N-CSR 1 d30683dncsr.htm GMO TRUST GMO Trust

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

 

 

GMO Trust

(Exact name of the registrant as specified in charter)

 

 

40 Rowes Wharf, Boston, MA 02110

(Address of principal executive offices) (Zip Code)

 

 

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

 

LOGO

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

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

 

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

 

LOGO

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

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

 

  *

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

 

LOGO

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

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

 

LOGO

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

For Class III and 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

 

LOGO

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

 

LOGO

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

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.

 

 

              77


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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.

 

78              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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

 

              79


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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.

 

 

80              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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.

 

              81


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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.

 

 

82              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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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Notes to Financial Statements — (Continued)

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).

 

              85


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

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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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

 

 

              87


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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

 

88              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

 

 

              89


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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

 

90              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

 

104              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

 

              105


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

 

106              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              107


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
     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

 

LOGO

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

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

 

LOGO

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

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

 

LOGO

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

 

  *

For 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

 

LOGO

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

 

  *

For 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

 

LOGO

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

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

 

LOGO

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

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

 

LOGO

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

For 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

 

LOGO

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

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  
     

 

 

 
    Total Pakistan     6,249,088  
     

 

 

 
          Poland — 0.8%  
    5,600,374     Polskie Gornictwo Naftowe i Gazownictwo SA     8,335,353  
     

 

 

 
          Russia — 11.2%  
    1,423,010     Gazprom Neft PJSC     6,489,950  
    391,915     LUKOIL PJSC Sponsored ADR     29,202,142  
    676,875     MMC Norilsk Nickel PJSC ADR     21,330,330  
    142,646     Novatek PJSC Sponsered GDR (Registered)     24,407,849  
    978,051     PhosAgro PJSC GDR (Registered)     17,145,956  
    575,419     Ros Agro Plc GDR (Registered)     6,985,964  
    826,739     Tatneft PJSC     5,829,745  
     

 

 

 
    Total Russia     111,391,936  
     

 

 

 
          Singapore — 0.0%  
    2,725,600     Ezra Holdings Ltd * (a) (b)      
     

 

 

 
          South Africa — 1.5%  
    258,042     African Rainbow Minerals Ltd     5,013,977  
    468,300     Sasol Ltd *     5,789,057  
    887,040     Sibanye Stillwater Ltd     4,078,445  
     

 

 

 
    Total South Africa     14,881,479  
     

 

 

 
          South Korea — 0.4%  
    7,361     Korea Zinc Co Ltd     2,635,568  
    2,326     Young Poong Corp *     1,281,560  
     

 

 

 
    Total South Korea     3,917,128  
     

 

 

 
          Spain — 1.3%  
    1,054,283     Repsol SA     13,271,104  
     

 

 

 
          Switzerland — 0.5%  
    1,962     Gurit Holding AG     4,956,935  
     

 

 

 
          Thailand — 0.6%  
    1,638,064     PTT Exploration & Production Pcl (Foreign Registered)     6,113,369  
     

 

 

 
          Turkey — 0.4%  
    1,846,744     Koza Anadolu Metal Madencilik Isletmeleri AS *     4,275,790  
     

 

 

 
          Ukraine — 0.6%  
    388,867     Kernel Holding SA     5,668,871  
     

 

 

 
          United Kingdom — 13.8%  
    261,834     Anglo American Plc     10,159,417  
    695,673     BHP Group Plc     22,094,933  
Shares     Description   Value ($)  
          United Kingdom — continued  
    1,054,467     BP Plc     4,318,594  
    1,173,251     Central Asia Metals Plc     3,941,862  
    1,840,873     Ferrexpo Plc     8,633,288  
    8,117,986     Glencore Plc *     33,036,934  
    1,193,830     John Wood Group Plc *     5,018,535  
    837,458     Petrofac Ltd * (a)     1,524,345  
    2,393,549     Royal Dutch Shell Plc – A Shares     48,958,800  
     

 

 

 
    Total United Kingdom     137,686,708  
     

 

 

 
          United States — 21.9%  
    104,600     AGCO Corp.     13,543,608  
    36,000     Ameresco, Inc. – Class A *     2,056,320  
    207,900     Baker Hughes Co.     5,089,392  
    134,000     Clean Energy Fuels Corp. *     1,747,360  
    417,800     Darling Ingredients, Inc. *     26,338,112  
    15,800     Deere & Co.     5,516,096  
    25,100     Enphase Energy, Inc. *     4,419,106  
    53,200     First Solar, Inc. *     4,310,264  
    626,582     Freeport-McMoRan, Inc. *     21,247,395  
    111,700     FutureFuel Corp.     1,639,756  
    1,021,924     GrafTech International Ltd.     12,089,361  
    17,065,100     Kosmos Energy Ltd.     52,560,508  
    153,100     Liberty Oilfield Services, Inc. – Class A     1,789,739  
    225,600     Livent Corp. *(a)     4,200,672  
    187,800     Montauk Renewables, Inc. *     2,403,840  
    359,707     Mosaic Co. (The)     10,575,386  
    364,100     NexTier Oilfield Solutions, Inc. *     1,693,065  
    391,700     ProPetro Holding Corp. *     4,492,799  
    237,030     Renewable Energy Group, Inc. *     18,433,823  
    61,255     SolarEdge Technologies, Inc. *     18,272,979  
    64,400     Sunrun, Inc. *     4,030,152  
    191,300     Talos Energy, Inc. *     2,025,867  
     

 

 

 
    Total United States     218,475,600  
     

 

 

 
    TOTAL COMMON STOCKS (COST $662,847,580)     905,564,064  
     

 

 

 
          PREFERRED STOCKS (c) — 8.8%  
          Brazil — 5.3%  
    4,295,460     Bradespar SA     48,180,404  
    1,255,300     Petroleo Brasileiro SA     4,981,598  
     

 

 

 
    Total Brazil     53,162,002  
     

 

 

 
    Chile — 1.7%

 

    326,512     Sociedad Quimica y Minera de Chile SA Sponsored ADR     17,501,043  
     

 

 

 
          Russia — 1.8%  
    74,885     Bashneft PJSC     1,156,496  
    5,747,484     Surgutneftegas PJSC     3,029,994  
 

 

52   See accompanying notes to the financial statements.       


GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
          Russia — continued  
    2,048,820     Tatneft PJSC     13,547,229  
     

 

 

 
    Total Russia     17,733,719  
     

 

 

 
    TOTAL PREFERRED STOCKS (COST $64,175,877)     88,396,764  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Singapore — 0.0%  
    2,117,812     Ezion Holdings Ltd Expires * (a) (b)      
     

 

 

 
    TOTAL RIGHTS/WARRANTS (COST $0)      
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.4%  
          Money Market Funds — 0.0%  
    202,205     State Street Institutional Treasury Money Market Fund – Premier Class,0.01% (d)     202,205  
     

 

 

 
    Total Money Market Funds     202,205  
     

 

 

 
          U.S. Government — 0.4%  
    3,800,000     U.S. Treasury Bill, 0.07%, due 01/27/22 (e)     3,797,459  
     

 

 

 
    Total U.S. Government     3,797,459  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $4,000,453)     3,999,664  
     

 

 

 
    TOTAL INVESTMENTS — 99.9% (Cost $731,023,910)     997,960,492  
    Other Assets and Liabilities (net) — 0.1%     855,766  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $998,816,258  
     

 

 

 

Notes to Schedule of Investments:

 

*

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)

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.

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.   53


GMO Tax-Managed International Equities 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 and 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 III shares of GMO Tax-Managed International Equities Fund returned +20.53% (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, and Utilities. Top contributors included overweight positioning in Fortescue Metals (Australia Materials), Tokyo Electron (Japan Information Technology), Kia Motors (Korea Consumer Discretionary), Rio Tinto (Australia Materials), and Dialog Semiconductor (Germany Information Technology). Underweight positioning toward Financials, Real Estate, and Energy also added value.

Challenging areas for stock selection included Emerging Markets, the Netherlands, the U.K., Consumer Discretionary, Health Care, and Industrials. Top detractors included overweight positioning in Banco do Brasil (Brazil Financials), International Consolidated Airlines (U.K. Industrials), Barratt Developments (U.K. Consumer Discretionary), and British American Tobacco (U.K. Consumer Staples).

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.

 

54              


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

  

 

 

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

GMO Tax-Managed International Equities Fund Class III Shares, the MSCI EAFE Index and

the MSCI EAFE Index (After Tax)

As of February 28, 2021

 

LOGO

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

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 the gross expense ratio of 1.34% 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 0.80% 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.

 

              55


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    97.1

Short-Term Investments

    2.0  

Preferred Stocks

    1.0  

Futures Contracts

    0.0

Mutual Funds

    0.0

Other

    (0.1
 

 

 

 
    100.0
 

 

 

 
 
Country/Region Summary¤   % of Investments  

Japan

    21.4

United Kingdom

    13.8  

Netherlands

    8.2  

France

    7.4  

Germany

    7.2  

Australia

    5.6  

Switzerland

    5.4  

Spain

    4.9  

Singapore

    4.1  

Portugal

    2.8  

Other Developed

    2.5 ‡ 

Italy

    2.3  

China

    2.3  

South Korea

    2.2  

Ireland

    2.1  

Other Emerging

    2.0 † 

Hong Kong

    1.7  

Turkey

    1.6  

Russia

    1.4  

Euro Region

    1.1 § 
 

 

 

 
    100.0
 

 

 

 
Industry Group Summary   % of Equity Investments#  

Banks

    12.1

Materials

    10.5  

Capital Goods

    10.5  

Pharmaceuticals, Biotechnology & Life Sciences

    9.7  

Food, Beverage & Tobacco

    6.6  

Consumer Durables & Apparel

    6.4  

Utilities

    5.6  

Retailing

    5.4  

Automobiles & Components

    5.3  

Semiconductors & Semiconductor Equipment

    5.3  

Telecommunication Services

    4.6  

Diversified Financials

    3.1  

Technology Hardware & Equipment

    3.1  

Food & Staples Retailing

    2.4  

Software & Services

    2.0  

Insurance

    1.9  

Energy

    1.4  

Commercial & Professional Services

    1.3  

Transportation

    0.9  

Household & Personal Products

    0.7  

Health Care Equipment & Services

    0.5  

Media & Entertainment

    0.4  

Consumer Services

    0.2  

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.

 

“Other Emerging” is comprised of emerging 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%.

 

 

56              


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 97.1%

 

          Australia — 5.6%  
    6,116     Accent Group Ltd     10,217  
    633     Australian Pharmaceutical Industries Ltd     542  
    52,571     Fortescue Metals Group Ltd     970,889  
    3,342     JB Hi-Fi Ltd     112,125  
    10,953     Rio Tinto Ltd     1,074,708  
     

 

 

 
    Total Australia     2,168,481  
     

 

 

 
          Belgium — 0.9%  
    197     Ageas SA/NV     11,042  
    39     Sofina SA     12,891  
    3,394     UCB SA     336,537  
     

 

 

 
    Total Belgium     360,470  
     

 

 

 
          Brazil — 0.4%  
    24,800     Banco do Brasil SA *     124,128  
    2,000     Cia de Saneamento do Parana *     7,063  
    5,200     Marfrig Global Foods SA *     12,897  
    3,600     Qualicorp Consultoria e Corretora de Seguros SA     20,293  
     

 

 

 
    Total Brazil     164,381  
     

 

 

 
          China — 2.3%  
    149,000     Bank of Communications Co Ltd – Class H     84,107  
    95,000     China Everbright Bank Co Ltd – Class H     41,113  
    94,000     China Hongqiao Group Ltd     116,527  
    90,000     China Lesso Group Holdings Ltd     166,200  
    54,000     China Medical System Holdings Ltd     84,353  
    34,000     China National Building Material Co Ltd – Class H     51,438  
    216,000     China Railway Group Ltd – Class H     114,067  
    24,000     China Resources Pharmaceutical Group Ltd     15,301  
    3,000     China SCE Group Holdings Ltd     1,241  
    12,000     Chongqing Rural Commercial Bank Co Ltd – Class H     5,289  
    11,000     PAX Global Technology Ltd     10,110  
    80,200     Shanghai Pharmaceuticals Holding Co Ltd – Class H     147,104  
    24,000     TCL Electronics Holdings Ltd *     19,534  
    10,000     Tianneng Power International Ltd     19,321  
     

 

 

 
    Total China     875,705  
     

 

 

 
          Denmark — 0.1%  
    2,720     Scandinavian Tobacco Group A/S     50,491  
     

 

 

 
          Finland — 0.1%  
    826     Kesko Oyj – B Shares     21,017  
     

 

 

 
          France — 7.3%  
    630     APERAM SA     26,406  
    600     ArcelorMittal SA *     14,011  
    12,818     BNP Paribas SA *     761,997  
    87     Christian Dior SE     48,321  
     Shares     Description   Value ($)  
          France — continued  
    5,303     Cie de Saint-Gobain *     285,176  
    14,397     Credit Agricole SA *     201,723  
    1,112     Eiffage SA *     114,297  
    30     Faurecia SE *     1,552  
    246     Fnac Darty SA *     14,925  
    432     Kaufman & Broad SA     19,078  
    293     L’Oreal SA     106,930  
    309     La Francaise des Jeux SAEM     13,948  
    196     Legrand SA     17,040  
    555     Nexans SA *     43,132  
    1,207     Quadient SA     27,487  
    1,066     Renault SA *     47,870  
    770     Rexel SA *     14,423  
    3,579     Sanofi     328,447  
    2,562     Schneider Electric SE     378,854  
    410     SEB SA     73,651  
    10,266     Societe Generale SA *     254,046  
    1,220     Television Francaise 1 *     10,624  
    769     TOTAL SE     35,859  
    361     Valeo SA     12,758  
     

 

 

 
    Total France     2,852,555  
     

 

 

 
          Germany — 6.3%  
    276     AIXTRON SE *     6,271  
    362     BASF SE     29,616  
    889     Bayerische Motoren Werke AG     76,817  
    383     Bechtle AG     72,121  
    470     Brenntag SE     36,419  
    10,099     Daimler AG (Registered)     809,589  
    6,091     Dialog Semiconductor Plc *     473,471  
    316     DWS Group GmbH & Co KGaA     13,168  
    356     Elmos Semiconductor SE     14,245  
    2,493     HeidelbergCement AG     197,179  
    476     Henkel AG & Co KGaA     42,159  
    295     Hornbach Holding AG & Co KGaA     27,841  
    959     Merck KGaA     155,903  
    2,095     Siemens AG (Registered)     324,225  
    13     Software AG     578  
    401     Traton SE     11,170  
    631     Volkswagen AG     147,685  
     

 

 

 
    Total Germany     2,438,457  
     

 

 

 
          Hong Kong — 1.7%  
    11,200     Dah Sing Banking Group Ltd     12,282  
    88,000     IGG Inc     131,278  
    6,000     Johnson Electric Holdings Ltd     17,315  
    12,000     Kerry Logistics Network Ltd     34,942  
    1,200     VTech Holdings Ltd     10,056  
    507,000     WH Group Ltd     454,733  
     

 

 

 
    Total Hong Kong     660,606  
     

 

 

 
 

 

       See accompanying notes to the financial statements.   57


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    Hungary — 0.2%

 

    3,883     Magyar Telekom Telecommunications Plc     5,264  
    2,515     Richter Gedeon Nyrt     71,547  
     

 

 

 
    Total Hungary     76,811  
     

 

 

 
          India — 0.4%  
    22,451     Power Finance Corp Ltd *     37,942  
    1,169     Rajesh Exports Ltd     8,099  
    56,184     REC Ltd     103,448  
     

 

 

 
    Total India     149,489  
     

 

 

 
          Ireland — 2.1%  
    6,765     CRH Plc     293,784  
    4,060     CRH Plc Sponsored ADR     175,920  
    432     Kerry Group Plc – Class A     51,979  
    110     Kingspan Group Plc *     7,979  
    5,872     Smurfit Kappa Group Plc (a)     276,772  
    521     Smurfit Kappa Group Plc (a)     24,763  
     

 

 

 
    Total Ireland     831,197  
     

 

 

 
          Italy — 2.3%  
    3,466     Arnoldo Mondadori Editore SPA *     6,535  
    1,103     De’ Longhi SPA     40,757  
    23,773     Enel SPA     224,153  
    6,372     EXOR NV     510,772  
    28,096     Intesa Sanpaolo SPA *     72,236  
    5,940     Unipol Gruppo SPA *     30,795  
     

 

 

 
    Total Italy     885,248  
     

 

 

 
          Japan — 21.2%  
    1,100     Asahi Kasei Corp     11,934  
    42,100     Astellas Pharma Inc     665,650  
    2,000     Bandai Namco Holdings Inc     152,984  
    6,100     Brother Industries Ltd     120,870  
    4,300     Chugai Pharmaceutical Co Ltd     193,049  
    1,100     Daiwabo Holdings Co Ltd     82,294  
    600     Dip Corp     16,474  
    700     Fuji Corp     16,552  
    2,800     FUJIFILM Holdings Corp     160,105  
    2,700     Fujitsu General Ltd     73,237  
    4,000     Fujitsu Ltd     580,313  
    6,600     Haseko Corp     82,087  
    6,900     Hitachi Ltd     318,247  
    29,900     ITOCHU Corp     893,053  
    4,200     Japan Post Insurance Co Ltd     86,361  
    5,200     Japan Tobacco Inc     94,154  
    4,300     K’s Holdings Corp     57,679  
    1,000     Kajima Corp     12,834  
    29,100     KDDI Corp     907,148  
    1,400     Kohnan Shoji Co Ltd     38,184  
    800     Komeri Co Ltd     21,567  
     Shares     Description   Value ($)  
          Japan — continued  
    2,100     Marubeni Corp     15,733  
    1,000     MCJ Co Ltd     8,558  
    2,300     Mitsubishi Chemical Holdings Corp     16,084  
    2,500     Mitsubishi Gas Chemical Co Inc     58,557  
    87,200     Mitsubishi UFJ Financial Group Inc     458,645  
    1,700     Mitsui & Co Ltd     36,404  
    500     Mitsui Chemicals Inc     15,489  
    100     Murata Manufacturing Co Ltd     8,572  
    3,900     NEC Networks & System Integration Corp     64,803  
    1,000     Nichias Corp     23,464  
    33,200     Nippon Telegraph & Telephone Corp     860,048  
    700     Nitto Denko Corp     60,086  
    4,800     Obayashi Corp     41,437  
    900     Panasonic Corp     11,635  
    1,100     Sekisui Chemical Co Ltd     19,713  
    100     Shimamura Co Ltd     9,993  
    400     Shinko Electric Industries Co Ltd     10,800  
    18,800     Sojitz Corp     49,733  
    5,500     Sony Corp     580,806  
    2,600     Sumitomo Mitsui Financial Group Inc     91,794  
    400     Sushiro Global Holdings Ltd     15,001  
    600     TDK Corp     86,408  
    2,200     Tokyo Electron Ltd     917,437  
    8,800     Tosoh Corp     161,769  
    100     Toyo Suisan Kaisha Ltd     4,257  
    700     Toyota Tsusho Corp     29,527  
    2,000     Ushio Inc     25,036  
    1,300     Wacom Co Ltd     9,446  
     

