CHF LIBOR	CHF	1,770,000		03/17/2023	Semi-Annually		(259	)		4,305			4,564
0.39%	3 Month NZD Bank Bill Rate	NZD	42,710,000		03/17/2023	Quarterly		(11,255	)		64,978			76,233
3 Month SEK STIBOR	(0.03)%	SEK	256,890,000		03/17/2023	Quarterly		5,873			(32,878	)		(38,751	)
6 Month AUD BBSW	1.01%	AUD	1,200,000		03/17/2031	Semi-Annually		—			(72,038	)		(72,038	)
6 Month AUD BBSW	0.99%	AUD	1,030,000		03/17/2031	Semi-Annually		—			(63,743	)		(63,743	)
6 Month AUD BBSW	1.95%	AUD	15,000,000		03/17/2031	Semi-Annually		102,315			121,723			19,408
6 Month AUD BBSW	1.26%	AUD	2,180,000		03/17/2031	Semi-Annually		1,362			(92,500	)		(93,862	)
1.05%	6 Month AUD BBSW	AUD	490,000		03/17/2031	Semi-Annually		(230	)		28,097			28,327
3 Month CAD LIBOR	1.50%	CAD	18,230,000		03/17/2031	Semi-Annually		1,892			(514,926	)		(516,818	)
3 Month CAD LIBOR	1.51%	CAD	9,830,000		03/17/2031	Semi-Annually		(9,035	)		(270,422	)		(261,387	)
3 Month CAD LIBOR	1.61%	CAD	1,740,000		03/17/2031	Semi-Annually		—			(35,057	)		(35,057	)
3 Month CAD LIBOR	1.75%	CAD	18,850,000		03/17/2031	Semi-Annually		(23,104	)		(185,495	)		(162,391	)
6 Month CHF LIBOR	(0.25)%	CHF	6,880,000		03/17/2031	Semi-Annually		(3,319	)		(261,976	)		(258,657	)
6 Month CHF LIBOR	(0.27)%	CHF	350,000		03/17/2031	Semi-Annually		765			(13,990	)		(14,755	)
(0.21)%	6 Month CHF LIBOR	CHF	470,000		03/17/2031	Semi-Annually		—			15,541			15,541
(0.19)%	6 Month CHF LIBOR	CHF	690,000		03/17/2031	Semi-Annually		—			21,431			21,431
(0.12)%	6 Month CHF LIBOR	CHF	2,390,000		03/17/2031	Semi-Annually		(970	)		54,798			55,768
0.09%	6 Month CHF LIBOR	CHF	720,000		03/17/2031	Semi-Annually		—			107			107
(0.23)%	6 Month CHF LIBOR	CHF	1,730,000		03/17/2031	Semi-Annually		—			61,442			61,442

36 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.25)%	6 Month CHF LIBOR	CHF	690,000		03/17/2031	Semi-Annually		—			25,659			25,659
3 Month NZD Bank Bill Rate	1.10%	NZD	9,000,000		03/17/2031	Quarterly		(26,566	)		(546,849	)		(520,283	)
3 Month NZD Bank Bill Rate	2.15%	NZD	22,990,000		03/17/2031	Quarterly		154,861			230,103			75,242
3 Month NZD Bank Bill Rate	1.70%	NZD	5,350,000		03/17/2031	Quarterly		(18,838	)		(108,718	)		(89,880	)
0.54%	3 Month SEK STIBOR	SEK	13,500,000		03/17/2031	Annually		(421	)		44,240			44,661
0.82%	3 Month SEK STIBOR	SEK	6,900,000		03/17/2031	Quarterly		—			362			362
3 Month SEK STIBOR	0.49%	SEK	10,790,000		03/17/2031	Quarterly		2,621			(41,448	)		(44,069	)
3 Month SEK STIBOR	0.48%	SEK	4,400,000		03/17/2031	Quarterly		—			(17,282	)		(17,282	)
0.41%	3 Month SEK STIBOR	SEK	42,210,000		03/17/2031	Quarterly		1,950			201,031			199,081
(0.03)%	6 Month EURIBOR	EUR	670,000		03/19/2031	Semi-Annually		—			6,928			6,928
0.02%	6 Month EURIBOR	EUR	31,420,000		03/19/2031	Semi-Annually		(9,524	)		128,226			137,750
0.05%	6 Month EURIBOR	EUR	570,000		03/19/2031	Semi-Annually		—			(88	)		(88	)
(0.25)%	6 Month EURIBOR	EUR	2,040,000		03/19/2031	Semi-Annually		1,381			75,931			74,550
0.69%	6 Month GBP LIBOR	GBP	410,000		03/19/2031	Semi-Annually		95			17,815			17,720
0.92%	6 Month GBP LIBOR	GBP	14,090,000		03/19/2031	Semi-Annually		25,158			173,075			147,917
0.48%	6 Month GBP LIBOR	GBP	9,130,000		03/19/2031	Semi-Annually		(190	)		655,287			655,477
0.54%	6 Month GBP LIBOR	GBP	920,000		03/19/2031	Semi-Annually		3,303			58,302			54,999
1.46%	3 Month USD LIBOR	USD	15,800,000		03/19/2031	Quarterly		(8,978	)		107,718			116,696
1.51%	3 Month USD LIBOR	USD	850,000		03/19/2031	Quarterly		—			1,621			1,621
1.52%	3 Month USD LIBOR	USD	970,000		03/19/2031	Quarterly		—			786			786
1.52%	3 Month USD LIBOR	USD	970,000		03/19/2031	Quarterly		—			1,155			1,155
3 Month USD LIBOR	1.45%	USD	6,480,000		03/19/2031	Quarterly		(2,530	)		(50,358	)		(47,828	)
							$	196,133		$	(288,722	)	$	(484,855	)

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 iShares Core S&P 500 ETF

1 Month USD LIBOR plus a spread of 0.24%

GS

USD

29,934,120

03/18/2021

At Maturity

$

—

$

921,917

$

921,917

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) The rate disclosed is the 7 day net yield as of February 28, 2021.

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

(c) 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).

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.

See accompanying notes to the financial statements. 37

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the Bloomberg Barclays U.S. Securitized + Index* is included for comparative purposes.

Class VI shares of GMO Opportunistic Income Fund returned +2.95% (net) for the fiscal year ended February 28, 2021, as compared with +1.56% for the Bloomberg Barclays U.S. Securitized + Index.

Absolute performance was driven by sector allocations such as Residential Mortgage-Backed Securities, Commercial Mortgage-Backed Securities, and Student Loans, which were among the top contributors of the fiscal year. The Fund’s relative value synthetic trades and credit hedge positions also contributed positively during the fiscal year, as did securitizations related to corporate debt markets, such as Collateralized Loan Obligations. Finally, in asset-backed products, such as Small Balance Commercial Asset-Backed Securities (ABS), the Fund added value in less volatile, shorter duration markets.

*The Bloomberg Barclays U.S. Securitized + Index is an internally maintained benchmark computed by GMO, comprised of the J.P. Morgan U.S. 3-Month Cash Index through 12/30/2016 and the Bloomberg Barclays U.S. Securitized: MBS, ABS, CMBS Index thereafter.

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.

38

GMO Opportunistic Income Fund

(A Series of GMO Trust)

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

GMO Opportunistic Income Fund^ Class VI Shares, the Bloomberg Barclays U.S. Securitized + Index*

and the Bloomberg Barclays U.S. Securitized Index

As of February 28, 2021

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. All information is unaudited. Performance for classes may vary due to different fees.

^ Effective February 12, 2014, GMO Opportunistic Income Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund and the surviving entity was renamed GMO Opportunistic Income Fund. For accounting and financial reporting purposes, the Acquired Fund is the surviving entity, meaning that the combined entity adopted the historical financial reporting and performance history of the Acquired Fund. The information shown prior to February 12, 2014 is that of the Acquired Fund and reflects the Acquired Fund’s performance.

* The Bloomberg Barclays U.S. Securitized + Index is a composite benchmark computed by GMO and comprised of the J.P. Morgan U.S. 3 Month Cash Index through December 30, 2016 and the Bloomberg Barclays U.S. Securitized Index thereafter.

** Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which may have had a material impact on the Fund’s performance for the period shown.

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

For Class VI and I the gross expense ratio of 0.51% and 0.73%, 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 0.47% and 0.67% 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.

39

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		74.4	%
Short-Term Investments		19.8
Swap Contracts		2.0
Mutual Funds		1.3
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Futures Contracts		0.0	^
Written Options		(0.0	)^
Securities Sold Short		(0.6	)
Other		3.1
		100.0	%

Industry Sector Summary	% of Debt Obligations
Student Loans – Private		19.3	%
Commercial Mortgage-Backed Securities		16.9
Collateralized Loan Obligations		15.8
Residential Mortgage-Backed Securities – Other		11.3
Small Balance Commercial Mortgages		9.8
Residential Mortgage-Backed Securities – Prime		8.1
Student Loans – Federal Family Education Loan Program		6.5
U.S. Government		4.5
Residential Mortgage-Backed Securities – Subprime		2.6
U.S. Government Agency		2.3
Residential Mortgage-Backed Securities – Alt-A		1.4
CMBS Collateralized Debt Obligations		0.8
Residential Mortgage-Backed Securities – Performing Loans		0.7
		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%.

40

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 74.4%
		Asset-Backed Securities — 69.4%
		CMBS Collateralized Debt Obligations — 0.6%
	80,296	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		80,296
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,777,840
	235,928	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 0.61%, due 01/20/37 (a)		232,389
	1,270,892	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		1,153,970
		Total CMBS Collateralized Debt Obligations		5,244,495
		Collateralized Loan Obligations — 11.8%
	4,266,500	ACIS CLO 2017-7 Ltd., Series 17-7A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.90%, 4.11%, due 05/01/27		4,268,667
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.12%, due 10/17/26		1,899,658
	4,158,000	B&M CLO 2014-1 Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.82%, due 04/16/26		4,133,451
	1,601,809	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.06%, due 01/27/28		1,602,195
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 2.01%, due 01/27/28		4,193,156
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.34%, due 01/20/30		6,093,250
	4,161,000	ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.36%, due 04/22/30		4,149,104
	2,403,000	Flagship CLO VIII Ltd., Series 14-8A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 1.62%, due 01/16/26		2,402,212
	8,917,884	Gallatin CLO IX 2018-1 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.27%, due 01/21/28		8,920,265
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.87%, due 07/17/28		1,259,883
	563,071	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.19%, due 08/15/23		563,071
	5,446,000	Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 2.93%, due 10/18/26		5,447,106
	2,237,000	Jamestown CLO IV Ltd., Series 14-4A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.65%, 2.89%, due 07/15/26		2,237,150

Par Value†		Description	Value ($)
		Collateralized Loan Obligations — continued
	1,465,400	Madison Park Funding XII Ltd., Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.57%, due 07/20/26		1,467,154
	4,031,939	Neuberger Berman CLO XIX Ltd., Series 15-19A, Class A1R2, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 07/15/27		4,032,899
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.28%, due 04/22/31		3,880,013
	4,000,000	Ocean Trails CLO VI, Series 16-6A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.65%, 2.89%, due 07/15/28		4,000,000
	1,991,025	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.84%, due 06/22/30		1,991,441
	2,000,000	Telos CLO 2013-3 Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.82%, due 07/17/26		2,000,292
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.32%, due 07/18/31		4,993,330
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.12%, due 07/25/26		1,570,619
	4,919,467	Wellfleet CLO Ltd., Series 15-1A, Class AR3, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 1.50%, due 07/20/29		4,920,609
	53,333	WhiteHorse IX Ltd., Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 1.38%, due 07/17/26		53,378
	4,057,600	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 3.66%, due 05/01/26		4,028,020
	3,121,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.49%, due 10/15/31		3,121,928
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.74%, due 04/15/28		6,751,944
	10,630,024	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.39%, due 04/15/28		10,632,394
	2,974,228	Zais CLO 2 Ltd., Series 14-2A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 2.07%, due 07/25/26		2,972,973
	1,855,001	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.19%, due 04/15/29		1,842,156
		Total Collateralized Loan Obligations		105,428,318
		Commercial Mortgage-Backed Securities — 12.6%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32 (b)		10,475,000
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		7,373,138

See accompanying notes to the financial statements. 41

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	3,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		3,120,439
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44		8,044,902
	1,835,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		1,975,052
	5,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		5,131,438
	169,429	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.36%, due 04/15/37		160,790
	133,861	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		132,522
	6,372,761	CSAIL Commercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		7,015,100
	6,749,037	CSAIL Commercial Mortgage Trust, Series 16-C5, Class A5, 3.76%, due 11/15/48		7,471,343
	5,618,916	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		6,221,923
	926	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class J, 144A, Variable Rate, 6.23%, due 08/15/36		925
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36		1,354,713
	2,741,623	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		2,791,975
	4,213,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		4,054,833
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		2,253,388
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.08%, due 07/15/46		3,972,066
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 7.92%, due 07/15/33		1,177,182
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		6,015,437
	9,085,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.49%, due 05/13/38		7,892,050
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 2.40%, due 11/23/43		2,520,348
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.99%, due 03/23/45		8,304,765
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35 (b)		1,717,000
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35 (b)		8,284,702

Par Value†		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	4,392,094	Wells Fargo Commercial Mortgage Trust, Series 16-C32, Class A4, 3.56%, due 01/15/59		4,849,617
		Total Commercial Mortgage-Backed Securities		112,310,648
		Residential Mortgage-Backed Securities — Other — 8.4%
	885,116	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.26%, due 02/25/36		225,680
	18,516,632	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.30%, due 02/25/36		954,188
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		7,143,103
	4,854,146	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,601,097
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,136,916
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		819,903
	380,113	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.44%, due 02/25/37		346,578
	4,662,131	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		4,778,217
	2,637,245	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,609,506
	2,983,098	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,930,022
	5,101,940	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,026,755
	7,362,358	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 0.26%, due 06/15/37		6,918,255
	300,370	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.62%, due 10/25/34		286,651
	5,644,305	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		5,629,657
	4,412,126	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		587,025
	29,457,626	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.38%, due 06/25/36		1,555,207
	11,843,142	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		7,422,721
	11,561,359	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		4,461,460
	3,920,620	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.28%, due 03/25/36		515,268
	377,163	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.36%, due 02/26/34		325,378

42 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Other — continued
	13,940,928	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.32%, due 03/25/36		791,722
	7,952,191	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.46%, due 03/25/36		454,730
	21,201,416	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.52%, due 03/25/36		1,212,509
	431,100	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.02%, due 08/25/35		704,244
	1,580,214	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,626,139
	1,776,886	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,832,123
	4,456,420	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,658,346
	10,425,437	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		4,150,128
	1,097,177	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		879,883
	695,693	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		704,128
		Total Residential Mortgage-Backed Securities —Other		75,287,539
		Residential Mortgage-Backed Securities — Performing Loans — 0.6%
	4,926,929	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		4,888,951
		Residential Mortgage-Backed Securities — Prime — 5.7%
	9,393,685	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.33%, due 10/25/46		6,365,461
	846,164	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.41%, due 10/25/35		862,623
	5,029,597	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		4,086,609
	1,957,730	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.01%, due 12/25/36		1,880,706
	1,344,120	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.24%, due 03/25/37		1,303,670
	10,170,339	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.56%, due 04/25/46		9,646,557
	1,880,316	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		1,376,132

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Prime — continued
	1,103,794	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.38%, due 09/25/35		1,079,375
	6,593,410	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.78%, due 05/25/35		5,626,344
	1,162,817	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.09%, due 09/25/35		1,198,828
	1,378,342	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.71%, due 01/25/47		1,366,013
	3,161,066	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.58%, due 06/25/35		2,640,843
	13,406,958	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		13,713,982
		Total Residential Mortgage-Backed Securities — Prime		51,147,143
		Residential Mortgage-Backed Securities — Subprime — 1.9%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.61%, due 06/25/35		1,873,678
	2,280,188	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.31%, due 05/26/37		2,204,404
	1,179,735	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 1.20%, due 08/25/35		1,178,821
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 1.99%, due 08/25/35		3,323,633
	1,385,264	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.23%, due 04/25/31 (b)		3,427,697
	3,822,018	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.52%, due 07/25/36		3,625,872
	1,393,433	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.77%, due 11/20/34		1,436,916
		Total Residential Mortgage-Backed Securities — Subprime		17,071,021
		Residential Mortgage-Backed Securities — Alt-A — 1.4%
	632,996	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		665,988
	1,937,383	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.82%, due 05/25/36		842,360
	1,928,364	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.82%, due 10/25/36		813,230

See accompanying notes to the financial statements. 43

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Alt-A — continued
	2,750,487	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.25%, due 10/25/34		2,811,066
	4,635,876	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.04%, due 07/25/36		3,206,258
	722,019	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		729,647
	3,092,884	RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35		3,081,550
		Total Residential Mortgage-Backed Securities — Alt-A		12,150,099
		Small Balance Commercial Mortgages — 7.3%
	394,156	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 0.97%, due 04/25/34		393,810
	356,968	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.93%, due 04/25/34		356,811
	396,726	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 2.98%, due 04/25/34		396,668
	4,361,522	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 0.60%, due 08/25/35		4,126,394
	2,174,961	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 0.52%, due 01/25/36		2,065,079
	1,181,069	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 0.70%, due 04/25/36		1,086,709
	1,708,567	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.48%, due 07/25/36		1,613,891
	3,494,896	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 0.55%, due 07/25/36		3,310,427
	4,345,400	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.38%, due 10/25/36		4,120,495
	2,292,043	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.35%, due 03/25/37		2,157,071
	1,813,368	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.37%, due 07/25/37		1,717,953
	7,486,703	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.40%, due 07/25/37		7,088,829
	702,151	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 0.98%, due 12/25/37		701,164

Par Value†		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	6,009,072	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.38%, due 12/25/37		6,014,944
	2,184,741	Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.15%, due 08/25/45		2,168,707
	540,962	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.48%, due 02/25/30		540,929
	989,266	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M2,144A, Variable Rate, 1 mo. LIBOR + 0.55%, 0.68%, due 02/25/30		989,206
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 09/25/30		2,403,056
	3,430,078	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.66%, due 04/25/31		3,381,931
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 04/25/31		1,917,953
	1,000,345	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.52%, due 09/25/36		982,887
	4,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.53%, due 06/25/37		4,156,834
	4,379,261	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.97%, due 10/25/37		4,420,088
	3,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.97%, due 10/25/37		3,422,447
	2,914,014	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.66%, due 12/27/49		2,896,990
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.81%, due 12/27/49		3,112,749
		Total Small Balance Commercial Mortgages		65,544,022
		Student Loans — Federal Family Education Loan Program — 6.4%
	4,166,532	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR+ 0.19%, 0.41%, due 10/25/24		4,132,169
	9,585,462	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.92%, due 01/25/43		8,461,309

44 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Student Loans — Federal Family Education Loan Program — continued
	8,600,262	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.28%, due 01/25/23		8,492,502
	3,917,875	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.57%, due 03/28/35 (a)		3,485,010
	7,281,450	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.12%, due 06/15/21		7,167,788
	11,371,947	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.87%, due 07/25/22		11,477,455
	5,992,117	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.72%, due 04/25/23		6,041,193
	8,400,663	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 1.92%, due 07/25/23		8,504,800
		Total Student Loans — Federal Family Education Loan Program		57,762,226
		Student Loans — Private — 12.7%
	3,233,142	Access Group Inc, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.02%, due 07/25/34		3,120,951
	10,956,492	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.73%, due 12/27/41		10,902,414
	2,062,985	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 1.01%, due 04/28/42		2,050,790
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.46%, due 07/28/42		4,989,267
	1,053,219	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.61%, due 10/15/28		1,036,722
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (b)		2,808,000
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		2,363,750
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		1,015,250
	7,713,676	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.43%, due 05/25/32		7,478,435
	5,125,038	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.41%, due 01/25/33		4,883,822
	13,143,876	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.47%, due 03/25/33		12,782,811

Par Value†		Description	Value ($)
		Student Loans — Private — continued
	8,185,148	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.49%, due 06/25/33		7,976,624
	12,556,695	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.42%, due 10/25/33		11,891,514
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.66%, due 12/26/33		3,145,995
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		20,000
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		60,750
	5,773,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (b)		5,773,000
	2,950,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (b)		2,950,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.82%, due 09/15/32		2,051,705
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.65%, due 09/15/33		8,915,523
	1,420,586	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.50%, due 12/15/38		1,417,124
	4,089,918	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.51%, due 06/15/39		3,999,286
	2,986,722	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.55%, due 06/15/39		2,927,976
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.61%, due 12/15/39		2,351,582
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.18%, due 01/25/46		6,863,654
		Total Student Loans — Private		113,776,945
		Total Asset-Backed Securities		620,611,407
		U.S. Government — 3.3%
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22		30,007,728
		U.S. Government Agency — 1.7%
	3,950,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 0.18%, due 02/01/25 (b)		3,844,028
	4,500,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.35%, due 10/29/26 (b)		4,360,474

See accompanying notes to the financial statements. 45

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		U.S. Government Agency — continued
	1,762,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.19%, due 07/01/23 (b)		1,733,500
	5,000,000	Fannie Mae or Freddie Mac, TBA, 2.50%, due 04/14/51		5,172,949
		Total U.S. Government Agency		15,110,951
		TOTAL DEBT OBLIGATIONS (COST $690,781,529)		665,730,086
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers — 1.3%
	2,183,242	GMO U.S. Treasury Fund		11,003,541
		TOTAL MUTUAL FUNDS (COST $11,003,541)		11,003,541

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 19.8%
		Money Market Funds — 4.5%
	40,438,003	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		40,438,003
		U.S. Government — 15.3%
	10,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (d) (e)		9,994,767
	60,000,000	U.S. Treasury Bill, 0.08%, due 12/30/21 (d) (e)		59,962,169
	67,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (e)		66,955,203
		Total U.S. Government		136,912,139
		TOTAL SHORT-TERM INVESTMENTS (COST $177,340,718)		177,350,142

PURCHASED OPTIONS — 0.0%

Description	Counterparty	Exercise Rate			Expiration Date		Principal/ Notional Amount		Floating Rate Index	Pay/Receive Floating Rate	Value ($)
Option on Credit Default Swaps – Calls — 0.0%
CDX.NA.IGS.35.V1-5Y	BOA		47.50	%		04/21/21	USD	53,190,000	Fixed Spread	Receive	17,437
TOTAL PURCHASED OPTIONS (COST $58,509)											17,437
TOTAL INVESTMENTS — 95.5%                           (Cost $879,184,297)											854,101,206
SECURITIES SOLD SHORT — (0.6)%
DEBT OBLIGATIONS — (0.6)%
U.S. Government Agency — (0.6)%
(5,000,000)        Fannie Mae or Freddie Mac, TBA, 3.00%, due 04/14/51											(5,234,961)
TOTAL SECURITIES SOLD SHORT (PROCEEDS $5,272,656)											(5,234,961)
Other Assets and Liabilities (net) — 5.1%											45,740,987
TOTAL NET ASSETS — 100.0%											$894,607,232

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	2,738,070		USD	3,299,225		(5,689	)
03/19/2021	BOA		USD	2,892,505		EUR	2,400,528		4,988
								$	(701	)

46 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
186	U.S. Treasury Note 5 Yr. (CBT)	June 2021		23,058,188		(44,751	)
238	U.S. Treasury Ultra 10 Yr. (CBT)	June 2021		35,067,812		(256,998	)
			$	58,126,000	$	(301,749	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
38	U.S. Treasury Note 2 Yr. (CBT)	June 2021		8,389,094		5,610
1	U.S. Treasury Note 10 Yr. (CBT)	June 2021		132,719		1,101
1	U.S. Treasury Ultra 10 Yr. (CBT)	June 2021		189,062		(1,760	)
			$	8,710,875	$	4,951

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Counterparty	Exercise Rate	Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate	Value ($)
Written Option on Credit Default Swaps – Calls
CDX.NA.HYS.35.V1-5Y	JPM	109.50%		03/17/21		USD	(15,880,000	)		Fixed Spread	Receive		(21,720	)
Written Options on Credit Default Swaps – Puts
CDX.NA.HYS.35.V1-5Y	JPM	109.00%		03/17/21		USD	(15,880,000	)		Fixed Spread	Pay		(200,837	)
CDX.NA.IGS.35.V1-5Y	MSCI	55.00%		03/17/21		USD	(59,146,500	)		Fixed Spread	Pay		(103,385	)
CDX.NA.IGS.35.V1-5Y	BOA	70.00%		04/21/21		USD	(53,190,000	)		Fixed Spread	Pay		(68,555	)
				Total Written Options on Credit Default Swaps – Puts									(372,777	)
				TOTAL WRITTEN OPTIONS (Premiums $487,628)								$	(394,497	)

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^:
ITRAXX.XOVERS.30.V3-5Y	EUR	21,745,573		5.00%		1.98%		N/A		12/20/2023		Quarterly		(2,273,176	)		(2,176,213	)		96,963
CDX.NA.IGS.33.V1-5Y	USD	49,070,000		1.00%		0.57%		N/A		12/20/2024		Quarterly		(417,804	)		(799,693	)		(381,889	)
ITRAXX.EUROPES.32.V1-5Y	EUR	29,470,000		1.00%		0.45%		N/A		12/20/2024		Quarterly		(859,948	)		(752,067	)		107,881
CDX.NA.HYS.35.V1-5Y	USD	15,880,000		5.00%		3.11%		N/A		12/20/2025		Quarterly		(1,468,900	)		(1,303,176	)		165,724
CDX.NA.IGS.35.V1-5Y	USD	53,190,000		1.00%		0.56%		N/A		12/20/2025		Quarterly		(1,287,376	)		(1,102,629	)		184,747
CDX.NA.IGS.35.V1-5Y	USD	59,146,500		1.00%		0.56%		N/A		12/20/2025		Quarterly		(1,281,546	)		(1,226,107	)		55,439
ITRAXX.EUROPES.34.V1-5Y	EUR	20,633,760		1.00%		0.51%		N/A		12/20/2025		Quarterly		(648,690	)		(588,185	)		60,505
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.34%		17,200,000 USD		06/20/2022		Quarterly		300,982			149,382			(151,600	)
CDX.NA.HYS.33.V3-5Y	USD	2,300,650		5.00%		2.59%		2,300,650 USD		12/20/2024		Quarterly		78,900			197,840			118,940
													$	(7,857,558	)	$	(7,600,848	)	$	256,710

See accompanying notes to the financial statements. 47

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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^:
CDX.NA.HYS.27.V2-5Y	GS	USD	4,458,000		5.00%		1.29%		N/A		12/20/2021		Quarterly		11,145			(135,612	)		(146,757	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		1.29%		N/A		12/20/2021		Quarterly		(11,825	)		(130,805	)		(118,980	)
D.R. Horton, Inc.	BCLY	USD	17,200,000		1.00%		0.17%		N/A		06/20/2022		Quarterly		(165,250	)		(189,280	)		(24,030	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		2.92%		N/A		12/20/2022		Quarterly		(282,711	)		(241,165	)		41,546
CDX.NA.HYS.29.V1-5Y	JPM	USD	870,000		5.00%		2.92%		N/A		12/20/2022		Quarterly		(51,765	)		(32,655	)		19,110
CDX.NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		2.92%		N/A		12/20/2022		Quarterly		(188,413	)		(129,522	)		58,891
Navient Corp.	BCLY	USD	2,082,800		5.00%		2.45%		N/A		12/20/2022		Quarterly		(160,628	)		(94,434	)		66,194
Navient Corp.	BCLY	USD	3,435,200		5.00%		2.45%		N/A		12/20/2022		Quarterly		(264,646	)		(155,751	)		108,895
Navient Corp.	GS	USD	2,700,000		5.00%		2.45%		N/A		12/20/2022		Quarterly		(277,471	)		(122,417	)		155,054
Navient Corp.	GS	USD	4,050,000		5.00%		2.45%		N/A		12/20/2022		Quarterly		(421,122	)		(183,626	)		237,496
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,941,000		5.00%		5.21%		N/A		12/20/2023		Quarterly		(15,370	)		22,708			38,078
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	10,000,000		1.00%		1.64%		N/A		12/20/2024		Quarterly		748,704			294,512			(454,192	)
CMBX.NA.A.7	CGMI	USD	1,420,000		2.00%		4.70%		N/A		01/17/2047		Monthly		89,177			95,337			6,160
CMBX.NA.AA.7	GS	USD	5,000,000		1.50%		2.15%		N/A		01/17/2047		Monthly		7,975			83,414			75,439
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.81%		N/A		01/17/2047		Monthly		(119,899	)		(36,745	)		83,154
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.81%		N/A		01/17/2047		Monthly		47,352			(21,758	)		(69,110	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.81%		N/A		01/17/2047		Monthly		197,705			(80,550	)		(278,255	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.81%		N/A		01/17/2047		Monthly		112,812			(21,251	)		(134,063	)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		0.81%		N/A		01/17/2047		Monthly		205,782			(64,092	)		(269,874	)
CMBX.NA.AA.11	CGMI	USD	4,626,000		1.50%		1.25%		N/A		11/18/2054		Monthly		(63,740	)		(73,009	)		(9,269	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.25%		N/A		11/18/2054		Monthly		(61,372	)		(72,986	)		(11,614	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.25%		N/A		11/18/2054		Monthly		(67,279	)		(72,985	)		(5,706	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.61%		N/A		10/17/2057		Monthly		247,717			34,949			(212,768	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.89%		N/A		10/17/2057		Monthly		73,095			(36,087	)		(109,182	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		0.89%		N/A		10/17/2057		Monthly		140,432			(13,733	)		(154,165	)
CMBX.NA.BBB-.8	GS	USD	6,889,000		3.00%		8.00%		N/A		10/17/2057		Monthly		1,034,610			1,078,839			44,229
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		8.00%		N/A		10/17/2057		Monthly		400,909			661,492			260,583
CMBX.NA.AAA.9	GS	USD	902,300		0.50%		0.28%		N/A		09/17/2058		Monthly		(4,411	)		(8,752	)		(4,341	)
CMBX.NA.AAA.9	MSCI	USD	3,328,000		0.50%		0.28%		N/A		09/17/2058		Monthly		(31,983	)		(32,281	)		(298	)
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.28%		N/A		09/17/2058		Quarterly		(102,116	)		(96,997	)		5,119
CMBX.NA.AAA.9	MORD	USD	2,000,000		0.50%		0.28%		N/A		09/17/2058		Monthly		(20,423	)		(19,399	)		1,024
CMBX.NA.BBB-.9	CGMI	USD	2,500,000		3.00%		5.79%		N/A		09/17/2058		Monthly		290,110			281,226			(8,884	)
CMBX.NA.BBB-.9	CGMI	USD	1,500,000		3.00%		5.79%		N/A		09/17/2058		Monthly		175,119			168,735			(6,384	)
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		5.79%		N/A		09/17/2058		Monthly		584,727			575,591			(9,136	)
CMBX.NA.BBB-.9	MORD	USD	2,585,000		3.00%		5.79%		N/A		09/17/2058		Monthly		63,490			290,788			227,298
CMBX.NA.BBB-.9	CGMI	USD	3,425,200		3.00%		5.79%		N/A		09/17/2058		Monthly		955,105			385,302			(569,803	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		5.79%		N/A		09/17/2058		Monthly		517,160			479,546			(37,614	)
CMBX.NA.A.6	CGMI	USD	2,840,000		2.00%		6.74%		N/A		05/11/2063		Monthly		340,958			191,169			(149,789	)
CMBX.NA.AA.6	GS	USD	5,000,000		1.50%		2.28%		N/A		05/11/2063		Monthly		35,145			57,390			22,245
CMBX.NA.BBB-.6	CGMI	USD	4,274,000		3.00%		22.45%		N/A		05/11/2063		Monthly		1,357,351			1,056,590			(300,761	)
CMBX.NA.BBB-.13	GS	USD	4,960,000		3.00%		4.05%		N/A		12/16/2072		Monthly		1,011,544			367,318			(644,226	)
CMBX.NA.BBB-.13	GS	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		268,842			148,112			(120,730	)
CMBX.NA.BBB-.13	MORD	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		408,836			148,112			(260,724	)
CMBX.NA.BBB-.13	MORD	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		332,412			148,112			(184,300	)
CMBX.NA.BBB-.13	MORD	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		145,818			148,112			2,294
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	2,084,000		5.00%		0.18%		2,084,000 USD		12/20/2021		Quarterly		268,315			82,709			(185,606	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.18%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			341,314			(802,486	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		0.18%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			339,132			(1,030,632	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	7,735,000		5.00%		0.18%		7,735,000 USD		12/20/2021		Quarterly		1,096,050			306,985			(789,065	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000		5.00%		0.66%		4,264,000 USD		12/20/2022		Quarterly		644,717			337,915			(306,802	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		0.66%		5,115,600 USD		12/20/2022		Quarterly		742,274			405,403			(336,871	)
CDX.NA.HYS.29.V6-5Y	CITI	USD	5,994,100		5.00%		0.66%		5,994,100 USD		12/20/2022		Quarterly		229,274			475,022			245,748

48 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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) ($)
CDX.NA.HYS.31.V1-5Y	JPM	USD	18,156,815		5.00%		0.24%		18,156,815 USD		12/20/2023		Quarterly		3,615,022			2,412,239			(1,202,783	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000		5.00%		1.41%		2,866,000 USD		12/20/2023		Quarterly		293,765			288,770			(4,995	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	4,657,000		5.00%		1.41%		4,657,000 USD		12/20/2023		Quarterly		492,478			469,226			(23,252	)
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	655,580		5.00%		34.87%		655,580 EUR		12/20/2023		Quarterly		(487,841	)		(439,816	)		48,025
ITRAXX.XOVERS.30.V4-5Y	JPM	EUR	158,684		5.00%		34.87%		158,684 EUR		12/20/2023		Quarterly		(110,801	)		(106,458	)		4,343
CDX.NA.HYS.33.V1-5Y	GS	USD	25,938,066		5.00%		0.47%		25,938,066 USD		12/20/2024		Quarterly		5,736,852			4,388,006			(1,348,846	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,746,000		5.00%		0.47%		10,746,000 USD		12/20/2024		Quarterly		1,826,953			1,817,927			(9,026	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,840,000		5.00%		0.47%		2,840,000 USD		12/20/2024		Quarterly		481,871			480,450			(1,421	)
CDX.NA.HYS.33.V3-5Y	CITI	USD	4,185,325		5.00%		0.47%		4,185,325 USD		12/20/2024		Quarterly		442,877			708,042			265,165
CDX.NA.HYS.33.V3-5Y	GS	USD	9,506,516		5.00%		0.47%		9,506,516 USD		12/20/2024		Quarterly		1,343,307			1,608,241			264,934
CDX.NA.HYS.33.V8-5Y	GS	USD	6,508,491		5.00%		0.47%		6,508,491 USD		12/20/2024		Quarterly		1,066,328			1,101,057			34,729
CDX.NA.IGS.33.V1-5Y	CITI	USD	1,472,000		1.00%		11.8%		1,472,000 USD		12/20/2024		Quarterly		(820,051	)		(506,998	)		313,053
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	25,000,000		1.00%		0.76%		25,000,000 EUR		12/20/2024		Quarterly		114,434			279,900			165,466
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	58,940,000		1.00%		0.17%		58,940,000 EUR		12/20/2024		Quarterly		2,667,689			2,294,018			(373,671	)
ITRAXX.EUROPES.34.V1-5Y	BOA	EUR	36,846,000		1.00%		0.23%		36,846,000 USD		12/20/2025		Quarterly		1,774,799			1,680,834			(93,965	)
CMBX.NA.A.9	CGMI	USD	2,500,000		2.00%		2.51%		2,500,000 USD		09/17/2058		Monthly		(74,374	)		(55,875	)		18,499
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		2.51%		6,822,400 USD		09/17/2058		Monthly		89,487			(152,478	)		(241,965	)
CMBX.NA.A.9	CGMI	USD	4,000,000		2.00%		2.51%		4,000,000 USD		09/17/2058		Monthly		(100,230	)		(89,399	)		10,831
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.47%		7,399,200 USD		12/16/2072		Monthly		30,439			16,787			(13,652	)
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.47%		7,399,200 USD		12/16/2072		Monthly		30,439			16,787			(13,652	)
														$	31,401,245		$	23,151,202		$	(8,250,043	)

^ 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 February 28, 2021, 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.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.25%		3 Month USD LIBOR	USD	9,700,000		11/10/2022	Quarterly		(4,539	)		(5,614	)		(1,075	)
0.30%		3 Month USD LIBOR	USD	9,750,000		08/17/2024	Quarterly		—			78,311			78,311
0.33%		3 Month USD LIBOR	USD	12,520,000		10/20/2024	Quarterly		3,562			110,298			106,736
0.35%		3 Month USD LIBOR	USD	17,370,000		04/19/2025	Quarterly		14			241,235			241,221
0.40%		3 Month USD LIBOR	USD	26,300,000		10/08/2025	Quarterly		(3,685	)		465,623			469,308
0.82%		3 Month USD LIBOR	USD	5,480,000		01/12/2028	Quarterly		—			136,398			136,398
0.88%		3 Month USD LIBOR	USD	6,595,000		03/06/2028	Quarterly		(15,632	)		147,082			162,714
0.65%		3 Month USD LIBOR	USD	6,770,000		06/04/2028	Quarterly		(34,587	)		283,432			318,019
0.65%		3 Month USD LIBOR	USD	5,790,000		07/30/2028	Quarterly		(25,115	)		255,792			280,907
1.30%		3 Month USD LIBOR	USD	10,027,000		12/19/2029	Quarterly		—			97,359			97,359
0.75%		3 Month USD LIBOR	USD	5,100,000		02/11/2030	Quarterly		(22,015	)		298,620			320,635
0.95%		3 Month USD LIBOR	USD	2,560,000		12/11/2030	Quarterly		—			131,565			131,565
1.02%		3 Month USD LIBOR	USD	7,200,000		01/08/2031	Quarterly		24,435			329,593			305,158
								$	(77,562	)	$	2,569,694		$	2,647,256

See accompanying notes to the financial statements. 49

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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 iBoxx USD Liquid Leveraged Loan Index		1 Month USD LIBOR	JPM		USD	9,000,000	03/20/2021		Quarterly		1,789		6,041			4,252
Total Return on iBoxx USD Liquid Leveraged Loan Index		1 Month USD LIBOR	JPM		USD	3,000,000	03/20/2021		Quarterly		338		(16,956	)		(17,294	)
										$	2,127	$	(10,915	)	$	(13,042	)

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 using significant unobservable inputs (Note 2).

(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) The rate disclosed is the 7 day net yield as of February 28, 2021.

(d) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

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

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.

50 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes.

GMO U.S. Treasury Fund returned +0.63% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

Security selection in U.S. Treasury Notes drove positive performance during the year, followed by positive contributions from Floating Rate Treasury Notes, U.S. Treasury Bills, and Federal Home Loan Bank Notes.

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.

52

GMO U.S. Treasury Fund

(A Series of GMO Trust)

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

GMO U.S. Treasury Fund and the FTSE 3-Month Treasury Bill Index

As of February 28, 2021

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.

The gross expense ratio of 0.11% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. The corresponding net expense ratio of 0.08% 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.

53

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		99.7	%
Other		0.3
		100.0	%

54

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.7%
		U.S. Government — 98.3%
	59,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (a)		58,969,128
	40,000,000	U.S. Treasury Bill, 0.08%, due 12/30/21 (a)		39,974,779
	30,000,000	U.S. Treasury Bill, 0.08%, due 02/24/22 (a)		29,975,500
	35,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		35,184,570
	30,000,000	U.S. Treasury Note, 1.13%, due 09/30/21		30,187,500
	16,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.33%, due 10/31/21		16,031,461
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.18%, due 01/31/22		45,031,238
	40,000,000	U.S. Treasury Note, 1.75%, due 02/28/22		40,665,625
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22		45,011,591
	35,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.08%, due 01/31/23		35,002,764
		Total U.S. Government		376,034,156

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — 1.3%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.11%, due 09/10/21		5,001,940
		Money Market Funds — 0.1%
	226,388	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.03% (b)		226,388
		TOTAL SHORT-TERM INVESTMENTS (COST $381,095,369)		381,262,484
		TOTAL INVESTMENTS — 99.7% (Cost $381,095,369)		381,262,484
		Other Assets and Liabilities (net) — 0.3%		1,192,214
		TOTAL NET ASSETS — 100.0%		$382,454,698

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2021.

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.

See accompanying notes to the financial statements. 55

GMO Trust Funds

February 28, 2021

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act

of 1933. These securities may be resold in transactions exempt from registration,

normally to qualified institutional investors.

AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

CP - Counterparty

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

MTA – Monthly Treasury Average Index

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

Reg S - Security exempt from registration under Regulation S of the Securities Act

of 1933, which exempts from registration securities offered and sold outside the

United States. Security may not be offered or sold in the United States except

pursuant to an exemption from, or in a transaction not subject to, the registration

requirements of the Securities Act of 1933.

REIT - Real Estate Investment Trust

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.

XLCA - Insured as to the payment of principal and interest by XL Capital Assurance Inc.

The rates shown on variable rate notes are the current interest rates at February 28,

2021, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

DOP - Dominican Peso

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021

	Asset Allocation Bond Fund		Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	5,000,835	$	74,784,247	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		115,473,430		4,074,016,081		91,605,724
Cash		—		14,957,923		—
Receivable for investments sold		—		7,436,743		—
Dividends and interest receivable		119,240		64,209,132		427,955
Unrealized appreciation on open forward currency contracts (Note 4)		—		339,034		264,398
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		42,530
Due from broker (Note 2)		—		13,494,985		2,666,515
Receivable for open OTC swap contracts (Note 4)		—		15,078,176		—
Interest receivable for open OTC swap contracts (Note 4)		—		119,173		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		7,720		4,917		—
Receivable for options (Note 4)(c)		—		455,127		—
Miscellaneous receivable		—		1,761		—
Total assets		120,601,225		4,264,897,299		95,007,122
Liabilities:
Due to custodian		—		—		215,067
Payable for investments purchased		309		21,180,062		—
Payable for Fund shares repurchased		—		169,636		—
Payable for recoupment of past waived and/or reimbursed fees (Note 5)		—		—		473
Payable to affiliate for (Note 5):
Management fee		25,067		1,240,126		27,380
Shareholder service fee		8,581		395,043		4,303
Payable to agents unaffiliated with GMO		81		2,744		58
Payable for variation margin on open futures contracts (Note 4)		—		—		15,828
Payable for variation margin on open cleared swap contracts (Note 4)		—		225,581		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		684,045		—
Interest payable for open OTC swap contracts (Note 4)		—		471,259		—
Payable for open OTC swap contracts (Note 4)		—		5,092,203		127,906
Payable for reverse repurchase agreements (Note 2)		—		6,685,232		—
Payable for options (Note 4)(c)		—		64,608		—
Payable to Trustees and related expenses		1,307		20,443		762
Accrued expenses		109,808		444,933		70,014
Total liabilities		145,153		36,675,915		461,791
Net assets	$	120,456,072	$	4,228,221,384	$	94,545,331
(a)  Cost of investments – affiliated issuers:	$	5,000,835	$	74,296,430	$	—
(b)  Cost of investments – unaffiliated issuers:	$	105,872,051	$	4,407,850,866	$	90,403,927
(c)  Premiums on options:	$	—	$	5,850,579	$	—

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	166,961,851		$	4,754,455,355		$	85,774,255
Distributable earnings (accumulated loss)		(46,505,779	)		(526,233,971	)		8,771,076
	$	120,456,072		$	4,228,221,384		$	94,545,331
Net assets attributable to:
Class III	$	61,835,560		$	1,010,105,543		$	—
Class IV	$	—		$	3,218,115,841		$	—
Class VI	$	58,620,512		$	—		$	94,545,331
Shares outstanding:
Class III		2,596,185			39,549,662			—
Class IV		—			126,223,136			—
Class VI		2,454,379			—			4,522,647
Net asset value per share:
Class III	$	23.82		$	25.54		$	—
Class IV	$	—		$	25.50		$	—
Class VI	$	23.88		$	—		$	20.90

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	51,051,690	$	11,003,541	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		135,844,883		843,097,665		381,262,484
Cash		—		1,407,376		—
Receivable for investments sold		—		17,263,015		—
Receivable for Fund shares sold		—		811,642		3,050,000
Receivable for closed swap contracts (Note 4)		46,239		63,933		—
Dividends and interest receivable		483,020		1,654,009		711,644
Unrealized appreciation on open forward currency contracts (Note 4)		1,562,579		4,988		—
Receivable for variation margin on open cleared swap contracts (Note 4)		310,718		—		—
Due from broker (Note 2)		3,844,463		8,041,033		—
Receivable for variation margin on open futures contracts (Note 4)		256,344		182,129		—
Receivable for open OTC swap contracts (Note 4)		921,917		26,574,159		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,543,391		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		33,053		42,625		17,973
Total assets		194,354,906		911,689,506		385,042,101
Liabilities:
Due to broker (Note 2)		516		7,914		—
Investments sold short, at value (Note 2)(c)		—		5,234,961		—
Due to custodian		1,090,728		—		—
Foreign currency due to custodian		2,175		—		—
Payable for investments purchased		25,359,035		6,851,895		—
Payable for Fund shares repurchased		—		49,277		2,500,000
Payable to affiliate for (Note 5):
Management fee		34,482		286,860		22,246
Shareholder service fee		15,487		70,446		—
Payable to agents unaffiliated with GMO		118		527		222
Payable for variation margin on open cleared swap contracts (Note 4)		—		102,567		—
Payable for closed swap contracts (Note 4)		1,752,232		—		—
Dividend payable		—		—		9,434
Unrealized depreciation on open forward currency contracts (Note 4)		524,676		5,689		—
Interest payable for open OTC swap contracts (Note 4)		—		433,864		—
Payable for open OTC swap contracts (Note 4)		—		3,433,872		—
Payable to Trustees and related expenses		2,189		3,245		2,515
Written options outstanding, at value (Note 4)(d)		—		394,497		—
Accrued expenses		108,816		206,660		52,986
Total liabilities		28,890,454		17,082,274		2,587,403
Net assets	$	165,464,452	$	894,607,232	$	382,454,698
(a)  Cost of investments – affiliated issuers:	$	52,961,551	$	11,003,541	$	—
(b)  Cost of investments – unaffiliated issuers:	$	135,270,826	$	868,180,756	$	381,095,369
(c)  Proceeds from securities sold short:	$	—	$	5,272,656	$	—
(d)  Premiums on written options:	$	—	$	487,628	$	—

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	190,096,791		$	988,228,790		$	382,133,507
Distributable earnings (accumulated loss)		(24,632,339	)		(93,621,558	)		321,191
	$	165,464,452		$	894,607,232		$	382,454,698
Net assets attributable to:
Core Class	$	—		$	—		$	382,454,698
Class III	$	31,602,438		$	—		$	—
Class IV	$	133,862,014		$	—		$	—
Class VI	$	—		$	477,456,830		$	—
Class I	$	—		$	417,150,402		$	—
Shares outstanding:
Core Class		—			—			75,927,856
Class III		1,570,298			—			—
Class IV		6,625,861			—			—
Class VI		—			18,473,921			—
Class I		—			16,170,677			—
Net asset value per share:
Core Class	$	—		$	—		$	5.04
Class III	$	20.13		$	—		$	—
Class IV	$	20.20		$	—		$	—
Class VI	$	—		$	25.84		$	—
Class I	$	—		$	25.80		$	—

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Investment Income:
Interest	$	2,166,836		$	255,160,359		$	2,556,973
Dividends from unaffiliated issuers		1,226			433,428			2,936,353
Dividends from affiliated issuers (Note 10)		14,512			161,137			7,346
Total investment income		2,182,574			255,754,924			5,500,672
Expenses:
Management fee (Note 5)		369,670			14,794,164			513,373
Shareholder service fee – Class III (Note 5)		52,862			1,667,335			—
Shareholder service fee – Class IV (Note 5)		—			3,115,348			—
Shareholder service fee – Class VI (Note 5)		61,945			—			80,673
Audit and tax fees		77,575			176,677			66,985
Custodian, fund accounting agent and transfer agent fees		24,951			690,107			42,383
Legal fees		13,845			255,735			12,545
Registration fees		6,249			97,741			680
Trustees’ fees and related expenses (Note 5)		5,001			157,088			5,526
Interest expense (Note 2)		—			99,147			2,036
Recoupment of past waived and/or reimbursed fees (Note 5)		—			—			20,494
Miscellaneous		7,395			146,024			13,400
Total expenses		619,493			21,199,366			758,095
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(117,813	)		—			—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(4,595	)		(59,810	)		(1,879	)
Net expenses		497,085			21,139,556			756,216
Net investment income (loss)		1,685,489			234,615,368			4,744,456
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		11,142,632			91,739,482			7,736,475
Investments in affiliated issuers		59,580			—			30,663
Realized gain distributions from affiliated issuers (Note 10)		447			7,419			—
Futures contracts		—			—			694,143
Options		—			361,902			—
Swap contracts		—			31,068,906			(2,722,738	)
Forward currency contracts		—			(8,711,030	)		(942,834	)
Foreign currency and foreign currency related transactions		—			(1,825,085	)		74,979
Net realized gain (loss)		11,202,659			112,641,594			4,870,688
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(4,742,480	)		(208,096,163	)		1,064,676
Investments in affiliated issuers		(19,842	)		296,763			—
Futures contracts		—			—			(131,689	)
Options		—			(1,007,552	)		—
Swap contracts		—			(19,587,360	)		643,269
Forward currency contracts		—			(2,758,896	)		884,087
Foreign currency and foreign currency related transactions		—			389,820			—
Net change in unrealized appreciation (depreciation)		(4,762,322	)		(230,763,388	)		2,460,343
Net realized and unrealized gain (loss)		6,440,337			(118,121,794	)		7,331,031
Net increase (decrease) in net assets resulting from operations	$	8,125,826		$	116,493,574		$	12,075,487

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021 — (Continued)

	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	2,460,874		$	35,691,588		$	1,040,332
Dividends from affiliated issuers (Note 10)		2,450,278			14,759			—
Dividends from unaffiliated issuers		1,372,504			14,126			7,296
Total investment income		6,283,656			35,720,473			1,047,628
Expenses:
Management fee (Note 5)		819,786			3,169,176			295,167
Shareholder service fee – Class III (Note 5)		111,455			—			—
Shareholder service fee – Class IV (Note 5)		253,611			—			—
Shareholder service fee – Class VI (Note 5)		—			354,214			—
Shareholder service fee – Class I (Note 5)		—			222,402			—
Audit and tax fees		80,935			145,610			39,215
Custodian, fund accounting agent and transfer agent fees		140,037			350,669			54,459
Legal fees		24,613			105,584			13,339
Registration fees		8,063			19,493			2,403
Trustees’ fees and related expenses (Note 5)		13,324			28,614			9,135
Interest expense (Note 2)		10,772			6,511			—
Miscellaneous		10,728			36,276			6,448
Total expenses		1,473,324			4,438,549			420,166
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(245,204	)		(419,001	)		(108,476	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(333,812	)		(6,436	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(53,249	)		—			—
Net expenses		841,059			4,013,112			311,690
Net investment income (loss)		5,442,597			31,707,361			735,938
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		19,614,265			3,634,801			1,188,447
Investments in affiliated issuers		(2,358,587	)		61,299			—
Realized gain distributions from affiliated issuers (Note 10)		322,725			1,092			—
Futures contracts		3,192,454			382,759			—
Written options		—			574,297			—
Swap contracts		2,506,165			(1,735,880	)		—
Forward currency contracts		(2,854,245	)		32,973			—
Foreign currency and foreign currency related transactions		(673,681	)		(22,232	)		—
Net realized gain (loss)		19,749,096			2,929,109			1,188,447
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(13,390,019	)		(23,515,541	)		(507,093	)
Investments in affiliated issuers		421,038			(40,861	)		—
Investments in securities sold short		—			37,695			—
Futures contracts		(2,101,050	)		(358,778	)		—
Written options		—			1,600,951			—
Swap contracts		(4,783,558	)		9,617,601			—
Forward currency contracts		2,230,212			30,265			—
Foreign currency and foreign currency related transactions		40,942			24,959			—
Net change in unrealized appreciation (depreciation)		(17,582,435	)		(12,603,709	)		(507,093	)
Net realized and unrealized gain (loss)		2,166,661			(9,674,600	)		681,354
Net increase (decrease) in net assets resulting from operations	$	7,609,258		$	22,032,761		$	1,417,292

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Emerging Country Debt Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,685,489		$	7,889,067		$	234,615,368		$	221,319,017
Net realized gain (loss)		11,202,659			6,054,299			112,641,594			111,192,411
Change in net unrealized appreciation (depreciation)		(4,762,322	)		15,537,386			(230,763,388	)		27,585,038
Net increase (decrease) in net assets from operations		8,125,826			29,480,752			116,493,574			360,096,466
Distributions to shareholders:
Class III		(403,791	)		(2,812,796	)		(110,457,805	)		(86,984,349	)
Class IV		—			—			(299,019,091	)		(184,491,074	)
Class VI		(1,120,355	)		(10,562,420	)		—			—
Total distributions		(1,524,146	)		(13,375,216	)		(409,476,896	)		(271,475,423	)
Net share transactions (Note 9):
Class III		18,928,517			(44,781,434	)		(59,256,916	)		(193,723,603	)
Class IV		—			—			222,010,887			310,461,408
Class VI		(138,607,964	)		(126,433,401	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(119,679,447	)		(171,214,835	)		162,753,971			116,737,805
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,428,115			1,185,127
Class IV		—			—			3,980,122			2,605,465
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			—			5,408,237			3,790,592
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(119,679,447	)		(171,214,835	)		168,162,208			120,528,397
Total increase (decrease) in net assets		(113,077,767	)		(155,109,299	)		(124,821,114	)		209,149,440
Net assets:
Beginning of period		233,533,839			388,643,138			4,353,042,498			4,143,893,058
End of period	$	120,456,072		$	233,533,839		$	4,228,221,384		$	4,353,042,498

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	High Yield Fund						Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,744,456		$	4,998,965		$	5,442,597		$	15,443,713
Net realized gain (loss)		4,870,688			13,609,310			19,749,096			33,693,622
Change in net unrealized appreciation (depreciation)		2,460,343			(3,757,036	)		(17,582,435	)		23,835,389
Net increase (decrease) in net assets from operations		12,075,487			14,851,239			7,609,258			72,972,724
Distributions to shareholders:
Class III		—			—			(8,300,596	)		(4,223,692	)
Class IV		—			—			(24,041,607	)		(27,712,585	)
Class VI		(3,588,431	)		(16,679,907	)		—			—
Total distributions		(3,588,431	)		(16,679,907	)		(32,342,203	)		(31,936,277	)
Net share transactions (Note 9):
Class III		—			—			(42,133,243	)		(8,936,625	)
Class IV		—			—			(297,963,316	)		(166,424,406	)
Class VI		(75,391,205	)		(49,483,824	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(75,391,205	)		(49,483,824	)		(340,096,559	)		(175,361,031	)
Total increase (decrease) in net assets		(66,904,149	)		(51,312,492	)		(364,829,504	)		(134,324,584	)
Net assets:
Beginning of period		161,449,480			212,761,972			530,293,956			664,618,540
End of period	$	94,545,331		$	161,449,480		$	165,464,452		$	530,293,956

64 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	31,707,361		$	51,863,736		$	735,938		$	9,860,244
Net realized gain (loss)		2,929,109			5,513,015			1,188,447			1,018,767
Change in net unrealized appreciation (depreciation)		(12,603,709	)		(7,623,564	)		(507,093	)		864,705
Net increase (decrease) in net assets from operations		22,032,761			49,753,187			1,417,292			11,743,716
Distributions to shareholders:
Core Class		—			—			(773,665	)		(9,860,244	)
Class VI		(24,129,562	)		(48,827,021	)		—			—
Class I		(5,867,931	)		(249,504	)*		—			—
Total distributions		(29,997,493	)		(49,076,525	)		(773,665	)		(9,860,244	)
Net share transactions (Note 9):
Core Class		—			—			159,049,444			(414,899,246	)
Class VI		(337,486,350	)		(176,144,018	)		—			—
Class I		391,498,422			22,560,690	*		—			—
Increase (decrease) in net assets resulting from net share transactions		54,012,072			(153,583,328	)		159,049,444			(414,899,246	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		—			320,758			—			—
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			320,758			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		54,012,072			(153,262,570	)		159,049,444			—
Total increase (decrease) in net assets		46,047,340			(152,585,908	)		159,693,071			(413,015,774	)
Net assets:
Beginning of period		848,559,892			1,001,145,800			222,761,627			635,777,401
End of period	$	894,607,232		$	848,559,892		$	382,454,698		$	222,761,627

* Period from November 5, 2019 (commencement of operations) through February 29, 2020.