 

 

 
    Total Japan     8,276,011  
     

 

 

 
          Malta — 0.0%  
    1,718,063     BGP Holdings Plc * (b)      
     

 

 

 
          Netherlands — 8.1%  
    715     Aalberts NV     33,389  
    839     ABN AMRO Bank NV CVA *     9,647  
    1,600     ASM International NV     431,559  
    2,399     ASR Nederland NV     100,231  
    639     Heineken Holding NV     55,017  
    29,245     ING Groep NV     320,312  
    28,564     Koninklijke Ahold Delhaize NV     754,225  
    1,242     NN Group NV     57,348  
    23,795     PostNL NV *     101,156  
    5,902     Randstad NV *     394,715  
    10,654     Signify NV *     464,246  
    19,444     Stellantis NV *     314,929  
    2,754     TomTom NV *     25,847  
    1,177     Wolters Kluwer NV     93,300  
     

 

 

 
    Total Netherlands     3,155,921  
     

 

 

 
 

 

58   See accompanying notes to the financial statements.       


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    Norway — 0.7%

 

    10,797     Aker Solutions ASA *     16,411  
    3,525     BW LPG Ltd     20,929  
    5,880     Norsk Hydro ASA     32,553  
    19,143     Orkla ASA     176,319  
    1,503     SpareBank 1 Nord Norge     13,319  
    2,652     SpareBank 1 SR-Bank ASA *     30,543  
     

 

 

 
    Total Norway     290,074  
     

 

 

 
          Poland — 0.1%  
    233     Asseco Poland SA     4,135  
    1,891     Polski Koncern Naftowy ORLEN SA     29,664  
    15,098     Polskie Gornictwo Naftowe i Gazownictwo SA     22,471  
     

 

 

 
    Total Poland     56,270  
     

 

 

 
          Portugal — 2.8%  
    71,703     Banco Comercial Portugues SA – Class R *     10,099  
    6,605     EDP Renovaveis SA     144,090  
    135,560     EDP – Energias de Portugal SA     776,990  
    9,000     Jeronimo Martins SGPS SA     139,298  
     

 

 

 
    Total Portugal     1,070,477  
     

 

 

 
          Russia — 1.4%  
    23,152     Gazprom PJSC Sponsored ADR     133,917  
    705,000     Inter RAO UES PJSC     48,447  
    1,529     LUKOIL PJSC     114,587  
    1,819     LUKOIL PJSC Sponsored ADR     135,536  
    399,000     ROSSETI PJSC     9,107  
    5,368     Sberbank of Russia PJSC Sponsored ADR     78,115  
    9,800     Surgutneftegas PJSC     4,278  
     

 

 

 
    Total Russia     523,987  
     

 

 

 
          Singapore — 4.1%  
    17,700     AEM Holdings Ltd     52,905  
    2,800     CapitaLand Ltd     6,629  
    36,899     DBS Group Holdings Ltd     731,139  
    6,000     Jardine Cycle & Carriage Ltd     94,264  
    200     Mapletree Industrial Trust (REIT)     397  
    20,500     Oversea-Chinese Banking Corp Ltd     167,708  
    7,900     Sembcorp Industries Ltd     10,195  
    11,700     Venture Corp Ltd     166,958  
    55,500     Wilmar International Ltd     218,509  
    155,600     Yangzijiang Shipbuilding Holdings Ltd     124,238  
    16,000     Yanlord Land Group Ltd     13,737  
     

 

 

 
    Total Singapore     1,586,679  
     

 

 

 
          South Africa — 0.1%  
    2,613     Aspen Pharmacare Holdings Ltd *     24,569  
    11,423     Netcare Ltd *     10,329  
     

 

 

 
    Total South Africa     34,898  
     

 

 

 
     Shares     Description   Value ($)  
    South Korea — 2.2%

 

    419     DoubleUGames Co Ltd     20,580  
    10,612     Hana Financial Group Inc     348,568  
    5,380     Kia Motors Corp     379,334  
    293     Sebang Global Battery Co Ltd     23,484  
    2,117     Shinhan Financial Group Co Ltd *     61,620  
    575     Yuhan Corp     31,686  
     

 

 

 
    Total South Korea     865,272  
     

 

 

 
          Spain — 4.8%  
    2,262     Acerinox SA     26,220  
    1,460     ACS Actividades de Construccion y Servicios SA     44,609  
    1,056     Aena SME SA *     179,103  
    22,204     Banco Bilbao Vizcaya Argentaria SA     123,474  
    22,481     Banco de Sabadell SA     11,218  
    41,145     Banco Santander SA *     143,065  
    1,900     Bankinter SA     12,523  
    7,463     Endesa SA     184,413  
    55,854     Iberdrola SA     699,957  
    13,370     Industria de Diseno Textil SA     440,852  
    9     Red Electrica Corp SA     150  
    229     Viscofan SA     16,094  
     

 

 

 
    Total Spain     1,881,678  
     

 

 

 
          Sweden — 0.6%  
    1,355     Betsson AB *     11,064  
    911     Mycronic AB     22,881  
    1,530     Skanska AB – B Shares     37,022  
    1,541     Swedish Match AB     110,603  
    2,393     Volvo AB – A Shares *     61,470  
    4     Volvo AB – B Shares *     103  
     

 

 

 
    Total Sweden     243,143  
     

 

 

 
          Switzerland — 5.4%  
    3,412     ABB Ltd (Registered)     98,230  
    160     ALSO Holding AG (Registered) *     43,432  
    363     Logitech International SA (Registered)     38,592  
    176     Nestle SA (Registered)     18,369  
    6,501     Novartis AG (Registered)     559,908  
    207     Roche Holding AG     69,223  
    3,622     Roche Holding AG – Genusschein     1,188,229  
    3,380     UBS Group AG (Registered)     52,587  
    165     Vetropack Holding AG (Registered) *     10,364  
    155     Wizz Air Holdings Plc *     11,497  
     

 

 

 
    Total Switzerland     2,090,431  
     

 

 

 
          Taiwan — 0.6%  
    10,000     Hon Hai Precision Industry Co Ltd     40,173  
    77,000     Pou Chen Corp     83,443  
    27,000     Radiant Opto-Electronics Corp     115,738  
 

 

       See accompanying notes to the financial statements.   59


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Taiwan — continued  
    5,302     TOPBI International Holdings Ltd     2,545  
     

 

 

 
    Total Taiwan     241,899  
     

 

 

 
          Thailand — 0.0%  
    52,700     AP Thailand Pcl NVDR     12,678  
     

 

 

 
          Turkey — 1.6%  
    61,796     Eregli Demir ve Celik Fabrikalari TAS     121,884  
    27,934     Haci Omer Sabanci Holding AS     39,570  
    5,612     Selcuk Ecza Deposu Ticaret ve Sanayi AS     8,613  
    330     TAV Havalimanlari Holding AS     1,110  
    1,488     Turk Telekomunikasyon AS     1,559  
    199,920     Turkiye Garanti Bankasi AS *     241,144  
    130,228     Turkiye Is Bankasi AS – Class C *     100,611  
    52,733     Turkiye Sinai Kalkinma Bankasi AS *     11,730  
    1,982     Turkiye Sise ve Cam Fabrikalari AS     1,908  
    228,580     Yapi ve Kredi Bankasi AS *     81,679  
     

 

 

 
    Total Turkey     609,808  
     

 

 

 
          United Kingdom — 13.7%  
    17,030     3i Group Plc     264,374  
    2,609     Anglo American Plc     101,232  
    2,775     Antofagasta Plc     69,258  
    16,382     Aviva Plc     82,998  
    7,071     B&M European Value Retail SA     54,090  
    35,704     BAE Systems Plc     241,682  
    45,185     Barratt Developments Plc *     419,920  
    1,908     Bellway Plc     74,786  
    3,984     Berkeley Group Holdings Plc (The)     225,722  
    9,844     British American Tobacco Plc     341,834  
    16,100     British American Tobacco Plc Sponsored ADR     564,466  
    370     Bunzl Plc     11,552  
    2,970     Coca-Cola HBC AG*     93,135  
    1,089     Computacenter Plc     31,747  
    443     Cranswick Plc     21,093  
    4,124     Dunelm Group Plc *     72,443  
    5,739     Electrocomponents Plc     77,859  
    4,255     Ferguson Plc     503,413  
    16,208     Ferrexpo Plc     76,012  
    735     Fresnillo Plc     9,282  
    5,217     Howden Joinery Group Plc *     50,765  
    5,642     IG Group Holdings Plc     61,539  
    654     IMI Plc     11,994  
    2,037     Imperial Brands Plc     37,955  
    11,280     Inchcape Plc *     111,871  
    7,940     JD Sports Fashion Plc *     92,287  
    6,108     John Laing Group Plc     25,746  
    58,182     Kingfisher Plc *     215,649  
    95,214     Legal & General Group Plc     346,216  
    610     Morgan Sindall Group Plc     14,092  
     Shares     Description   Value ($)  
          United Kingdom — continued  
    1,844     Next Plc *     195,325  
    1,774     OSB Group Plc *     10,964  
    13,118     Persimmon Plc     475,335  
    81     Phoenix Group Holdings Plc     804  
    4,503     Plus500 Ltd     86,258  
    11,898     QinetiQ Group Plc     49,545  
    6,954     Spirent Communications Plc     22,844  
    19,783     Tate & Lyle Plc     200,857  
     

 

 

 
    Total United Kingdom     5,346,944  
     

 

 

 
    TOTAL COMMON STOCKS (COST $27,353,611)     37,821,078  
     

 

 

 
          PREFERRED STOCKS (c) — 1.0%  
          Brazil — 0.1%  
    2,000     Cia Paranaense de Energia – Class B     20,906  
     

 

 

 
          Germany — 0.8%  
    458     Bayerische Motoren Werke AG     31,016  
    186     Draegerwerk AG & Co KGaA     14,182  
    1,305     Henkel AG & Co KGaA     128,520  
    222     Jungheinrich AG     9,594  
    689     Volkswagen AG     144,153  
     

 

 

 
    Total Germany     327,465  
     

 

 

 
          Russia — 0.1%  
    43,100     Surgutneftegas PJSC     22,721  
     

 

 

 
    TOTAL PREFERRED STOCKS (COST $316,512)     371,092  
     

 

 

 
          MUTUAL FUNDS — 0.0%  
          United States — 0.0%  
          Affiliated Issuers — 0.0%  
    1,025     GMO U.S. Treasury Fund     5,165  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $5,123)     5,165  
     

 

 

 
          SHORT-TERM INVESTMENTS — 2.0%  
          Money Market Funds — 2.0%  
    791,693     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)     791,693  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $791,693)
    791,693  
     

 

 

 
    TOTAL INVESTMENTS — 100.1%
(Cost $28,466,939)
    38,989,028  
    Other Assets and Liabilities (net) — (0.1%)     (29,468
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $38,959,560  
     

 

 

 
 

 

60   See accompanying notes to the financial statements.       


GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

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        
4   MSCI EAFE     March 2021     $ 432,800     $ 7,519  
     

 

 

   

 

 

 

 

+

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.

 

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.

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.   61


GMO U.S. 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 S&P Composite 1500 Index is included for comparative purposes.

Class III shares of GMO U.S. Equity Fund returned +33.74% (net) for the fiscal year ended February 28, 2021, as compared with +32.19% for the S&P Composite 1500 Index. As of April 1, 2020, the Fund’s benchmark was changed from the Russell 3000 Index to the S&P Composite 1500 Index, which GMO believes to be a better representation of the Fund’s strategy. Over the year ended February 28, 2021 the Russell 3000 Index returned +35.33%.

The Fund outperformed the S&P Composite 1500 Index despite an environment which continued to be characterized by valuation headwinds. The magnitude of the headwind is illustrated by the 18.8% underperformance of the S&P 1500 Composite Value Index when compared to the S&P 1500 Composite Growth Index for the year ended February 28, 2021. While valuation-oriented models posted modest outperformance, growth-oriented models were key to the Fund’s value added.

Stock selection detracted from relative performance, while sector allocation was additive over the period. These performance themes were broadly similar whether the Fund was compared to the S&P Composite 1500 Index or the Russell 3000 Index. However, stock selection was more challenging relative to the Russell 3000 Index. The largest difference was driven by Tesla, which was the largest detractor relative to the Russell 3000 Index after having been included in the index for the full fiscal year. In contrast, Tesla’s performance was relatively flat from the time of its S&P inclusion to the end of the fiscal year and had little impact on performance relative the S&P Composite 1500 Index.

Sector allocation added value from both overweight and underweight positioning. Underweights which added value included Utilities, Real Estate, Energy, and Financials. Overweights toward Information Technology and Consumer Discretionary also made positive contributions toward benchmark relative performance.

Top detractors included a mix of companies held underweight and overweight. Underweight positions among the top detractors included Apple (Information Technology), Amazon (Consumer Discretionary), and PayPal (Information Technology). Overweight positioning toward attractively valued names including PepsiCo (Consumer Staples) and Biogen (Health Care) also detracted from 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.

 

62              


GMO U.S. Equity Fund

(A Series of GMO Trust)

  

 

 

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

GMO U.S. Equity Fund Class III Shares, the S&P Composite 1500 Index and the Russell 3000 Index

As of February 28, 2021

 

LOGO

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

As of April 1, 2020, the U.S. Equity Fund changed its benchmark so that the Fund now seeks to generate high total return in excess of that of the S&P 1500 Index. The Fund formerly sought to outperform the Russell 3000 Index.

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

For Class III and VI the gross expense ratio of 0.49% and 0.40%, 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 0.46% and 0.37% 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.

 

              63


GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    99.0

Mutual Funds

    0.8  

Short-Term Investments

    0.1  

Futures Contracts

    0.0

Other

    0.1  
 

 

 

 
    100.0
 

 

 

 
 
Industry Group Summary   % of Equity Investments#  

Software & Services

    10.7

Retailing

    10.7  

Technology Hardware & Equipment

    10.2  

Capital Goods

    9.8  

Pharmaceuticals, Biotechnology & Life Sciences

    7.1  

Media & Entertainment

    6.9  

Banks

    6.5  

Semiconductors & Semiconductor Equipment

    6.3  

Materials

    5.9  

Diversified Financials

    4.8  

Consumer Durables & Apparel

    4.5  

Insurance

    2.9  

Health Care Equipment & Services

    2.9  

Food, Beverage & Tobacco

    2.8  

Energy

    2.5  

Commercial & Professional Services

    1.4  

Food & Staples Retailing

    1.0  

Automobiles & Components

    1.0  

Household & Personal Products

    0.7  

Telecommunication Services

    0.7  

Consumer Services

    0.4  

Real Estate

    0.2  

Transportation

    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).

 

#

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%.

 

 

64              


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 99.0%

 

          Automobiles & Components — 0.9%  
    4,463     Autoliv, Inc.     401,670  
    24,882     BorgWarner, Inc.     1,119,690  
    5,577     Cooper Tire & Rubber Co.     319,228  
    13,214     Dana, Inc.     314,625  
    5,921     Lear Corp.     983,419  
    4,033     Standard Motor Products, Inc.     169,426  
     

 

 

 
    Total Automobiles & Components     3,308,058  
     

 

 

 
          Banks — 6.4%  
    28,192     Associated Banc-Corp.     568,069  
    45,341     Citizens Financial Group, Inc.     1,969,613  
    3,518     Comerica, Inc.     239,576  
    10,951     East West Bancorp, Inc.     790,224  
    22,394     Eastern Bankshares, Inc. *     394,358  
    52,348     Fifth Third Bancorp     1,815,952  
    18,533     First Horizon Corp.     300,235  
    5,749     Flagstar Bancorp, Inc.     249,449  
    10,500     Fulton Financial Corp.     162,225  
    11,498     Hilltop Holdings, Inc.     379,894  
    48,735     Huntington Bancshares, Inc.     747,595  
    35,339     JPMorgan Chase & Co.     5,200,841  
    11,669     KeyCorp.     235,014  
    4,760     M&T Bank Corp.     718,474  
    29,172     MGIC Investment Corp.     355,315  
    5,063     PennyMac Financial Services, Inc.     299,780  
    11,412     PNC Financial Services Group, Inc. (The)     1,921,324  
    3,776     Popular, Inc.     252,312  
    52,596     Regions Financial Corp.     1,085,055  
    2,231     Signature Bank/New York NY     487,117  
    1,287     SVB Financial Group *     650,398  
    4,800     Trustmark Corp.     144,768  
    2,000     UMB Financial Corp.     168,740  
    51,395     US Bancorp     2,569,750  
    3,518     Walker & Dunlop, Inc.     350,604  
    5,518     Wintrust Financial Corp.     406,456  
     

 

 

 
    Total Banks     22,463,138  
     

 

 

 
          Capital Goods — 9.7%  
    1,974     3M Co.     345,568  
    12,580     A O Smith Corp.     746,875  
    9,353     AGCO Corp.     1,211,026  
    11,240     Allison Transmission Holdings, Inc.     426,221  
    13,042     API Group Corp. *     241,277  
    5,047     Boise Cascade Co.     252,047  
    22,459     Builders FirstSource, Inc. *     971,689  
    1,802     Carlisle Cos, Inc.     261,741  
    82,053     Carrier Global Corp.     2,997,396  
    5,406     Crane Co.     453,347  
     Shares     Description   Value ($)  
          Capital Goods — continued  
    12,406     Cummins, Inc.     3,141,199  
    5,835     Curtiss-Wright Corp.     644,709  
    2,700     Deere & Co.     942,624  
    18,962     Eaton Corp Plc     2,468,663  
    8,050     EMCOR Group, Inc.     783,828  
    3,020     Emerson Electric Co.     259,418  
    8,404     Federal Signal Corp.     305,990  
    13,643     Fortive Corp.     897,982  
    3,947     Generac Holdings, Inc. *     1,300,773  
    3,261     Gibraltar Industries, Inc. *     284,848  
    11,583     Masco Corp.     616,447  
    5,488     Moog, Inc. – Class A     426,198  
    10,983     Mueller Industries, Inc.     446,349  
    8,864     Oshkosh Corp.     939,584  
    11,581     Owens Corning     938,293  
    24,282     PACCAR, Inc.     2,209,419  
    6,178     Parker-Hannifin Corp.     1,772,839  
    10,039     Resideo Technologies, Inc. *     241,137  
    5,063     Stanley Black & Decker, Inc.     885,215  
    1,094     Teledyne Technologies, Inc. *     405,874  
    29,917     Textron, Inc.     1,506,022  
    7,361     Timken Co. (The)     576,734  
    2,403     Toro Co. (The)     242,150  
    11,048     Trane Technologies Plc     1,692,996  
    31,836     UFP Industries, Inc.     1,941,996  
    515     WW Grainger, Inc.     191,946  
     

 

 

 
    Total Capital Goods     33,970,420  
     

 

 

 
          Commercial & Professional Services — 1.4%  
    9,095     Booz Allen Hamilton Holding Corp.     701,588  
    10,304     Brady Corp. – Class A     540,033  
    1,116     CACI International, Inc. – Class A *     247,015  
    14,243     CBIZ, Inc. *     429,426  
    2,746     Cimpress Plc *     272,074  
    8,323     CoreLogic Inc/United States     704,625  
    11,759     Herman Miller, Inc.     451,017  
    16,128     HNI Corp.     573,996  
    3,800     Kforce, Inc.     195,130  
    6,607     ManpowerGroup, Inc.     623,965  
    15,444     Steelcase, Inc. – Class A     215,289  
     

 

 

 
    Total Commercial & Professional Services     4,954,158  
     

 

 

 
          Consumer Durables & Apparel — 4.5%  
    2,574     Deckers Outdoor Corp. *     839,407  
    25,226     DR Horton, Inc.     1,939,123  
    9,800     Ethan Allen Interiors, Inc.     251,076  
    28,141     Garmin Ltd.     3,490,047  
    1,802     Helen of Troy Ltd. *     390,674  
    28,981     La-Z-Boy, Inc.     1,234,880  
    4,634     Leggett & Platt, Inc.     200,513  
 

 

       See accompanying notes to the financial statements.   65


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Consumer Durables & Apparel — continued  
    19,971     MDC Holdings, Inc.     1,129,759  
    4,805     Mohawk Industries, Inc. *     840,827  
    164     NVR, Inc. *     738,138  
    9,095     Polaris, Inc.     1,071,027  
    43,230     PulteGroup, Inc.     1,950,105  
    1,819     Ralph Lauren Corp.     212,969  
    16,817     Tempur Sealy International, Inc.     561,856  
    51,052     TRI Pointe Group, Inc. *     969,988  
     

 

 

 
    Total Consumer Durables & Apparel     15,820,389  
     

 

 

 
          Consumer Services — 0.4%  
    900     Graham Holdings Co. – Class B     540,747  
    31,832     H&R Block, Inc.     612,130  
    17,675     Perdoceo Education Corp. *     227,477  
     

 

 

 
    Total Consumer Services     1,380,354  
     

 

 

 
          Diversified Financials — 4.8%  
    33,307     Ally Financial, Inc.     1,382,240  
    7,637     American Express Co.     1,032,981  
    4,046     Ameriprise Financial, Inc.     895,137  
    6,693     Artisan Partners Asset Management, Inc. – Class A     317,917  
    38,610     Bank of New York Mellon Corp. (The)     1,627,798  
    6,350     Capital One Financial Corp.     763,206  
    13,986     Discover Financial Services     1,315,663  
    6,500     Donnelley Financial Solutions, Inc. *     168,935  
    9,009     Eaton Vance Corp.     658,288  
    27,443     Enova International, Inc. *     842,500  
    32,511     Federated Hermes, Inc.     868,694  
    2,660     Nasdaq, Inc.     367,851  
    6,178     OneMain Holdings, Inc.     289,810  
    3,347     PROG Holdings, Inc.     167,350  
    14,480     Raymond James Financial, Inc.     1,690,395  
    8,600     Santander Consumer USA Holdings, Inc.     215,000  
    12,613     SEI Investments Co.     706,328  
    44,187     SLM Corp.     697,713  
    22,223     State Street Corp.     1,617,168  
    30,803     Synchrony Financial     1,191,460  
     

 

 

 
    Total Diversified Financials     16,816,434  
     

 

 

 
          Energy — 2.4%  
    70,316     CNX Resources Corp. *     886,685  
    8,600     Denbury, Inc. *     367,650  
    83,859     Exxon Mobil Corp.     4,559,414  
    23,170     Phillips 66     1,924,268  
    26,219     World Fuel Services Corp.     814,887  
     

 

 

 
    Total Energy     8,552,904  
     

 

 

 
          Food & Staples Retailing — 1.0%  
    1,287     Costco Wholesale Corp.     425,997  
    87,945     Kroger Co. (The)     2,832,709  
     Shares     Description   Value ($)  
          Food & Staples Retailing — continued  
    10,640     Sprouts Farmers Market, Inc. *     224,610  
     

 

 

 
    Total Food & Staples Retailing     3,483,316  
     

 

 

 
          Food, Beverage & Tobacco — 2.8%  
    5,663     Archer-Daniels-Midland Co.     320,413  
    28,229     General Mills, Inc.     1,552,877  
    14,329     Mondelez International, Inc. – Class A     761,730  
    52,253     PepsiCo, Inc.     6,750,565  
    10,165     Universal Corp.     516,585  
     

 

 

 
    Total Food, Beverage & Tobacco     9,902,170  
     

 

 

 
          Health Care Equipment & Services — 2.9%  
    12,441     AmerisourceBergen Corp.     1,259,278  
    19,198     Cardinal Health, Inc.     989,081  
    15,273     Edwards Lifesciences Corp. *     1,269,186  
    8,237     HCA Healthcare, Inc.     1,417,011  
    1,888     Laboratory Corp. of America Holdings *     452,950  
    15,481     McKesson Corp.     2,624,339  
    14,157     Medtronic Plc     1,655,944  
    5,835     Owens & Minor, Inc.     198,449  
    1,716     Quest Diagnostics, Inc.     198,353  
     

 

 

 
    Total Health Care Equipment & Services     10,064,591  
     

 

 

 
          Household & Personal Products — 0.7%  
    5,234     Clorox Co. (The)     947,616  
    18,018     Colgate-Palmolive Co.     1,354,953  
    4,548     Nu Skin Enterprises, Inc. – Class A     232,767  
     

 

 

 
    Total Household & Personal Products     2,535,336  
     

 

 

 
          Insurance — 2.9%  
    37,996     Aflac, Inc.     1,819,628  
    26,686     Allstate Corp. (The)     2,844,728  
    4,700     CNA Financial Corp.     199,938  
    28,222     Fidelity National Financial, Inc.     1,080,338  
    13,715     First American Financial Corp.     720,586  
    3,347     Hanover Insurance Group, Inc. (The)     386,077  
    10,125     Old Republic International Corp.     195,716  
    8,409     Principal Financial Group, Inc.     475,781  
    22,744     Progressive Corp. (The)     1,954,847  
    9,163     Stewart Information Services Corp.     432,494  
     

 

 

 
    Total Insurance     10,110,133  
     

 

 

 
          Materials — 5.8%  
    60,404     Amcor Plc     660,820  
    2,359     AptarGroup, Inc.     306,835  
    12,853     Arconic Corp. *     281,738  
    2,574     Ashland Global Holdings, Inc.     216,525  
    7,893     Avery Dennison Corp.     1,382,932  
    11,669     Avient Corp.     504,334  
    9,953     Berry Global Group, Inc. *     551,396  
 

 

66   See accompanying notes to the financial statements.       


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Materials — continued  
    7,894     Commercial Metals Co.     198,534  
    11,326     Corteva, Inc.     511,369  
    6,607     Crown Holdings, Inc. *     631,365  
    7,000     Domtar Corp.     259,350  
    14,072     Eastman Chemical Co.     1,537,507  
    11,093     FMC Corp.     1,128,047  
    4,033     HB Fuller Co.     226,130  
    6,864     International Paper Co.     340,798  
    17,657     LyondellBasell Industries NV – Class A     1,820,260  
    1,373     NewMarket Corp.     520,339  
    20,759     Nucor Corp.     1,241,803  
    19,556     Pactiv Evergreen, Inc.     273,393  
    9,696     Reliance Steel & Aluminum Co.     1,281,811  
    3,932     Scotts Miracle-Gro Co. (The)     838,106  
    10,983     Sealed Air Corp.     460,188  
    3,175     Sensient Technologies Corp.     247,174  
    2,145     Sherwin-Williams Co. (The)     1,459,329  
    28,348     Silgan Holdings, Inc.     1,064,751  
    16,646     Steel Dynamics, Inc.     692,141  
    2,574     Stepan Co.     310,656  
    32,261     Valvoline, Inc.     805,235  
    14,501     Westrock Co.     632,099  
     

 

 

 
    Total Materials     20,384,965  
     

 

 

 
          Media & Entertainment — 6.8%  
    54,827     Activision Blizzard, Inc.     5,242,009  
    400     Alphabet, Inc. – Class A *     808,764  
    1,373     Alphabet, Inc. – Class C *     2,796,609  
    75,333     Comcast Corp. – Class A     3,971,556  
    32,442     Electronic Arts, Inc.     4,346,255  
    8,400     Facebook, Inc. – Class A *     2,164,008  
    10,900     Fox Corp. – Class A     363,079  
    44,694     Interpublic Group of Cos., Inc. (The)     1,167,407  
    16,722     Omnicom Group, Inc.     1,149,303  
    30,618     TEGNA, Inc.     558,166  
    123,467     Zynga Inc. – Class A *     1,376,657  
     

 

 

 
    Total Media & Entertainment     23,943,813  
     

 

 

 
          Pharmaceuticals, Biotechnology & Life Sciences — 7.0%  
    54,741     Bristol-Myers Squibb Co.     3,357,266  
    47,276     Eli Lilly & Co.     9,686,380  
    90,850     Merck & Co., Inc.     6,597,527  
    114,576     Pfizer, Inc.     3,837,150  
    10,995     Prestige Consumer Healthcare, Inc. *     458,601  
    3,861     United Therapeutics Corp. *     645,482  
     

 

 

 
    Total Pharmaceuticals, Biotechnology & Life Sciences     24,582,406  
     

 

 

 
          Real Estate — 0.2%  
    51,720     Realogy Holdings Corp. *     779,937  
     

 

 

 
     Shares     Description   Value ($)  
    Retailing — 10.6%

 

    25,468     Abercrombie & Fitch Co. – Class A     697,059  
    2,074     Amazon.com, Inc. *     6,414,737  
    6,348     Asbury Automotive Group, Inc. *     1,075,669  
    22,566     AutoNation, Inc. *     1,692,901  
    429     AutoZone, Inc. *     497,606  
    21,056     Best Buy Co., Inc.     2,112,970  
    20,163     Big Lots, Inc.     1,281,157  
    21,289     Core-Mark Holding Co., Inc.     693,596  
    30,717     Designer Brands, Inc. – Class A     383,655  
    9,867     Dick’s Sporting Goods, Inc.     704,208  
    9,867     Dollar General Corp.     1,864,764  
    7,894     Foot Locker, Inc.     379,622  
    22,756     Gap Inc. (The) *     567,762  
    9,524     Genuine Parts Co.     1,003,353  
    7,354     Group 1 Automotive, Inc.     1,121,044  
    32,039     L Brands, Inc.     1,751,252  
    858     Lithia Motors, Inc. – Class A     320,849  
    14,415     Lowe’s Cos., Inc.     2,302,796  
    7,877     MarineMax, Inc. *     351,708  
    11,567     Murphy U.S.A., Inc.     1,441,826  
    13,096     Penske Automotive Group, Inc.     890,266  
    49,078     Qurate Retail, Inc. – Series A     609,549  
    7,379     Rent-A-Center, Inc.     426,211  
    4,977     Sleep Number Corp. *     682,496  
    35,404     Target Corp.     6,494,510  
    5,600     Urban Outfitters, Inc. *     189,840  
    9,610     Williams-Sonoma, Inc.     1,261,697  
     

 

 

 
    Total Retailing     37,213,103  
     

 

 

 
          Semiconductors & Semiconductor Equipment — 6.3%  
    77,580     Applied Materials, Inc.     9,169,180  
    5,492     Cirrus Logic, Inc. *     449,136  
    10,554     Entegris, Inc.     1,110,386  
    127,943     Intel Corp.     7,776,376  
    932     KLA Corp.     290,066  
    9,267     Maxim Integrated Products, Inc.     863,407  
    2,660     Skyworks Solutions, Inc.     473,001  
    1,703     Synaptics, Inc. *     228,253  
    12,184     Teradyne, Inc.     1,566,984  
     

 

 

 
    Total Semiconductors & Semiconductor Equipment     21,926,789  
     

 

 

 
          Software & Services — 10.6%  
    3,175     Akamai Technologies, Inc. *     300,038  
    19,047     Amdocs Ltd.     1,443,953  
    28,922     Cadence Design Systems, Inc. *     4,080,605  
    109,052     Cisco Systems, Inc.     4,893,163  
    5,944     Citrix Systems, Inc.     794,000  
    1,716     Concentrix Corp. *     211,943  
    10,121     Intuit, Inc.     3,948,607  
    56,219     Microsoft Corp.     13,064,171  
 

 

       See accompanying notes to the financial statements.   67


GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Software & Services — continued  
    16,646     NortonLifeLock, Inc.     324,763  
    52,253     Oracle Corp.     3,370,841  
    6,391     Progress Software Corp.     271,873  
    12,175     Sykes Enterprises, Inc. *     497,470  
    14,774     Synopsys, Inc. *     3,622,733  
    21,794     Western Union Co. (The)     506,057  
     

 

 

 
    Total Software & Services     37,330,217  
     

 

 

 
          Technology Hardware & Equipment — 10.1%  
    106,924     Apple, Inc.     12,965,604  
    10,237     Arrow Electronics, Inc. *     1,026,362  
    7,722     Avnet, Inc.     293,976  
    12,956     Corning, Inc.     495,437  
    3,947     F5 Networks, Inc. *     749,851  
    12,270     Flex Ltd. *     223,191  
    157,385     Hewlett Packard Enterprise Co.     2,291,526  
    178,044     HP, Inc.     5,157,935  
    4,393     Insight Enterprises, Inc. *     367,211  
    35,350     Juniper Networks, Inc.     822,948  
    5,841     Motorola Solutions, Inc.     1,024,979  
    6,521     National Instruments Corp.     289,532  
    16,474     NetApp, Inc.     1,031,272  
    9,133     NETGEAR, Inc. *     365,320  
    11,498     Sanmina Corp. *     409,559  
    28,486     Seagate Technology Plc     2,086,030  
    4,634     Sensata Technologies Holding Plc *     265,482  
    6,100     Super Micro Computer, Inc. *     199,043  
    4,290     SYNNEX Corp.     382,496  
    32,519     TE Connectivity Ltd.     4,228,446  
    29,895     Xerox Holdings Corp.     761,725  
     

 

 

 
    Total Technology Hardware & Equipment     35,437,925  
     

 

 

 
          Telecommunication Services — 0.7%  
    91,858     Telephone & Data Systems, Inc.     1,643,340  
    5,000     United States Cellular Corp. *     147,150  
    10,640     Verizon Communications, Inc.     588,392  
     

 

 

 
    Total Telecommunication Services     2,378,882  
     

 

 

 
     Shares     Description   Value ($)  
    Transportation — 0.1%

 

    5,492     Werner Enterprises, Inc.     235,717  
     

 

 

 
    TOTAL COMMON STOCKS (COST $281,344,377)     347,575,155  
     

 

 

 
          MUTUAL FUNDS — 0.8%  
          Affiliated Issuers — 0.8%  
    565,535     GMO U.S. Treasury Fund     2,850,296  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $2,850,296)     2,850,296  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.1%  
          Money Market Funds — 0.1%  
    318,707     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)     318,707  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $318,707)
    318,707  
     

 

 

 
    TOTAL INVESTMENTS — 99.9%
(Cost $284,513,380)
    350,744,158  
    Other Assets and Liabilities (net) — 0.1%     458,265  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $351,202,423  
     

 

 

 

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        
8   S&P 500 E-Mini   March 2021   $ 1,523,680     $ 6,984  
     

 

 

   

 

 

 

 

+

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.

 

Notes to Schedule of Investments:

 

*

Non-income producing security.

 

(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.

 

 

68   See accompanying notes to the financial statements.       


 

 

 

This page has been left blank intentionally.


GMO U.S. Small Cap Value 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

Class VI shares of GMO U.S. Small Cap Value Fund returned +40.64% (net) for the fiscal year ended February 28, 2021, as compared with +43.76% for the S&P SmallCap 600 Value Index. As of April 1, 2020, the Fund’s benchmark was changed from the Russell 2000 Value Index to the S&P SmallCap 600 Value Index, which GMO believes to be a better representation of the Fund’s strategy. Over the year ended February 28, 2021 the Russell 2000 Value Index returned +41.06%.

Stock selection detracted from relative performance, while sector allocation was additive over the period. These performance themes were broadly similar whether the Fund was compared to the S&P SmallCap 600 Value Index or the Russell 2000 Value Index. However, sector allocation added less value relative to the S&P SmallCap 600 Value Index. For example, the Fund’s overweight positioning toward the Consumer Discretionary sector added 2.3% less to relative performance against the S&P SmallCap 600 Value Index than it would have added if compared to the Russell 2000 Value Index.

Top detractors included a mix of companies held overweight and underweight. Overweight positioning toward attractively valued names including CoreCivic (Industrials), GEO Group (Real Estate), and TEGNA (Communication Services) detracted from relative performance. Underweight positions among the top detractors included GameStop (Consumer Discretionary).

Sector allocation added value from both overweight and underweight positioning. Underweights which added value included Real Estate, Utilities, and Financials. Overweights toward Consumer Discretionary and Information Technology also made positive contributions toward benchmark 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.