See accompanying notes to the financial statements. 65

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	22.66			$	21.61			$	21.95			$	22.15			$	22.16			$	22.72			$	21.67			$	22.02			$	22.23			$	22.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.26				0.55				0.54				0.33				0.18				0.27				0.56				0.57				0.36				0.21
Net realized and unrealized gain (loss)			1.18				1.52				0.18				(0.31	)			(0.19	)			1.18				1.53				0.18				(0.33	)			(0.19	)
Total from investment operations			1.44				2.07				0.72				0.02				(0.01	)			1.45				2.09				0.75				0.03				0.02
Less distributions to shareholders:
From net investment income			(0.28	)			(1.02	)			(1.06	)			(0.22	)			—				(0.29	)			(1.04	)			(1.10	)			(0.24	)			—
Total distributions			(0.28	)			(1.02	)			(1.06	)			(0.22	)			—				(0.29	)			(1.04	)			(1.10	)			(0.24	)			—
Net asset value, end of period		$	23.82			$	22.66			$	21.61			$	21.95			$	22.15			$	23.88			$	22.72			$	21.67			$	22.02			$	22.23
Total Return(b)			6.33	%			9.74	%			3.37	%			0.07	%			(0.05	)%			6.39	%			9.83	%			3.48	%			0.12	%			0.09	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	61,836			$	41,124			$	82,801			$	207,008			$	282,272			$	58,621			$	192,410			$	305,842			$	1,019,135			$	1,209,721
Net operating expenses to average daily net assets			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%			0.31	%(c)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			—				0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			—				0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Total net expenses to average daily net assets			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%			0.31	%(c)
Net investment income (loss) to average daily net assets(a)			1.11	%			2.49	%			2.48	%			1.50	%			0.81	%			1.15	%			2.49	%			2.57	%			1.59	%			0.94	%
Portfolio turnover rate			30	%(f)			16	%(f)			59	%(f)			89	%			130	%(f)			30	%(f)			16	%(f)			59	%(f)			89	%			130	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%(g)			0.06	%(g)			0.04	%			0.02	%			0.02	%			0.08	%(g)			0.06	%(g)			0.04	%			0.02	%			0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2017, including transactions in USTF, was 39%, 37%, 88% and 126%, respectively, of the average value of its portfolio.

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017(a)				2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	27.38			$	26.82			$	28.62			$	28.99			$	26.01			$	27.34			$	26.77			$	28.57			$	28.95			$	25.98
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.56				1.44				1.36				1.36				1.94				1.39				1.43				1.37				1.39				1.95
Net realized and unrealized gain (loss)			(0.85	)			0.91				(1.19	)			0.32				3.01	(c)			(0.66	)			0.94				(1.19	)			0.29				3.01	(c)
Total from investment operations			0.71				2.35				0.17				1.68				4.95				0.73				2.37				0.18				1.68				4.96
Less distributions to shareholders:
From net investment income			(1.93	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)
From net realized gains			(0.62	)			—				—				—				—				(0.62	)			—				—				—				—
Total distributions			(2.55	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(2.57	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)
Net asset value, end of period		$	25.54			$	27.38			$	26.82			$	28.62			$	28.99			$	25.50			$	27.34			$	26.77			$	28.57			$	28.95
Total Return(d)			2.67	%			8.97	%			0.97	%			5.81	%			19.47	%			2.73	%			9.08	%			1.02	%			5.83	%			19.50	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,010,106			$	1,133,945			$	1,294,577			$	1,273,188			$	1,067,086			$	3,218,116			$	3,219,098			$	2,849,316			$	2,862,977			$	3,018,159
Net operating expenses to average daily net assets(e)			0.54	%			0.53	%			0.52	%			0.53	%			0.54	%			0.49	%			0.48	%			0.47	%			0.48	%			0.49	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.00	%(g)			0.01	%			0.02	%			0.00	%(g)			—				0.00	%(g)			0.01	%			0.02	%			0.00	%(g)			—
Total net expenses to average daily net assets(e)			0.54	%			0.54	%			0.54	%			0.53	%			0.54	%			0.49	%			0.49	%			0.49	%			0.48	%			0.49	%
Net investment income (loss) to average daily net assets(b)			6.02	%			5.23	%			4.99	%			4.57	%			6.76	%			5.38	%			5.22	%			5.04	%			4.67	%			6.81	%
Portfolio turnover rate(h)			56	%			41	%			15	%			34	%			21	%			56	%			41	%			15	%			34	%			21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.03			$	0.03			$	0.03			$	0.04	(a)		$	0.03			$	0.03			$	0.03			$	0.03			$	0.04	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

^(b)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(c)  Includes realized gain per share of $0.23 and $0.23, respectively, as a result of litigation on Argentinian sovereign debt. Excluding this income, the Fund’s realized gain per share would have been $2.78 and $2.78, respectively.

^(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  Rounds to less than 0.01%.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 40%, 15%, 33% and 23%, respectively, of the average value of its portfolio.

⁽ⁱ⁾  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Year Ended February 28/29,								Period From June 25, 2018 (commencement of operations) through February 28, 2019
	2021				2020
Net asset value, beginning of period		$	19.94			$	20.21			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.64				0.48				0.27
Net realized and unrealized gain (loss)			0.77				0.82				0.71
Total from investment operations			1.41				1.30				0.98
Less distributions to shareholders:
From net investment income			(0.40	)			(1.57	)			(0.61	)
From net realized gains			(0.05	)			—				(0.16	)
Total distributions			(0.45	)			(1.57	)			(0.77	)
Net asset value, end of period		$	20.90			$	19.94			$	20.21
Total Return(b)			7.21	%			6.40	%			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	94,545			$	161,449			$	212,762
Net operating expenses to average daily net assets(c)(d)			0.52	%			0.52	%			0.51	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f)			0.03	%			0.04	%*
Total net expenses to average daily net assets(c)(d)			0.52	%			0.55	%			0.55	%*
Net investment income (loss) to average daily net assets(a)			3.23	%			2.34	%			2.00	%*
Portfolio turnover rate(g)			288	%			105	%			81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(f)(h)			0.00	%(f)(h)			0.12	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  Rounds to less than 0.01%.

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020 and February 28, 2019, including transactions in USTF, was 317%, 214% and 159%, respectively, of the average value of its portfolio.

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND (FORMERLY CORE PLUS BOND FUND)

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017(a)				2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	22.19			$	20.88			$	20.93			$	21.10			$	21.39			$	22.26			$	20.94			$	20.98			$	21.15			$	21.45
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.43				0.53				0.51				0.41				0.26				0.35				0.54				0.48				0.46				0.24
Net realized and unrealized gain (loss)			(0.24	)(c)			2.01				0.49				(0.06	)			0.25				(0.16	)(c)			2.02				0.53				(0.10	)			0.29
Total from investment operations			0.19				2.54				1.00				0.35				0.51				0.19				2.56				1.01				0.36				0.53
Less distributions to shareholders:
From net investment income			(0.93	)			(0.64	)			(1.05	)			(0.52	)			(0.80	)			(0.93	)			(0.65	)			(1.05	)			(0.53	)			(0.83	)
From net realized gains			(1.32	)			(0.59	)			—				—				—				(1.32	)			(0.59	)			—				—				—
Total distributions			(2.25	)			(1.23	)			(1.05	)			(0.52	)			(0.80	)			(2.25	)			(1.24	)			(1.05	)			(0.53	)			(0.83	)
Net asset value, end of period		$	20.13			$	22.19			$	20.88			$	20.93			$	21.10			$	20.20			$	22.26			$	20.94			$	20.98			$	21.15
Total Return(d)			0.59	%			12.38	%			4.88	%			1.61	%			2.44	%			0.59	%			12.44	%			4.93	%			1.68	%			2.55	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	31,602			$	80,639			$	84,163			$	34,641			$	22,172			$	133,862			$	449,655			$	580,456			$	920,637			$	566,433
Net operating expenses to average daily net assets(e)			0.30	%			0.29	%			0.29	%			0.29	%			0.35	%			0.24	%			0.24	%			0.24	%			0.24	%			0.30	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Total net expenses to average daily net assets(e)			0.30	%			0.29	%			0.29	%			0.29	%			0.35	%			0.24	%			0.24	%			0.24	%			0.24	%			0.30	%
Net investment income (loss) to average daily net assets(b)			1.98	%			2.43	%			2.41	%			1.91	%			1.21	%			1.57	%			2.47	%			2.29	%			2.14	%			1.10	%
Portfolio turnover rate(h)			262	%			215	%			201	%			198	%			216	%			262	%			215	%			201	%			198	%			216	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.19	%			0.16	%			0.16	%			0.14	%			0.30	%			0.19	%			0.16	%			0.15	%			0.14	%			0.26	%

^(a) Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

^(b) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(c)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(d) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f) Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g) Rounds to less than 0.01%.

^(h) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 335%, 285%, 250%, 221% and 325%, respectively, of the average value of its portfolio.

⁽ⁱ⁾ Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class VI Shares																				Class I Shares
	Year Ended February 28/29,																				Year Ended February 28, 2021				Period from November 5, 2019 (commencement of operations) through February  29, 2020
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	26.15			$	26.21			$	26.41			$	25.78			$	24.57			$	26.12			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.06				1.46				1.32				1.15				0.96				0.89				0.54
Net realized and unrealized gain (loss)			(0.31	)			(0.06	)			(0.38	)			0.18				0.89				(0.18	)			(0.08	)
Total from investment operations			0.75				1.40				0.94				1.33				1.85				0.71				0.46
Less distributions to shareholders:
From net investment income			(1.06	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(1.03	)			(1.19	)
From net realized gains			—				—				—				—				—				—				—
Total distributions			(1.06	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(1.03	)			(1.19	)
Net asset value, end of period		$	25.84			$	26.15			$	26.21			$	26.41			$	25.78			$	25.80			$	26.12
Total Return(b)			2.95	%			5.45	%			3.58	%			5.18	%			7.62	%			2.79	%			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	477,457			$	825,876			$	1,001,146			$	1,205,954			$	1,510,894			$	417,150			$	22,684
Net operating expenses to average daily net assets(c)			0.47	%			0.47	%			0.49	%			0.47	%			0.33	%			0.68	%			0.66	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	% (d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%*(d)
Total net expenses to average daily net assets(c)			0.47	%			0.47	%			0.49	%			0.47	%			0.33	%			0.68	%			0.66	%*
Net investment income (loss) to average daily net assets(a)			4.12	%			5.50	%			4.99	%			4.39	%			3.82	%			3.47	%			6.55	%*
Portfolio turnover rate(f)			43	%			47	%			75	%			152	%			66	%			43	%(f)			47	%**(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(g)			0.04	%(g)			0.04	%			0.03	%			0.04	%			0.07	%(g)			0.07	%*(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.01			$	0.05			$	0.04			$	0.03			$	—			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 45%, 48%, 83%, 175% and 75%, respectively, of the average value of its portfolio.

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

70 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Year Ended February 28/29,
	2021				2020				2019(a)				2018(a)				2017(a)
Net asset value, beginning of period		$	5.02			$	5.00			$	5.00			$	5.01			$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.01				0.10				0.10				0.05				0.02
Net realized and unrealized gain (loss)			0.02				0.02				0.01				(0.01	)			0.00	(b)
Total from investment operations			0.03				0.12				0.11				0.04				0.02
Less distributions to shareholders:
From net investment income			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)
From net realized gains			(0.00	)(b)			—				—				—				(0.00	)(b)
Total distributions			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)
Net asset value, end of period		$	5.04			$	5.02			$	5.00			$	5.00			$	5.01
Total Return(c)			0.63	%			2.47	%			2.16	%			0.96	%			0.54	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	382,455			$	222,762			$	635,777			$	2,324,706			$	2,666,697
Net expenses to average daily net assets			0.08	%			0.06	%			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets			0.20	%			2.03	%			1.97	%			1.06	%			0.47	%
Portfolio turnover rate(e)			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.05	%			0.10	%			0.09	%			0.10	%

^(a)  Per share amounts were adjusted to reflect an approximate 5 for 1 stock split effective December 6, 2018.

^(b)  Rounds to less than $0.01.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Rounds to less than 0.01%.

^(e)  Portfolio turnover rate calculation excludes short-term investments.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 71

GMO Trust Funds

Notes to Financial Statements

February 28, 2021

1. Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund), Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	FTSE 3-Month Treasury Bill Index	Total return in excess of benchmark
Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified	Total return in excess of benchmark
High Yield Fund	Markit iBoxx USD Liquid High Yield Index	Total return in excess of benchmark
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Bloomberg Barclays U.S. Aggregate Index	Total return in excess of benchmark
Opportunistic Income Fund	Not Applicable	Capital appreciation and current income
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price

72

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign

73

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2021:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—	$	115,057,365	$	—	$	115,057,365
TOTAL DEBT OBLIGATIONS		—		115,057,365		—		115,057,365
Mutual Funds		5,000,835		—		—		5,000,835
Short-Term Investments		416,065		—		—		416,065
Total Investments		5,416,900		115,057,365		—		120,474,265
Total	$	5,416,900	$	115,057,365	$	—	$	120,474,265
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	25,523,880	$	—	$	25,523,880
Corporate Debt		—		150,864,508		27,230,315		178,094,823
Foreign Government Agency		—		1,076,734,155		91,338,775		1,168,072,930
Foreign Government Obligations		—		2,197,489,408		141,279,144		2,338,768,552
U.S. Government		209,720,000		—		—		209,720,000
TOTAL DEBT OBLIGATIONS		209,720,000		3,450,611,951		259,848,234		3,920,180,185
Loan Assignments		—		—		23,371,890		23,371,890
Loan Participations		—		—		39,866,840		39,866,840
Mutual Funds		74,784,247		—		—		74,784,247
Rights/Warrants		—		17,050,215		34,800		17,085,015
Short-Term Investments		73,512,151		—		—		73,512,151
Total Investments		358,016,398		3,467,662,166		323,121,764		4,148,800,328
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		339,034		—		339,034
Options
Credit Risk		—		—		455,127		455,127
Swap Contracts
Credit Risk		—		17,982,361		—		17,982,361
Interest Rate Risk		—		1,057,488		—		1,057,488
Total	$	358,016,398	$	3,487,041,049	$	323,576,891	$	4,168,634,338

74

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(684,045	)	$	—		$	(684,045	)
Options
Credit Risk		—			—			(64,608	)		(64,608	)
Swap Contracts
Credit Risk		—			(5,092,203	)		—			(5,092,203	)
Interest Rate Risk		—			(1,511,124	)		—			(1,511,124	)
Total	$	—		$	(7,287,372	)	$	(64,608	)	$	(7,351,980	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	33,797,601		$	—		$	33,797,601
U.S. Government		150,104			—			—			150,104
TOTAL DEBT OBLIGATIONS		150,104			33,797,601			—			33,947,705
Investment Funds		2,905,594			—			—			2,905,594
Short-Term Investments		45,370,021			9,382,404			—			54,752,425
Total Investments		48,425,719			43,180,005			—			91,605,724
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			264,398		$	—			264,398
Futures Contracts
Interest Rate Risk		629			—			—			629
Swap Contracts
Credit Risk		—			2,136,044			—			2,136,044
Total	$	48,426,348		$	45,580,447		$	—		$	94,006,795
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(60,686	)	$	—		$	—		$	(60,686	)
Swap Contracts
Interest Rate Risk		—			(127,906	)		—			(127,906	)
Total	$	(60,686	)	$	(127,906	)	$	—		$	(188,592	)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Asset Valuation Inputs
Debt Obligations
Certificates of Deposit	$	—		$	382,268		$	—		$	382,268
Corporate Debt		—			47,922,710			—			47,922,710
U.S. Government Agency		—			25,254,003			—			25,254,003
TOTAL DEBT OBLIGATIONS		—			73,558,981			—			73,558,981
Investment Funds		29,014,520			—			—			29,014,520
Mutual Funds		51,051,690			—			—			51,051,690
Short-Term Investments		7,704,855			25,566,527			—			33,271,382
Total Investments		87,771,065			99,125,508			—			186,896,573

75

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,562,579		$	—	$	1,562,579
Futures Contracts
Interest Rate Risk		138,807			—			—		138,807
Swap Contracts
Interest Rate Risk		—			3,229,921			—		3,229,921
Total	$	87,909,872		$	103,918,008		$	—	$	191,827,880
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(524,676	)	$	—	$	(524,676	)
Futures Contracts
Interest Rate Risk		(326,246	)		—			—		(326,246	)
Swap Contracts
Interest Rate Risk		—			(2,596,726	)		—		(2,596,726	)
Total	$	(326,246	)	$	(3,121,402	)	$	—	$	(3,447,648	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	577,998,859		$	42,612,548	$	620,611,407
U.S. Government		30,007,728			—			—		30,007,728
U.S. Government Agency		—			5,172,949			9,938,002		15,110,951
TOTAL DEBT OBLIGATIONS		30,007,728			583,171,808			52,550,550		665,730,086
Mutual Funds		11,003,541			—			—		11,003,541
Short-Term Investments		177,350,142			—			—		177,350,142
Purchased Options		—			17,437			—		17,437
Total Investments		218,361,411			583,189,245			52,550,550		854,101,206
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			4,988			—		4,988
Futures Contracts
Interest Rate Risk		6,711			—			—		6,711
Swap Contracts
Credit Risk		—			26,915,340			—		26,915,340
Interest Rate Risk		—			2,581,349			—		2,581,349
Total	$	218,368,122		$	612,690,922		$	52,550,550	$	883,609,594
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(5,234,961	)	$	—	$	(5,234,961	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(5,689	)		—		(5,689	)
Futures Contracts
Interest Rate Risk		(303,509	)		—			—		(303,509	)
Written Options
Credit Risk		—			(394,497	)		—		(394,497	)

76

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs (continued)
Swap Contracts
Credit Risk	$	—		$	(11,364,986	)	$	—	$	(11,364,986	)
Interest Rate Risk		—			(22,570	)		—		(22,570	)
Total	$	(303,509	)	$	(17,022,703	)	$	—	$	(17,326,212	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	381,262,484		$	—		$	—	$	381,262,484
Total Investments		381,262,484			—			—		381,262,484
Total	$	381,262,484		$	—		$	—	$	381,262,484

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

The underlying funds held at year end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on a comparable bond and applying a 200 basis point discount for liquidity considerations and a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations and nine asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt or valued based on a comparable bond. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 28, 2021.

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February 28, 2021

For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 29, 2020		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of February 28, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February  28, 2021
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	29,902,115	$	—	$	—		$	(1,619	)	$	—		$	(2,670,181	)	$	—		$	—	$	27,230,315	$	(2,670,181	)
Foreign Government Agency		170,402,802		—		(34,979,202	)		16,637,632			2,918,183			(63,640,640	)		—			—		91,338,775		(55,988,156	)
Foreign Government Obligations		173,035,182		4,887,340		(11,412,671	)		26,226,567			—			(51,457,274	)		—			—		141,279,144		(50,611,392	)
Loan Assignments		14,402,514		11,639,508		(2,511,376	)		681,564			157,341			(997,661	)		—			—		23,371,890		(997,661	)
Loan Participations		47,750,729		3,173,040		(12,533,202	)		2,382,510			—			(906,237	)		—			—		39,866,840		(906,237	)
Rights/Warrants		2,082,394		—		—			—			(6,136,547	)		4,088,953			—			—		34,800		(416,865	)
Total Investments		437,575,736		19,699,888		(61,436,451	)		45,926,654			(3,061,023	)		(115,583,040	)		—			—		323,121,764		(111,590,492	)
Derivatives
Options		1,036,169		—		—			—			361,902			(1,007,552	)		—			—		390,519		108,774
Total	$	438,611,905	$	19,699,888	$	(61,436,451	)#	$	45,926,654		$	(2,699,121	)	$	(116,590,592	)	$	—		$	—	$	323,512,283	$	(111,481,718	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	25,989,481	$	9,996,905	$	(4,505,969	)	$	200,884		$	—		$	(1,434,205	)	$	12,365,452	‡	$	—	$	42,612,548	$	(1,434,205	)
U.S. Government Agency		12,228,802		—		(2,442,500	)		32,811			—			118,889			—			—		9,938,002		118,889
Total	$	38,218,283	$	9,996,905	$	(6,948,469	)##	$	233,695		$	—		$	(1,315,316	)	$	12,365,452		$	—	$	52,550,550	$	(1,315,316	)

# Includes $23,964,524 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $6,948,469 of proceeds received from partial calls and/or principal paydowns as applicable.

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2021 for Funds with material Level 3 investments.

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February 28, 2021

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Foreign Government Obligations		45,258,659		Fair Value	Discount for lack of liquidity/marketability		1.40% (N/A)
Corporate Debt		27,230,315		Fair Value	Discount for lack of liquidity/marketability		2.00% (N/A)
Loan Assignments and Participations		6,380,574		Fair Value	Discount for lack of liquidity/marketability		5.00%-6.00% (5.12%)
Options		390,519		Fair Value	Probability of CDS threshold event		<5% (N/A)
Opportunistic Income Fund
Asset-Backed Securities		3,427,697		Fair Value	Probability and timing of cash flow receipt		25-75% (N/A)
Asset-Backed Securities		35,386,702		Fair Value	Broker mark of comparable bond		N/A (N/A)
Government Agency		9,938,002		Fair Value	Discount for lack of liquidity/marketability		1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2021, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $244,252,216 and $3,798,149, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Indexed investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the

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February 28, 2021

party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement, a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of February 28, 2021, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Emerging Country Debt Fund		6,685,232		6,435,625

As of February 28, 2021, Emerging Country Debt Fund had investments in reverse repurchase agreements with J.P. Morgan Securities plc with a gross value of $6,685,232. The value of related collateral on reverse repurchase agreements exceeded the value at year end. As of February 28, 2021, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

Reverse repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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February 28, 2021

The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:

	February 28, 2021
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		On Demand		Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations	$	—	$	—	$	—	$	—	$	6,685,232	$	6,685,232
Total borrowings	$	—	$	—	$	—	$	—	$	6,685,232	$	6,685,232

Inflation-indexed bonds

The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Delayed delivery commitments and when-issued securities

The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

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February 28, 2021

With the exception of U.S. Treasury Fund, the policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available. U.S. Treasury Fund will generally pay dividends on the first business day following the end of each month in which dividends were declared. Accrued dividends in respect of a shareholder’s partial redemption of U.S. Treasury Fund shares redeemed between monthly payment dates will be paid on the first business day following the end of the month in which redemptions are made. Accrued dividends in respect of a shareholder’s complete redemption of U.S. Treasury Fund shares between monthly payment dates will be paid with the redemption proceeds. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2021, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

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February 28, 2021

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Opportunistic Income Fund	U.S. Treasury Fund
Interest, accretion and amortization		X		X	X
Capital loss carry forwards	X			X	X	X
Debt modifications		X
Defaulted bonds		X
Derivative contract transactions		X	X	X	X
Foreign currency transactions		X	X	X	X
Late-year ordinary losses				X
Losses on wash sale transactions	X	X	X
Losses related to debt obligations					X
Mutual fund distributions received				X
Post-October capital losses	X

The tax character of distributions declared by each Fund to shareholders is as follows:

	Tax year ended February 28, 2021						Tax year ended February 29, 2020
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Asset Allocation Bond Fund		1,524,146		—		1,524,146		13,375,216		—		13,375,216
Emerging Country Debt Fund		351,626,283		57,850,613		409,476,896		271,475,423		—		271,475,423
High Yield Fund		3,469,056		119,375		3,588,431		16,679,907		—		16,679,907
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		15,707,759		16,634,444		32,342,203		30,152,164		1,784,113		31,936,277
Opportunistic Income Fund		29,997,493		—		29,997,493		49,076,525		—		49,076,525
U.S. Treasury Fund		773,665		—		773,665		9,860,244		—		9,860,244

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

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February 28, 2021

As of February 28, 2021, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)			Capital Loss Carryforwards ($)			Post-October Capital Loss Deferral ($)
Asset Allocation Bond Fund		—		—		(12,156	)		(55,896,066	)		(64,953	)
Emerging Country Debt Fund		77,803,443		37,729,235		—			—			—
High Yield Fund		7,242,622		—		—			—			—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		—		5,147,817		(2,819,162	)		(23,609,757	)		—
Opportunistic Income Fund		3,419,192		—		—			(59,208,878	)		—
U.S. Treasury Fund		154,076		—		—			—			—

As of February 28, 2021, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2021, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)		Long-Term ($)
Asset Allocation Bond Fund		(26,085,292)		(29,810,774)
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		(291,118)		(23,318,639)
Opportunistic Income Fund		—		(59,208,878)
U.S. Treasury Fund		—		—

As of February 28, 2021, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments									Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		111,006,871		9,682,784		(215,390)		9,467,394			—
Emerging Country Debt Fund		4,645,037,384		260,964,759		(757,201,815)		(496,237,056	)		(9,700,089)
High Yield Fund		90,423,948		1,550,943		(369,167)		1,181,776			346,679
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		189,397,699		2,156,456		(4,657,582)		(2,501,126	)		(892,166	)
Opportunistic Income Fund		879,525,924		18,654,656		(49,314,335)		(30,659,679	)		(5,252,946	)
U.S. Treasury Fund		381,095,369		175,730		(8,615)		167,115			—

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February 28, 2021

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2021, each Fund has determined that no tax liability is required in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

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February 28, 2021

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

GMO also may waive or reduce the purchase premium or redemption fee for a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of February 28, 2021, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund	Emerging Country Debt Fund(1)	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Opportunistic Income Fund(2)	U.S. Treasury Fund
Purchase Premium	—	1.00%	—	—	—	—
Redemption Fee	—	1.00%	—	—	—	—

⁽¹⁾  For the periods from May 8, 2020 to July 31, 2020, March 25, 2020 to May 8, 2020, March 16, 2020 to March 25, 2020, February 1, 2016 to March 16, 2020 the premiums on purchases and the fee on redemptions were each 1.50%, 2.00%, 1.15% and 0.75%, respectively, of the amount invested or redeemed. Prior to February 1, 2016, the premiums on purchases and the fee on redemptions were each 0.50% of the amount invested or redeemed.