.

 

70              


GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

  

 

 

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

GMO U.S. Small Cap Value Fund Class VI Shares, the S&P SmallCap 600 Value Index and

the Russell 2000 Value Index

As of February 28, 2021

 

LOGO

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

As of April 1, 2020, the U.S. Small Cap Value Fund changed its benchmark so that the Fund now seeks to generate total return in excess of that of the S&P SmallCap 600 Value Index. The Fund formerly sought to outperform the Russell 2000 Value Index.

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

For Class VI the gross expense ratio of 0.44% 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 0.44% 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.

 

              71


GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    98.6

Short-Term Investments

    0.8  

Mutual Funds

    0.0

Rights/Warrants

    0.0

Futures Contracts

    0.0

Other

    0.6  
 

 

 

 
    100.0
 

 

 

 
 
Industry Group Summary   % of Equity Investments#  

Banks

    18.9

Retailing

    11.2  

Capital Goods

    10.4  

Technology Hardware & Equipment

    8.7  

Commercial & Professional Services

    7.0  

Diversified Financials

    6.7  

Real Estate

    6.3  

Consumer Durables & Apparel

    6.2  

Materials

    5.8  

Media & Entertainment

    4.2  

Energy

    4.0  

Pharmaceuticals, Biotechnology & Life Sciences

    1.8  

Health Care Equipment & Services

    1.6  

Telecommunication Services

    1.5  

Automobiles & Components

    1.4  

Consumer Services

    1.0  

Food, Beverage & Tobacco

    0.9  

Semiconductors & Semiconductor Equipment

    0.6  

Insurance

    0.6  

Food & Staples Retailing

    0.5  

Software & Services

    0.5  

Transportation

    0.2  

Household & Personal Products

    0.0

Utilities

    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).

 

#

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%.

 

 

72              


GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 98.6%

 

          Automobiles & Components — 1.4%  
    39,724     Cooper Tire & Rubber Co.     2,273,802  
    3,382     Cooper-Standard Holding, Inc. *     121,143  
    13,768     Patrick Industries, Inc.     1,086,708  
    55,955     Stoneridge, Inc. *     1,715,581  
     

 

 

 
    Total Automobiles & Components     5,197,234  
     

 

 

 
          Banks — 18.7%  
    10,306     1st Source Corp.     457,277  
    19,725     Amalgamated Bank – Class A     346,371  
    2,571     Arrow Financial Corp.     81,912  
    180,699     Associated Banc-Corp.     3,641,085  
    11,178     Axos Financial, Inc. *     517,206  
    16,891     Bancorp, Inc. (The) *     342,381  
    16,651     BankUnited, Inc.     669,204  
    9,265     Banner Corp.     479,742  
    3,704     Bar Harbor Bankshares     103,675  
    14,376     BOK Financial Corp.     1,237,198  
    64,570     Boston Private Financial Holdings, Inc.     888,483  
    52,691     Brookline Bancorp, Inc.     749,793  
    51,076     Cathay General Bancorp     1,922,501  
    2,335     Century Bancorp, Inc. – Class A     211,668  
    4,670     Civista Bancshares, Inc.     89,804  
    4,267     CNB Financial Corp.     99,037  
    8,996     Community Trust Bancorp, Inc.     367,576  
    18,790     Customers Bancorp, Inc. *     503,196  
    42,107     Dime Community Bancshares, Inc.     1,238,367  
    7,100     East West Bancorp, Inc.     512,336  
    8,404     Enterprise Financial Services Corp.     361,372  
    2,335     Federal Agricultural Mortgage Corp. – Class C     201,394  
    13,204     Financial Institutions, Inc.     361,525  
    107,935     First BanCorp/Puerto Rico     1,132,238  
    15,729     First Busey Corp.     360,037  
    57,068     First Commonwealth Financial Corp.     765,282  
    6,905     First Community Bankshares, Inc.     177,182  
    33,598     First Financial Bancorp     753,603  
    14,653     First Foundation, Inc.     334,821  
    8,300     First Hawaiian, Inc.     231,487  
    5,500     First Midwest Bancorp Inc/IL     108,790  
    147,012     Flagstar Bancorp, Inc.     6,378,851  
    20,853     Flushing Financial Corp.     432,700  
    78,531     FNB Corp./PA     929,022  
    62,766     Fulton Financial Corp.     969,735  
    4,912     Great Southern Bancorp, Inc.     259,304  
    9,000     Great Western Bancorp, Inc.     241,470  
    11,575     Hancock Whitney Corp.     436,956  
    22,689     Hanmi Financial Corp.     388,436  
    4,900     Heartland Financial USA, Inc.     229,026  
    6,280     Heritage Financial Corp.     162,589  
    174,224     Hilltop Holdings, Inc.     5,756,361  
     Shares     Description   Value ($)  
          Banks — continued  
    3,400     HomeTrust Bancshares, Inc.     78,676  
    27,600     Hope Bancorp, Inc.     363,216  
    11,191     Independent Bank Corp.     231,318  
    67,951     International Bancshares Corp.     2,961,305  
    320,752     Investors Bancorp, Inc.     4,278,832  
    17,713     Lakeland Financial Corp.     1,221,311  
    5,636     Mercantile Bank Corp.     164,797  
    4,348     Merchants Bancorp     147,962  
    20,128     Meridian Bancorp, Inc.     337,144  
    34,938     MGIC Investment Corp.     425,545  
    12,126     NBT Bancorp, Inc.     439,325  
    28,984     Northfield Bancorp, Inc.     396,791  
    30,776     Northwest Bancshares, Inc.     434,557  
    104,180     OFG Bancorp     2,011,716  
    44,785     Old National Bancorp     811,952  
    2,496     Origin Bancorp, Inc.     85,513  
    41,941     PacWest Bancorp     1,519,942  
    43,028     Premier Financial Corp.     1,319,238  
    42,011     Provident Financial Services, Inc.     849,882  
    2,100     QCR Holdings, Inc.     86,940  
    5,395     RBB Bancorp     101,426  
    2,013     Republic Bancorp, Inc. – Class A     84,626  
    4,590     Sierra Bancorp     109,471  
    2,416     Territorial Bancorp, Inc.     59,385  
    23,329     Texas Capital Bancshares, Inc. *     1,777,670  
    27,696     Towne Bank/Portsmouth VA     798,753  
    19,886     TriCo Bancshares     856,490  
    63,603     TrustCo Bank Corp.     437,589  
    39,343     Trustmark Corp.     1,186,585  
    8,226     UMB Financial Corp.     694,028  
    7,200     United Community Banks, Inc.     238,032  
    9,029     Univest Financial Corp.     227,079  
    62,306     Walker & Dunlop, Inc.     6,209,416  
    6,100     Washington Federal, Inc.     184,342  
    4,899     Washington Trust Bancorp, Inc.     232,947  
    38,567     Waterstone Financial, Inc.     749,357  
    26,289     Wintrust Financial Corp.     1,936,448  
     

 

 

 
    Total Banks     69,480,599  
     

 

 

 
          Capital Goods — 10.3%  
    7,166     Allied Motion Technologies, Inc.     347,838  
    14,498     Apogee Enterprises, Inc.     542,225  
    7,971     Applied Industrial Technologies, Inc.     680,484  
    3,348     AZZ, Inc.     171,049  
    2,818     Boise Cascade Co.     140,731  
    360     Comfort Systems USA, Inc.     22,298  
    80,994     Cornerstone Building Brands, Inc. *     922,522  
    19,081     Ducommun, Inc. *     1,038,006  
    5,221     EMCOR Group, Inc.     508,369  
    7,293     Federal Signal Corp.     265,538  
    21,919     Gorman-Rupp Co. (The)     701,189  
 

 

       See accompanying notes to the financial statements.   73


GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Capital Goods — continued  
    86,871     Griffon Corp.     2,137,027  
    4,348     Hurco Cos, Inc.     136,658  
    20,370     Hyster-Yale Materials Handling, Inc.     1,742,654  
    10,547     Insteel Industries, Inc.     325,691  
    57,221     Meritor, Inc. *     1,737,802  
    7,568     Miller Industries, Inc.     298,709  
    59,819     Moog, Inc. – Class A     4,645,544  
    55,955     Mueller Industries, Inc.     2,274,011  
    1,772     MYR Group, Inc. *     104,459  
    11,352     Park-Ohio Holdings Corp.     367,010  
    2,496     Preformed Line Products Co.     183,107  
    29,595     Primoris Services Corp.     990,545  
    179,135     Resideo Technologies, Inc. *     4,302,823  
    17,713     Systemax, Inc.     639,439  
    6,361     Tennant Co.     484,708  
    63,925     Terex Corp.     2,632,431  
    29,226     Tutor Perini Corp. *     429,622  
    100,719     UFP Industries, Inc.     6,143,859  
    39,048     Vectrus, Inc. *     2,132,021  
    18,035     Veritiv Corp. *     428,872  
    9,018     WESCO International, Inc. *     723,965  
     

 

 

 
    Total Capital Goods     38,201,206  
     

 

 

 
          Commercial & Professional Services — 6.9%  
    240,749     ACCO Brands Corp.     1,950,067  
    90,735     Brady Corp. – Class A     4,755,421  
    43,073     CBIZ, Inc. *     1,298,651  
    156,516     CoreCivic, Inc.     1,123,785  
    12,480     CRA International, Inc.     688,522  
    35,179     Deluxe Corp.     1,390,626  
    17,471     Heidrick & Struggles International, Inc.     627,034  
    150,635     Herman Miller, Inc.     5,777,606  
    33,734     HNI Corp.     1,200,593  
    47,018     Interface, Inc.     583,964  
    44,200     Kelly Services, Inc. – Class A     920,244  
    18,518     Kforce, Inc.     950,899  
    77,773     Kimball International, Inc. – Class B     1,006,383  
    8,460     Matthews International Corp.     302,022  
    48,790     Resources Connection, Inc.     622,560  
    159,893     Steelcase, Inc. – Class A     2,228,908  
    8,293     TrueBlue, Inc. *     172,743  
     

 

 

 
    Total Commercial & Professional Services     25,600,028  
     

 

 

 
          Consumer Durables & Apparel — 6.1%  
    4,852     Clarus Corp.     84,231  
    109,977     Ethan Allen Interiors, Inc.     2,817,611  
    15,700     Fossil Group, Inc. *     237,698  
    99,833     G-III Apparel Group Ltd. *     2,874,192  
    13,446     Hooker Furniture Corp.     454,609  
    16,022     Johnson Outdoors, Inc. – Class A     1,933,535  
     Shares     Description   Value ($)  
          Consumer Durables & Apparel — continued  
    72,791     La-Z-Boy, Inc.     3,101,625  
    62,635     MDC Holdings, Inc.     3,543,262  
    46,535     Movado Group, Inc.     1,060,998  
    14,492     Rocky Brands, Inc.     631,706  
    227,792     TRI Pointe Group, Inc. *     4,328,048  
    10,869     Universal Electronics, Inc. *     632,467  
    96,451     Vera Bradley, Inc. *     915,320  
     

 

 

 
    Total Consumer Durables & Apparel     22,615,302  
     

 

 

 
          Consumer Services — 1.0%  
    27,901     Adtalem Global Education, Inc. *     1,096,509  
    6,200     American Public Education, Inc. *     182,528  
    7,926     Carriage Services, Inc.     261,241  
    1,252     Graham Holdings Co. – Class B     752,239  
    97,015     Perdoceo Education Corp. *     1,248,583  
     

 

 

 
    Total Consumer Services     3,541,100  
     

 

 

 
          Diversified Financials — 6.6%  
    83,811     Brightsphere Investment Group, Inc.     1,516,979  
    89,371     Curo Group Holdings Corp.     1,293,198  
    1,208     Diamond Hill Investment Group, Inc.     171,355  
    92,104     Donnelley Financial Solutions, Inc. *     2,393,783  
    19,344     Encore Capital Group, Inc. *     646,477  
    147,509     Enova International, Inc. *     4,528,526  
    105,802     Federated Hermes, Inc.     2,827,029  
    16,421     Oppenheimer Holdings, Inc. – Class A     622,356  
    321,789     SLM Corp.     5,081,048  
    20,604     StoneX Group, Inc. *     1,188,645  
    163,033     Waddell & Reed Financial, Inc. – Class A     4,090,498  
    14,814     Westwood Holdings Group, Inc.     255,542  
     

 

 

 
    Total Diversified Financials     24,615,436  
     

 

 

 
          Energy — 4.0%  
    20,100     Antero Resources Corp. *     180,900  
    20,668     Bonanza Creek Energy, Inc. *     659,929  
    31,400     Centennial Resource Development Inc./DE – Class A *     124,344  
    47,260     Evolution Petroleum Corp.     167,773  
    20,531     Geospace Technologies Corp. *     202,230  
    49,869     Penn Virginia Corp. *     730,082  
    43,154     Plains GP Holdings LP – Class A *     371,987  
    360,524     QEP Resources, Inc.     1,240,203  
    3,382     REX American Resources Corp. *     318,145  
    209,792     SM Energy Co.     2,907,717  
    548,795     Southwestern Energy Co. *     2,222,620  
    182,597     World Fuel Services Corp.     5,675,115  
     

 

 

 
    Total Energy     14,801,045  
     

 

 

 
          Food & Staples Retailing — 0.5%  
    9,501     Ingles Markets, Inc. – Class A     493,672  
 

 

74   See accompanying notes to the financial statements.       


GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Food & Staples Retailing — continued  
    73,909     SpartanNash Co.     1,347,361  
    3,585     Village Super Market, Inc. – Class A     82,634  
     

 

 

 
    Total Food & Staples Retailing     1,923,667  
     

 

 

 
          Food, Beverage & Tobacco — 0.9%  
    4,844     Seneca Foods Corp. – Class A *     263,804  
    62,959     Universal Corp.     3,199,577  
     

 

 

 
    Total Food, Beverage & Tobacco     3,463,381  
     

 

 

 
          Health Care Equipment & Services — 1.6%  
    19,343     Computer Programs & Systems, Inc.     608,337  
    12,319     FONAR Corp. *     238,866  
    10,459     LENSAR, Inc. *     94,549  
    58,817     Meridian Bioscience, Inc. *     1,239,862  
    98,984     Owens & Minor, Inc.     3,366,446  
    13,285     Surgalign Holdings, Inc. *     32,415  
    3,256     Surmodics, Inc. *     169,801  
    5,314     Triple-S Management Corp. – Class B *     134,444  
     

 

 

 
    Total Health Care Equipment & Services     5,884,720  
     

 

 

 
          Household & Personal Products — 0.0%  
    13,043     Lifevantage Corp. *     114,126  
     

 

 

 
          Insurance — 0.6%  
    1,400     American National Group, Inc.     126,028  
    13,848     Employers Holdings, Inc.     461,000  
    37,490     Stewart Information Services Corp.     1,769,528  
     

 

 

 
    Total Insurance     2,356,556  
     

 

 

 
          Materials — 5.7%  
    4,348     AdvanSix, Inc. *     120,874  
    16,908     American Vanguard Corp.     330,044  
    1,318     Cabot Corp.     64,885  
    37,048     Domtar Corp.     1,372,628  
    24,556     FutureFuel Corp.     360,482  
    51,463     Greif, Inc. – Class A     2,485,663  
    3,623     Hawkins, Inc.     226,800  
    13,470     HB Fuller Co.     755,263  
    21,819     Koppers Holdings, Inc. *     728,973  
    4,751     Kronos Worldwide, Inc.     68,652  
    47,814     Materion Corp.     3,274,303  
    6,280     Mercer International, Inc.     96,524  
    18,759     Neenah, Inc.     1,037,748  
    2,813     O-I Glass, Inc.     32,856  
    85,824     Schweitzer-Mauduit International, Inc.     4,007,981  
    32,550     Silgan Holdings, Inc.     1,222,578  
    4,878     Stepan Co.     588,726  
    49,353     Tredegar Corp.     752,140  
    3,543     Trinseo SA     229,267  
    129,361     Valvoline, Inc.     3,228,850  
     Shares     Description   Value ($)  
          Materials — continued  
    26,810     Verso Corp. – Class A     335,125  
     

 

 

 
    Total Materials     21,320,362  
     

 

 

 
          Media & Entertainment — 4.1%  
    36,552     AMC Networks, Inc. – Class A *     2,397,446  
    121,651     Cars.com, Inc. *     1,419,667  
    60,383     DHI Group, Inc. *     187,791  
    304,489     Liberty TripAdvisor Holdings, Inc. – Class A *     1,714,273  
    30,290     Scholastic Corp.     872,352  
    107,644     Sciplay Corp. – Class A *     1,953,739  
    328,190     TEGNA, Inc.     5,982,904  
    53,137     Tribune Publishing Co.     902,266  
     

 

 

 
    Total Media & Entertainment     15,430,438  
     

 

 

 
          Pharmaceuticals, Biotechnology & Life Sciences — 1.7%  
    124,786     Endo International Plc *     989,553  
    75,519     Kezar Life Sciences, Inc. *     413,844  
    107,320     Prestige Consumer Healthcare, Inc. *     4,476,317  
    71,288     Surface Oncology, Inc. *     604,523  
     

 

 

 
    Total Pharmaceuticals, Biotechnology & Life Sciences     6,484,237  
     

 

 

 
          Real Estate — 6.2%  
    64     Apple Hospitality REIT, Inc.     912  
    14,975     Chatham Lodging Trust (REIT)     208,602  
    84,309     CorePoint Lodging, Inc. (REIT)     768,055  
    11,795     Cushman & Wakefield Plc *     182,587  
    77,290     DiamondRock Hospitality Co. (REIT) *     782,175  
    19,081     Five Point Holdings LLC-Class A *     125,171  
    14,170     Forestar Group, Inc. *     301,679  
    348,885     GEO Group, Inc. (The) (REIT)     2,511,972  
    18,437     Hersha Hospitality Trust (REIT)     205,019  
    374,614     Newmark Group, Inc. – Class A     3,753,632  
    259,082     Realogy Holdings Corp. *     3,906,957  
    29,475     RPT Realty (REIT)     323,341  
    42,751     Service Properties Trust     548,923  
    171,889     Summit Hotel Properties, Inc. (REIT)     1,779,051  
    173,513     Sunstone Hotel Investors, Inc. (REIT)     2,292,107  
    94,841     Urban Edge Properties (REIT)     1,564,876  
    3,925     Weingarten Realty Investors (REIT)     99,656  
    180,423     Xenia Hotels & Resorts, Inc. (REIT)     3,603,047  
     