⁽²⁾  Prior to June 30, 2019, the premiums on purchases and the fee on redemptions were each 0.40% of the amount invested or redeemed.

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3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Opportunistic Income Fund	U.S. Treasury Fund
Commodities Risk	X
Counterparty Risk	X	X	X	X	X	X
Credit Risk	X	X	X	X	X	X
Currency Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X
Futures Contracts Risk			X	X	X
Illiquidity Risk	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X		X	X
Market Risk – Equities	X				X
Market Risk – Fixed Income	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X
Smaller Company Risk	X			X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

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Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member

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through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner can be expected to be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

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A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and typically involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund is likely to realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forward contracts, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates or inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the

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counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.

Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation and exposes the Funds to the risk that the pricing models used do not produce valuations that are consistent with the values the Funds realize when they close or sell an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, the Funds run a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of the Funds’ net asset values.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction will lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index could result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”

Special tax rules apply to a Fund’s transactions in derivatives, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s derivative transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. See the Funds’ Prospectus and Statement of Additional Information for more information.

Derivatives Regulation. The U.S. government has enacted legislation that provides for regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are evolving, their impact on the Funds remains unclear.

Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivative positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights

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to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared) and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks are likely to be more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2021 or 2022. Such requirements could increase the amount of margin a Fund needs to post in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While these rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e. the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to different kinds of costs and risks.

The SEC recently reproposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. The ultimate impact, if any, of such a rule is unclear, but the reproposed rule, if adopted, could, among other things, restrict a Fund’s ability to continue to engage in derivatives transactions in the manner it has historically and increase the costs of derivatives transactions, which could have an adverse impact on a Fund’s performance.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time

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remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights at any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date). If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e. options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than do funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”

• FUND OF FUNDS RISK. A Fund that invests in Underlying Funds (including underlying GMO Funds) is exposed to the risk that the Underlying Funds will not perform as expected. A Fund also is indirectly exposed to all of the risks to which the Underlying Funds are exposed.

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Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any), the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

The SEC recently adopted a rule that will change the regulatory framework under which some registered investment companies are permitted to invest in other registered investment companies (the “Fund of Funds Rule”). The impact of the Fund of Funds Rule is still under review but could adversely affect the Funds by, among other things, limiting the number of shares of other registered investment companies (such as other Funds or exchange-traded funds) or pooled investment vehicles that a Fund is permitted to purchase.

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.

A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund typically will have to sell other investments at disadvantageous times. A Fund also runs the risk of being unable to recover or be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely

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affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates could prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

Futures contracts traded on markets outside the United States are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress. For example, inflation-protected securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are often more susceptible than other securities to price declines when market prices decline generally.

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

The Board of Trustees has designated GMO as administrator to the Funds’ liquidity risk management program, which was adopted by the Funds pursuant to Rule 22e-4 under the 1940 Act. Under that program, each Fund is required to classify its investments into specific liquidity categories and monitor compliance with limits on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of under current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. While the liquidity risk management program is designed to assist in the assessment and management of illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.

Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.

A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund would temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, at disadvantageous prices to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds, adversely affecting the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order

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that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital losses (including capital loss carryforwards) to offset realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund of the redemption request) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For many Funds, GMO uses quantitative models as part of its investment process. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, GMO’s models are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to operational risks resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Examples of such operational risks include the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

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The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges, and such service providers, counterparties, or issuers may have limited, if any, indemnification obligations to GMO or the Funds, each of whom could be negatively impacted as a result.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars, pandemics and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices in late 2014, as well as in early 2020) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in the recent past) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in shutdowns of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Climate change regulation (such as decarbonization legislation or other mandatory controls to reduce emissions of greenhouse gases) could significantly affect many of the companies in which the Funds invest by, among other things, increasing those companies’ operating costs and capital expenditures. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely would be significantly disrupted. On January 31, 2020, the United Kingdom formally withdrew from the European Union (commonly known as “Brexit”). An agreement between the United Kingdom and the European Union governing their future trade relationship became effective January 1, 2021. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the United Kingdom. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by GMO.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have

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adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions have resulted, and any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are subject to the sanctions. In addition, trade disputes (such as the “trade war” between the United States and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict.

Natural and environmental disasters (such as the earthquake and tsunami in Japan in early 2011), epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008), can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in a Fund.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market price of their holdings will decline. Market risks include:

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income” but to other market risks as well.

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income,” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other

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support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. Issuers of asset-backed securities also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds are rated below investment grade. See “Credit Risk” for more information about credit risk.

When worldwide economic and liquidity conditions deteriorated in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many asset-backed (as well as others) fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed (and other) fixed income securities, and they may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security depends in part on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. The mishandling of documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.

The existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.

The risk of investing in asset-backed securities has increased since 2008 because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business would likely have a material impact on the many asset-backed securities it services. The risks associated with asset-backed securities are particularly pronounced for Opportunistic Income Fund, which has invested a substantial portion of its assets in asset-backed securities, and for the Funds that have invested a substantial portion of their assets in Opportunistic Income Fund.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may be attributable to general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. Equities which are characterized as relatively cyclical, such as investments in companies in the consumer discretionary, financials, energy, real estate, materials and industrials sectors, often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities’ performance can be significantly affected by among other factors, cyclical revenue generation, consumer confidence and changing consumer preferences, and the performance of domestic and international economies. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

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Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt investments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “high yield” or “junk bonds”) may be particularly volatile. Often, below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A principal risk run by each Fund with significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments would likely be significantly reduced if GMO’s assessment proves incorrect.

The extent to which the market price of a fixed income investment changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because its fixed rate is locked in for a longer period of time. Floating-rate or variable-rate investments generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e. nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

When interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fee.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk.”

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio investments when it would otherwise not do so, including at unfavorable prices. The risks associated with rising interest rates are generally greater during periods when prevailing interest rates are at or near their historic lows. Moreover, fixed income investments will be difficult to value during such periods. The U.S. Federal Reserve Bank recently decreased interest rates back to near historically low levels. A substantial increase in interest rates could have a material adverse effect on fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or imposition of currency controls) also could have a material adverse effect on the Funds.

• NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.

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In addition, each of the Funds (other than U.S. Treasury Fund) may invest in shares of one or more other GMO Funds that are not “diversified” investment companies within the meaning of the 1940 Act.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund.

A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or GMO is confident it will be received. Generally, absent a determination by GMO that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value until it is received. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e. a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial reporting standards and resulting unavailability of reliable information about issuers; slower clearance and settlement; difficulties in

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obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities. The economies of emerging countries often are more volatile than the economies of developed countries. For example, the Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions.

The Funds (other than Emerging Country Debt Fund, High Yield Fund and U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions.

To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, options, or other derivatives on an index, an ETF, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any,

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through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

For Funds that held derivatives during the year ended February 28, 2021, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Country Debt Fund		High Yield Fund		Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk		X		X		X		X
Adjust exposure to foreign currencies		X		X		X
Futures contracts
Adjust interest rate exposure				X		X		X
Maintain the diversity and liquidity of the portfolio				X		X		X
Options (Purchased)
Adjust currency exchange rate risk						X
Adjust exposure to foreign currencies						X
Achieve exposure to a reference entity’s credit								X
Provide a measure of protection against default loss								X
Options (Written)
Achieve exposure to a reference entity’s credit								X
Provide a measure of protection against default loss								X
Options (Credit linked)
Achieve exposure to a reference entity’s credit		X
Swap contracts
Achieve exposure to a reference entity’s credit		X		X				X
Adjust exposure to certain markets								X
Adjust interest rate exposure		X				X		X
Provide a measure of protection against default loss		X						X
Provide exposure to the Fund’s benchmark				X		X
Adjust exposure to foreign currencies		X
Hedge non-core equity exposure						X
Adjust portfolio beta		X

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Forward currency contracts

The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e. sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

***

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

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The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2021 and the Statements of Operations for the year ended February 28, 2021^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	339,034		$	—		$	339,034
Options, at value		455,127			—			—			455,127
Swap Contracts, at value¤		17,982,361			—			1,057,488			19,039,849
Total	$	18,437,488		$	339,034		$	1,057,488		$	19,834,010
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(684,045	)	$	—		$	(684,045	)
Options, at value		(64,608	)		—			—			(64,608	)
Swap Contracts, at value¤		(5,092,203	)		—			(1,511,124	)		(6,603,327	)
Total	$	(5,156,811	)	$	(684,045	)	$	(1,511,124	)	$	(7,351,980	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	(8,711,030	)	$	—		$	(8,711,030	)
Options		361,902			—			—			361,902
Swap Contracts		33,120,255			—			(2,051,349	)		31,068,906
Total	$	33,482,157		$	(8,711,030	)	$	(2,051,349	)	$	22,719,778
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	(2,758,896	)	$	—		$	(2,758,896	)
Options		(1,007,552	)		—			—			(1,007,552	)
Swap Contracts		(28,308,796	)		—			8,721,436			(19,587,360	)
Total	$	(29,316,348	)	$	(2,758,896	)	$	8,721,436		$	(23,353,808	)
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	264,398		$	—		$	264,398
Unrealized Appreciation on Futures Contracts¤		—			—			629			629
Swap Contracts, at value¤		2,136,044			—			—			2,136,044
Total	$	2,136,044		$	264,398		$	629		$	2,401,071
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(60,686	)	$	(60,686	)
Swap Contracts, at value¤		—			—			(127,906	)		(127,906	)
Total	$	—		$	—		$	(188,592	)	$	(188,592	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	694,143		$	694,143
Forward Currency Contracts		—			(942,834	)		—			(942,834	)
Swap Contracts		(25,064	)		—			(2,697,674	)		(2,722,738	)
Total	$	(25,064	)	$	(942,834	)	$	(2,003,531	)	$	(2,971,429	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	884,087		$	—		$	884,087
Futures Contracts		—			—			(131,689	)		(131,689	)
Swap Contracts		657,234			—			(13,965	)		643,269
Total	$	657,234		$	884,087		$	(145,654	)	$	1,395,667

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,562,579		$	—		$	1,562,579
Unrealized Appreciation on Futures Contracts¤		—			—			138,807			138,807
Swap Contracts, at value¤		—			—			3,229,921			3,229,921
Total	$	—		$	1,562,579		$	3,368,728		$	4,931,307
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(524,676	)	$	—		$	(524,676	)
Unrealized Depreciation on Futures Contracts¤		—			—			(326,246	)		(326,246	)
Swap Contracts, at value¤		—			—			(2,596,726	)		(2,596,726	)
Total	$	—		$	(524,676	)	$	(2,922,972	)	$	(3,447,648	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	1,610		$	—		$	1,610
Futures Contracts		—			—			3,192,454			3,192,454
Forward Currency Contracts		—			(2,854,245	)		—			(2,854,245	)
Swap Contracts		—			—			2,506,165			2,506,165
Total	$	—		$	(2,852,635	)	$	5,698,619		$	2,845,984
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	4,601		$	—		$	4,601
Forward Currency Contracts		—			2,230,212			—			2,230,212
Futures Contracts		—			—			(2,101,050	)		(2,101,050	)
Swap Contracts		—			—			(4,783,558	)		(4,783,558	)
Total	$	—		$	2,234,813		$	(6,884,608	)	$	(4,649,795	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	17,437		$	—		$	—		$	17,437
Unrealized Appreciation on Forward Currency Contracts		—			4,988			—			4,988
Unrealized Appreciation on Futures Contracts¤		—			—			6,711			6,711
Swap Contracts, at value¤		26,915,340			—			2,581,349			29,496,689
Total	$	26,932,777		$	4,988		$	2,588,060		$	29,525,825
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(5,689	)	$	—		$	(5,689	)
Unrealized Depreciation on Futures Contracts¤		—			—			(303,509	)		(303,509	)
Written Options, at value		(394,497	)		—			—			(394,497	)
Swap Contracts, at value¤		(11,364,986	)		—			(22,570	)		(11,387,556	)
Total	$	(11,759,483	)	$	(5,689	)	$	(326,079	)	$	(12,091,251	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	515,280		$	515,280
Futures Contracts		—			—			382,759			382,759
Written Options		—			—			574,297			574,297
Forward Currency Contracts		—			32,973			—			32,973
Swap Contracts		3,065,006			—			(4,800,886	)		(1,735,880	)
Total	$	3,065,006		$	32,973		$	(3,328,550	)	$	(230,571	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(1,228,407	)	$	—		$	—		$	(1,228,407	)
Forward Currency Contracts		—			30,265			—			30,265
Futures Contracts		—			—			(358,778	)		(358,778	)
Written Options		1,600,951			—			—			1,600,951
Swap Contracts		3,234,218			—			6,383,383			9,617,601
Total	$	3,606,762		$	30,265		$	6,024,605		$	9,661,632

108

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

¤ The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and, reverse repurchase agreements held by the Funds at February 28, 2021, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2021:

Emerging Country Debt Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Citibank N.A.	$	2,319,323	$	(1,800,000	)	$	—	$	519,323
Deutsche Bank AG		4,410,592		—			4,410,592		—
Goldman Sachs International		6,778,788		(5,539,231	)		—		1,239,557
JPMorgan Chase Bank, N.A.		2,024,600		(1,672,652	)		—		351,948
State Street Bank and Trust Company		339,034		—			—		339,034
Total	$	15,872,337	$	(9,011,883	)	$	4,410,592	$	2,449,862

109

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Emerging Country Debt Fund (continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	139,268	$	(139,268	)	$	—		$	—	*
Deutsche Bank AG		5,156,811		(746,219	)		(4,410,592	)		—	*
Morgan Stanley & Co. International PLC		544,777		(544,777	)		—			—	*
Total	$	5,840,856	$	(1,430,264	)	$	(4,410,592	)	$	—

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
State Street Bank and Trust Company	$	264,398	$	—	$	—	$	264,398
Total	$	264,398	$	—	$	—	$	264,398
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs International	$	127,906	$	—	$	—	$	127,906
Total	$	127,906	$	—	$	—	$	127,906

Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	1,023	$	(1,023	)	$	—		$	—	*
Barclays Bank PLC		24,244		—			24,244			—
Citibank N.A.		927,541		(720,000	)		(11,186	)		196,355
Deutsche Bank AG		8,447		—			(1,796	)		6,651
Goldman Sachs International		929,163		(780,000	)		(1,573	)		147,590
JPMorgan Chase Bank, N.A.		88,405		—			88,405			—
Morgan Stanley & Co. International PLC		505,673		(207,861	)		(297,812	)		—	*
Total	$	2,484,496	$	(1,708,884	)	$	(199,718	)	$	350,596
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	76,652	$	—		$	(24,244	)	$	52,408
Citibank N.A.		11,186		—			11,186			—
Deutsche Bank AG		1,796		—			1,796			—
Goldman Sachs International		1,573		—			1,573			—
JPMorgan Chase Bank, N.A.		135,657		—			(88,405	)		47,252
Morgan Stanley & Co. International PLC		297,812		—			297,812			—
Total	$	524,676	$	—		$	199,718		$	99,660

110

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Opportunistic Income Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	3,022,206	$	(2,926,204	)	$	(96,002	)	$	—	*
Citibank N.A.		3,781,695		(3,274,697	)		(506,998	)		—	*
Citigroup Global Markets Inc.		2,178,359		—			(254,370	)		1,923,989
Credit Suisse International		34,949		(34,949	)		—			—	*
Deutsche Bank AG		479,546		(362,251	)		(117,295	)		—	*
Goldman Sachs International		11,870,596		(11,149,463	)		(721,133	)		—	*
JPMorgan Chase Bank, N.A.		3,066,579		(1,876,167	)		(1,190,412	)		—	*
Morgan Stanley Capital Services LLC		2,162,654		(1,740,000	)		(372,717	)		49,937
Total	$	26,596,584	$	(21,363,731	)	$	(3,258,927	)	$	1,973,926
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	96,002	$	—		$	96,002		$	—
Barclays Bank PLC		439,465		(439,465	)		—			—	*
Citibank N.A.		506,998		—			506,998			—
Citigroup Global Markets Inc.		254,370		—			254,370			—
Deutsche Bank AG		117,295		—			117,295			—
Goldman Sachs International		721,133		—			721,133			—
JPMorgan Chase Bank, N.A.		1,190,412		—			1,190,412			—
Morgan Stanley & Co. International PLC		135,666		(9,995	)		—			125,671
Morgan Stanley Capital Services LLC		372,717		—			372,717			—
Total	$	3,834,058	$	(449,460	)	$	3,258,927		$	125,671

* The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2021:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Emerging Country Debt Fund		237,065,914		—		244,043,000		702,141,329
High Yield Fund		24,969,686		16,448,512		—		48,441,182
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		335,669,594		102,408,197		886,915		522,754,326
Opportunistic Income Fund		7,320,158		16,494,833		128,214,678		786,320,101

111

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

Opportunistic Income Fund

U.S. Treasury Fund

Management Fee

0.25%

0.35%

0.35%

0.25%

0.40%(a)

0.08%(b)

^(a)  Prior to January 1, 2017, the management fee was 0.25%.

^(b)  Prior to June 30, 2019, GMO voluntarily waived the Fund’s entire management fee.

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class III			Class IV			Class V		Class VI		Class R6			Class I
Asset Allocation Bond Fund		0.15%								0.055%
Emerging Country Debt Fund		0.15%			0.10%
High Yield Fund		0.15%	*		0.10%	*		0.085%*		0.055%		0.15%	*		0.15%	*
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		0.15%			0.10%							0.15%	*		0.15%	*
Opportunistic Income Fund		0.15%	*							0.055%		0.15%	*		0.15%

* Class is offered but has no shareholders as of February 28, 2021.

For each Fund, other than Emerging Country Debt Fund and High Yield Fund, GMO has contractually agreed to reimburse each Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. GMO has contractually agreed to reimburse High Yield Fund for the portion of its “Specified Operating Expenses” that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”).

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For High Yield Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Fund’s “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

112

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

For the year ended February 28, 2021, GMO recouped the following previously recorded waivers and/or reimbursements.

	Recoupment Amount ($)
High Yield Fund, Class VI		20,494

On February 28, 2021, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2022		Expiring the year ending February 28, 2023		Expiring the year ending February 29, 2024
High Yield Fund, Class VI		$72,033		$—		$—

GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee to the extent necessary to offset the management fee and shareholder service fee paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

These contractual waivers and reimbursements will continue through at least June 30, 2021 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class III, IV, V, VI, and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class III, IV, V, VI, or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping

and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class I shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

113

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2021 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Asset Allocation Bond Fund		5,001		673
Emerging Country Debt Fund		157,088		15,826
High Yield Fund		5,526		531
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		13,324		1,451
Opportunistic Income Fund		28,614		3,009
U.S. Treasury Fund		9,135		1,120

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2021, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		0.121%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2021, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2021 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		43,614,649		14,844,718		159,707,607		18,540,000
Emerging Country Debt Fund		463,845,238		1,793,439,299		793,400,930		1,530,381,735
High Yield Fund		50,315,517		280,048,578		50,529,533		360,339,616
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		615,544,517		382,142,405		762,475,516		562,914,833
Opportunistic Income Fund		35,253,240		280,706,617		32,705,013		394,329,013
U.S. Treasury Fund		—		—		—		—

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

8. Principal shareholders and related parties as of February 28, 2021

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund		Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Asset Allocation Bond Fund		3‡		87.05%		<0.01%		99.96%
Emerging Country Debt Fund		1		10.89%		0.13%		12.02%
High Yield Fund		2		99.99%		—		99.99%
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		4‡		80.72%		0.01%		90.71%
Opportunistic Income Fund		4#		75.23%		0.55%		52.26%
U.S. Treasury Fund		2‡		35.29%		3.89%		71.02%

‡ One of the shareholders is another fund of the Trust.

# Two of the shareholders are other funds of the Trust.

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		1,248,070		$	29,430,309			110,325		$	2,474,600
Shares issued to shareholders in reinvestment of distributions		16,888			403,791			126,900			2,798,964
Shares repurchased		(483,688	)		(10,905,583	)		(2,253,855	)		(50,054,998	)
Net increase (decrease)		781,270		$	18,928,517			(2,016,630	)	$	(44,781,434	)
Class VI:
Shares sold		433,703		$	10,053,052			202,925		$	4,483,781
Shares issued to shareholders in reinvestment of distributions		33,513			802,127			414,203			9,160,744
Shares repurchased		(6,482,285	)		(149,463,143	)		(6,261,332	)		(140,077,926	)
Net increase (decrease)		(6,015,069	)	$	(138,607,964	)		(5,644,204	)	$	(126,433,401	)
Emerging Country Debt Fund
Class III:
Shares sold		11,064,651		$	283,435,647			7,880,299		$	217,000,478
Shares issued to shareholders in reinvestment of distributions		3,930,574			101,703,325			2,957,296			79,423,521
Shares repurchased		(16,856,375	)		(444,395,888	)		(17,701,435	)		(490,147,602	)
Purchase premiums		—			490,114			—			446,109
Redemption fees		—			938,001			—			739,018
Net increase (decrease)		(1,861,150	)	$	(57,828,801	)		(6,863,840	)	$	(192,538,476	)

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund (continued)
Class IV:
Shares sold		23,275,901		$	606,562,660			19,712,189		$	544,492,697
Shares issued to shareholders in reinvestment of distributions		10,246,489			264,614,402			5,991,783			160,731,422
Shares repurchased		(25,052,203	)		(649,166,175	)		(14,371,734	)		(394,762,711	)
Purchase premiums		—			1,390,217			—			993,428
Redemption fees		—			2,589,905			—			1,612,037
Net increase (decrease)		8,470,187		$	225,991,009			11,332,238		$	313,066,873
High Yield Fund
Class VI:
Shares sold		2,201,261		$	42,312,765			98,276		$	2,056,846
Shares issued to shareholders in reinvestment of distributions		178,442			3,585,146			820,617			16,679,907
Shares repurchased		(5,954,398	)		(121,289,116	)		(3,348,294	)		(68,220,577	)
Net increase (decrease)		(3,574,695	)	$	(75,391,205	)		(2,429,401	)	$	(49,483,824	)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Class III:
Shares sold		812,914		$	17,690,556			171,785		$	3,857,759
Shares issued to shareholders in reinvestment of distributions		382,203			8,066,426			197,461			4,223,692
Shares repurchased		(3,258,411	)		(67,890,225	)		(765,786	)		(17,018,076	)
Net increase (decrease)		(2,063,294	)	$	(42,133,243	)		(396,540	)	$	(8,936,625	)
Class IV:
Shares sold		3,063,305		$	64,755,408			360,886		$	7,771,423
Shares issued to shareholders in reinvestment of distributions		1,036,159			22,030,270			1,233,567			26,460,017
Shares repurchased		(17,672,884	)		(384,748,994	)		(9,111,663	)		(200,655,846	)
Net increase (decrease)		(13,573,420	)	$	(297,963,316	)		(7,517,210	)	$	(166,424,406	)
Opportunistic Income Fund
Class VI:
Shares sold		2,091,345		$	53,827,718			702,105		$	18,486,845
Shares issued to shareholders in reinvestment of distributions		855,202			21,741,055			1,589,564			41,113,159
Shares repurchased		(16,058,148	)		(413,055,123	)		(8,905,218	)		(235,744,022	)
Purchase premiums		—			—			—			69,702
Redemption fees		—			—			—			251,056
Net increase (decrease)		(13,111,601	)	$	(337,486,350	)		(6,613,549	)	$	(175,823,260	)
Class I:(a)
Shares sold		16,150,520		$	413,015,196			880,843		$	22,880,307
Shares issued to shareholders in reinvestment of distributions		92,094			2,336,633			9,193			236,179
Shares repurchased		(940,346	)		(23,853,407	)		(21,627	)		(555,796	)
Net increase (decrease)		15,302,268		$	391,498,422			868,409		$	22,560,690

116

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
U.S. Treasury Fund
Core Class:
Shares sold		373,331,155		$	1,880,713,417			785,807,533		$	3,930,131,346
Shares issued to shareholders in reinvestment of distributions		72,372			364,660			1,061,376			5,309,001
Shares repurchased		(341,823,451	)		(1,722,028,633	)		(869,725,175	)		(4,350,339,593	)
Net increase (decrease)		31,580,076		$	159,049,444			(82,856,266	)	$	(414,899,246	)

(a) The period under the heading “Year Ended February 29, 2020” represents the period from November 5, 2019 (commencement of operations) through February 29, 2020.