 

 

 
    Total Real Estate     22,957,762  
     

 

 

 
          Retailing — 11.0%  
    29,200     Abercrombie & Fitch Co. – Class A     799,204  
    8,431     Asbury Automotive Group, Inc. *     1,428,633  
    30,472     AutoNation, Inc. *     2,286,009  
    82,651     Big Lots, Inc.     5,251,645  
    18,920     Cato Corp. (The) – Class A     233,473  
    61,671     Core-Mark Holding Co., Inc.     2,009,241  
 

 

       See accompanying notes to the financial statements.   75


GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Retailing — continued  
    23,992     Designer Brands, Inc. – Class A     299,660  
    38,887     Genesco, Inc. *     1,747,582  
    59,994     Group 1 Automotive, Inc.     9,145,485  
    63,694     Haverty Furniture Cos, Inc.     2,303,812  
    2,577     MarineMax, Inc. *     115,063  
    145,604     Michaels Cos., Inc. (The) *     2,184,060  
    47,913     Penske Automotive Group, Inc.     3,257,126  
    35,921     Sally Beauty Holdings, Inc. *     578,328  
    48,548     Shoe Carnival, Inc.     2,376,910  
    19,834     Sleep Number Corp. *     2,719,836  
    46,899     Sonic Automotive, Inc. – Class A     2,162,513  
    2,094     Weyco Group, Inc.     36,750  
    47,501     Zumiez, Inc. *     2,141,345  
     

 

 

 
    Total Retailing     41,076,675  
     

 

 

 
          Semiconductors & Semiconductor Equipment — 0.6%  
    28,662     Alpha & Omega Semiconductor Ltd. *     1,008,616  
    31,560     Amkor Technology, Inc.     753,968  
    40,168     DSP Group, Inc. *     625,416  
     

 

 

 
    Total Semiconductors & Semiconductor Equipment     2,388,000  
     

 

 

 
          Software & Services — 0.5%  
    738     BM Technologies, Inc. *     9,299  
    43,234     Sykes Enterprises, Inc. *     1,766,541  
     

 

 

 
    Total Software & Services     1,775,840  
     

 

 

 
          Technology Hardware & Equipment — 8.6%  
    84,090     ADTRAN, Inc.     1,416,076  
    121,919     Arlo Technologies, Inc. *     848,556  
    11,800     Avid Technology, Inc. *     228,802  
    107,613     Avnet, Inc.     4,096,827  
    85,019     Benchmark Electronics, Inc.     2,414,540  
    13,342     Cambium Networks Corp. *     564,233  
    57,718     Comtech Telecommunications Corp.     1,551,460  
    34,861     CTS Corp.     1,121,478  
    55,552     Insight Enterprises, Inc. *     4,643,592  
    24,878     Kimball Electronics, Inc. *     584,135  
    29,709     Methode Electronics, Inc.     1,156,571  
    180,745     Sanmina Corp. *     6,438,137  
    5,153     ScanSource, Inc. *     146,551  
    36,344     Super Micro Computer, Inc. *     1,185,905  
    7,700     Vishay Intertechnology, Inc.     183,799  
    211,122     Xerox Holdings Corp.     5,379,389  
     

 

 

 
    Total Technology Hardware & Equipment     31,960,051  
     

 

 

 
          Telecommunication Services — 1.4%  
    41,866     IDT Corp. – Class B *     751,495  
    103,521     Spok Holdings, Inc.     1,109,745  
    150,232     Telephone & Data Systems, Inc.     2,687,651  
     Shares     Description   Value ($)  
          Telecommunication Services — continued  
    27,052     United States Cellular Corp. *     796,140  
     

 

 

 
    Total Telecommunication Services     5,345,031  
     

 

 

 
          Transportation — 0.2%  
    9,947     ArcBest Corp.     586,773  
     

 

 

 
          Utilities — 0.0%  
    7,649     Genie Energy Ltd. – Class B     57,750  
     

 

 

 
    TOTAL COMMON STOCKS (COST $311,378,459)     367,177,319  
     

 

 

 
          MUTUAL FUNDS — 0.0%      
          Affiliated Issuers — 0.0%  
    20,059     GMO U.S. Treasury Fund     101,097  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $101,097)     101,097  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          Pharmaceuticals, Biotechnology & Life Sciences — 0.0%  
    72,700     Achillion Pharmaceuticals, Inc. CVR * (a)     36,350  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $33,442)
    36,350  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.8%  
          Money Market Funds — 0.8%  
    3,066,956     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)     3,066,956  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $3,066,956)     3,066,956  
     

 

 

 
    TOTAL INVESTMENTS — 99.4%
(Cost $314,579,954)
    370,381,722  
    Other Assets and Liabilities (net) — 0.6%     2,115,918  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $372,497,640  
     

 

 

 

 

 

 

76   See accompanying notes to the financial statements.       


GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

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

20

  E-mini Russell 2000 Index   March
2021
  $ 2,199,200     $ (109,220
     

 

 

   

 

 

 

 

+

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.

 

Notes to Schedule of Investments:

 

*

Non-income producing security.

 

(a)

Investment valued using significant unobservable inputs (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 78.

 

 

       See accompanying notes to the financial statements.   77


GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2021

 

 

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

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

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

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:

GS - Goldman Sachs International

Currency Abbreviations:

USD - United States Dollar

 

78   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Assets and Liabilities — February 28, 2021

 

 

    Climate
Change Fund
    Cyclical
Focus Fund
    Emerging
Domestic
Opportunities
Fund
    Emerging
Markets Fund
 

Assets:

 

Investments in affiliated issuers, at value (Notes 2 and 10)(a)

  $ 18,563,731     $ 528,000     $     $ 6,974,406  

Investments in unaffiliated issuers, at value (Note 2)(b) (c)

    340,746,218       141,899,481       1,018,957,936       2,965,056,905  

Foreign currency, at value (Note 2)(d)

    211,086       68,389       4,637,707       37,344,500  

Cash

    15,315                    

Receivable for investments sold

                10,976,183       176,758,761  

Receivable for Fund shares sold

    3,286,323             141,985       117,107  

Dividends and interest receivable

    156,540       154,441       1,722,937       2,046,605  

Dividend withholding tax receivable

    42,669       28,312       217,924       117,004  

Foreign capital gains tax refund receivable (Note 2)

                5,527,162       3,858,618  

Due from broker (Note 2)

                47       1,559,975  

Receivable for variation margin on open futures contracts (Note 4)

                      1,516,827  

Receivable for open OTC swap contracts (Note 4)

                      225,326  

Receivable for expenses reimbursed and/or waived by GMO (Note 5)

    43,029       45,687       13,423       104,391  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    363,064,911       142,724,310       1,042,195,304       3,195,680,425  
 

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

 

Due to broker (Note 2)

                      45,639  

Payable for cash collateral from securities loaned (Note 2)

    3,377,753                    

Payable for investments purchased

    7,458,946             2,570,844       120,844,752  

Payable for Fund shares repurchased

          650,000       9,783,962       53,295,232  

Accrued foreign capital gains tax payable (Note 2)

    26,624             2,387,140       1,089,327  

Payable to affiliate for (Note 5):

 

Management fee

    169,158       36,705       677,838       1,691,162  

Shareholder service fee

    42,290       6,118       116,373       246,299  

Payable to agents unaffiliated with GMO

    200       32       677       1,969  

Payable for variation margin on open futures contracts (Note 4)

                      3,777,165  

Payable to Trustees and related expenses

    587       590       3,973       13,470  

Accrued expenses

    107,887       42,068       347,924       1,240,999  

Miscellaneous payable

                      894,060  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    11,183,445       735,513       15,888,731       183,140,074  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 351,881,466     $ 141,988,797     $ 1,026,306,573     $ 3,012,540,351  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)  Cost of investments – affiliated issuers:

  $ 18,563,731     $ 528,000     $     $ 13,358,337  

(b)  Cost of investments – unaffiliated issuers:

  $ 268,348,256     $ 105,788,153     $ 868,209,222     $ 2,672,080,740  

(c)  Includes securities on loan at value (Note 2):

  $ 19,593,447     $     $     $ 3,874,183  

(d)  Cost of foreign currency:

  $ 211,948     $ 68,380     $ 4,702,218     $ 37,543,679  

 

       See accompanying notes to the financial statements.   79


GMO Trust Funds

 

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

 

 

    Climate
Change Fund
    Cyclical
Focus Fund
    Emerging
Domestic
Opportunities
Fund
    Emerging
Markets Fund
 

Net assets consist of:

 

Paid-in capital

  $ 261,235,190     $ 93,626,955     $ 885,940,798     $ 3,951,346,722  

Distributable earnings (accumulated loss)

    90,646,276       48,361,842       140,365,775       (938,806,371
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 351,881,466     $ 141,988,797     $ 1,026,306,573     $ 3,012,540,351  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets attributable to:

 

Class II

  $     $     $ 309,965,742     $ 291,832,789  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

  $ 178,223,408     $     $     $ 501,906,749  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class V

  $     $     $ 697,864,392     $ 307,705,173  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 141,988,797     $     $ 1,787,607,384  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $ 74,960,768     $     $     $ 43,664,430  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $ 98,697,290     $     $ 18,476,439     $ 79,823,826  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding:

 

Class II

                11,200,053       7,951,415  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

    5,181,774                   13,634,786  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class V

                25,227,149       8,449,876  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

          4,886,002             49,092,130  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

    2,183,227                   1,190,706  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

    2,874,779             667,631       2,177,499  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per share:

 

Class II

  $     $     $ 27.68     $ 36.70  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

  $ 34.39     $     $     $ 36.81  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class V

  $     $     $ 27.66     $ 36.42  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 29.06     $     $ 36.41  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $ 34.33     $     $     $ 36.67  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $ 34.33     $     $ 27.67     $ 36.66  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

80   See accompanying notes to the financial statements.       


GMO Trust Funds

 

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

 

 

    International
Equity Fund
    Japan Value
Creation Fund
    Quality Fund     Resources
Fund
 

Assets:

 

Investments in affiliated issuers, at value (Notes 2 and 10)(a)

  $     $     $ 9,830,961     $  

Investments in unaffiliated issuers, at value (Note 2)(b) (c)

    2,234,755,469       163,774,317       7,374,149,852       997,960,492  

Foreign currency, at value (Note 2)(d)

    1,490,865             17       1,236,963  

Cash

                      117,302  

Receivable for investments sold

    3,382       3,246,599              

Receivable for Fund shares sold

                6,678,582       839,871  

Dividends and interest receivable

    2,338,300       276,351       8,180,570       1,391,525  

Dividend withholding tax receivable

    2,040,058       77,155       3,216,795       231,422  

EU tax reclaims receivable (Note 2)

    6,462,109                    

Due from broker (Note 2)

    4,354                    

Receivable for expenses reimbursed and/or waived by GMO (Note 5)

    30,175       33,989       142,711        
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    2,247,124,712       167,408,411       7,402,199,488       1,001,777,575  
 

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

 

Payable for investments purchased

          2,630,048       24,109,712       210,576  

Payable for Fund shares repurchased

    2,243,332       760,000       5,795,171       201,332  

Accrued foreign capital gains tax payable (Note 2)

                      1,825,030  

Payable for IRS closing agreement fees (Note 2)

    48,226,154                    

Payable to affiliate for (Note 5):

 

Management fee

    920,836       69,567       2,025,704       409,161  

Shareholder service fee

    188,117       7,652       687,412       100,537  

Payable to agents unaffiliated with GMO

    1,570       30       4,612       559  

Payable for variation margin on open futures contracts (Note 4)

    366,982                    

Payable to Trustees and related expenses

    12,870       1,049       36,036       2,263  

Accrued expenses

    601,176       68,045       635,743       211,859  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    52,561,037       3,536,391       33,294,390       2,961,317  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 2,194,563,675     $ 163,872,020     $ 7,368,905,098     $ 998,816,258  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)  Cost of investments – affiliated issuers:

  $     $     $ 9,752,901     $  

(b)  Cost of investments – unaffiliated issuers:

  $ 2,074,785,926     $ 143,361,771     $ 4,450,996,099     $ 731,023,910  

(c)  Includes securities on loan at value (Note 2):

  $     $     $     $ 23,419,309  

(d)  Cost of foreign currency:

  $ 1,505,333     $     $ 16     $ 1,250,600  

 

       See accompanying notes to the financial statements.   81


GMO Trust Funds

 

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

 

 

    International
Equity Fund
    Japan Value
Creation Fund
    Quality Fund     Resources
Fund
 

Net assets consist of:

 

Paid-in capital

  $ 3,076,826,531     $ 138,021,194     $ 4,296,618,891     $ 713,641,523  

Distributable earnings (accumulated loss)

    (882,262,856     25,850,826       3,072,286,207       285,174,735  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 2,194,563,675     $ 163,872,020     $ 7,368,905,098     $ 998,816,258  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets attributable to:

 

Class II

  $ 5,545,767     $     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

  $ 423,332,215     $     $ 3,519,472,514     $ 96,091,404  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class IV

  $ 1,765,685,693     $     $ 750,632,176     $ 531,005,766  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 163,872,020     $ 2,465,066,275     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $     $     $ 330,287,355     $ 2,617,339  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $     $     $ 303,446,778     $ 369,101,749  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding:

 

Class II

    240,745                    
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

    18,149,762             135,492,652       3,454,733  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class IV

    75,833,692             28,830,584       19,146,610  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

          6,982,586       94,887,767        
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

                12,725,368       94,092  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

                11,702,531       13,270,280  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per share:

 

Class II

  $ 23.04     $     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

  $ 23.32     $     $ 25.98     $ 27.81  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class IV

  $ 23.28     $     $ 26.04     $ 27.73  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 23.47     $ 25.98     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $     $     $ 25.96     $ 27.82  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $     $     $ 25.93     $ 27.81  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

82   See accompanying notes to the financial statements.       


GMO Trust Funds

 

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

 

 

    Tax-Managed
International
Equities Fund
    U.S. Equity
Fund
    U.S. Small
Cap Value
Fund
 

Assets:

 

Investments in affiliated issuers, at value (Notes 2 and 10)(a)

  $ 5,165     $ 2,850,296     $ 101,097  

Investments in unaffiliated issuers, at value (Note 2)(b)

    38,983,863       347,893,862       370,280,625  

Foreign currency, at value (Note 2)(c)

    20,454              

Receivable for investments sold

    369             6,799,336  

Dividends and interest receivable

    32,562       541,710       346,946  

Dividend withholding tax receivable

    24,891              

Foreign capital gains tax refund receivable (Note 2)

    2,185              

Due from broker (Note 2)

    36,167       107,000       140,000  

Receivable for expenses reimbursed and/or waived by GMO (Note 5)

    16,186       8,627       55  
 

 

 

   

 

 

   

 

 

 

Total assets

    39,121,842       351,401,495       377,668,059  
 

 

 

   

 

 

   

 

 

 

Liabilities:

 

Due to broker (Note 2)

    38       35       3  

Payable for Fund shares repurchased

    1,712             4,980,000  

Accrued foreign capital gains tax payable (Note 2)

    1,274              

Payable to affiliate for (Note 5):

 

Management fee

    16,233       90,018       96,554  

Shareholder service fee

    4,870       24,301       17,130  

Payable to agents unaffiliated with GMO

    26       239       264  

Payable for variation margin on open futures contracts (Note 4)

    5,980       7,520       800  

Payable to Trustees and related expenses

    175       1,968       1,634  

Accrued expenses

    131,974       74,991       74,034  
 

 

 

   

 

 

   

 

 

 

Total liabilities

    162,282       199,072       5,170,419  
 

 

 

   

 

 

   

 

 

 

Net assets

  $ 38,959,560     $ 351,202,423     $ 372,497,640  
 

 

 

   

 

 

   

 

 

 

(a)  Cost of investments – affiliated issuers:

  $ 5,123     $ 2,850,296     $ 101,097  

(b)  Cost of investments – unaffiliated issuers:

  $ 28,461,816     $ 281,663,084     $ 314,478,857  

(c)  Cost of foreign currency:

  $ 20,412     $     $  

 

       See accompanying notes to the financial statements.   83


GMO Trust Funds

 

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

 

 

    Tax-Managed
International
Equities Fund
    U.S. Equity
Fund
    U.S. Small
Cap Value
Fund
 

Net assets consist of:

 

Paid-in capital

  $ 30,981,578     $ 263,735,219     $ 299,237,773  

Distributable earnings (accumulated loss)

    7,977,982       87,467,204       73,259,867  
 

 

 

   

 

 

   

 

 

 
  $ 38,959,560     $ 351,202,423     $ 372,497,640  
 

 

 

   

 

 

   

 

 

 

Net assets attributable to:

 

Class III

  $ 38,959,560     $ 105,655,604     $  
 

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 245,546,819     $ 372,497,640  
 

 

 

   

 

 

   

 

 

 

Shares outstanding:

 

Class III

    2,438,115       7,340,746        
 

 

 

   

 

 

   

 

 

 

Class VI

          17,228,021       14,907,520  
 

 

 

   

 

 

   

 

 

 

Net asset value per share:

 

Class III

  $ 15.98     $ 14.39     $  
 

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 14.25     $ 24.99  
 

 

 

   

 

 

   

 

 

 

 

84   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Operations — Year Ended February 28, 2021

 

 

    Climate
Change Fund
    Cyclical
Focus Fund*
    Emerging
Domestic
Opportunities
Fund
    Emerging
Markets Fund
 

Investment Income:

       

Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)

  $ 3,326,160     $ 2,391,909     $ 16,155,586     $ 100,830,699  

Dividends from affiliated issuers (Note 10)

    8,787       907       38,293        

Interest

                236,589       765,955  

Non-cash paid in-kind dividends from unaffiliated issuers

    354,384                    

Securities lending income from affiliated issuers (net)

    16,320                    

Securities lending income (net)

    53,840       1,118             120,828  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    3,759,491       2,393,934       16,430,468       101,717,482  
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

 

Management fee (Note 5)

    1,109,945       341,126       7,012,210       20,037,654  

Shareholder service fee – Class II (Note 5)

                648,162       762,255  

Shareholder service fee – Class III (Note 5)

    199,543             31,006 **      611,045  

Shareholder service fee – Class V (Note 5)