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2021 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	8,656,379	$	14,844,718	$	18,540,000	$	14,512	$	447	$	59,580		$	(19,842	)	$	5,000,835
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,487,484	$	—	$	—	$	161,137	$	7,419	$	—		$	296,763		$	74,784,247
High Yield Fund
GMO U.S. Treasury Fund	$	385,180	$	37,755,748	$	38,171,591	$	7,346	$	—	$	30,663		$	—		$	—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
GMO Emerging Country Debt Fund, Class IV	$	29,316,657	$	—	$	19,500,000	$	805,940	$	322,725	$	(2,006,793	)	$	774,838		$	8,584,702
GMO Opportunistic Income Fund, Class VI		108,395,452		—		80,000,000		1,614,883		—		(404,135	)		(349,782	)		27,641,535
GMO U.S. Treasury Fund		4,517,130		248,400,000		238,140,000		29,455		—		52,341			(4,018	)		14,825,453
Totals	$	142,229,239	$	248,400,000	$	337,640,000	$	2,450,278	$	322,725	$	(2,358,587	)	$	421,038		$	51,051,690
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,256,103	$	18,500,000	$	17,773,000	$	14,759	$	1,092	$	61,299		$	(40,861	)	$	11,003,541

11. Subsequent events

As of April 9, 2021, GMO has voluntarily agreed to waive GMO U.S. Treasury Fund’s annual management fee of 0.08%.

Subsequent to February 28, 2021, GMO Asset Allocation Bond Fund received redemption requests in the amount of $64,777,684.

117

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund (formerly known as GMO Core Plus Bond Fund), GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund (six of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2021, the related statements of operations for the year ended February 28, 2021, the statements of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, MA

April 27, 2021

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

118

GMO Trust Funds

Fund Expenses

February 28, 2021 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2021.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2020 through February 28, 2021.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$996.10		$2.03		$1,000.00		$1,022.76		$2.06		0.41%
Class VI		$1,000.00		$996.10		$1.53		$1,000.00		$1,023.26		$1.56		0.31%
Emerging Country Debt Fund
Class III		$1,000.00		$1,017.40		$2.70		$1,000.00		$1,022.12		$2.71		0.54%
Class IV		$1,000.00		$1,017.70		$2.45		$1,000.00		$1,022.37		$2.46		0.49%
High Yield Fund
Class VI		$1,000.00		$1,056.40		$2.60		$1,000.00		$1,022.27		$2.56		0.51%
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Class III		$1,000.00		$974.70		$2.06		$1,000.00		$1,022.71		$2.11		0.42%
Class IV		$1,000.00		$974.80		$1.76		$1,000.00		$1,023.01		$1.81		0.36%
Opportunistic Income Fund
Class VI		$1,000.00		$1,028.70		$2.41		$1,000.00		$1,022.41		$2.41		0.48%
Class I		$1,000.00		$1,028.40		$3.47		$1,000.00		$1,021.37		$3.46		0.69%
U.S. Treasury Fund
Core		$1,000.00		$1,000.70		$0.40		$1,000.00		$1,024.40		$0.40		0.08%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2021, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

119

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2021 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2021:

Fund Name	U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short-Term Capital  Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Code Section 163(j) Interest-Related Dividend Income ($)(4)
Asset Allocation Bond Fund		100.00%		1,491,834		—		—		—
Emerging Country Debt Fund		—		4,742,235		41,062,839		57,850,613		—
High Yield Fund		5.23%		2,814,812		291,765		119,375		—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		5.27%		4,186,431		3,047,284		16,634,444		—
Opportunistic Income Fund		—		21,021,817		—		—		—
U.S. Treasury Fund		97.78%		735,938		37,727		—		735,938

⁽¹⁾ Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾ All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾ These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest related dividend amounts could include short-term capital gain distributions received from underlying funds.

⁽⁴⁾  The Funds hereby designate the above business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations thereunder.

In early 2022, the Funds will notify applicable shareholders of amounts for use in preparing 2021 U.S. federal income tax forms.

120

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2021. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		29	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).		29	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired		29	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).
Interested Trustee and Officer
Jonathan Feigelson1 YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director General Counsel, head of Regulatory Affairs and Director of Corporate Governance at TIAA – CREF (2006 – 2016)		29	None.

¹  Mr. Feigelson is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above.

121

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director, General Counsel, Head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006 – 2016).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President-Law and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present; Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

122

AR-022821-FI

GMO Trust

Annual Report

February 28, 2021

Climate Change Fund

Cyclical Focus Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Fund

Resources Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

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-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.

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

TABLE OF CONTENTS

Climate Change Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Cyclical Focus Fund
Management Discussion and Analysis of Fund Performance	8
Performance Graph	9
Investment Concentration Summary	10
Schedule of Investments	11
Emerging Domestic Opportunities Fund
Management Discussion and Analysis of Fund Performance	12
Performance Graph	13
Investment Concentration Summary	14
Schedule of Investments	15
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance	18
Performance Graph	19
Investment Concentration Summary	20
Schedule of Investments	21
International Equity Fund
Management Discussion and Analysis of Fund Performance	28
Performance Graph	29
Investment Concentration Summary	30
Schedule of Investments	31
Japan Value Creation Fund
Management Discussion and Analysis of Fund Performance	36
Performance Graph	37
Investment Concentration Summary	38
Schedule of Investments	39
Quality Fund
Management Discussion and Analysis of Fund Performance	42
Performance Graph	43
Investment Concentration Summary	44
Schedule of Investments	45
Resources Fund
Management Discussion and Analysis of Fund Performance	48
Performance Graph	49
Investment Concentration Summary	50
Schedule of Investments	51
Tax-Managed International Equities Fund
Management Discussion and Analysis of Fund Performance	54
Performance Graph	55
Investment Concentration Summary	56
Schedule of Investments	57
U.S. Equity Fund
Management Discussion and Analysis of Fund Performance	62
Performance Graph	63
Investment Concentration Summary	64
Schedule of Investments	65
U.S. Small Cap Value Fund
Management Discussion and Analysis of Fund Performance	70
Performance Graph	71
Investment Concentration Summary	72
Schedule of Investments	73
Portfolio, Counterparty and Currency Abbreviations	78

Fund Financial Statements:
Statements of Assets and Liabilities	79
Statements of Operations	85
Statements of Changes in Net Assets	88
Financial Highlights	94
Notes to Financial Statements	108
Report of Independent Registered Public Accounting Firm	158
Board Review of Investment Management Agreements	159
Fund Expenses	160
Tax Information	162
Trustees and Officers	163

GMO Climate Change Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.

Class III shares of GMO Climate Change Fund returned +63.84% (net) for the fiscal year ended February 28, 2021, as compared with +30.25% for the MSCI ACWI.

The Fund’s clean energy holdings posted strong gains. Solar, wind, and biofuels each more than doubled during the year. SolarEdge Technologies Inc. and Renewable Energy Group Inc. were among the best performers.

The Fund’s copper exposure gained 145% as copper prices rose approximately 57% during the year. Freeport McMoRan Inc. was among the best performers.

The Fund’s agriculture exposure also performed well. The Mosaic Company, one of the world’s largest suppliers of phosphate and potash, was a strong contributor 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.

2

GMO Climate Change Fund

(A Series of GMO Trust)

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

GMO Climate Change Fund Class III Shares and the MSCI ACWI

As of February 28, 2021

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.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, R6 and I the gross expense ratio of 0.94%, 0.94% and 1.04%, 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 0.78%, 0.78% and 0.88% 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.

3

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.9	%
Mutual Funds		5.3
Preferred Stocks		1.8
Short-Term Investments		0.1
Other		(2.1	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		36.4	%
Japan		8.8
China		6.9
Canada		6.3
France		5.3
Russia		4.0
Germany		3.6
Other Emerging		3.3	†
Italy		2.9
Finland		2.9
United Kingdom		2.8
Spain		2.8
Mexico		2.6
Australia		2.2
Norway		2.0
Other Developed		1.9	‡
Chile		1.8
Brazil		1.2
Portugal		1.2
Netherlands		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		42.3	%
Energy Efficiency		21.3
Agriculture		13.1
Copper		8.7
Electric Grid		7.6
Water		7.0
		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).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

† “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.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

4

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Argentina — 0.9%
	382,515	Adecoagro SA *		3,155,749
		Australia — 2.2%
	6,401,117	Clean TeQ Holdings Ltd *		1,437,317
	1,451,781	Nickel Mines Ltd		1,556,274
	487,057	Sandfire Resources Ltd		2,276,496
	583,294	Tassal Group Ltd (a)		1,520,986
	542,889	Western Areas Ltd (a)		1,075,146
		Total Australia		7,866,219
		Brazil — 1.2%
	521,178	Sao Martinho SA		2,903,390
	196,300	SLC Agricola SA		1,435,419
		Total Brazil		4,338,809
		Canada — 6.4%
	104,505	Canadian Solar Inc * (a)		4,904,420
	431,600	Greenlane Renewables Inc * (a)		773,258
	1,364,615	Ivanhoe Mines Ltd – Class A *		8,417,592
	3,021,500	Largo Resources Ltd *		4,202,464
	112,100	Lundin Mining Corp		1,283,433
	79,400	NFI Group Inc		1,834,323
	212,700	Sierra Metals Inc * (a)		563,655
	42,100	Turquoise Hill Resources Ltd *		638,236
		Total Canada		22,617,381
		China — 7.0%
	833,000	Canvest Environmental Protection Group Co Ltd		344,034
	1,609,000	Chaowei Power Holdings Ltd		683,404
	3,638,919	China High Speed Transmission Equipment Group Co Ltd		3,536,413
	2,155,000	China Longyuan Power Group Corp Ltd – Class H		3,203,615
	1,784,000	China Water Affairs Group Ltd		1,406,035
	137,700	Hollysys Automation Technologies Ltd		2,073,762
	10,086,000	Sinofert Holdings Ltd		1,466,135
	126,222	Sungrow Power Supply Co Ltd – Class A		1,690,102
	1,396,000	Tianneng Power International Ltd (a)		2,697,194
	2,432,000	Wasion Group Holdings Ltd		798,829
	1,061,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		2,269,292
	863,176	Zhengzhou Yutong Bus Co Ltd – Class A		2,028,537
	553,785	Zhuzhou CRRC Times Electric Co Ltd – Class H		2,405,372
		Total China		24,602,724
		Denmark — 0.9%
	5,065	Rockwool International A/S – Class B		1,831,194
	6,428	Vestas Wind Systems A/S		1,205,411
		Total Denmark		3,036,605

Shares		Description	Value ($)
		Finland — 3.0%
	129,133	Kemira Oyj		2,088,677
	125,785	Neste Oyj		8,308,112
		Total Finland		10,396,789
		France — 5.4%
	8,770	Albioma SA		428,492
	315,924	Electricite de France SA *		3,769,399
	38,000	Nexans SA *		2,953,205
	15,017	Schneider Electric SE		2,220,629
	155,055	Suez SA		3,223,003
	36,439	Valeo SA		1,287,828
	151,182	Veolia Environnement SA		4,054,151
	17,193	Vilmorin & Cie SA		1,100,242
		Total France		19,036,949
		Germany — 3.7%
	326,099	E.ON SE		3,325,057
	268,151	K+S AG (Registered)		3,000,130
	209	Knorr-Bremse AG		26,617
	42,427	Siemens AG (Registered)		6,566,058
		Total Germany		12,917,862
		India — 0.3%
	891,358	Jain Irrigation Systems Ltd *		229,467
	279,286	Power Grid Corp of India Ltd		813,492
		Total India		1,042,959
		Israel — 0.2%
	146,922	ICL Group Ltd		845,198
		Italy — 3.0%
	674,023	Enel SPA		6,355,295
	129,818	Prysmian SPA		4,169,898
		Total Italy		10,525,193
		Japan — 9.0%
	39,400	Central Japan Railway Co		6,492,106
	1,400	Daikin Industries Ltd		272,844
	58,800	East Japan Railway Co		4,382,486
	88,300	Ebara Corp		3,327,255
	82,400	GS Yuasa Corp (a)		2,451,522
	22,400	Iseki & Co Ltd *		316,552
	67,200	Kurita Water Industries Ltd		2,730,029
	16,600	METAWATER Co Ltd		315,122
	70,000	Osaki Electric Co Ltd		385,152
	305,300	Panasonic Corp		3,946,961
	253,700	Renesas Electronics Corp *		2,790,871
	10,300	Sanken Electric Co Ltd (a)		526,222
	69,300	Takuma Co Ltd		1,363,231
	42,800	Tsukishima Kikai Co Ltd		498,139

See accompanying notes to the financial statements. 5

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Japan — continued
	93,200	Yokogawa Electric Corp		1,782,470
		Total Japan		31,580,962
		Mexico — 2.6%
	1,866,152	Grupo Mexico SAB de CV – Series B		8,846,850
	307,515	Grupo Rotoplas SAB de CV		414,361
		Total Mexico		9,261,211
		Netherlands — 1.1%
	112,195	Arcadis NV * (a)		3,826,298
		Norway — 2.0%
	545,683	Austevoll Seafood ASA		6,252,050
	88,723	Grieg Seafood ASA * (a)		844,644
		Total Norway		7,096,694
		Pakistan — 0.2%
	1,135,326	Fauji Fertilizer Co Ltd		795,098
		Philippines — 0.2%
	4,653,200	Nickel Asia Corp		555,241
		Portugal — 1.2%
	745,653	EDP – Energias de Portugal SA		4,273,863
		Russia — 4.0%
	234,466	MMC Norilsk Nickel PJSC ADR		7,388,716
	309,890	PhosAgro PJSC GDR (Registered)		5,432,600
	116,061	Ros Agro Plc GDR (Registered)		1,409,057
		Total Russia		14,230,373
		South Korea — 0.5%
	43,127	Dae Dong Industrial Co Ltd *		304,072
	2,142	LG Chem Ltd		1,581,361
		Total South Korea		1,885,433
		Spain — 2.9%
	9,725	Acciona SA		1,564,877
	3,282	Construcciones y Auxiliar de Ferrocarriles SA		145,454
	162,012	Endesa SA		4,003,368
	47,238	Fomento de Construcciones y Contratas SA		557,603
	187,842	Red Electrica Corp SA (a)		3,138,146
	135,578	Talgo SA *		710,849
		Total Spain		10,120,297
		Switzerland — 0.9%
	1,035	Gurit Holding AG		2,614,897
	7,226	Landis+Gyr Group AG		501,177
		Total Switzerland		3,116,074

Shares		Description	Value ($)
		Taiwan — 0.5%
	157,000	Delta Electronics Inc *		1,580,239
		Thailand — 0.2%
	1,220,500	SPCG Pcl		795,304
		Ukraine — 0.6%
	143,832	Kernel Holding SA		2,096,771
		United Kingdom — 2.9%
	49,400	Atlantica Sustainable Infrastructure Plc (a)		1,785,810
	643,346	Drax Group Plc		3,422,965
	88,728	Go-Ahead Group Plc *		1,446,660
	47,533	Polypipe Group Plc *		365,803
	3,069,135	Renewi Plc *		1,863,300
	978,991	Stagecoach Group Plc *		1,269,874
		Total United Kingdom		10,154,412
		United States — 31.9%
	46,800	AGCO Corp.		6,059,664
	13,100	Ameresco, Inc. – Class A *		748,272
	196,059	BorgWarner, Inc.		8,822,655
	65,900	Clean Energy Fuels Corp. *		859,336
	153,796	Darling Ingredients, Inc. *		9,695,300
	5,500	Deere & Co.		1,920,160
	17,800	Eaton Corp Plc		2,317,382
	15,900	Emerson Electric Co.		1,365,810
	25,700	EnerSys		2,320,196
	8,255	Enphase Energy, Inc. *		1,453,375
	119,086	Exelon Corp.		4,596,720
	18,084	First Solar, Inc. *		1,465,166
	218,932	Freeport-McMoRan, Inc. *		7,423,984
	72,000	FutureFuel Corp.		1,056,960
	1,541,856	GrafTech International Ltd.		18,240,156
	13,400	Johnson Controls International Plc		747,586
	70,800	Livent Corp. * (a)		1,318,296
	153,000	Montauk Renewables, Inc. *		1,958,400
	125,647	Mosaic Co. (The)		3,694,022
	57,600	MYR Group, Inc. *		3,395,520
	76,979	ON Semiconductor Corp. *		3,099,944
	61,133	Owens Corning		4,952,996
	87,967	Renewable Energy Group, Inc. *		6,841,193
	20,900	Rexnord Corp.		939,455
	11,100	Sensata Technologies Holding Plc *		635,919
	30,909	SolarEdge Technologies, Inc. *		9,220,464
	22,700	Sunrun, Inc. *		1,420,566
	19,829	TE Connectivity Ltd.		2,578,365
	10,200	Valmont Industries, Inc.		2,412,606
	8,400	Westinghouse Air Brake Technologies Corp.		608,412
		Total United States		112,168,880
		TOTAL COMMON STOCKS (COST $263,937,836)		333,919,587

6 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 1.8%
		Chile — 1.8%
	117,911	Sociedad Quimica y Minera de Chile SA Sponsored ADR		6,320,030
		TOTAL PREFERRED STOCKS (COST $3,903,819)		6,320,030
		MUTUAL FUNDS — 5.3%
		United States — 5.3%
		Affiliated Issuers — 5.3%
	3,683,280	GMO U.S. Treasury Fund (c)		18,563,731
		TOTAL MUTUAL FUNDS (COST $18,563,731)		18,563,731
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	506,601	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		506,601
		TOTAL SHORT-TERM INVESTMENTS (COST $506,601)		506,601
		TOTAL INVESTMENTS — 102.1% (Cost $286,911,987)		359,309,949
		Other Assets and Liabilities (net) — (2.1%)		(7,428,483	)
		TOTAL NET ASSETS — 100.0%		$351,881,466

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(d) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 7

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.

Class VI shares of GMO Cyclical Focus Fund returned +53.56% (net) for the period from the Fund’s inception on May 12, 2020 until the end of the fiscal year on February 28, 2021, as compared with +37.29% for the MSCI ACWI.

The Fund’s Consumer Discretionary (overweight) and Health Care (underweight) allocations made a positive contribution during the period, and Information Technology (underweight) and Energy (overweight) had a negative impact.

The Fund’s security selection results in Materials and Industrials made a positive contribution during the period, and selection results in Consumer Discretionary detracted. Sector allocation mattered slightly more than stock selection within sector.

The U.S./non-U.S. regional allocation made little difference 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.

8

GMO Cyclical Focus Fund

(A Series of GMO Trust)

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

GMO Cyclical Focus Fund Class VI Shares and the MSCI ACWI

As of February 28, 2021

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.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class VI the gross expense ratio of 0.77% 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 0.40% 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.

9

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.7	%
Preferred Stocks		3.0
Mutual Funds		0.4
Short-Term Investments		0.2
Other		(0.3	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		50.8	%
United Kingdom		12.1
France		7.7
Mexico		6.3
Spain		4.9
Canada		4.7
Russia		4.4
Finland		3.2
Brazil		3.0
Ireland		2.9
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		16.4	%
Consumer Durables & Apparel		14.8
Materials		10.3
Diversified Financials		8.7
Consumer Services		8.2
Capital Goods		7.9
Transportation		6.5
Banks		6.2
Retailing		5.2
Food, Beverage & Tobacco		4.3
Technology Hardware & Equipment		3.7
Automobiles & Components		3.0
Software & Services		2.5
Insurance		2.3
		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 shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

10

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 96.7%
		Canada — 4.7%
	83,280	Brookfield Asset Management Inc – Class A		3,360,348
	60,900	Nutrien Ltd		3,286,164
		Total Canada		6,646,512
		Finland — 3.2%
	68,179	Neste Oyj		4,503,230
		France — 7.7%
	4,362	Kering SA		2,758,742
	6,112	LVMH Moet Hennessy Louis Vuitton SE		3,872,679
	31,851	Safran SA *		4,341,691
		Total France		10,973,112
		Ireland — 2.9%
	203,590	Ryanair Holdings Plc *		4,061,581
		Mexico — 6.3%
	437,500	Fomento Economico Mexicano SAB de CV		2,984,979
	1,271,500	Grupo Mexico SAB de CV – Series B		6,027,789
		Total Mexico		9,012,768
		Russia — 4.4%
	39,867	LUKOIL PJSC Sponsored ADR		2,970,546
	19,101	Novatek PJSC Sponsered GDR (Registered)		3,268,331
		Total Russia		6,238,877
		Spain — 4.9%
	49,667	Amadeus IT Group SA *		3,467,614
	104,768	Industria de Diseno Textil SA		3,454,537
		Total Spain		6,922,151
		United Kingdom — 12.1%
	59,296	Berkeley Group Holdings Plc (The)		3,359,535
	238,069	Compass Group Plc *		4,834,458
	118,136	Persimmon Plc		4,280,701
	241,762	Royal Dutch Shell Plc – B Shares		4,739,340
		Total United Kingdom		17,214,034
		United States — 50.5%
	32,739	American Express Co.		4,428,277
	1,700	Booking Holdings, Inc. *		3,958,467
	95,700	BorgWarner, Inc.		4,306,500
	72,127	Charles Schwab Corp. (The)		4,451,679
	31,700	Chevron Corp.		3,170,000
	62,202	Coca-Cola Co. (The)		3,047,276
	71,552	EOG Resources, Inc.		4,619,397
	30,900	Hasbro, Inc.		2,895,639
	29,022	Hilton Worldwide Holdings, Inc. *		3,589,441
	15,000	Honeywell International, Inc.		3,035,250

Shares		Description	Value ($)
		United States — continued
	51,063	Las Vegas Sands Corp.		3,196,544
	92,200	Lyft, Inc. – Class A *		5,135,540
	3,047	Markel Corp. *		3,317,574
	53,382	Raytheon Technologies Corp.		3,842,970
	90,787	Sensata Technologies Holding Plc *		5,201,187
	107,985	US Bancorp		5,399,250
	72,288	Verso Corp. – Class A		903,600
	48,123	VF Corp.		3,807,973
	94,979	Wells Fargo & Co.		3,435,390
		Total United States		71,741,954
		TOTAL COMMON STOCKS (COST $103,068,727)		137,314,219
		PREFERRED STOCKS (a) — 3.0%
		Brazil — 3.0%
	382,200	Bradespar SA		4,286,979
		TOTAL PREFERRED STOCKS (COST $2,421,143)		4,286,979
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	104,762	GMO U.S. Treasury Fund		528,000
		TOTAL MUTUAL FUNDS (COST $528,000)		528,000
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds— 0.2%
	298,283	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		298,283
		TOTAL SHORT-TERM INVESTMENTS (COST $298,283)		298,283
		TOTAL INVESTMENTS — 100.3% (Cost $106,316,153)		142,427,481
		Other Assets and Liabilities (net) — (0.3%)		(438,684	)
		TOTAL NET ASSETS — 100.0%		$141,988,797

Notes to Schedule of Investments:

* Non-income producing security.

(a) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(b) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 11

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC and GMO Singapore Pte. Limited.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI Emerging Markets Index is included for comparative purposes.

Class II shares of GMO Emerging Domestic Opportunities Fund returned +31.76% (net) for the fiscal year ended February 28, 2021, as compared with +36.05% for the MSCI Emerging Markets Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. The Fund’s overweight in India Financials and underweight in India Information Technology hurt relative performance.

Stock selection detracted from the Fund’s relative returns for the fiscal year. The Fund’s stock selection in China Consumer Discretionary and Taiwan Information Technology hurt relative 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.

12

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

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

GMO Emerging Domestic Opportunities Fund Class II Shares* and the MSCI Emerging Markets Index

As of February 28, 2021

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 the period from March 1, 2011 to March 24, 2011, no Class II shares were outstanding. Performance for that period is that of Class V, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class II expenses had been applied throughout.

** For the period from October 27, 2011 to November 29, 2013, no Class V shares were outstanding. Performance for that period is that of Class II, which has higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class II, V and I the gross expense ratio of 1.14%, 1.01% and 1.23%, 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 1.12%, 0.99% and 1.15% 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.