                525,234       133,221  

Shareholder service fee – Class VI (Note 5)

          56,854             1,088,631  

Shareholder service fee – Class R6 (Note 5)

    46,275                   50,225 **** 

Shareholder service fee – Class I (Note 5)

    31,668             3,847 ***      57,814  

Organizational expenses

          103,449              

Audit and tax fees

    87,211       47,572       96,009       283,535  

Custodian, fund accounting agent and transfer agent fees

    124,427       31,267       568,878       2,054,909  

Legal fees

    13,636       14,990       37,213       94,042  

Registration fees

    29,977             9,198       55,205  

Trustees’ fees and related expenses (Note 5)

    5,913       3,970       33,510       107,227  

Miscellaneous

    27,145       13,055       34,970       65,932  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    1,675,740       612,283       9,000,237       25,401,695  

Fees and expenses reimbursed and/or waived by GMO (Note 5)

    (223,718     (203,082     (178,739     (2,159,119

Indirectly incurred management fees waived or borne by GMO (Note 5)

    (6,315     (541     (15,864      
 

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

    1,445,707       408,660       8,805,634       23,242,576  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    2,313,784       1,985,274       7,624,834       78,474,906  
 

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss):

 

Net realized gain (loss) on:

 

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)

    33,243,536       17,729,524       94,688,330       101,569,186  

Investments in affiliated issuers

    25,397             (4,710,709     (3,453,524

Realized gain distributions from affiliated issuers (Note 10)

    1,155       286       16        

Futures contracts

                1,405,623       30,465,630  

Swap contracts

                3,304,683       12,228,051  

Forward currency contracts

                (474,612      

Foreign currency and foreign currency related transactions

    6,679       49,725       (1,319,594     383,466  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    33,276,767       17,779,535       92,893,737       141,192,809  
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation (depreciation) on:

 

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)

    71,682,555       36,111,328       145,547,745       394,242,703  

Investments in affiliated issuers

    (14,867           8,537,548       6,039,978  

Futures contracts

                (1,227,126     13,670,985  

Swap contracts

                (618,942     (600,792

Forward currency contracts

                405,915        

Foreign currency and foreign currency related transactions

    (27,342     1,557       (94,043     (179,143
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

    71,640,346       36,112,885       152,551,097       413,173,731  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    104,917,113       53,892,420       245,444,834       554,366,540  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

  $ 107,230,897     $ 55,877,694     $ 253,069,668     $ 632,841,446  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)   Withholding tax:

  $ 319,398     $ 117,001     $ 2,458,082     $ 12,816,026  

(b)   Foreign capital gains tax on net realized gain (loss):

  $     $     $ 37,452     $ (18,925

(c)   Foreign capital gains tax on change in net unrealized appreciation (depreciation):

  $ 26,624     $     $ 1,940,756     $ 1,342,841  

*    Period from May 12, 2020 (commencement of operations) through February 28, 2021.

     

**   Class III liquidated on January 22, 2021.

    

***   Period from January 22, 2021 (commencement of operations) through February 28, 2021.

    

****  Period from March 31, 2020 (commencement of operations) through February 28, 2021.

   

 

       See accompanying notes to the financial statements.   85


GMO Trust Funds

 

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

 

 

     International
Equity Fund
    Japan Value
Creation Fund*
    Quality Fund     Resources
Fund
 

Investment Income:

        

Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)

   $ 78,785,363     $ 1,597,002     $ 121,755,518     $ 18,641,426  

Dividends from affiliated issuers (Note 10)

                 31,838        

Interest

                 377,535       31,403  

Securities lending income (net)

                       157,172  

Other income (Note 2)

     82,471,149                    

Less: IRS closing agreement fees (Note 2)

     (48,226,154                  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     113,030,358       1,597,002       122,164,891       18,830,001  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

 

Management fee (Note 5)

     12,843,108       356,181       22,351,636       3,159,526  

Shareholder service fee – Class II (Note 5)

     12,737                    

Shareholder service fee – Class III (Note 5)

     663,626             4,992,462       376,869  

Shareholder service fee – Class IV (Note 5)

     1,908,373             921,166       344,436  

Shareholder service fee – Class VI (Note 5)

           39,180       1,263,933        

Shareholder service fee – Class R6 (Note 5)

                 170,431       331 ** 

Shareholder service fee – Class I (Note 5)

                 233,900       54,003 ** 

Organizational expenses

           60,000              

Audit and tax fees

     223,921       54,142       89,999       80,441  

Custodian, fund accounting agent and transfer agent fees

     641,699       17,702       1,076,242       298,221  

Legal fees

     77,432       26,175       197,924       24,113  

Registration fees

     22,584             60,106       3,164  

Trustees’ fees and related expenses (Note 5)

     96,625       3,001       252,876       21,118  

Miscellaneous

     77,008       8,016       60,773       28,418  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     16,567,113       564,397       31,671,448       4,390,640  

Fees and expenses reimbursed and/or waived by GMO (Note 5)

     (872,692     (164,031     (1,251,835      

Indirectly incurred management fees waived or borne by GMO (Note 5)

                 (10,965     (89
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     15,694,421       400,366       30,408,648       4,390,551  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     97,335,937       1,196,636       91,756,243       14,439,450  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss):

        

Net realized gain (loss) on:

        

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)

     64,901,691       6,346,967       799,297,454       61,533,622  

Investments in affiliated issuers

                 47,619       10,764  

Realized gain distributions from affiliated issuers (Note 10)

                 975        

Futures contracts

     (14,279,213                  

Foreign currency and foreign currency related transactions

     (50,825     (28,876     101,284       (346,587
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     50,571,653 ***      6,318,091       799,447,332 ***      61,197,799  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation (depreciation) on:

 

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)

     309,569,937       20,412,546       949,880,576       277,820,668  

Investments in affiliated issuers

                 15,202       (7,302

Futures contracts

     8,280,402                    

Foreign currency and foreign currency related transactions

     729,809       (5,548     84,190       62,072  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

     318,580,148       20,406,998       949,979,968       277,875,438  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     369,151,801       26,725,089       1,749,427,300       339,073,237  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

   $ 466,487,738     $ 27,921,725     $ 1,841,183,543     $ 353,512,687  
  

 

 

   

 

 

   

 

 

   

 

 

 

(a)  Withholding tax:

   $ 7,256,695     $ 177,464     $ 3,249,096     $ 1,959,962  

(b)  Foreign capital gains tax on net realized gain (loss):

   $     $     $     $ 146,546  

(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):

   $     $     $     $ 1,825,030  

*   Period from September 14, 2020 (commencement of operations) through February 28, 2021.

    

 

**   Period from January 22, 2021 (commencement of operations) through February 28, 2021.

    

 

***  For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

   

 

 

86   See accompanying notes to the financial statements.       


GMO Trust Funds

 

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

 

 

    Tax-Managed
International
Equities Fund
    U.S. Equity
Fund
    U.S. Small
Cap Value
Fund
 

Investment Income:

     

Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)

  $ 1,258,694     $ 7,282,047     $ 8,389,873  

Dividends from affiliated issuers (Note 10)

    768       7,941       4,990  

Interest

    27             136,095  
 

 

 

   

 

 

   

 

 

 

Total investment income

    1,259,489       7,289,988       8,530,958  
 

 

 

   

 

 

   

 

 

 

Expenses:

 

Management fee (Note 5)

    196,544       1,172,422       1,272,073  

Shareholder service fee – Class III (Note 5)

    58,963       137,032        

Shareholder service fee – Class VI (Note 5)

          157,765       225,690  

Audit and tax fees

    102,761       56,443       53,700  

Custodian, fund accounting agent and transfer agent fees

    97,519       67,793       73,383  

Legal fees

    6,078       15,707       19,405  

Registration fees

    1,117       22,275       1,088  

Trustees’ fees and related expenses (Note 5)

    1,454       14,199       14,442  

Miscellaneous

    33,131     9,303       7,892  
 

 

 

   

 

 

   

 

 

 

Total expenses

    497,567       1,652,939       1,667,673  

Fees and expenses reimbursed and/or waived by GMO (Note 5)

    (210,047     (162,339      

Indirectly incurred management fees waived or borne by GMO (Note 5)

    (261     (2,976     (1,730
 

 

 

   

 

 

   

 

 

 

Net expenses

    287,259       1,487,624       1,665,943  
 

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    972,230       5,802,364       6,865,015  
 

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss):

     

Net realized gain (loss) on:

     

Investments in unaffiliated issuers

    2,795,516       40,780,932       43,009,069  

Investments in affiliated issuers

    2,326       13,242       28,629  

Realized gain distributions from affiliated issuers (Note 10)

    26       213       343  

Futures contracts

    50,395       (209,606     (2,130,022

Foreign currency and foreign currency related transactions

    (4,546            
 

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    2,843,717       40,584,781 **      40,908,019 ** 
 

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation (depreciation) on:

 

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)

    5,023,967       58,474,407       101,844,018  

Investments in affiliated issuers

    (857     (2,929     (15,999

Futures contracts

    5,679       78,400       681,150  

Foreign currency and foreign currency related transactions

    19,942              
 

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

    5,048,731       58,549,878       102,509,169  
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    7,892,448       99,134,659       143,417,188  
 

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

  $ 8,864,678     $ 104,937,023     $ 150,282,203  
 

 

 

   

 

 

   

 

 

 

(a)  Withholding tax:

  $ 115,298     $ 176     $ 4,945  

(b)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):

  $ 1,274     $     $  

*   Includes $25,706 of pricing related fees.

     

**   For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

     

 

       See accompanying notes to the financial statements.   87


GMO Trust Funds

 

Statements of Changes in Net Assets

 

 

       Climate Change Fund(a)     Cyclical Focus Fund  
       Year Ended
February 28/29
    Period from
May 12, 2020
(commencement
of operations)
through
February 28,
2021
 
       2021     2020  

Increase (decrease) in net assets:

 

Operations:

 

Net investment income (loss)

     $ 2,313,784     $ 2,172,426     $ 1,985,274  

Net realized gain (loss)

       33,276,767       1,027,040       17,779,535  

Change in net unrealized appreciation (depreciation)

       71,640,346       2,837,109       36,112,885  
    

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       107,230,897       6,036,575       55,877,694  
    

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

       (9,171,238     (4,994,590      

Class VI

                   (7,515,852

Class R6

       (2,822,175          

Class I

       (1,789,912     **       
    

 

 

   

 

 

   

 

 

 

Total distributions

       (13,783,325     (4,994,590     (7,515,852
    

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class III

       (6,186,295     6,871,328        

Class VI

                   93,626,955  

Class R6

       54,335,435       1,239,895      

Class I

       87,130,973       1,000,842 **       
    

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       135,280,113       9,112,065       93,626,955  
    

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       228,727,685       10,154,050       141,988,797  
Net assets:

 

Beginning of period

       123,153,781       112,999,731        
    

 

 

   

 

 

   

 

 

 

End of period

     $ 351,881,466     $ 123,153,781     $ 141,988,797  
    

 

 

   

 

 

   

 

 

 

(a)  See Note 11 for discussion of reorganization.

   

*   Period from January 16, 2020 (commencement of operations) through February 29, 2020.

    

**   Period from February 25, 2020 (commencement of operations) through February 29, 2020.

    

 

88   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       Emerging Domestic
Opportunities Fund(a)
    Emerging Markets Fund(a)  
       Year Ended
February 28/29
    Year Ended
February 28/29
 
       2021      2020     2021     2020  

Increase (decrease) in net assets:

 

Operations:

 

Net investment income (loss)

     $ 7,624,834      $ 23,082,264     $ 78,474,906     $ 122,975,774  

Net realized gain (loss)

       92,893,737        67,107,061       141,192,809       175,446,783  

Change in net unrealized appreciation (depreciation)

       152,551,097        (54,844,542     413,173,731       (297,047,770
    

 

 

    

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       253,069,668        35,344,783       632,841,446       1,374,787  
    

 

 

    

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class II

       (1,859,130      (16,547,112     (12,199,534     (24,874,314

Class III

       (84,526 )*       (7,732,788     (17,045,072     (12,473,933

Class V

       (5,157,641      (27,277,084     (5,655,265     ***** 

Class VI

                    (76,765,259     (121,480,286

Class R6

                    (936,435 )****       

Class I

       **             (1,295,377     ****** 
    

 

 

    

 

 

   

 

 

   

 

 

 

Total distributions

       (7,101,297      (51,556,984     (113,896,942     (158,828,533
    

 

 

    

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class II

       (60,686,694      (170,009,264     (168,183,437     (35,761,782

Class III

       (97,209,926 )*       (71,925,343     89,373,406       73,786,338  

Class IV

              (114,489,235 )***             

Class V

       (42,006,078      (179,544,003     80,614,160       210,170,738 ***** 

Class VI

                    (740,332,831     (390,152,634

Class R6

                    36,659,585 ****       

Class I

       19,375,366 **             60,222,895       17,404,620 ****** 
    

 

 

    

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (180,527,332      (535,967,845     (641,646,222     (124,552,720
    

 

 

    

 

 

   

 

 

   

 

 

 

Purchase premiums and redemption fees (Notes 2 and 9):

 

Class II

              852,111             275,184  

Class III

              352,337             157,429  

Class IV

              9,845 ***             

Class V

              1,096,979             ***** 

Class VI

                          1,473,861  
    

 

 

    

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from purchase premiums and redemption fees

              2,311,272             1,906,474  
    

 

 

    

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees

       (180,527,332      (533,656,573     (641,646,222     (122,646,246
    

 

 

    

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       65,441,039        (549,868,774     (122,701,718     (280,099,992
Net assets:

 

Beginning of period

       960,865,534        1,510,734,308       3,135,242,069       3,415,342,061  
    

 

 

    

 

 

   

 

 

   

 

 

 

End of period

     $ 1,026,306,573      $ 960,865,534     $ 3,012,540,351     $ 3,135,242,069  
    

 

 

    

 

 

   

 

 

   

 

 

 

(a)    See Note 11 for discussion of reorganization.

     

 

*     Class III liquidated on January 22, 2021.

      

 

**    Period from January 22, 2021 (commencement of operations) through February 28, 2021.

     

 

***    For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders.

     

 

****   Period from March 31, 2020 (commencement of operations) through February 28, 2021.

    

 

*****   Period from February 26, 2020 through February 29, 2020.

    

 

******  Period from January 14, 2020 (commencement of operations) through February 29, 2020.

   

 

 

       See accompanying notes to the financial statements.   89


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       International Equity Fund     Japan Value
Creation Fund
 
       Year Ended
February 28/29
    Period from
September 14,
2020
(commencement
of operations)
through
February 28,
2021
 
       2021     2020  

Increase (decrease) in net assets:

        

Operations:

        

Net investment income (loss)

     $ 97,335,937     $ 122,498,085     $ 1,196,636  

Net realized gain (loss)

       50,571,653       30,579,072       6,318,091  

Change in net unrealized appreciation (depreciation)

       318,580,148       (53,383,001     20,406,998  
    

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       466,487,738       99,694,156       27,921,725  
    

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class II

       (236,321     (508,765      

Class III

       (20,929,248     (19,312,559      

Class IV

       (91,693,467     (102,795,751      

Class VI

                   (2,070,899
    

 

 

   

 

 

   

 

 

 

Total distributions

       (112,859,036     (122,617,075     (2,070,899
    

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class II

       (5,323,954     (7,576,940      

Class III

       (100,462,179     (53,558,079      

Class IV

       (1,100,892,967     (550,484,729      

Class VI

                   138,021,194  
    

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (1,206,679,100     (611,619,748     138,021,194  
    

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       (853,050,398     (634,542,667     163,872,020  
Net assets:

 

Beginning of period

       3,047,614,073       3,682,156,740        
    

 

 

   

 

 

   

 

 

 

End of period

     $ 2,194,563,675     $ 3,047,614,073     $ 163,872,020  
    

 

 

   

 

 

   

 

 

 

 

90   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       Quality Fund(a)     Resources Fund(a)  
       Year Ended
February 28/29
    Year Ended
February 28/29
 
       2021      2020     2021     2020  

Increase (decrease) in net assets:

           

Operations:

           

Net investment income (loss)

     $ 91,756,243      $ 98,660,852     $ 14,439,450     $ 17,591,932  

Net realized gain (loss)

       799,447,332        659,320,060       61,197,799       20,005,066  

Change in net unrealized appreciation (depreciation)

       949,979,968        (90,253,069     277,875,438       (82,446,836
    

 

 

    

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       1,841,183,543        667,727,843       353,512,687       (44,849,838
    

 

 

    

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

       (448,796,803      (264,047,724     (13,864,334     (6,468,905

Class IV

       (123,440,372      (78,540,885     (17,483,890     (10,675,296

Class VI

       (317,805,859      (181,579,983            

Class R6

       (13,858,740      (5,847,564 )*      ***       

Class I

       (21,984,988      (1,788,658 )**      ***       
    

 

 

    

 

 

   

 

 

   

 

 

 

Total distributions

       (925,886,762      (531,804,814     (31,348,224     (17,144,201
    

 

 

    

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class III

       (122,543,739      66,851,883       (255,982,659     55,398,679  

Class IV

       (221,988,939      (315,166,090     52,674,305       12,711,805  

Class VI

       70,585,435        (209,718,124            

Class R6

       242,131,286        85,664,922     2,547,139 ***       

Class I

       202,555,586        87,540,552 **      364,577,456 ***       
    

 

 

    

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       170,739,629        (284,826,857     163,816,241       68,110,484  
    

 

 

    

 

 

   

 

 

   

 

 

 

Purchase premiums and redemption fees (Notes 2 and 9):

 

Class III

                          90,346  

Class IV

                          151,328  
    

 

 

    

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from purchase premiums and redemption fees

                          241,674  
    

 

 

    

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees

       170,739,629        (284,826,857     163,816,241       68,352,158  
    

 

 

    

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       1,086,036,410        (148,903,828     485,980,704       6,358,119  
Net assets:

 

Beginning of period

       6,282,868,688        6,431,772,516       512,835,554       506,477,435  
    

 

 

    

 

 

   

 

 

   

 

 

 

End of period

     $ 7,368,905,098      $ 6,282,868,688     $ 998,816,258     $ 512,835,554  
    

 

 

    

 

 

   

 

 

   

 

 

 

(a)  See Note 11 for discussion of reorganization.

   

 

*   Period from November 12, 2019 (commencement of operations) through February 29, 2020.

    

 

**   Period from September 26, 2019 (commencement of operations) through February 29, 2020.

    

 

***  Period from January 22, 2021 (commencement of operations) through February 28, 2021.

   

 

 

       See accompanying notes to the financial statements.   91


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       Tax-Managed International
Equities Fund
    U.S. Equity 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)

     $ 972,230     $ 1,439,752     $ 5,802,364     $ 11,845,955  

Net realized gain (loss)

       2,843,717       2,870,514       40,584,781       67,825,076  

Change in net unrealized appreciation (depreciation)

       5,048,731       (2,964,684     58,549,878       (43,567,966
    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       8,864,678       1,345,582       104,937,023       36,103,065  
    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

       (882,340     (1,766,064     (8,735,355     (12,516,573

Class VI

                   (26,985,388     (55,465,712
    

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

       (882,340     (1,766,064     (35,720,743     (67,982,285
    

 

 

   

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class III

       (5,250,369     (12,091,123     2,522,212       (39,804,661

Class VI

                   (169,966,891     (368,797,179
    

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (5,250,369     (12,091,123     (167,444,679     (408,601,840
    

 

 

   

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       2,731,969       (12,511,605     (98,228,399     (440,481,060
Net assets:

 

Beginning of period

       36,227,591       48,739,196       449,430,822       889,911,882  
    

 

 

   

 

 

   

 

 

   

 

 

 

End of period

     $ 38,959,560     $ 36,227,591     $ 351,202,423     $ 449,430,822  
    

 

 

   

 

 

   

 

 

   

 

 

 

 

92   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

     U.S. Small Cap Value Fund  
     Year Ended
February 28,

2021
    Period from
July 2, 2019
(commencement
of operations)
through
February 29,

2020
 

Increase (decrease) in net assets:

 

Operations:

 

Net investment income (loss)

   $ 6,865,015     $ 4,523,917  

Net realized gain (loss)

     40,908,019       (2,586,408

Change in net unrealized appreciation (depreciation)

     102,509,169       (46,816,621
  

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     150,282,203       (44,879,112
  

 

 

   

 

 

 

Distributions to shareholders:

 

Class VI

     (6,891,863     (3,801,218
  

 

 

   

 

 

 

Total distributions

     (6,891,863     (3,801,218
  

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class VI

     (186,401,008     464,188,638  
  

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

     (186,401,008     464,188,638  
  

 

 

   

 

 

 

Total increase (decrease) in net assets

     (43,010,668     415,508,308  
Net assets:

 

Beginning of period

     415,508,308        
  

 

 

   

 

 

 

End of period

   $ 372,497,640     $ 415,508,308  
  

 

 

   

 

 

 

 

       See accompanying notes to the financial statements.   93


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

CLIMATE CHANGE FUND

 

     Class III Shares   Class R6 Shares
     Year Ended February 28/29,   Period from
April 5, 2017
(commencement
of operations)
through
February 28,
2018
  Year Ended
February 28, 2021
  Period from
January 16,
2020
(commencement
of operations)
through
February 29,
2020
     2021   2020   2019

Net asset value, beginning of period

     $ 22.36     $ 22.04     $ 23.81     $ 20.00     $ 22.36     $ 24.55
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

 

       

Net investment income (loss)(a)

       0.35       0.41       0.36       0.23       0.31       0.01

Net realized and unrealized gain (loss)

       13.43       0.87       (1.61 )       4.41       13.43       (2.20 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       13.78       1.28       (1.25 )       4.64       13.74       (2.19 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

 

       

From net investment income

       (0.30 )       (0.45 )       (0.26 )       (0.22 )       (0.32 )      

From net realized gains

       (1.45 )       (0.51 )       (0.26 )       (0.61 )       (1.45 )      
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.75 )       (0.96 )       (0.52 )       (0.83 )       (1.77 )      
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 34.39     $ 22.36     $ 22.04     $ 23.81     $ 34.33     $ 22.36
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       63.84 %       5.66 %       (5.22 )%       23.28 %**       63.71 %       (8.92 )%**

Ratios/Supplemental Data:

 

       

Net assets, end of period (000’s)

     $ 178,223     $ 121,062     $ 113,000     $ 26,694     $ 74,961     $ 1,129

Net expenses to average daily net assets(c)

       0.77 %       0.77 %       0.75 %       0.78 %*       0.77 %       0.77 %*

Net investment income (loss) to average daily net assets(a)

       1.39 %       1.84 %       1.61 %       1.09 %*       1.04 %       0.40 %*

Portfolio turnover rate(d)

       84 %       62 %       29 %       44 %**       84 %       62 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.13 %(e)       0.16 %(e)       0.26 %       0.73 %*       0.11 %(e)       0.23 %(e)*

 

     Class I Shares
     Year Ended
February 28,
2021
  Period from
February 25, 2020
(commencement
of operations)
through
February 29,
2020

Net asset value, beginning of period

     $ 22.36     $ 23.37
    

 

 

     

 

 

 

Income (loss) from investment operations:

 

Net investment income (loss)(a)

       0.21       0.01

Net realized and unrealized gain (loss)

       13.53       (1.02 )
    

 

 

     

 

 

 

Total from investment operations

       13.74       (1.01 )
    

 

 

     

 

 

 

Less distributions to shareholders:

 

From net investment income

       (0.32 )      

From net realized gains

       (1.45 )      
    

 

 

     

 

 

 

Total distributions

       (1.77 )      
    

 

 

     

 

 

 

Net asset value, end of period

     $ 34.33     $ 22.36
    

 

 

     

 

 

 

Total Return(b)

       63.67 %       (4.32 )%**

Ratios/Supplemental Data:

 

Net assets, end of period (000’s)

     $ 98,697     $ 962

Net expenses to average daily net assets(c)

       0.87 %       0.87 %*

Net investment income (loss) to average daily net assets(a)

       0.66 %       1.93 %*

Portfolio turnover rate(d)

       84 %       62 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.11 %(e)       0.43 %(e)*
(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) 

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, 2018, including transactions in USTF, was 145%, 173%, 121% and 174%, respectively, of the average value of its portfolio.

(e)

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

94   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout the period)

 

 

CYCLICAL FOCUS FUND

 

     Class VI Shares
     Period from
May 12, 2020
(commencement
of operations)
through
February 28,
2021

Net asset value, beginning of period

     $ 20.00
    

 

 

 

Income (loss) from investment operations:

 

Net investment income (loss)(a)

       0.38

Net realized and unrealized gain (loss)

       10.23
    

 

 

 

Total from investment operations

       10.61
    

 

 

 

Less distributions to shareholders:

 

From net investment income

       (0.60 )

From net realized gains

       (0.95 )
    

 

 

 

Total distributions

       (1.55 )
    

 

 

 

Net asset value, end of period

     $ 29.06
    

 

 

 

Total Return(b)

       53.56 %**

Ratios/Supplemental Data:

 

Net assets, end of period (000’s)

     $ 141,989

Net expenses to average daily net assets(c)

       0.40 % *

Net investment income (loss) to average daily net assets(a)

       1.92 % *

Portfolio turnover rate (d)

       65 % **

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.20 %(e)*
(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) 

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 year ended February 28, 2021, including transactions in USTF was 70% of the average value of its portfolio.

(e) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

       See accompanying notes to the financial statements.   95


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

EMERGING DOMESTIC OPPORTUNITIES FUND

 

     Class II Shares   Class V 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

     $ 21.14     $ 21.61     $ 28.86     $ 22.64     $ 19.36     $ 21.12     $ 21.60     $ 28.85     $ 22.62     $ 19.35
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                        

Net investment income (loss)(a)

       0.17       0.40       0.24       0.25       0.25       0.20       0.43       0.28       0.29       0.23

Net realized and unrealized gain (loss)

       6.53       0.18       (4.58 )       6.33       3.68       6.53       0.17       (4.60 )       6.33       3.73
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       6.70       0.58       (4.34 )       6.58       3.93       6.73       0.60       (4.32 )       6.62       3.96
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                        

From net investment income

       (0.16 )       (1.05 )       (0.17 )       (0.36 )       (0.65 )       (0.19 )       (1.08 )       (0.19 )       (0.39 )       (0.69 )

From net realized gains

                   (2.74 )                               (2.74 )            
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.16 )       (1.05 )       (2.91 )       (0.36 )       (0.65 )       (0.19 )       (1.08 )       (2.93 )       (0.39 )       (0.69 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 27.68     $ 21.14     $ 21.61     $ 28.86     $ 22.64     $ 27.66     $ 21.12     $ 21.60     $ 28.85     $ 22.62
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       31.76 %       2.39 %       (15.48 )%       29.10 %       20.62 %       31.95 %       2.50 %       (15.37 )%       29.31 %       20.78 %

Ratios/Supplemental Data:

                                        

Net assets, end of period (000’s)

     $ 309,966     $ 292,418     $ 467,336     $ 700,211     $ 603,565     $ 697,864     $ 565,384     $ 755,613     $ 1,280,851     $ 948,052

Net expenses to average daily net assets(c)

       1.03 %       1.03 %       1.04 %       1.06 %       1.06 %       0.90 %       0.89 %       0.90 %       0.92 %       0.93 %

Net investment income (loss) to average daily net assets(a)

       0.73 %       1.81 %       1.00 %       0.96 %       1.12 %       0.87 %       1.94 %       1.19 %       1.09 %       1.04 %

Portfolio turnover rate

       216 %(d)       186 %(d)       238 %(d)       201 %(d)       227 %(d)       216 %(d)       186 %(d)       238 %(d)       201 %(d)       227 %(d)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.02 %(e)       0.02 %(e)       0.01 %       0.02 %       0.04 %       0.02 %(e)       0.02 %(e)       0.01 %       0.02 %       0.05 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $ 0.05     $ 0.05     $ 0.03     $ 0.02     $     $ 0.04     $ 0.05     $ 0.03     $ 0.03

 

     Class I Shares
     Period from
January 22,
2021
(commencement
of operations)
through
February 28,
2021

Net asset value, beginning of period

     $ 28.88
    

 

 

 

Income (loss) from investment operations:

 

Net investment income (loss)(a)

       0.02

Net realized and unrealized gain (loss)

       (1.23 )
    

 

 

 

Total from investment operations

       (1.21 )
    

 

 

 

Less distributions to shareholders:

 

From net investment income

      

From net realized gains

      
    

 

 

 

Total distributions

      
    

 

 

 

Net asset value, end of period

     $ 27.67
    

 

 

 

Total Return(b)

       (4.19 )%**

Ratios/Supplemental Data:

 

Net assets, end of period (000’s)

     $ 18,476

Net expenses to average daily net assets(c)

       1.04 %*

Net investment income (loss) to average daily net assets(a)

       0.82 %*

Portfolio turnover rate

       216 %(d)**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.08 %(e)*
(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, if any (Note 5).

(d) 

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 236%, 235%, 254%, 254% and 271%, respectively, of the average value of its portfolio.

(e) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

96   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

EMERGING MARKETS FUND

 

     Class II Shares   Class III 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

     $ 30.75     $ 32.23     $ 36.42     $ 29.98     $ 22.80     $ 30.84     $ 32.32     $ 36.51     $ 30.05     $ 22.83
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                        

Net investment income (loss)(b)

       0.86       1.13       1.01       0.75       0.57       0.76       1.21       1.01       0.72       0.57

Net realized and unrealized gain (loss)

       6.36       (1.02 )       (4.22 )       6.58       7.22       6.51       (1.09 )       (4.21 )       6.64       7.27
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       7.22       0.11       (3.21 )       7.33       7.79       7.27       0.12       (3.20 )       7.36       7.84
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                        

From net investment income

       (1.27 )       (1.59 )       (0.98 )       (0.89 )       (0.61 )       (1.30 )       (1.60 )       (0.99 )       (0.90 )       (0.62 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.27 )       (1.59 )       (0.98 )       (0.89 )       (0.61 )       (1.30 )       (1.60 )       (0.99 )       (0.90 )       (0.62 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 36.70     $ 30.75     $ 32.23     $ 36.42     $ 29.98     $ 36.81     $ 30.84     $ 32.32     $ 36.51     $ 30.05
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       23.89 %       (0.11 )%       (8.57 )%       24.66 %       34.47 %       23.99 %       (0.08 )%       (8.51 )%       24.71 %       34.67 %

Ratios/Supplemental Data:

 

                                   

Net assets, end of period (000’s)

     $ 291,833     $ 397,798     $ 451,720     $ 479,640     $ 498,564     $ 501,907     $ 333,779     $ 277,824     $ 390,827     $ 301,786

Net expenses to average daily net assets(d)

       0.93 %       0.93 %       0.93 %       0.96 %       1.07 %       0.88 %       0.88 %       0.88 %       0.91 %       1.01 %

Net investment income (loss) to average daily net assets(b)

       2.73 %       3.44 %       3.09 %       2.25 %       2.08 %       2.36 %       3.68 %       3.08 %       2.14 %       2.07 %

Portfolio turnover rate

       102 %       100 %(e)       98 %(e)       87 %(e)       62 %(e)       102 %       100 %(e)       98 %(e)       87 %(e)       62 %(e)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.07 %(f)       0.13 %(f)       0.13 %       0.13 %       0.04 %       0.04 %(f)       0.11 %(f)       0.11 %       0.11 %       0.03 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $ 0.02     $ 0.08     $ 0.11     $ 0.09 (a)      $     $ 0.02     $ 0.08     $ 0.11     $ 0.09 (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) 

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) 

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

(e) 

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 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 123%, 128%, 117% and 80%, respectively, of the average value of its portfolio.

(f) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

 

       See accompanying notes to the financial statements.   97


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

EMERGING MARKETS FUND (continued)

 

     Class V Shares
     Year Ended
February 28,
2021
  Period from
February 26,
2020
through
February 29,
2020(a)
  Period from
March 1,
2018
through
February 26,
2019(a)
  Year Ended February 28/29,
    2018   2017(b)   2016(b)   2015(b)

Net asset value, beginning of period

     $ 30.52     $ 31.35     $ 36.07     $ 29.70     $ 22.59     $ 30.24     $ 30.39
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                            

Net investment income (loss)(c)

       0.78       0.00 (d)        1.40       0.77       0.61       0.72       0.87

Net realized and unrealized gain (loss)

       6.45       (0.83 )       (4.14 )       6.53       7.15       (7.50 )       0.00 (d) 
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       7.23       (0.83 )       (2.74 )       7.30       7.76       (6.78 )       0.87
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                            

From net investment income

       (1.33 )             (0.99 )       (0.93 )       (0.65 )       (0.87 )       (1.02 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.33 )             (0.99 )       (0.93 )       (0.65 )       (0.87 )       (1.02 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 36.42     $ 30.52     $ 32.34     $ 36.07     $ 29.70     $ 22.59     $ 30.24
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(e)

       24.12 %       (2.65 )%**       (7.31 )%**       24.83 %       34.67 %       (22.67 )%       2.93 %

Ratios/Supplemental Data:

                            

Net assets, end of period (000’s)

     $ 307,705     $ 204,615     $ 27,261     $ 170,962     $ 110,257     $ 269,570     $ 170,125

Net expenses to average daily net assets(f)

       0.78 %       0.74 %*       0.78 %*       0.81 %       0.91 %       0.94 %       0.92 %

Net investment income (loss) to average daily net assets(c)

       2.50 %       0.00 %(g)*       4.27 %*       2.29 %       2.24 %       2.69 %       2.77 %

Portfolio turnover rate

       102 %       100 %(h)**       98 %(h)**       87 %(h)       62 %(h)       104 %       94 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.09 %(i)       0.15 %(i)*       0.14 %*       0.14 %       0.06 %       0.04 %       0.04 %

Purchase premiums and redemption fees consisted of the following per share amounts:†

     $     $     $ 0.09     $ 0.11     $ 0.08 (b)      $ 0.10 (b)      $ 0.10 (b) 

 

                     
     Class VI Shares
     Year Ended February 28/29,
     2021   2020   2019   2018   2017(b)

Net asset value, beginning of period

     $ 30.52     $ 32.00     $ 36.16     $ 29.77     $ 22.62
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                    

Net investment income (loss)(c)

       0.87       1.23       1.06       0.78       0.63

Net realized and unrealized gain (loss)

       6.36       (1.07 )       (4.19 )       6.56       7.17
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       7.23       0.16       (3.13 )       7.34       7.80
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                    

From net investment income

       (1.34 )       (1.64 )       (1.03 )       (0.95 )       (0.65 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.34 )       (1.64 )       (1.03 )       (0.95 )       (0.65 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 36.41     $ 30.52     $ 32.00     $ 36.16     $ 29.77
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(e)

       24.11 %       0.05 %       (8.39 )%       24.90 %       34.83 %

Ratios/Supplemental Data:

                    

Net assets, end of period (000’s)

     $ 1,787,607     $ 2,182,893     $ 2,685,798     $ 3,575,505     $ 3,524,022

Net expenses to average daily net assets(f)

       0.75 %       0.75 %       0.75 %       0.78 %       0.89 %

Net investment income (loss) to average daily net assets(c)

       2.75 %       3.76 %       3.25 %       2.36 %       2.32 %

Portfolio turnover rate

       102 %       100 %(h)       98 %(h)       87 %(h)       62 %(h)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.08 %(i)       0.15 %(i)       0.14 %       0.14 %       0.06 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $ 0.02     $ 0.08     $ 0.11     $ 0.08 (a) 

 

(a) 

For period from February 27, 2019 to February 25, 2020, Class V had no shareholders.

(b) 

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

(c) 

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.

(d) 

Rounds to less than $0.01.

(e) 

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.

(f) 

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

(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 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 123%, 128%, 117% and 80%, 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.

*

Annualized.

**

Not annualized.