13

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		93.6	%
Investment Funds		2.9
Short-Term Investments		2.0
Preferred Stocks		0.8
Other		0.7
		100.0	%
Country/Region Summary¤	% of Investments
China		38.5	%
Taiwan		17.6
South Korea		12.6
India		12.2
Brazil		4.9
Russia		4.4
Vietnam		1.6
Hong Kong		1.6
South Africa		1.2
Indonesia		0.8
Mexico		0.7
Thailand		0.7
Philippines		0.6
Poland		0.6
United Arab Emirates		0.6
Turkey		0.4
Chile		0.3
Hungary		0.3
Singapore		0.3
Germany		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Media & Entertainment		17.6	%
Banks		13.6
Technology Hardware & Equipment		12.8
Semiconductors & Semiconductor Equipment		12.5
Retailing		12.2
Capital Goods		3.8
Software & Services		3.2
Diversified Financials		3.2
Food, Beverage & Tobacco		3.0
Insurance		2.9
Food & Staples Retailing		2.3
Consumer Durables & Apparel		2.1
Pharmaceuticals, Biotechnology & Life Sciences		1.8
Consumer Services		1.8
Materials		1.8
Automobiles & Components		1.2
Telecommunication Services		1.1
Health Care Equipment & Services		0.8
Real Estate		0.7
Household & Personal Products		0.5
Transportation		0.4
Utilities		0.4
Energy		0.3
		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 shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

14

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 93.6%
		Brazil — 3.7%
	1,639,000	Atacadao SA		5,559,650
	825,600	B3 SA – Brasil Bolsa Balcao		7,999,372
	1,254,100	BR Malls Participacoes SA *		1,868,551
	4,118,900	JHSF Participacoes SA		4,762,584
	1,400	MercadoLibre Inc *		2,293,354
	1,219,100	Movida Participacoes SA		3,850,339
	12,203,000	Oi SA *		4,093,651
	328,800	Suzano SA *		4,292,905
	489,600	Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *		3,014,025
		Total Brazil		37,734,431
		Chile — 0.3%
	56,573,837	Banco Santander Chile		3,227,041
		China — 37.5%
	810,000	Alibaba Group Holding Ltd *		24,339,828
	156,776	Alibaba Group Holding Ltd Sponsored ADR *		37,275,062
	222,000	Alibaba Health Information Technology Ltd. *		743,652
	93,000	Anhui Conch Cement Co Ltd – Class H		597,644
	22,000	Autohome Inc ADR		2,508,880
	53,900	Baidu Inc Sponsored ADR *		15,278,494
	881,508	Bank of Ningbo Co Ltd – Class A		5,472,901
	48,000	Bilibili, Inc. Sponsored ADR *		6,046,560
	3,440,000	China Construction Bank Corp – Class H		2,761,441
	1,580,400	China International Capital Corp. Ltd. – Class H *		3,643,900
	810,000	China Mengniu Dairy Co Ltd		4,426,249
	1,949,002	China Merchants Bank Co Ltd – Class H		14,946,413
	2,384,289	Focus Media Information Technology Co Ltd – Class A		4,045,849
	536,465	Gree Electric Appliances Inc of Zhuhai – Class A		4,901,553
	634,000	Haitian International Holdings Ltd		2,174,842
	543,844	Han’s Laser Technology Industry Group Co Ltd – Class A		3,628,476
	104,000	Hangzhou Tigermed Consulting Co Ltd – Class H *		2,035,096
	126,600	Jason Furniture Hangzhou Co Ltd – Class A		1,473,379
	172,700	JD.com Inc ADR *		16,211,349
	385,500	JD.com Inc – Class A *		18,079,859
	315,947	Jiangsu Hengli Hydraulic Co Ltd – Class A		4,648,946
	236,767	Jiangsu Hengrui Medicine Co Ltd – Class A		3,732,316
	44,300	Kuaishou Technology *		1,763,673
	23,087	Kweichow Moutai Co Ltd – Class A		7,595,312
	84,500	Longfor Group Holdings Ltd		500,852
	320,200	Luxshare Precision Industry Co Ltd – Class A		2,301,904
	673,600	Man Wah Holdings Ltd		1,472,495
	222,100	Meituan – Class B *		9,975,496
	313,521	Midea Group Co Ltd – Class A		4,520,885
	85,800	Momo Inc Sponsored ADR		1,359,072

Shares		Description	Value ($)
		China — continued
	28,400	NetEase Inc		619,940
	72,000	NetEase Inc ADR		7,909,200
	36,200	New Oriental Education & Technology Group Inc Sponsored ADR *		6,429,844
	46,100	NIO, Inc. ADR *		2,110,458
	37,400	Pinduoduo, Inc ADR *		6,401,384
	719,700	Ping An Bank Co Ltd – Class A		2,382,010
	913,746	Ping An Insurance Group Co of China Ltd – Class H		11,307,213
	289,399	Sany Heavy Industry Co Ltd – Class A		1,842,931
	68,083	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		4,411,252
	373,800	Shenzhou International Group Holdings Ltd		7,751,279
	64,100	Suofeiya Home Collection Co Ltd – Class A		335,591
	48,700	TAL Education Group ADR *		3,776,198
	1,138,184	Tencent Holdings Ltd		99,018,521
	68,000	Tencent Music Entertainment Group ADR *		1,748,960
	31,900	Weibo Corp Sponsored ADR *		1,759,923
	135,330	Wuliangye Yibin Co Ltd – Class A		5,875,780
	169,500	Wuxi Biologics Cayman, Inc. *		2,099,921
	890,000	Xinyi Solar Holdings Ltd.		1,869,327
	114,900	Yum China Holdings Inc		6,875,616
	965,400	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		1,470,620
		Total China		384,458,346
		Germany — 0.1%
	21,000	Jumia Technologies AG ADR *		930,510
		Hong Kong — 1.5%
	1,238,000	AIA Group Ltd		15,612,946
		Hungary — 0.3%
	65,252	OTP Bank Plc *		2,959,701
		India — 11.8%
	303,302	Adani Total Gas Ltd		2,108,717
	54,337	Apollo Hospitals Enterprise Ltd		2,255,844
	1,239,301	Ashok Leyland Ltd		2,165,402
	467,650	Aurobindo Pharma Ltd		5,404,170
	259,695	Axis Bank Ltd *		2,562,547
	73,123	Bajaj Auto Ltd		3,764,123
	229,482	Central Depository Services India Ltd		1,946,983
	166,421	Cipla Ltd		1,778,709
	3,904,869	Gayatri Projects Ltd *		2,125,571
	220,842	Gujarat Gas Ltd		1,482,648
	661,296	HCL Technologies Ltd		8,193,160
	534,535	HDFC Bank Ltd *		11,234,224
	158,061	HDFC Life Insurance Co Ltd *		1,504,208
	86,821	Housing Development Finance Corp Ltd		3,005,220
	1,232,797	ICICI Bank Ltd *		10,127,590

See accompanying notes to the financial statements. 15

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		India — continued
	148,500	ICICI Bank Ltd Sponsored ADR *		2,466,585
	12,266	IndiaMART InterMESH Ltd		1,434,050
	169,596	IndusInd Bank Ltd *		2,458,916
	558,442	Infosys Ltd		9,565,695
	178,758	Jubilant Ingrevia Ltd. * (a)		265,151
	178,758	Jubilant Pharmova Ltd.		1,845,121
	254,806	Muthoot Finance Ltd		4,514,016
	109,338	Polycab India Ltd		1,989,383
	368,821	SBI Cards & Payment Services Ltd		5,367,533
	33,127	SRF Ltd		2,442,210
	529,823	State Bank of India *		2,819,924
	494,997	Sun TV Network Ltd		3,307,903
	404,138	Tata Chemicals Ltd		4,027,724
	201,505	Tata Consultancy Services Ltd		7,963,315
	297,873	Tata Consumer Products Ltd		2,455,493
	445,562	Tech Mahindra Ltd		5,568,205
	444,041	UPL Ltd		3,389,946
		Total India		121,540,286
		Indonesia — 0.8%
	3,397,400	Bank Central Asia Tbk PT		7,993,218
		Mexico — 0.7%
	539,700	Grupo Financiero Banorte SAB de CV – Class O *		2,710,238
	1,683,124	Wal-Mart de Mexico SAB de CV		4,790,077
		Total Mexico		7,500,315
		Philippines — 0.6%
	296,990	GT Capital Holdings Inc		3,425,548
	11,752,900	Semirara Mining & Power Corp		3,089,521
		Total Philippines		6,515,069
		Poland — 0.5%
	312,986	Bank Polska Kasa Opieki SA *		5,642,295
		Russia — 2.8%
	1,348,600	Moscow Exchange MICEX-RTS PJSC		3,124,292
	389,955	Sberbank of Russia PJSC Sponsored ADR		5,674,601
	132,479	TCS Group Holding Plc GDR (Registered)		6,928,432
	84,088	X5 Retail Group NV GDR (Registered)		2,738,329
	158,100	Yandex NV – Class A *		10,116,029
		Total Russia		28,581,683
		Singapore — 0.3%
	10,900	Sea Ltd ADR *		2,569,021
		South Africa — 0.2%
	579,022	FirstRand Ltd		1,921,726

Shares		Description	Value ($)
		South Korea — 12.2%
	30,244	AfreecaTV Co Ltd		1,958,360
	12,909	E-MART Inc		1,938,336
	20,027	Hyundai Mobis Co Ltd		5,388,015
	11,343	Kakao Corp		4,919,944
	223,621	KB Financial Group Inc		8,655,401
	98,194	Kolmar BNH Co Ltd *		4,357,305
	35,744	Korea Investment Holdings Co Ltd *		2,771,897
	3,060	LG Chem Ltd		2,259,087
	56,355	LG Corp		4,697,619
	264	LG Household & Health Care Ltd		355,425
	17,010	NAVER Corp		5,663,001
	806,931	Samsung Electronics Co Ltd		59,136,445
	6,837	Samsung SDI Co Ltd		4,090,776
	153,871	Shinhan Financial Group Co Ltd *		4,478,751
	87,129	SK Hynix Inc		10,943,829
	17,949	SK Telecom Co Ltd		3,934,863
		Total South Korea		125,549,054
		Taiwan — 17.1%
	333,458	Advantech Co Ltd		4,336,420
	159,000	Airtac International Group		5,533,475
	199,000	Bizlink Holding, Inc.		2,128,095
	578,000	CTBC Financial Holding Co Ltd		414,968
	1,161,000	Delta Electronics Inc		11,685,719
	2,207,000	E Ink Holdings Inc		4,000,561
	1,222,000	Hon Hai Precision Industry Co Ltd		4,909,075
	233,000	MediaTek Inc		7,478,508
	707,000	Micro-Star International Co Ltd		3,781,418
	1,507,000	Pegatron Corp		4,033,411
	2,032,000	Quanta Computer Inc		6,198,020
	36,000	Silergy Corp.		3,455,964
	194,000	Simplo Technology Co Ltd		2,605,961
	892,000	Sinbon Electronics Co Ltd		8,608,941
	4,120,800	Taiwan Semiconductor Manufacturing Co Ltd		90,027,225
	2,781,000	United Microelectronics Corp		5,422,293
	443,000	Vanguard International Semiconductor Corp		1,842,717
	276,000	Walsin Technology Corp		2,512,350
	3,084,000	Wistron Corp		3,541,454
	132,000	Yageo Corp		2,806,166
		Total Taiwan		175,322,741
		Thailand — 0.7%
	383,600	Carabao Group Pcl – Class F		1,738,867
	2,866,000	CP ALL Pcl (Foreign Registered) *		5,615,784
		Total Thailand		7,354,651
		Turkey — 0.4%
	353,947	Migros Ticaret AS *		1,857,222
	2,199,883	Turk Telekomunikasyon AS		2,304,925
		Total Turkey		4,162,147

16 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United Arab Emirates — 0.5%
	1,563,407	Abu Dhabi Commercial Bank PJSC		2,636,210
	734,185	First Abu Dhabi Bank PJSC		2,888,275
		Total United Arab Emirates		5,524,485
		Vietnam — 1.6%
	2,172,500	Bank for Foreign Trade of Vietnam JSC		9,257,599
	1,466,200	Vietnam Dairy Products JSC		6,671,543
		Total Vietnam		15,929,142
		TOTAL COMMON STOCKS (COST $809,927,277)		961,028,808
		PREFERRED STOCKS (b) — 0.8%
		Brazil — 0.8%
	1,751,400	Itau Unibanco Holding SA		7,984,774
		TOTAL PREFERRED STOCKS (COST $8,618,172)		7,984,774
		INVESTMENT FUNDS — 2.9%
		Brazil — 0.4%
	116,800	iShares MSCI Brazil ETF		3,725,920
		Russia — 1.5%
	626,600	VanEck Vectors Russia ETF		15,332,902
		South Africa — 1.0%
	225,800	iShares MSCI South Africa ETF		10,443,250
		TOTAL INVESTMENT FUNDS (COST $29,221,491)		29,502,072
		SHORT-TERM INVESTMENTS — 2.0%
		Money Market Funds — 2.0%
	20,442,282	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		20,442,282
		TOTAL SHORT-TERM INVESTMENTS (COST $20,442,282)		20,442,282
		TOTAL INVESTMENTS — 99.3% (Cost $868,209,222)		1,018,957,936
		Other Assets and Liabilities (net) — 0.7%		7,348,637
		TOTAL NET ASSETS — 100.0%		$1,026,306,573

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Fund returned +23.89% (net) for the fiscal year ended February 28, 2021, as compared with +36.05% for the MSCI Emerging Markets Index.

Country allocation contributed to the Fund’s relative returns for the fiscal year. In particular, the Fund’s underweight positions in Brazil Financials and India Financials added to relative performance.

Stock selection detracted from the Fund’s relative returns for the fiscal year. Fund stock selection in Taiwan Information Technology and China Financials hurt relative 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.

18

GMO Emerging Markets Fund

(A Series of GMO Trust)

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

GMO Emerging Markets Fund Class II Shares, the MSCI Emerging Markets Index and

the S&P/IFCI Composite

As of February 28, 2021

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 the period 2/26/2019 to 2/26/2020, no Class V shares were outstanding. Performance for that period is that of Class III shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

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

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class II, III, V, VI, R6 and I the gross expense ratio of 0.97%, 0.90%, 0.84%, 0.81%, 0.97% and 1.07%, 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 0.94%, 0.89%, 0.79%, 0.76%, 0.94% and 0.99% 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.

19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		93.7	%
Preferred Stocks		3.2
Investment Funds		0.7
Debt Obligations		0.6
Short-Term Investments		0.5
Futures Contracts		0.2
Swap Contracts		0.0	^
Other		1.1
		100.0	%
Country/Region Summary¤	% of Investments
China		33.9	%
Taiwan		22.5
Russia		15.5
United States		9.5	*
Mexico		2.5
South Korea		2.5
Indonesia		2.3
India		2.2
Kuwait		1.8
South Africa		1.5
Thailand		1.0
Poland		0.7
United Kingdom		0.6	*
Qatar		0.5
Pakistan		0.5
Brazil		0.4
Argentina		0.4
United Arab Emirates		0.3
Turkey		0.3
Vietnam		0.3
Philippines		0.3
Saudi Arabia		0.2
Czech Republic		0.2
Colombia		0.1
Sri Lanka		0.0	^
Egypt		0.0	^
Chile		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		18.0	%
Technology Hardware & Equipment		11.4
Semiconductors & Semiconductor Equipment		11.2
Materials		10.2
Media & Entertainment		8.2
Retailing		6.3
Energy		5.8
Real Estate		4.5
Insurance		4.1
Capital Goods		4.0
Automobiles & Components		3.8
Food, Beverage & Tobacco		2.9
Diversified Financials		2.4
Consumer Durables & Apparel		2.0
Software & Services		1.6
Utilities		1.1
Household & Personal Products		1.0
Food & Staples Retailing		0.7
Transportation		0.4
Telecommunication Services		0.3
Consumer Services		0.1
Pharmaceuticals, Biotechnology & Life Sciences		0.0	^
Commercial & Professional Services		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).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

20

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 93.7%
		Argentina — 0.4%
	228,200	Banco BBVA Argentina SA ADR * (a)		618,422
	16,800	Banco Macro SA ADR *		227,808
	44,100	Globant SA *		9,469,152
	351,800	Grupo Financiero Galicia SA ADR		2,620,910
		Total Argentina		12,936,292
		Brazil — 0.5%
	40,700	CPFL Energia SA		209,593
	1,395,300	Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *		8,589,602
	381,100	WEG SA		5,307,601
		Total Brazil		14,106,796
		Chile — 0.0%
	47,403	Inversiones La Construccion SA		336,954
		China — 35.0%
	4,731,000	361 Degrees International Ltd		1,085,641
	852,000	Agile Group Holdings Ltd		1,203,250
	90,794,590	Agricultural Bank of China Ltd – Class H		33,021,420
	370,526	Alibaba Group Holding Ltd Sponsored ADR *		88,096,262
	1,739,699	Anhui Conch Cement Co Ltd – Class H		11,179,791
	113,500	Asia Cement China Holdings Corp		106,721
	1,800	Autohome Inc ADR		205,272
	19,800	Baidu Inc Sponsored ADR *		5,612,508
	16,638,682	Bank of China Ltd – Class H		5,834,358
	642,500	Budweiser Brewing Co APAC Ltd		1,960,096
	1,518,208	BYD Co Ltd – Class A		46,267,170
	1,898,000	BYD Electronic International Co Ltd (a)		10,556,184
	10,819,878	China Communications Services Corp Ltd – Class H		5,117,814
	125,110,148	China Construction Bank Corp – Class H		100,431,490
	4,227,000	China Dongxiang Group Co Ltd		473,538
	19,548,000	China Feihe Ltd		53,472,682
	361,430	China International Travel Service Corp Ltd – Class A		17,226,266
	1,564,000	China Lesso Group Holdings Ltd		2,888,178
	8,920,000	China Machinery Engineering Corp – Class H		4,090,577
	555,305	China Merchants Bank Co Ltd – Class A		4,389,266
	2,794,000	China Oriental Group Co Ltd		876,687
	128,000	China Overseas Grand Oceans Group Ltd		70,331
	248,400	China Pacific Insurance Group Co Ltd – Class A		1,698,691
	15,241,000	China Reinsurance Group Corp – Class H		1,688,446
	74,000	China Resources Gas Group Ltd		369,950
	6,118,000	China Resources Land Ltd		29,073,557
	1,907,500	China Shenhua Energy Co Ltd – Class H		3,628,767
	2,213,900	China Vanke Co Ltd – Class A		11,353,820
	48,000	Chinasoft International Ltd *		50,808
	9,257,714	Country Garden Holdings Co Ltd		11,523,508

Shares		Description	Value ($)
		China — continued
	68,000	Country Garden Services Holdings Co Ltd		559,344
	85,700	ENN Energy Holdings Ltd		1,310,533
	4,252,769	Fangda Special Steel Technology Co Ltd – Class A *		4,731,111
	2,660,000	Geely Automobile Holdings Ltd		8,604,323
	1,919,000	Greenland Hong Kong Holdings Ltd		616,813
	5,870,000	Guangdong Investment Ltd		10,483,324
	277,200	Guangdong Tapai Group Co Ltd – Class A		539,036
	381,000	Guotai Junan Securities Co Ltd – Class H		529,160
	362,722	Hangzhou Robam Appliances Co Ltd – Class A		2,122,945
	108,500	Hebei Construction Group Corp Ltd – Class H (a)		45,046
	8,306,238	Hisense Home Appliances Group Co Ltd – Class A		19,241,384
	313,000	Hisense Home Appliances Group Co Ltd – Class H		478,936
	195,100	Hollysys Automation Technologies Ltd		2,938,206
	10,248,000	Hua Han Health Industry Holdings Ltd * (b)		—
	516,400	Huayu Automotive Systems Co Ltd – Class A		2,058,892
	63,019,847	Industrial & Commercial Bank of China Ltd – Class H		41,228,855
	2,500	Kuaishou Technology *		99,530
	49,305	Kweichow Moutai Co Ltd – Class A		16,220,681
	2,453,000	KWG Property Holding Ltd		3,715,549
	2,533,000	Logan Group Co Ltd		3,943,374
	2,546,000	Longfor Group Holdings Ltd		15,090,750
	2,767,000	Lonking Holdings Ltd		1,023,256
	293,700	Lufax Holding Ltd ADR *		4,411,374
	259,500	Midea Group Co Ltd – Class A		3,741,917
	544,200	NetEase Inc		11,879,270
	620,800	NetEase Inc ADR		68,194,880
	274,993	New China Life Insurance Co Ltd – Class A		2,217,209
	3,600	Niu Technologies Sponsored ADR *		134,568
	891,000	PAX Global Technology Ltd		818,904
	28,885,000	PICC Property & Casualty Co Ltd – Class H		21,853,326
	5,704,400	Qingling Motors Co Ltd – Class H		1,234,716
	65,000	Road King Infrastructure Ltd		88,314
	57,800	Shanghai Baosight Software Co Ltd – Class A		512,776
	85,400	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		242,139
	3,068,789	Shenzhen Investment Ltd		1,105,163
	2,317,481	Shenzhen YUTO Packaging Technology Co Ltd – Class A		11,105,514
	4,945,000	Shimao Group Holdings Ltd		16,283,633
	1,944,000	Sinopec Engineering Group Co Ltd – Class H		1,037,287
	1,614,000	Sinotruk Hong Kong Ltd		5,150,981
	3,567,051	Suofeiya Home Collection Co Ltd – Class A		18,675,043
	1,322,965	Tencent Holdings Ltd		115,093,902
	129,000	Tencent Holdings Ltd ADR		11,248,800
	450,851	Tsingtao Brewery Co Ltd – Class A		5,565,002
	212,000	Tsingtao Brewery Co Ltd – Class H		1,741,045

See accompanying notes to the financial statements. 21

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		China — continued
	1,068,500	Vipshop Holdings Ltd ADR *		39,876,420
	13,711,831	Weifu High-Technology Group Co Ltd – Class A		48,857,754
	8,050,100	Yangzijiang Shipbuilding Holdings Ltd		6,427,553
	3,064,000	Yuzhou Group Holdings Co Ltd		1,180,983
	86,907	Zhejiang Supor Co Ltd – Class A		1,013,279
	1,249,629	Zhejiang Weixing New Building Materials Co Ltd – Class A		3,591,305
	6,512,786	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		14,962,354
	1,878,000	Zhongsheng Group Holdings Ltd		11,607,342
	15,883,382	Zhuzhou Kibing Group Co Ltd – Class A		36,229,535
		Total China		1,055,216,385
		Czech Republic — 0.2%
	36,319	CEZ AS		886,447
	13,907	Komercni Banka AS *		434,079
	1,201,627	Moneta Money Bank AS *		4,380,768
	306	Philip Morris CR AS		217,059
		Total Czech Republic		5,918,353
		Egypt — 0.0%
	105,984	Commercial International Bank Egypt SAE		417,500
	100,934	Eastern Co SAE		95,436
	176,784	Medinet Nasr Housing		42,035
	387,481	Palm Hills Developments SAE *		42,373
		Total Egypt		597,344
		India — 3.5%
	256,987	Asian Paints Ltd		7,981,961
	11,950	Bajaj Consumer Care Ltd		39,403
	27,610	Balrampur Chini Mills Ltd		66,174
	10,859	Cochin Shipyard Ltd		54,720
	419,720	Engineers India Ltd		453,701
	11,567,064	Gayatri Projects Ltd * (c)		6,296,399
	18,986	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		75,320
	598,198	HCL Technologies Ltd		7,411,404
	230,960	HDFC Bank Ltd *		4,854,044
	2	Hero MotoCorp Ltd		88
	261,937	Hindustan Unilever Ltd		7,576,291
	72,481	Hindustan Zinc Ltd		291,309
	252,428	Housing Development Finance Corp Ltd		8,737,538
	1,332,810	ICICI Bank Ltd *		10,949,210
	476,400	Infosys Ltd Sponsored ADR		8,155,968
	3,013,682	Jai Balaji Industries Ltd *		1,156,294
	92,574	JSW Energy Ltd		90,414
	1,322,083	Kiri Industries Ltd		8,155,193
	386,197	Kotak Mahindra Bank Ltd *		9,417,933
	5,280	Larsen & Toubro Infotech Ltd		258,698
	3,330	Mahanagar Gas Ltd		52,656

Shares		Description	Value ($)
		India — continued
	12,832	Mindtree Ltd		278,376
	1,413,409	NBCC India Ltd		825,544
	162,057	NCC Ltd		197,099
	7,947	Oracle Financial Services Software Ltd		327,947
	13,130	Redington India Ltd		32,683
	193,830	Tata Consultancy Services Ltd		7,660,005
	312,651	Titan Co Ltd		5,998,626
	121,620	Welspun Corp Ltd		212,797
	1,548,435	Wipro Ltd		8,626,103
		Total India		106,233,898
		Indonesia — 2.5%
	1,401,900	Astra International Tbk PT		529,701
	10,875,900	Bank Central Asia Tbk PT		25,588,226
	9,819,700	Bank Mandiri Persero Tbk PT		4,204,827
	12,413,500	Bank Negara Indonesia Persero Tbk PT		5,165,451
	16,446,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		975,022
	72,331,200	Bank Rakyat Indonesia Persero Tbk PT		23,826,232
	18,940,400	Bukit Asam Tbk PT		3,592,125
	5,320,091	Indo Tambangraya Megah Tbk PT		4,542,396
	598,500	Matahari Department Store Tbk PT *		52,812
	206,516,700	Panin Financial Tbk PT *		3,323,771
	28,266,100	Ramayana Lestari Sentosa Tbk PT		1,444,864
	242,700	United Tractors Tbk PT		383,429
		Total Indonesia		73,628,856
		Kuwait — 1.9%
	1,142,974	Alimtiaz Investment Group KSC *		417,149
	221,596	Burgan Bank SAK		162,772
	82,944	Gulf Bank KSCP		59,031
	90,778	Gulf Cable & Electrical Industries Co KSCP		259,622
	223,693	Humansoft Holding Co KSC *		2,827,697
	10,778,354	Kuwait Finance House KSCP		25,600,745
	1,696,339	Kuwait Projects Co Holding KSCP		955,352
	1,228,141	Mobile Telecommunications Co KSC		2,534,328
	8,916,416	National Bank of Kuwait SAKP		24,284,729
	217,009	Qurain Petrochemical Industries Co		264,107
		Total Kuwait		57,365,532
		Mexico — 2.7%
	1,100,600	Banco del Bajio SA *		1,277,308
	3,359,400	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico *		3,182,606
	273,100	Concentradora Fibra Danhos SA de CV (REIT)		334,701
	1,679,200	Credito Real SAB de CV SOFOM ER *		915,008
	194,000	El Puerto de Liverpool SAB de CV – Class C1		586,980
	2,173,600	Fibra Uno Administracion SA de CV (REIT)		2,468,560
	248,200	Gentera SAB de CV *		124,331

22 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Mexico — continued
	503,400	Grupo Aeroportuario del Centro Norte SAB de CV *		2,905,239
	8,596,300	Grupo Financiero Banorte SAB de CV – Class O *		43,168,456
	472,800	Grupo Financiero Inbursa SAB de CV – Class O *		424,867
	3,674,400	Grupo Mexico SAB de CV – Series B		17,419,196
	76,800	Industrias Bachoco SAB de CV – Series B		254,691
	403,627	Qualitas Controladora SAB de CV		2,190,517
	430,700	Regional SAB de CV *		1,954,939
	526,790	Unifin Financiera SAB de CV SOFOM ENR *		623,708
	1,001,300	Wal-Mart de Mexico SAB de CV		2,849,644
		Total Mexico		80,680,751
		Pakistan — 0.5%
	454,736	Engro Corp Ltd		871,345
	6,181,635	Engro Fertilizers Ltd		2,548,123
	1,732,776	Fauji Fertilizer Co Ltd		1,213,508
	3,540	Indus Motor Co Ltd		25,051
	39,201	Lucky Cement Ltd *		219,322
	411,500	National Bank of Pakistan *		92,716
	5,349,280	Oil & Gas Development Co Ltd		3,540,543
	812,094	Pakistan Oilfields Ltd		2,053,921
	3,383,334	Pakistan Petroleum Ltd		1,936,261
	213,476	Pakistan State Oil Co Ltd *		319,462
	741,830	Searle Co Ltd (The)		1,269,086
	1,214,622	United Bank Ltd		979,886
		Total Pakistan		15,069,224
		Philippines — 0.3%
	349,070	Manila Electric Co		1,947,196
	32,739,800	Megaworld Corp		2,445,991
	19,565,000	Metro Pacific Investments Corp		1,637,121
	111,500	Metropolitan Bank & Trust Co		116,274
	205,650	Security Bank Corp		555,253
	6,276,900	Semirara Mining & Power Corp		1,650,028
		Total Philippines		8,351,863
		Poland — 0.7%
	46,032	Budimex SA		4,250,534
	31,007	Lubelski Wegiel Bogdanka SA *		192,524
	2,254,022	Powszechny Zaklad Ubezpieczen SA *		17,568,792
		Total Poland		22,011,850
		Qatar — 0.6%
	1,401,107	Doha Bank QPSC *		848,331
	163,346	Masraf Al Rayan QSC		193,997
	195,018	Qatar Electricity & Water Co QSC		930,379
	3,072,981	Qatar National Bank QPSC		14,442,283

Shares		Description	Value ($)
		Qatar — continued
	1,062,466	Qatar National Cement Co QSC		1,187,083
		Total Qatar		17,602,073
		Russia — 14.8%
	29,324,710	Alrosa PJSC		39,150,433
	1,054,350	Detsky Mir PJSC		2,007,466
	66,973	Etalon Group Plc GDR (Registered)		115,401
	234,095	Evraz Plc		1,879,313
	1,423,020,000	Federal Grid Co Unified Energy System PJSC		4,097,996
	91,130	Gazprom Neft PJSC		415,618
	8,830	Gazprom Neft PJSC Sponsored ADR		200,178
	700,819	Globaltrans Investment Plc Sponsored GDR (Registered)		4,667,413
	90,928,000	Inter RAO UES PJSC		6,248,491
	103,747	LSR Group PJSC		1,229,615
	726,186	LSR Group PJSC GDR (Registered)		1,603,809
	406,795	LUKOIL PJSC Sponsored ADR		30,310,872
	382,337	M.Video PJSC		4,207,891
	28,630	Magnit PJSC		1,889,267
	215,198	Magnit PJSC Sponsored GDR (Registered)		2,929,371
	5,841,080	Magnitogorsk Iron & Steel Works PJSC		4,250,997
	237,839	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		2,246,427
	1,545,956	MMC Norilsk Nickel PJSC ADR		48,717,639
	254,900	Mobile TeleSystems PJSC Sponsored ADR		2,095,278
	12,746,867	Moscow Exchange MICEX-RTS PJSC		29,530,577
	30,576	Novatek PJSC Sponsered GDR (Registered)		5,231,793
	1,174,620	Novolipetsk Steel PJSC		3,525,111
	933,670	Novolipetsk Steel PJSC GDR		27,639,726
	2,104,067	Polymetal International Plc		41,592,898
	55,839	Polyus PJSC		10,516,582
	198,536	Polyus PJSC GDR (Registered)		18,551,777
	422,715	QIWI Plc Sponsored ADR		4,518,823
	328,580	Raspadskaya OJSC		798,678
	3,368	Ros Agro Plc GDR (Registered)		40,890
	1,649,000	ROSSETI PJSC		37,637
	56,474,000	RusHydro PJSC		592,713
	82,660	Safmar Financial Investment *		538,563
	3,393,099	Sberbank of Russia PJSC Sponsored ADR		49,376,170
	218,705	Severstal PJSC		3,961,285
	495,349	Severstal PJSC GDR (Registered)		8,852,006
	25,259,100	Surgutneftegas PJSC		11,025,172
	4,762,114	Surgutneftegas PJSC Sponsored ADR		20,362,123
	566,690	Tatneft PJSC Sponsored ADR		23,715,157
	118,515	TCS Group Holding Plc GDR (Registered)		6,198,138
	54,484,000	Unipro PJSC		2,055,240
	250,576	X5 Retail Group NV GDR (Registered) (d)		8,160,015
	163,199	X5 Retail Group NV GDR (Registered) (d)		5,378,460
	75,400	Yandex NV – Class A *		4,824,469
		Total Russia		445,287,478

See accompanying notes to the financial statements. 23

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Saudi Arabia — 0.3%
	328,983	Al Rajhi Bank		7,933,980
		South Africa — 1.6%
	5,168	Astral Foods Ltd		46,177
	35,216	AVI Ltd		164,760
	696,472	Investec Ltd		1,823,450
	44,073	Kumba Iron Ore Ltd		1,887,867
	647,220	Lewis Group Ltd		1,103,846
	399,187	Mr Price Group Ltd		4,597,899
	9,105,984	Old Mutual Ltd		8,091,189
	15,666,339	RMB Holdings Ltd *		1,547,527
	4,603,100	Sanlam Ltd		18,494,874
	1,531,296	Truworths International Ltd		4,899,800
	377,683	Vodacom Group Ltd		3,110,423
	384,517	Wilson Bayly Holmes-Ovcon Ltd *		2,450,040
		Total South Africa		48,217,852
		South Korea — 1.4%
	290,034	BNK Financial Group Inc		1,519,372
	5,320	Daou Data Corp *		62,577
	119,069	DB Insurance Co Ltd		4,381,583
	1,141,277	Dongwon Development Co Ltd		5,224,551
	4,876	GS Home Shopping Inc		588,851
	11,356	HDC Hyundai Development Co-Engineering & Construction		270,188
	118,806	Korea Asset In Trust Co Ltd		409,875
	8,449	KT Skylife Co Ltd		64,199
	1,062	NCSoft Corp		882,055
	15,971	NHN KCP Corp *		658,924
	191,969	Samsung Electronics Co Ltd		14,068,569
	7,195	Samsung Electronics Co Ltd GDR		13,315,702
		Total South Korea		41,446,446
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		678,007
		Taiwan — 24.0%
	196,000	Accton Technology Corp		1,845,762
	71,532	Acter Group Corp Ltd		510,644
	1,206,035	Advantech Co Ltd		15,683,756
	34,000	Airtac International Group		1,183,259
	938,000	Alchip Technologies Ltd		29,745,761
	542,689	Asustek Computer Inc		5,918,155
	437,000	Aten International Co Ltd		1,378,963
	129,200	Aurora Corp		404,111
	7,316,000	Catcher Technology Co Ltd		50,366,159
	7,680,153	Cathay Financial Holding Co Ltd		11,558,439
	3,144,865	Chailease Holding Co Ltd		19,423,481
	199,000	Chicony Electronics Co Ltd		669,528
	5,305,000	China Development Financial Holding Corp		1,770,922

Shares		Description	Value ($)
		Taiwan — continued
	623,000	China Life Insurance Co Ltd		507,293
	746,000	Chong Hong Construction Co Ltd		2,193,471
	3,599,400	Coretronic Corp		6,201,780
	39,824,720	CTBC Financial Holding Co Ltd		28,591,668
	441,000	Delta Electronics Inc		4,438,762
	654,000	Elan Microelectronics Corp		4,034,176
	1,583,000	Elite Material Co Ltd		9,593,819
	2,794,000	Evergreen Marine Corp Taiwan Ltd *		3,805,232
	1,610,000	Farglory Land Development Co Ltd		3,097,163
	17,000	Feng Hsin Steel Co Ltd		43,137
	5,037,000	FLEXium Interconnect Inc		22,763,750
	2,054,075	Foxconn Technology Co Ltd		5,157,411
	16,626,000	Fubon Financial Holding Co Ltd		29,774,756
	65,000	Gold Circuit Electronics Ltd *		126,395
	1,747,000	Grand Pacific Petrochemical *		1,494,575
	19,350,532	Hon Hai Precision Industry Co Ltd		77,735,853
	1,782,000	Huaku Development Co Ltd		5,636,700
	1,379,806	IEI Integration Corp		2,594,154
	104,900	Innodisk Corp		615,478
	666,000	International Games System Co Ltd		19,786,614
	284,000	Kung Long Batteries Industrial Co Ltd		1,452,140
	2,842,000	Lite-On Technology Corp		6,057,089
	112,000	Lotes Co Ltd		2,084,012
	7,000	MediaTek Inc		224,676
	437,000	Merry Electronics Co Ltd		2,147,496
	2,016,000	Micro-Star International Co Ltd		10,782,656
	83,000	Nan Liu Enterprise Co Ltd		507,355
	244,000	Nantex Industry Co Ltd		562,964
	976,810	Novatek Microelectronics Corp		16,632,379
	259,000	Pegatron Corp		693,201
	404,000	Quanta Computer Inc		1,232,284
	10,518,870	Radiant Opto-Electronics Corp		45,089,933
	304,000	Shin Kong Financial Holding Co Ltd		90,282
	800,000	Shinkong Insurance Co Ltd		1,098,866
	484,468	Simplo Technology Co Ltd		6,507,756
	1,900,250	Syncmold Enterprise Corp		5,693,016
	98,300	Tah Hsin Industrial Corp		258,515
	1,621,000	Taiwan Cement Corp		2,442,600
	8,687,000	Taiwan Semiconductor Manufacturing Co Ltd		189,785,116
	10	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		1,259
	48,000	TCI Co Ltd		364,588
	272,000	Test Research Inc		568,811
	1,104,000	Transcend Information Inc		2,590,693
	1,149,160	Tripod Technology Corp		5,712,014
	643,224	United Integrated Services Co Ltd		5,465,383
	20,879,000	United Microelectronics Corp		40,709,120
	987,000	Universal Inc		2,917,392
	45,000	Vanguard International Semiconductor Corp		187,183
	148,000	Yulon Nissan Motor Co Ltd		1,359,581

24 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Taiwan — continued
	323,000	Zeng Hsing Industrial Co Ltd		1,740,206
		Total Taiwan		723,609,693
		Thailand — 1.1%
	373,500	AP Thailand Pcl NVDR		89,856
	851,800	Bangkok Bank Pcl (Foreign Registered)		3,400,666
	657,300	Carabao Group Pcl NVDR		2,979,553
	329,900	Carabao Group Pcl – Class F		1,495,444
	464,900	Dynasty Ceramic Pcl NVDR		36,535
	1,160,800	Kasikornbank Pcl (Foreign Registered)		5,334,690
	997,400	KCE Electronics Pcl (Foreign Registered)		1,762,934
	175,700	KCE Electronics Pcl NVDR		310,555
	136,300	Origin Property Pcl NVDR		31,187
	3,658,500	Pruksa Holding Pcl (Foreign Registered)		1,542,003
	65,700	PTT Exploration & Production Pcl NVDR		245,197
	1,708,392	Quality Houses Pcl (Foreign Registered)		132,381
	300,700	Quality Houses Pcl NVDR		23,301
	173,900	Siam Cement Pcl (The) (Foreign Registered)		2,093,205
	206,600	Siam Cement Pcl (The) NVDR		2,486,809
	1,649,100	Siam Commercial Bank Pcl (The) (Foreign Registered)		5,533,041
	124,000	Siam Commercial Bank Pcl NVDR (The)		416,043
	695,500	SPCG Pcl		453,203
	68,400	SPCG Pcl NVDR		44,571
	806,300	Sri Trang Agro-Industry Pcl NVDR		1,416,206
	2,890,875	Supalai Pcl (Foreign Registered)		1,911,318
	49,140,200	TMB Bank Pcl (Foreign Registered)		1,813,538
	773,300	TTW Pcl (Foreign Registered)		304,337
	31,200	TTW Pcl NVDR		12,279
		Total Thailand		33,868,852
		Turkey — 0.3%
	46,211	Arcelik AS *		206,769
	5	Aselsan Elektronik Sanayi Ve Ticaret AS		12
	15,124,693	Dogan Sirketler Grubu Holding AS		6,462,300
	11,064,699	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		3,352,149
		Total Turkey		10,021,230
		United Arab Emirates — 0.4%
	280,127	Abu Dhabi Islamic Bank PJSC		376,495
	4,562,734	Aldar Properties PJSC		4,444,282
	1,619,662	Dubai Islamic Bank PJSC		2,056,553
	523,814	Emaar Malls PJSC *		235,481
	215,015	Emirates NBD Bank PJSC		646,243
	941,768	First Abu Dhabi Bank PJSC		3,704,904
		Total United Arab Emirates		11,463,958
		United Kingdom — 0.7%
	386,665	Unilever Plc		20,155,826

Shares		Description	Value ($)
		Vietnam — 0.3%
	2,598,900	Hoa Phat Group JSC		5,140,845
	239,000	PetroVietnam Gas JSC		928,602
	30,000	PetroVietnam Nhon Trach 2 Power JSC		29,231
	1,872,200	PetroVietnam Technical Services Corp		1,827,411
	244,400	Pha Lai Thermal Power JSC		293,937
	90,800	Vietnam Dairy Products JSC		413,161
	380,800	Vinh Hoan Corp		656,710
		Total Vietnam		9,289,897
		TOTAL COMMON STOCKS (COST $2,547,700,949)		2,822,029,390
		PREFERRED STOCKS (e) — 3.2%
		Brazil — 0.0%
	17,600	Cia de Transmissao de Energia Eletrica Paulista		75,058
	19,700	Cia Energetica de Minas Gerais Sponsored ADR		41,567
		Total Brazil		116,625
		Colombia — 0.1%
	37,863	Banco Davivienda SA		326,928
	4,610,742	Grupo Aval Acciones y Valores SA		1,501,936
		Total Colombia		1,828,864
		Russia — 1.8%
	247,039	Bashneft PJSC		3,815,177
	232,210	Nizhnekamskneftekhim PJSC		247,593
	92,692,100	Surgutneftegas PJSC		48,865,995
	745	Transneft PJSC		1,431,774
		Total Russia		54,360,539
		South Korea — 1.2%
	596,573	Samsung Electronics Co Ltd		38,587,442
		Taiwan — 0.1%
	287,798	Chailease Holding Co Ltd *		1,027,757
	605,412	CTBC Financial Holding Co Ltd		1,386,441
		Total Taiwan		2,414,198
		TOTAL PREFERRED STOCKS (COST $83,591,925)		97,307,668
		INVESTMENT FUNDS — 0.7%
		United States — 0.7%
	339,625	iShares Core MSCI Emerging Markets ETF		21,983,926
		TOTAL INVESTMENT FUNDS (COST $23,437,606)		21,983,926

See accompanying notes to the financial statements. 25

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 0.6%
		United States — 0.6%
	17,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.18%, due 01/31/22 (f)		17,512,148
		TOTAL DEBT OBLIGATIONS (COST $17,511,147)		17,512,148
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.3%
	8,199,147	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (g)		8,199,147
		U.S. Government — 0.2%
	5,000,000	U.S. Treasury Bill, 0.05%, due 07/22/21 (f) (h)		4,999,032
		TOTAL SHORT-TERM INVESTMENTS (COST $13,197,450)		13,198,179
		TOTAL INVESTMENTS — 98.7% (Cost $2,685,439,077)		2,972,031,311
		Other Assets and Liabilities (net) — 1.3%		40,509,040
		TOTAL NET ASSETS — 100.0%		$3,012,540,351

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

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 3,997	Mini MSCI Emerging Markets	March 2021	$	267,419,285	$	6,256,645
Sales 1,157	SGX Nifty 50	March 2021	$	33,655,332	$	377,116

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%)

Appreciation on Total Return on CSI 500 Index

GS

USD

39,869,643

12/07/2021

At Maturity

$

—

$

225,326

$

225,326

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.

26 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(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) Affiliated company (Note 10).

(d) Securities are traded on separate exchanges for the same entity.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(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) The rate disclosed is the 7 day net yield as of February 28, 2021.

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

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 78.

See accompanying notes to the financial statements. 27

GMO International Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class II shares of GMO International Equity Fund returned +21.58% (net) for the fiscal year ended February 28, 2021, as compared with +22.46% for the MSCI EAFE Index.

The environment continued to be characterized by valuation headwinds. The magnitude of the headwind is illustrated by the 12.0% underperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Growth Index for the fiscal year ended February 28, 2021. While valuation-oriented models faced headwinds, growth-oriented models and signals, which captured sentiment from other asset classes, helped performance.

Areas of notable positive stock selection included Australia, Materials, France, and Utilities. Top contributors included overweight positioning in Fortescue Metals (Australia Materials), Rio Tinto (Australia Materials), Dialog Semiconductor (Germany Information Technology), L’Oréal (France Consumer Staples), and Volvo (Sweden Industrials). Underweight positioning toward Real Estate, Financials, and Energy also added value.

Challenging areas for stock selection included the Netherlands, Japan, the U.K., Health Care, Consumer Discretionary, and Industrials. Top detractors included overweight positioning in International Consolidated Airlines (U.K. Industrials), WH Group (Hong Kong Consumer Staples), British American Tobacco (U.K. Consumer Staples), and GlaxoSmithKline (U.K. Health Care).

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.

28

GMO International Equity Fund

(A Series of GMO Trust)

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

GMO International Equity Fund Class II Shares and the MSCI EAFE Index

As of February 28, 2021

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.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class II, III and IV the gross expense ratio of 0.76%, 0.69% and 0.63%, 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 0.73%, 0.66% and 0.60% 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.

29

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Short-Term Investments		3.9
Preferred Stocks		1.0
Futures Contracts		0.0	^
Other		(1.8	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		21.8	%
United Kingdom		17.0
Netherlands		8.4
France		7.6
Germany		7.3
Australia		5.8
Switzerland		5.7
Spain		5.6
Singapore		4.2
Italy		3.2
Portugal		3.0
Hong Kong		3.0
Norway		2.4
Sweden		1.9
Belgium		1.2
Other Developed		1.1	‡
Euro Region		0.8	§
		100.0	%
Industry Group Summary	% of Equity Investments#
Banks		12.4	%
Pharmaceuticals, Biotechnology & Life Sciences		10.8
Materials		10.4
Capital Goods		9.7
Food, Beverage & Tobacco		7.7
Utilities		6.1
Automobiles & Components		5.8
Retailing		5.5
Consumer Durables & Apparel		5.3
Telecommunication Services		4.9
Semiconductors & Semiconductor Equipment		3.7
Technology Hardware & Equipment		3.2
Diversified Financials		3.1
Food & Staples Retailing		2.8
Insurance		2.0
Software & Services		1.8
Commercial & Professional Services		1.6
Energy		1.2
Transportation		1.0
Media & Entertainment		0.6
Consumer Services		0.2
Health Care Equipment & Services		0.1
Real Estate		0.1
		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 shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

‡ “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.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

30

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 96.9%
		Australia — 5.7%
	149,196	BHP Group Ltd		5,639,677
	2,947,929	Fortescue Metals Group Ltd		54,442,814
	89,611	Pact Group Holdings Ltd		225,692
	631,614	Rio Tinto Ltd		61,973,956
	677,187	Sandfire Resources Ltd		3,165,160
		Total Australia		125,447,299
		Belgium — 1.2%
	57,116	Ageas SA/NV		3,201,451
	203,332	AGFA-Gevaert NV *		911,169
	50,435	bpost SA *		546,289
	11,779	Orange Belgium SA		323,558
	206,386	UCB SA		20,464,534
		Total Belgium		25,447,001
		Denmark — 0.0%
	9,627	Per Aarsleff Holding A/S		430,434
	6,540	Schouw & Co A/S		660,508
		Total Denmark		1,090,942
		Finland — 0.2%
	160,422	Kesko Oyj – B Shares		4,081,799
		France — 7.5%
	94,812	ArcelorMittal SA *		2,213,985
	875,254	BNP Paribas SA *		52,031,601
	9,833	Christian Dior SE		5,461,405
	308,624	Cie de Saint-Gobain *		16,596,670
	915,161	Credit Agricole SA *		12,822,758
	7,932	Fnac Darty SA *		481,229
	13,087	IPSOS		506,893
	93,934	Metropole Television SA *		1,873,984
	101	Renault SA * (a)		4,537
	140,283	Renault SA * (a)		6,299,552
	277,376	Sanofi		25,454,987
	56,015	Schneider Electric SE		8,283,181
	198,456	Societe Generale SA *		4,911,064
	455,601	STMicroelectronics NV – NY Shares		17,704,655
	68,982	Television Francaise 1 *		600,723
	170,063	TOTAL SE (a)		7,930,058
	14,586	TOTAL SE (a)		676,913
		Total France		163,854,195
		Germany — 6.2%
	96,171	ADVA Optical Networking SE *		1,059,517
	38,483	Bayerische Motoren Werke AG		3,325,274
	39,992	Brenntag AG		3,098,856
	818,494	CECONOMY AG *		5,102,812

Shares		Description	Value ($)
		Germany — continued
	670,042	Daimler AG (Registered)		53,714,122
	122,487	Deutsche Pfandbriefbank AG *		1,335,841
	371,095	Dialog Semiconductor Plc *		28,846,305
	27,689	DWS Group GmbH & Co KGaA		1,153,843
	74,255	HeidelbergCement AG		5,873,058
	40,908	Hornbach Holding AG & Co KGaA		3,860,797
	5,326	Indus Holding AG		214,302
	67,134	Siemens AG (Registered)		10,389,746
	12,233	Software AG		543,568
	42,705	Traton SE		1,189,583
	67,422	Volkswagen AG		15,780,029
		Total Germany		135,487,653
		Hong Kong — 2.9%
	243,285	BOC Hong Kong Holdings Ltd		808,316
	1,380,487	Champion (REIT)		808,265
	444,312	Chow Tai Fook Jewellery Group Ltd		609,355
	1,295,600	Dah Sing Banking Group Ltd		1,420,726
	357,269	Dah Sing Financial Holdings Ltd		1,154,854
	3,995,207	Esprit Holdings Ltd *		474,063
	5,141,585	IGG Inc		7,670,185
	754,401	Johnson Electric Holdings Ltd		2,177,048
	297,640	Kerry Logistics Network Ltd		866,689
	696,326	Luk Fook Holdings International Ltd		1,765,932
	1,181,877	Man Wah Holdings Ltd		2,583,593
	1,232,331	Pacific Textiles Holdings Ltd		789,093
	1,301,023	Shun Tak Holdings Ltd		440,787
	1,160,026	SmarTone Telecommunications Holdings Ltd		733,760
	331,288	Television Broadcasts Ltd		389,710
	524,000	VSTECS Holdings Ltd		469,885
	60,100	VTech Holdings Ltd		503,625
	45,619,015	WH Group Ltd		40,916,124
		Total Hong Kong		64,582,010
		Ireland — 0.8%
	61,868	CRH Plc *		2,685,765
	232,852	CRH Plc Sponsored ADR		10,089,477
	43,198	Glanbia Plc		558,020
	32,499	Kingspan Group Plc *		2,357,236
	46,669	Smurfit Kappa Group Plc		2,218,206
		Total Ireland		17,908,704
		Italy — 3.2%
	697,920	Anima Holding SPA		3,343,349
	129,516	CNH Industrial NV *		1,911,749
	63,487	De’ Longhi SPA		2,345,920
	2,461,526	Enel SPA		23,209,482
	373,808	EXOR NV		29,964,012
	2,610,733	Intesa Sanpaolo SPA *		6,712,280

See accompanying notes to the financial statements. 31

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Italy — continued
	36,633	La Doria SPA		621,057
	33,476	Unieuro SPA *		633,311
	113,549	Unipol Gruppo SPA *		588,676
		Total Italy		69,329,836
		Japan — 21.5%
	63,520	AOKI Holdings Inc		409,607
	1,862,615	Asahi Kasei Corp		20,206,811
	2,579,684	Astellas Pharma Inc		40,787,820
	490,996	Brother Industries Ltd		9,728,991
	39,484	Cawachi Ltd		1,060,874
	75,238	Daiwabo Holdings Co Ltd		5,628,734
	296,204	DCM Holdings Co Ltd		2,928,475
	70,474	Dexerials Corp		1,027,593
	53,548	Doutor Nichires Holdings Co Ltd		816,377
	25,688	Fuji Corp		607,392
	209,243	Fuji Electric Co Ltd		8,751,057
	8,154	FUJIFILM Holdings Corp		466,248
	52,252	Fujitsu General Ltd		1,417,323
	243,732	Fujitsu Ltd		35,360,214
	20,506	Fuyo General Lease Co Ltd		1,365,181
	90,136	Geo Holdings Corp		1,014,207
	17,653	Gunze Ltd		604,709
	719,104	Hitachi Ltd		33,167,032
	1,578,354	ITOCHU Corp		47,142,282
	296,160	Japan Post Insurance Co Ltd		6,089,683
	244,204	Japan Tobacco Inc		4,421,681
	126,158	K’s Holdings Corp		1,692,262
	35,100	Kajima Corp		450,464
	127,044	Kanematsu Corp		1,621,830
	1,687,196	KDDI Corp		52,595,756
	36,181	Kohnan Shoji Co Ltd		986,813
	41,893	Komeri Co Ltd		1,129,361
	102,200	Marubeni Corp		765,676
	110,457	MCJ Co Ltd		945,326
	1,489,378	Mitsubishi Chemical Holdings Corp		10,415,096
	87,250	Mitsubishi Gas Chemical Co Inc		2,043,638
	5,462,918	Mitsubishi UFJ Financial Group Inc		28,733,283
	159,438	Mitsui & Co Ltd		3,414,241
	32,701	Mixi Inc		824,223
	219,351	Mizuho Financial Group Inc		3,228,495
	39,584	Modec Inc		645,574
	7,800	Murata Manufacturing Co Ltd		668,653
	145,533	NEC Networks & System Integration Corp		2,418,188
	96,926	Nichias Corp		2,274,286
	96,445	Nippo Corp		2,524,599
	59,031	Nippon Signal Co Ltd		515,185
	1,982,395	Nippon Telegraph & Telephone Corp		51,354,031
	30,422	Nitto Denko Corp		2,611,338
	244,726	Obayashi Corp		2,112,667

Shares		Description	Value ($)
		Japan — continued
	84,866	Okinawa Electric Power Co (The)		1,136,044
	128,086	Panasonic Corp		1,655,914
	82,324	Press Kogyo Co Ltd		248,411
	63,119	Prima Meat Packers Ltd		1,848,467
	440,210	Renesas Electronics Corp *		4,842,607
	29,683	San-A Co Ltd		1,157,917
	86,695	Seiko Holdings Corp		1,448,459
	419,112	Sekisui Chemical Co Ltd		7,510,950
	2,358	Shinko Electric Industries Co Ltd		63,665
	1,673,609	Sojitz Corp		4,427,342
	56,963	Sony Corp		6,015,358
	4,732,441	Sumitomo Chemical Co Ltd		23,039,021
	56,638	T-Gaia Corp		973,530
	5,700	TDK Corp		820,878
	22,642	Tokyo Electron Ltd		9,442,098
	37,577	Tokyo Seimitsu Co Ltd		1,646,925
	130,975	Tokyu Construction Co Ltd		655,727
	61,028	Towa Pharmaceutical Co Ltd		1,205,794
	36,955	Toyota Tsusho Corp		1,558,815
	24,269	TPR Co Ltd		337,422
	99,477	TS Tech Co Ltd		2,784,522
	66,471	TSI Holdings Co Ltd *		164,117
	93,469	Valor Holdings Co Ltd		1,979,599
	20,256	Warabeya Nichiyo Holdings Co Ltd		299,785
	21,608	Yahagi Construction Co Ltd		167,566
		Total Japan		472,404,209
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (b)		—
		Netherlands — 8.3%
	53,939	ASM International NV		14,548,643
	444,315	ASR Nederland NV		18,563,669
	71,018	Heineken Holding NV		6,114,549
	1,525,730	ING Groep NV		16,710,877
	1,629,157	Koninklijke Ahold Delhaize NV		43,017,471
	1,165,404	PostNL NV *		4,954,301
	355,826	Randstad NV *		23,796,983
	602,491	Signify NV *		26,253,445
	1,198,594	Stellantis NV *		19,413,310
	104,501	Wolters Kluwer NV		8,283,721
		Total Netherlands		181,656,969
		Norway — 2.3%
	291,780	Aker Solutions ASA *		443,487
	474,381	BW LPG Ltd		2,816,568
	1,602,673	DNB ASA		31,135,751
	152,387	Europris ASA		891,091
	245,707	Norsk Hydro ASA		1,360,296
	68,548	Norwegian Finans Holding ASA *		604,021

32 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Norway — continued
	1,521,313	Orkla ASA		14,012,235
	9,515	SpareBank 1 Nord Norge		84,317
		Total Norway		51,347,766
		Portugal — 3.0%
	112,698	Altri SGPS SA		818,166
	7,348,159	Banco Comercial Portugues SA – Class R *		1,034,973
	251,742	CTT-Correios de Portugal SA *		757,970
	336,778	EDP Renovaveis SA		7,346,938
	7,187,563	EDP – Energias de Portugal SA		41,196,993
	453,744	Galp Energia SGPS SA		5,072,150
	527,116	Jeronimo Martins SGPS SA		8,158,450
	554,313	REN – Redes Energeticas Nacionais SGPS SA		1,518,471
		Total Portugal		65,904,111
		Singapore — 4.2%
	1,000,728	AEM Holdings Ltd		2,991,176
	2,608,325	DBS Group Holdings Ltd		51,682,900
	108,887	Jardine Cycle & Carriage Ltd		1,710,680
	114,848	Oversea-Chinese Banking Corp Ltd		939,556
	359,400	Sembcorp Industries Ltd		463,825
	220,453	United Overseas Bank Ltd		4,048,403
	622,875	Venture Corp Ltd		8,888,356
	3,184,239	Wilmar International Ltd		12,536,693
	11,237,022	Yangzijiang Shipbuilding Holdings Ltd		8,972,131
		Total Singapore		92,233,720
		Spain — 5.5%
	210,951	Acerinox SA		2,445,230
	262,824	ACS Actividades de Construccion y Servicios SA		8,030,436
	2,603,283	Banco Bilbao Vizcaya Argentaria SA		14,476,537
	1,979,200	Banco de Sabadell SA		987,622
	6,235,430	Banco Santander SA *		21,681,178
	123,811	Bankinter SA		816,035
	2,244,418	CaixaBank SA		6,500,357
	208,037	Cia de Distribucion Integral Logista Holdings SA		4,003,132
	82,904	Ebro Foods SA		1,787,766
	326,082	Endesa SA		8,057,588
	3,910,699	Iberdrola SA		49,008,543
	100,889	Mediaset Espana Comunicacion SA *		603,245
	1,194,135	Unicaja Banco SA *		1,040,225
	19,752	Viscofan SA		1,388,154
		Total Spain		120,826,048
		Sweden — 1.9%
	348,864	Betsson AB *		2,848,681
	178,725	Swedish Match AB		12,827,755

Shares		Description	Value ($)
		Sweden — continued
	1,022,960	Volvo AB – B Shares *		26,188,182
		Total Sweden		41,864,618
		Switzerland — 5.7%
	83,465	ABB Ltd (Registered)		2,402,914
	24,662	Adecco Group AG (Registered)		1,552,147
	44,650	Ascom Holding AG (Registered) *		706,368
	1,472	Kardex Holding AG (Registered)		312,069
	14,669	Logitech International SA (Registered)		1,559,530
	9,414	Nestle SA (Registered)		982,526
	449,658	Novartis AG (Registered)		38,727,432
	20,002	Roche Holding AG		6,688,918
	197,510	Roche Holding AG – Genusschein		64,794,891
	107,199	UBS Group AG (Registered)		1,667,839
	63,547	Wizz Air Holdings Plc *		4,713,625
	3,995	Zehnder Group AG – Class RG		303,665
		Total Switzerland		124,411,924
		United Kingdom — 16.8%
	1,015,354	3i Group Plc		15,762,345
	131,351	Anglo American Plc		5,096,548
	58,262	Antofagasta Plc		1,454,096
	31,544	Ashtead Group Plc		1,713,834
	195,982	Aviva Plc		992,923
	505,443	Barclays Plc		1,128,012
	3,143,674	Barratt Developments Plc *		29,215,243
	161,614	Bellway Plc		6,334,625
	226,705	Berkeley Group Holdings Plc (The)		12,844,432
	125,281	BP Plc Sponsored ADR		3,058,109
	1,054,824	British American Tobacco Plc		36,628,926
	408,758	British American Tobacco Plc Sponsored ADR		14,331,056
	285,118	BT Group Plc *		493,516
	150,331	Coca-Cola HBC AG		4,714,156
	10,580	Cranswick Plc		503,764
	211,889	Dunelm Group Plc *		3,722,070
	408,973	Electrocomponents Plc		5,548,377
	188,144	Ferguson Plc		22,259,514
	955,030	Ferrexpo Plc		4,478,880
	2,327,043	Firstgroup Plc *		2,924,722
	31,913	Fresnillo Plc		403,036
	231,969	Galliford Try Holdings Plc *		442,125
	2,052,715	GlaxoSmithKline Plc		34,251,129
	62,999	Grafton Group Plc		871,430
	102,673	Halfords Group Plc *		413,427
	175,254	HSBC Holdings Plc *		1,049,810
	623,966	IG Group Holdings Plc		6,805,753
	603,422	Inchcape Plc *		5,984,501
	1,173,046	JD Sports Fashion Plc *		13,634,312
	3,400,835	Kingfisher Plc *		12,605,020

See accompanying notes to the financial statements. 33

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United Kingdom — continued
	3,512,539	Legal & General Group Plc		12,772,272
	309,064	National Express Group Plc *		1,287,263
	299,994	Next Plc *		31,776,775
	1,002,863	Persimmon Plc		36,339,104
	619,350	Pets at Home Group Plc		3,414,766
	344,457	Plus500 Ltd		6,598,307
	872,951	QinetiQ Group Plc		3,635,114
	206,318	Royal Dutch Shell Plc – A Shares		4,257,897
	42,520	Royal Dutch Shell Plc – Class B Sponsored ADR		1,653,178
	129,261	Royal Mail Plc *		819,393
	53,539	Savills Plc *		864,132
	850,876	Spirent Communications Plc		2,795,205
	1,145,628	Tate & Lyle Plc		11,631,566
	252,690	Vesuvius Plc		1,843,240
	24,532	Vistry Group Plc *		288,500
		Total United Kingdom		369,642,403
		TOTAL COMMON STOCKS (COST $1,969,875,945)		2,127,521,207
		PREFERRED STOCKS (c) — 1.0%
		Germany — 1.0%
	26,876	Bayerische Motoren Werke AG		1,820,049
	22,630	Draegerwerk AG & Co KGaA		1,725,527

Par Value†/ Shares		Description	Value ($)
		Germay — continued
	87,841	Volkswagen AG		18,378,075
		Total Germany		21,923,651
		TOTAL PREFERRED STOCKS (COST $19,599,884)		21,923,651
		SHORT-TERM INVESTMENTS — 3.9%
		Money Market Funds — 0.4%
	8,354,174	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		8,354,174
		U.S. Government — 3.5%
	5,000,000	U.S. Treasury Bill, 0.05%, due 10/07/21 (e) (f)		4,998,472
	42,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (e)		41,978,023
	30,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (e)		29,979,942
		Total U.S. Government		76,956,437
		TOTAL SHORT-TERM INVESTMENTS (COST $85,310,097)		85,310,611
		TOTAL INVESTMENTS — 101.8% (Cost $2,074,785,926)		2,234,755,469
		Other Assets and Liabilities (net) — (1.8%)		(40,191,794	)
		TOTAL NET ASSETS — 100.0%		$2,194,563,675

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

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
155	MSCI EAFE	March 2021	$	16,771,000	$	(370,276	)

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

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.

34 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Notes to Schedule of Investments:

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(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) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(d) The rate disclosed is the 7 day net yield as of February 28, 2021.

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

(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.

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 78.

See accompanying notes to the financial statements. 35

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the Tokyo Stock Price Index (TR) is included for comparative purposes.

Class VI shares of GMO-Usonian Japan Value Creation Fund launched on September 14, 2020 and returned +18.82% (net) for the partial fiscal year ended February 28, 2021, as compared with +12.97% for the Tokyo Stock Price Index (TR).

During this period, equities rallied in Japan following the sharp decline driven by COVID-19 early in 2020. Expectations of a cyclical recovery and optimism surrounding reforms under Japan’s new Prime Minister Yoshihide Suga lifted the Japan equity markets to post-bubble highs. Also, for the first time after several periods, value outperformed growth in the Japanese stock market. Small cap stocks which the Fund favors, however, lagged as the Tokyo Stock Price Small Cap Index trailed the Tokyo Stock Price Index (TR) by 7.8%. By focusing on quality companies trading at attractive valuations with high liquidity, the Fund outperformed the MSCI Japan Value Index by 3.1%.

Relative to the Tokyo Stock Price Index (TR), security selection within sectors contributed to returns this period. Selection results in Financials and Real Estate made the largest positive impact while Consumer Discretionary and Materials detracted. Sector allocation also contributed to returns. An underweight in Health Care and overweight in Information Technology contributed to the returns, while an underweight in Communication Services and the portfolio’s cash position detracted. Stock selection mattered more than sector allocation.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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.

36

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

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

GMO-Usonian Japan Value Creation Fund Class VI Shares and the Tokyo Stock Price Index (TR)

As of February 28, 2021

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.

For Class VI the gross expense ratio of 0.74% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated October 25, 2020. For the Class listed above, the net expense ratio of 0.57% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least November 2, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

37

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.1	%
Short-Term Investments		1.8
Other		0.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		19.2	%
Technology Hardware & Equipment		12.1
Materials		10.6
Diversified Financials		9.8
Consumer Durables & Apparel		7.3
Food, Beverage & Tobacco		6.9
Commercial & Professional Services		5.7
Semiconductors & Semiconductor Equipment		4.6
Banks		4.4
Telecommunication Services		2.9
Real Estate		2.8
Pharmaceuticals, Biotechnology & Life Sciences		2.8
Automobiles & Components		2.7
Insurance		2.5
Media & Entertainment		2.3
Retailing		1.9
Transportation		1.5
		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).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

38

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 98.1%
		Automobiles & Components — 2.6%
	49,900	Toyota Industries Corp		4,287,279
		Banks — 4.3%
	1,063,900	Mitsubishi UFJ Financial Group Inc		5,595,790
	42,400	Sumitomo Mitsui Trust Holdings Inc		1,399,940
		Total Banks		6,995,730
		Capital Goods — 18.9%
	434,900	Amada Co Ltd		5,313,613
	143,500	Ebara Corp		5,407,260
	184,300	Fuji Corp		4,357,771
	364,800	Hazama Ando Corp		2,740,320
	149,500	Kyowa Exeo Corp		3,831,243
	121,400	Kyudenko Corp		4,017,478
	418,800	Penta-Ocean Construction Co Ltd		3,130,068
	109,400	Takuma Co Ltd		2,152,057
		Total Capital Goods		30,949,810
		Commercial & Professional Services — 5.6%
	47,300	Secom Co Ltd		4,118,648
	318,800	Toppan Printing Co Ltd		5,036,914
		Total Commercial & Professional Services		9,155,562
		Consumer Durables & Apparel — 7.2%
	223,400	Asics Corp		3,683,056
	310,600	Haseko Corp		3,863,040
	236,600	Sumitomo Forestry Co Ltd		4,264,624
		Total Consumer Durables & Apparel		11,810,720
		Diversified Financials — 9.7%
	99,700	JAFCO Group Co Ltd		6,115,290
	340,500	ORIX Corp		5,809,853
	84,200	Zenkoku Hosho Co Ltd		3,887,352
		Total Diversified Financials		15,812,495
		Food, Beverage & Tobacco — 6.8%
	44,200	Morinaga & Co Ltd		1,596,384
	93,900	NH Foods Ltd		3,972,724
	413,800	Takara Holdings Inc		5,571,027
		Total Food, Beverage & Tobacco		11,140,135
		Insurance — 2.5%
	143,800	MS&AD Insurance Group Holdings Inc		4,081,725
		Materials — 10.4%
	122,900	Denka Co Ltd		4,644,561
	130,200	Maruichi Steel Tube Ltd		2,987,245
	271,200	Teijin Ltd		4,678,773

Shares		Description	Value ($)
		Materials — continued
	254,400	Tosoh Corp		4,676,602
		Total Materials		16,987,181
		Media & Entertainment — 2.2%
	100,100	Kadokawa Corp		3,685,200
		Pharmaceuticals, Biotechnology & Life Sciences — 2.7%
	140,700	Tsumura & Co		4,428,675
		Real Estate — 2.8%
	270,700	Aeon Mall Co Ltd		4,581,185
		Retailing — 1.8%
	224,300	K’s Holdings Corp		3,008,722
		Semiconductors & Semiconductor Equipment — 4.5%
	30,400	Rohm Co Ltd		3,010,241
	100,100	Tokyo Seimitsu Co Ltd		4,387,183
		Total Semiconductors & Semiconductor Equipment		7,397,424
		Technology Hardware & Equipment — 11.9%
	129,400	Amano Corp		2,917,121
	52,800	Daiwabo Holdings Co Ltd		3,950,094
	109,900	Hitachi Ltd		5,068,887
	71,700	Horiba Ltd		4,306,024
	169,800	Yokogawa Electric Corp		3,247,461
		Total Technology Hardware & Equipment		19,489,587
		Telecommunication Services — 2.8%
	148,500	KDDI Corp		4,629,261
		Transportation — 1.4%
	56,300	Sankyu Inc		2,358,552
		TOTAL COMMON STOCKS (COST $140,386,697)		160,799,243
		SHORT-TERM INVESTMENTS — 1.8%
		Money Market Funds — 1.8%
	2,975,074	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		2,975,074
		TOTAL SHORT-TERM INVESTMENTS (COST $2,975,074)		2,975,074
		TOTAL INVESTMENTS — 99.9% (Cost $143,361,771)		163,774,317
		Other Assets and Liabilities (net) — 0.1%		97,703
		TOTAL NET ASSETS — 100.0%		$163,872,020

See accompanying notes to the financial statements. 39

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

40 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes.

Class III shares of GMO Quality Fund returned +30.83% (net) for the fiscal year ended February 28, 2021, as compared with +31.29% for the S&P 500 Index.

Relative to the S&P 500, sector allocation contributed to the Fund’s returns this period. The Information Technology (overweight) and Utilities (underweight) allocations made the largest positive impact while Consumer Discretionary (underweight) and Health Care (overweight) detracted.

The Fund’s security selection results within sector detracted from relative returns. Selection results in Communication Services made the largest positive impact, while selection within Consumer Discretionary and Consumer Staples reduced returns. Sector allocation was largely offset by stock selection.

The allocation to non-U.S. stocks generated incremental returns.

Taiwan Semiconductor Manufacturing, Lam Research and Texas Instruments made a positive contribution while Coca-Cola, Amazon (underweight) and Wells Fargo had a negative impact.

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.

42

GMO Quality Fund

(A Series of GMO Trust)

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

GMO Quality Fund Class III Shares and the S&P 500 Index

As of February 28, 2021

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 S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

For Class III, IV, VI, R6 and I the gross expense ratio of 0.50%, 0.46%, 0.41%, 0.50% and 0.60%, 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 0.48%, 0.44%, 0.39%, 0.48% and 0.58% 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.

43

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.2	%
Short-Term Investments		1.9
Mutual Funds		0.1
Other		(0.2	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		81.8	%
United Kingdom		4.4
Taiwan		4.0
France		3.5
Germany		3.2
Switzerland		3.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		21.8	%
Health Care Equipment & Services		13.7
Semiconductors & Semiconductor Equipment		10.8
Pharmaceuticals, Biotechnology & Life Sciences		9.4
Media & Entertainment		7.4
Banks		7.3
Capital Goods		6.9
Food, Beverage & Tobacco		4.7
Technology Hardware & Equipment		4.4
Diversified Financials		3.8
Retailing		2.8
Consumer Services		2.2
Household & Personal Products		2.2
Transportation		1.6
Consumer Durables & Apparel		1.0
		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).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

44

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 98.2%
		Banks — 7.1%
	5,676,732	US Bancorp		283,836,600
	6,704,275	Wells Fargo & Co.		242,493,627
		Total Banks		526,330,227
		Capital Goods — 6.7%
	985,440	3M Co.		172,511,126
	534,705	Knorr-Bremse AG		68,095,933
	1,250,944	Otis Worldwide Corp.		79,697,642
	1,293,224	Safran SA *		176,282,659
		Total Capital Goods		496,587,360
		Consumer Durables & Apparel — 1.0%
	120,049	LVMH Moet Hennessy Louis Vuitton SE		76,065,323
		Consumer Services — 2.2%
	8,031,860	Compass Group Plc *		163,102,668
		Diversified Financials — 3.7%
	1,226,624	American Express Co.		165,913,162
	1,768,465	Charles Schwab Corp. (The)		109,149,660
		Total Diversified Financials		275,062,822
		Food, Beverage & Tobacco — 4.6%
	5,741,890	Coca-Cola Co. (The)		281,295,191
	541,621	Nestle SA (Registered)		56,528,236
		Total Food, Beverage & Tobacco		337,823,427
		Health Care Equipment & Services — 13.5%
	1,083,757	Abbott Laboratories		129,812,413
	655,713	Anthem, Inc.		198,805,625
	1,894,908	Medtronic Plc		221,647,389
	978,332	Quest Diagnostics, Inc.		113,085,396
	989,979	UnitedHealth Group, Inc.		328,890,823
		Total Health Care Equipment & Services		992,241,646
		Household & Personal Products — 2.2%
	2,829,591	Unilever Plc (a)		147,499,111
	209,571	Unilever Plc (a)		10,886,802
		Total Household & Personal Products		158,385,913
		Media & Entertainment — 7.3%
	107,460	Alphabet, Inc. – Class A *		217,274,449
	69,741	Alphabet, Inc. – Class C *		142,052,653
	681,688	Facebook, Inc. – Class A *		175,616,462
		Total Media & Entertainment		534,943,564

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 9.2%
	687,547	Eli Lilly & Co.		140,871,505
	1,481,316	Johnson & Johnson		234,729,333
	1,881,769	Merck & Co., Inc.		136,654,065
	512,607	Roche Holding AG – Genusschein		168,165,230
		Total Pharmaceuticals, Biotechnology & Life Sciences		680,420,133
		Retailing — 2.8%
	3,123,135	TJX Cos, Inc. (The)		206,095,679
		Semiconductors & Semiconductor Equipment — 10.6%
	142,925	KLA Corp.		44,482,548
	419,078	Lam Research Corp.		237,696,851
	13,258,790	Taiwan Semiconductor Manufacturing Co Ltd		289,665,132
	1,210,349	Texas Instruments, Inc.		208,506,822
		Total Semiconductors & Semiconductor Equipment		780,351,353
		Software & Services — 21.4%
	1,085,595	Accenture Plc – Class A		272,375,785
	199,510	Adobe, Inc. *		91,708,762
	3,608,942	Cisco Systems, Inc.		161,933,228
	1,828,851	Microsoft Corp.		424,988,395
	3,916,903	Oracle Corp.		252,679,413
	469,776	salesforce.com, Inc. *		101,706,504
	1,326,911	SAP SE		164,121,220
	510,734	Visa, Inc. – Class A		108,474,794
		Total Software & Services		1,577,988,101
		Technology Hardware & Equipment — 4.3%
	2,627,448	Apple, Inc.		318,604,345
		Transportation — 1.6%
	2,068,369	Lyft, Inc. – Class A *		115,208,153
		TOTAL COMMON STOCKS (COST $4,316,080,190)		7,239,210,714
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	1,950,587	GMO U.S. Treasury Fund		9,830,961
		TOTAL MUTUAL FUNDS (COST $9,752,901)		9,830,961
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 0.1%
	5,016,314	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		5,016,314

See accompanying notes to the financial statements. 45

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		U.S. Government — 1.8%
	50,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (c)		49,973,837
	65,000,000	U.S. Treasury Bill, 0.08%, due 12/30/21 (c)		64,959,016
	15,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (c)		14,989,971
		Total U.S. Government		129,922,824
		TOTAL SHORT-TERM INVESTMENTS (COST $134,915,909)		134,939,138
		TOTAL INVESTMENTS — 100.2% (Cost $4,460,749,000)		7,383,980,813
		Other Assets and Liabilities (net) — (0.2%)		(15,075,715	)
		TOTAL NET ASSETS — 100.0%		$7,368,905,098

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(b) The rate disclosed is the 7 day net yield as of February 28, 2021.

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

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 78.

46 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) Commodity Producers Index is included for comparative purposes.

Class III shares of GMO Resources Fund returned +59.36% (net) for the fiscal year ended February 28, 2021, as compared with +24.02% for the MSCI ACWI Commodity Producers Index.

The different segments of the Resources sector had extremely divergent performance throughout the year, and we followed our value discipline to take profits from winning positions and redeploy capital to segments that had become more attractive.

The Fund’s positioning in Energy had a positive impact. Both the overweight to clean energy and underweight to fossil fuels contributed to performance. Stock selection was also strong in this sector. Canadian Solar, Kosmos Energy, and Renewable Energy Group Inc. were among the largest contributors.

The Fund’s overweight to industrial metals provided positive allocation and selection impacts. In particular, the copper exposure contributed, and Freeport-McMoRan Inc. was among the largest contributors.

The Fund’s overweight to agriculture provided positive allocation and selection impacts. The Mosaic Company, one of the world’s largest suppliers of phosphate and potash, was a strong contributor 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.

48

GMO Resources Fund

(A Series of GMO Trust)

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

GMO Resources Fund Class III Shares, the MSCI ACWI Commodity Producers and the MSCI ACWI

As of February 28, 2021

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.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, IV, R6 and I the gross expense ratio of 0.73%, 0.68%, 0.73% and 0.81%, 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 0.73%, 0.68%, 0.73% and 0.81% 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.

49

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		90.7	%
Preferred Stocks		8.8
Short-Term Investments		0.4
Rights/Warrants		0.0	^
Other		0.1
		100.0	%
Country/Region Summary¤	% of Equity Investments
United States		22.0	%
United Kingdom		13.9
Russia		13.0
Brazil		6.6
Canada		5.5
Other Emerging		5.3	†
Australia		4.8
China		4.5
India		2.9
Mexico		2.8
Norway		2.8
France		2.6
Japan		2.3
Finland		2.0
Other Developed		1.9	‡
Chile		1.8
Austria		1.5
South Africa		1.5
Spain		1.3
Israel		1.0
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		53.4	%
Industrial Metals		33.8
Agriculture		11.3
Water		1.5
Cash/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).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

† “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.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

50

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 90.7%
		Argentina — 1.0%
	1,195,954	Adecoagro SA *		9,866,620
		Australia — 4.8%
	3,941,938	Beach Energy Ltd (a)		4,978,132
	14,700,000	Clean TeQ Holdings Ltd *		3,300,761
	595,155	Fortescue Metals Group Ltd		10,991,416
	4,770,582	Jupiter Mines Ltd (a)		1,313,675
	464,939	Mineral Resources Ltd		13,547,623
	1,705,962	Perenti Global Ltd		1,502,738
	2,072,077	Sandfire Resources NL Ltd		9,684,850
	379,161	Tassal Group Ltd		988,693
	964,540	Western Areas Ltd (a)		1,910,190
		Total Australia		48,218,078
		Austria — 1.5%
	316,787	OMV AG		15,262,527
		Brazil — 1.2%
	871,700	Enauta Participacoes SA		2,020,517
	385,300	Petroleo Brasileiro SA		1,522,857
	1,343,357	Sao Martinho SA		7,483,603
	138,000	SLC Agricola SA		1,009,107
		Total Brazil		12,036,084
		Canada — 5.5%
	205,700	Canadian Solar Inc * (a)		9,653,501
	273,400	Enerflex Ltd		1,877,665
	439,500	Enerplus Corp		2,127,180
	283,100	Frontera Energy Corp		1,405,934
	1,286,100	Greenlane Renewables Inc * (a)		2,304,187
	3,787,300	Ivanhoe Mines Ltd – Class A * (a)		23,361,861
	10,084,500	Largo Resources Ltd * (a)		14,026,061
		Total Canada		54,756,389
		China — 4.4%
	5,674,000	China High Speed Transmission Equipment Group Co Ltd		5,514,167
	3,696,000	China Water Affairs Group Ltd		2,912,952
	22,662,000	CNOOC Ltd		27,184,530
	259,512	Sungrow Power Supply Co Ltd – Class A		3,474,844
	2,469,800	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		5,281,472
		Total China		44,367,965
		Denmark — 0.5%
	24,677	Vestas Wind Systems A/S		4,627,553
		Finland — 2.0%
	58,725	Kemira Oyj		949,855

Shares		Description	Value ($)
		Finland — continued
	293,730	Neste Oyj		19,400,896
		Total Finland		20,350,751
		France — 2.6%
	86,063	Suez		1,788,922
	360,756	TOTAL SE		16,822,095
	116,179	Veolia Environnement SA		3,115,498
	58,741	Vilmorin & Cie SA		3,759,047
		Total France		25,485,562
		Germany — 0.7%
	623,011	K+S AG (Registered)		6,970,379
		Hungary — 0.9%
	1,205,803	MOL Hungarian Oil & Gas Plc *		8,662,853
		India — 2.9%
	7,364,086	Oil & Natural Gas Corp Ltd		11,160,105
	1,819,861	Oil India Ltd		3,115,690
	5,366,100	Vedanta Ltd		14,940,128
		Total India		29,215,923
		Israel — 1.0%
	63,085	Equital Ltd *		1,481,068
	457,358	ICL Group Ltd		2,631,042
	25,715	Israel Corp Ltd (The) *		5,766,286
	94,114	Naphtha Israel Petroleum Corp Ltd *		421,573
		Total Israel		10,299,969
		Italy — 0.2%
	673,609	Saipem SPA		1,884,350
		Japan — 2.3%
	160,800	Ebara Corp		6,059,146
	1,260,500	Inpex Corp		9,372,559
	49,200	Japan Petroleum Exploration Co Ltd		1,035,872
	116,000	Mitsubishi Materials Corp		2,748,090
	53,600	Nittetsu Mining Co Ltd		3,378,922
		Total Japan		22,594,589
		Mexico — 2.8%
	5,911,740	Grupo Mexico SAB de CV – Series B		28,025,734
		Norway — 2.8%
	1,057,391	Austevoll Seafood ASA		12,114,837
	3,286,527	DNO ASA *		3,080,928
	510,554	Equinor ASA		9,682,342
	180,507	TGS NOPEC Geophysical Co ASA		2,837,270
		Total Norway		27,715,377

See accompanying notes to the financial statements. 51

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Pakistan — 0.6%
	3,324,222	Fauji Fertilizer Co Ltd		2,328,039
	4,174,147	Oil & Gas Development Co Ltd		2,762,754
	457,975	Pakistan Oilfields Ltd		1,158,295