 

98   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

EMERGING MARKETS FUND (continued)

 

     Class R6 Shares   Class I Shares
     Period from
March 31, 2020
(commencement
of operations)
through
February 28,
2021
  Year Ended
February 28,
2021
  Period from
January 14,
2020
(commencement
of operations)
through
February 29,
2020

Net asset value, beginning of period

     $ 26.05     $ 30.75     $ 35.29
    

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

 

       

Net investment income (loss)(a)

       0.72       0.52       0.00 (b) 

Net realized and unrealized gain (loss)

       11.20       6.68       (4.54 )
    

 

 

     

 

 

     

 

 

 

Total from investment operations

       11.92       7.20       (4.54 )
    

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

 

       

From net investment income

       (1.30 )       (1.29 )      
    

 

 

     

 

 

     

 

 

 

Total distributions

       (1.30 )       (1.29 )      
    

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 36.67     $ 36.66     $ 30.75
    

 

 

     

 

 

     

 

 

 

Total Return(c)

       46.24 %**       23.83 %       (12.86 )%**

Ratios/Supplemental Data:

 

       

Net assets, end of period (000’s)

     $ 43,664     $ 79,824     $ 16,158

Net expenses to average daily net assets(d)

       0.93 %*       0.98 %       0.94 %*

Net investment income (loss) to average daily net assets(a)

       2.39 %*       1.55 %       (0.05 )%*

Portfolio turnover rate

       102 %**       102 %       100 %(e)**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.05 %(f)*       0.10 %(f)       0.19 %(f)*

 

(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) 

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) 

Net expenses exclude expenses incurred indirectly through investment in the Institutional Fund and underlying funds, if any (Note 5).

(e) 

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 year ended February 29, 2020, including transactions in USTF, was 123%, of the average value of its portfolio.

(f) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

       See accompanying notes to the financial statements.   99


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

INTERNATIONAL EQUITY FUND

 

     Class II Shares   Class III 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

     $ 19.83     $ 20.08     $ 23.63     $ 20.18     $ 18.17     $ 20.09     $ 20.33     $ 23.92     $ 20.41     $ 18.38
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

 

                   

Net investment income (loss)(a)

       0.75 (b)        0.72       0.57       0.41       0.70       0.75 (b)        0.70       0.57       0.61       0.63

Net realized and unrealized gain (loss)

       3.46       (0.22 )       (3.45 )       3.78       2.07       3.51       (0.17 )       (3.47 )       3.64       2.19
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       4.21       0.50       (2.88 )       4.19       2.77       4.26       0.53       (2.90 )       4.25       2.82
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

 

                   

From net investment income

       (1.00 )       (0.75 )       (0.67 )       (0.74 )       (0.76 )       (1.03 )       (0.77 )       (0.69 )       (0.74 )       (0.79 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.00 )       (0.75 )       (0.67 )       (0.74 )       (0.76 )       (1.03 )       (0.77 )       (0.69 )       (0.74 )       (0.79 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 23.04     $ 19.83     $ 20.08     $ 23.63     $ 20.18     $ 23.32     $ 20.09     $ 20.33     $ 23.92     $ 20.41
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       21.58 %(d)       2.19 %       (12.07 )%       20.85 %       15.45 %       21.60 %(d)       2.29 %       (12.02 )%       20.96 %       15.53 %

Ratios/Supplemental Data:

 

                   

Net assets, end of period (000’s)

     $ 5,546     $ 10,802     $ 18,202     $ 23,736     $ 10,302     $ 423,332     $ 452,165     $ 507,195     $ 485,782     $ 731,060

Net expenses to average daily net assets(e)

       0.73 %       0.73 %       0.73 %       0.72 %       0.72 %       0.66 %       0.66 %       0.66 %       0.65 %       0.65 %

Net investment income (loss) to average daily net assets(a)

       3.82 %(b)       3.52 %       2.64 %       1.77 %       3.62 %       3.70 %(b)       3.36 %       2.64 %       2.68 %       3.16 %

Portfolio turnover rate

       48 %       46 %(f)       41 %(f)       45 %(f)       27 %(f)       48 %       46 %(f)       41 %(f)       45 %(f)       27 %(f)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.03 %       0.03 %(g)       0.02 %       0.04 %       0.04 %       0.03 %       0.03 %(g)       0.02 %       0.04 %       0.04 %

 

    Class IV Shares
    Year Ended February 28/29,
    2021   2020   2019   2018   2017

Net asset value, beginning of period

    $ 20.05     $ 20.29     $ 23.87     $ 20.38     $ 18.36
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                   

Net investment income (loss)(a)

      0.77 (b)        0.74       0.63       0.56       0.63

Net realized and unrealized gain (loss)

      3.50       (0.20 )       (3.51 )       3.69       2.19
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      4.27       0.54       (2.88 )       4.25       2.82
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                   

From net investment income

      (1.04 )       (0.78 )       (0.70 )       (0.76 )       (0.80 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (1.04 )       (0.78 )       (0.70 )       (0.76 )       (0.80 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

    $ 23.28     $ 20.05     $ 20.29     $ 23.87     $ 20.38
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

      21.71 %(d)       2.34 %       (11.95 )%       20.98 %       15.57 %

Ratios/Supplemental Data:

                   

Net assets, end of period (000’s)

    $ 1,765,686     $ 2,584,648     $ 3,156,760     $ 4,558,167     $ 5,072,024

Net expenses to average daily net assets(e)

      0.60 %       0.60 %       0.60 %       0.59 %       0.59 %

Net investment income (loss) to average daily net assets(a)

      3.81 %(b)       3.53 %       2.89 %       2.45 %       3.19 %

Portfolio turnover rate

      48 %       46 %(f)       41 %(f)       45 %(f)       27 %(f)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

      0.03 %       0.03 %(g)       0.02 %       0.04 %       0.04 %
(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) 

Net investment income per share includes approximately $69,807, $6,194,610 and $27,980,578 in Class II, III and IV, respectively, related to income received for EU reclaims, net of IRS closing agreement fees, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 2.62% , 2.30%, and 2.49% in Class II, III and IV, respectively (See Note 2).

(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) 

EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2).

(e) 

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

(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 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 65%, 54%, 61% and 50%, 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.

 

 

100   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout the period)

 

 

JAPAN VALUE CREATION FUND

 

     Class VI Shares  
     Period from
September 14,
2020
(commencement
of operations)
through
February 28,
2021
 

Net asset value, beginning of period

   $ 20.00  
  

 

 

 

Income (loss) from investment operations:

 

Net investment income (loss)(a)

     0.17  

Net realized and unrealized gain (loss)

     3.59  
  

 

 

 

Total from investment operations

     3.76  
  

 

 

 

Less distributions to shareholders:

 

From net investment income

     (0.28

From net realized gains

     (0.01
  

 

 

 

Total distributions

     (0.29
  

 

 

 

Net asset value, end of period

   $ 23.47  
  

 

 

 

Total Return(b)

     18.82 %** 

Ratios/Supplemental Data:

 

Net assets, end of period (000’s)

   $ 163,872  

Net expenses to average daily net assets

     0.56 %* 

Net investment income (loss) to average daily net assets(a)

     1.68 %* 

Portfolio turnover rate

     28 %** 

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

     0.23 %* 
(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.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

       See accompanying notes to the financial statements.   101


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

QUALITY FUND

 

    Class III Shares   Class IV 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

    $ 22.77     $ 22.28     $ 25.13     $ 22.05     $ 18.99     $ 22.82     $ 22.32     $ 25.17     $ 22.08     $ 19.01
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                       

Net investment income (loss)(a)

      0.32       0.35       0.35       0.36       0.35       0.34       0.37       0.36       0.37       0.36

Net realized and unrealized gain (loss)

      6.37       2.15       1.21       4.70       3.44       6.37       2.14       1.22       4.70       3.45
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      6.69       2.50       1.56       5.06       3.79       6.71       2.51       1.58       5.07       3.81
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                       

From net investment income

      (0.35 )       (0.36 )       (0.39 )       (0.41 )       (0.35 )       (0.36 )       (0.36 )       (0.41 )       (0.41 )       (0.36 )

From net realized gains

      (3.13 )       (1.65 )       (4.02 )       (1.57 )       (0.38 )       (3.13 )       (1.65 )       (4.02 )       (1.57 )       (0.38 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (3.48 )       (2.01 )       (4.41 )       (1.98 )       (0.73 )       (3.49 )       (2.01 )       (4.43 )       (1.98 )       (0.74 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

    $ 25.98     $ 22.77     $ 22.28     $ 25.13     $ 22.05     $ 26.04     $ 22.82     $ 22.32     $ 25.17     $ 22.08
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

      30.83 %       10.64 %       6.86 %       23.32 %       20.25 %       30.86 %       10.70 %       6.91 %       23.37 %       20.33 %

Ratios/Supplemental Data:

                                       

Net assets, end of period (000’s)

    $ 3,519,473     $ 3,195,240     $ 3,065,461     $ 3,524,103     $ 3,587,627     $ 750,632     $ 852,866     $ 1,139,024     $ 957,900     $ 1,222,874

Net expenses to average daily net assets(c)

      0.48 %       0.48 %       0.48 %       0.48 %       0.48 %       0.44 %       0.44 %       0.44 %       0.44 %       0.44 %

Net investment income (loss) to average daily net assets(a)

      1.33 %       1.44 %       1.42 %       1.48 %       1.72 %       1.37 %       1.52 %       1.46 %       1.53 %       1.76 %

Portfolio turnover rate(d)

      28 %       17 %       18 %       10 %       29 %       28 %       17 %       18 %       10 %       29 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

      0.02 %(e)       0.02 %(e)       0.02 %       0.02 %       0.02 %       0.02 %(e)       0.02 %(e)       0.02 %       0.02 %       0.02 %

 

     Class VI Shares   Class R6 Shares
     Year Ended February 28/29,   Year Ended
February 28,
2021
  Period from
November 12,
2019
(commencement
of operations)
through
February 29,
2020
     2021   2020   2019   2018   2017

Net asset value, beginning of period

     $ 22.77     $ 22.28     $ 25.13     $ 22.05     $ 18.99     $ 22.76     $ 25.21
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                            

Net investment income (loss)(a)

       0.35       0.37       0.38       0.38       0.36       0.30       0.10

Net realized and unrealized gain (loss)

       6.37       2.15       1.21       4.70       3.46       6.39       (0.83 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       6.72       2.52       1.59       5.08       3.82       6.69       (0.73 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                            

From net investment income

       (0.38 )       (0.38 )       (0.42 )       (0.43 )       (0.38 )       (0.36 )       (0.32 )

From net realized gains

       (3.13 )       (1.65 )       (4.02 )       (1.57 )       (0.38 )       (3.13 )       (1.40 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (3.51 )       (2.03 )       (4.44 )       (2.00 )       (0.76 )       (3.49 )       (1.72 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 25.98     $ 22.77     $ 22.28     $ 25.13     $ 22.05     $ 25.96     $ 22.76
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       30.95 %       10.73 %       6.96 %       23.43 %       20.39 %       30.81 %       (3.39 )%**

Ratios/Supplemental Data:

                            

Net assets, end of period (000’s)

     $ 2,465,066     $ 2,077,277     $ 2,227,287     $ 3,561,976     $ 3,359,025     $ 330,287     $ 77,375

Net expenses to average daily net assets(c)

       0.39 %       0.39 %       0.39 %       0.39 %       0.39 %       0.48 %       0.49 %*

Net investment income (loss) to average daily net assets(a)

       1.41 %       1.55 %       1.54 %       1.57 %       1.73 %       1.22 %       1.31 %*

Portfolio turnover rate(d)

       28 %       17 %       18 %       10 %       29 %       28 %       17 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.02 %(e)       0.02 %(e)       0.02 %       0.02 %       0.02 %       0.02 %(e)       0.02 %(e)*

 

(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) 

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 28%, 17%, 20%, 23% and 48%, respectively, of the average value of its portfolio.

(e) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

102   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

QUALITY FUND (continued)

 

     Class I Shares
     Year Ended
February 28,
2021
  Period from
September 26,
2019
(commencement
of operations)
through
February 29,
2020

Net asset value, beginning of period

     $ 22.75     $ 23.95
    

 

 

     

 

 

 

Income (loss) from investment operations:

 

Net investment income (loss)(a)

       0.28       0.12

Net realized and unrealized gain (loss)

       6.37       0.39
    

 

 

     

 

 

 

Total from investment operations

       6.65       0.51
    

 

 

     

 

 

 

Less distributions to shareholders:

 

From net investment income

       (0.34 )       (0.31 )

From net realized gains

       (3.13 )       (1.40 )
    

 

 

     

 

 

 

Total distributions

       (3.47 )       (1.71 )
    

 

 

     

 

 

 

Net asset value, end of period

     $ 25.93     $ 22.75
    

 

 

     

 

 

 

Total Return(b)

       30.66 %       1.62 %**

Ratios/Supplemental Data:

 

Net assets, end of period (000’s)

     $ 303,447     $ 80,110

Net expenses to average daily net assets(c)

       0.58 %       0.57 %*

Net investment income (loss) to average daily net assets(a)

       1.12 %       1.13 %*

Portfolio turnover rate(d)

       28 %       17 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.02 %(e)       0.02 %(e)*
(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) 

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 and February 29, 2020 including transactions in USTF, was 28% and 17%, respectively, of the average value of its portfolio.

(e) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

       See accompanying notes to the financial statements.   103


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

RESOURCES FUND

 

     Class III Shares   Class IV 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

     $ 18.11     $ 20.31     $ 20.88     $ 17.31     $ 11.74     $ 18.06     $ 20.24     $ 20.81     $ 17.25     $ 11.71
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                        

Net investment income (loss)(a)

       0.48       0.65       0.54       0.33       0.30       0.47       0.68       0.62       0.38       0.34

Net realized and unrealized gain (loss)

       10.13       (2.22 )       (0.37 )       4.02       5.75       10.12       (2.22 )       (0.46 )       3.97       5.68
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       10.61       (1.57 )       0.17       4.35       6.05       10.59       (1.54 )       0.16       4.35       6.02
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                        

From net investment income

       (0.47 )       (0.63 )       (0.74 )       (0.78 )       (0.48 )       (0.48 )       (0.64 )       (0.73 )       (0.79 )       (0.48 )

From net realized gains

       (0.44 )                               (0.44 )                        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.91 )       (0.63 )       (0.74 )       (0.78 )       (0.48 )       (0.92 )       (0.64 )       (0.73 )       (0.79 )       (0.48 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 27.81     $ 18.11     $ 20.31     $ 20.88     $ 17.31     $ 27.73     $ 18.06     $ 20.24     $ 20.81     $ 17.25
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       59.36 %       (8.14 )%       0.99 %       26.00 %       51.75 %       59.42 %       (8.03 )%       0.98 %       26.12 %       51.72 %

Ratios/Supplemental Data:

                                        

Net assets, end of period (000’s)

     $ 96,091     $ 201,320     $ 169,523     $ 54,037     $ 22,562     $ 531,006     $ 311,515     $ 336,954     $ 296,196     $ 190,260

Net expenses to average daily net assets(c)

       0.72 %       0.73 %       0.74 %(d)       0.76 %(d)       0.77 %       0.67 %       0.68 %       0.70 %(d)       0.71 %(d)       0.72 %

Net investment income (loss) to average daily net assets(a)

       2.44 %       3.24 %       2.68 %       1.77 %       1.99 %       2.33 %       3.40 %       3.06 %       2.04 %       2.26 %

Portfolio turnover rate(e)

       86 %       37 %       35 %       48 %       29 %       86 %       37 %       35 %       48 %       29 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.00 %(f)(g)       0.00 %(f)(g)             0.06 %       0.10 %       0.00 %(f)(g)       0.00 %(f)(g)             0.06 %       0.10 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $ 0.01     $ 0.02     $ 0.05     $ 0.02     $     $ 0.01     $ 0.02     $ 0.04     $ 0.02

 

     Class R6 Shares   Class I Shares
     Period from
January 22,
2021
(commencement
of operations)
through
February 28,
2021
  Period from
January 22,
2021
(commencement
of operations)
through
February 28,
2021

Net asset value, beginning of period

     $ 27.44     $ 27.44
    

 

 

     

 

 

 

Income (loss) from investment operations:

 

   

Net investment income (loss)(a)

       0.03       0.02

Net realized and unrealized gain (loss)

       0.35       0.35
    

 

 

     

 

 

 

Total from investment operations

       0.38       0.37
    

 

 

     

 

 

 

Less distributions to shareholders:

        

From net investment income

            

From net realized gains

            
    

 

 

     

 

 

 

Total distributions

            
    

 

 

     

 

 

 

Net asset value, end of period

     $ 27.82     $ 27.81
    

 

 

     

 

 

 

Total Return(b)

       1.38 %**       1.35 %**

Ratios/Supplemental Data:

 

   

Net assets, end of period (000’s)

     $ 2,617     $ 369,102

Net expenses to average daily net assets(c)

       0.71 %*       0.81 %*

Net investment income (loss) to average daily net assets(a)

       0.98 %*       0.74 %*

Portfolio turnover rate(e)

       86 %**       86 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

            
(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 Institutional Fund underlying funds, if any (Note 5).

(d) 

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

(e) 

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 89%, 101%, 69%, 85% and 40%, respectively, of the average value of its portfolio.

(f) 

Ratio includes indirect fees waived or borne by GMO.

(g) 

Rounds to less than 0.01%.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

104   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

TAX-MANAGED INTERNATIONAL EQUITIES FUND

 

     Class III Shares
     Year Ended February 28/29,
     2021   2020   2019   2018   2017

Net asset value, beginning of period

     $ 13.57     $ 13.82     $ 17.00     $ 14.28     $ 12.92
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                    

Net investment income (loss)(a)

       0.34       0.46       0.37       0.38       0.41

Net realized and unrealized gain (loss)

       2.42       (0.10 )       (2.63 )       2.84       1.50
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       2.76       0.36       (2.26 )       3.22       1.91
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                    

From net investment income

       (0.35 )       (0.61 )       (0.39 )       (0.50 )       (0.55 )

From net realized gains

                   (0.53 )            
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.35 )       (0.61 )       (0.92 )       (0.50 )       (0.55 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 15.98     $ 13.57     $ 13.82     $ 17.00     $ 14.28
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       20.53 %       2.31 %       (13.50 )%       22.70 %       15.05 %

Ratios/Supplemental Data:

 

               

Net assets, end of period (000’s)

     $ 38,960     $ 36,228     $ 48,739     $ 68,782     $ 115,733

Net expenses to average daily net assets(c)

       0.73 %       0.80 %       0.79 %       0.70 %       0.68 %

Net investment income (loss) to average daily net assets(a)

       2.47 %       3.28 %       2.47 %       2.35 %       2.95 %

Portfolio turnover rate

       75 %(d)       52 %(d)       63 %(d)       43 %(d)       47 %(d)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.54 %(e)       0.54 %(e)       0.54 %       0.34 %       0.23 %

 

(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) 

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 77%, 65%, 117%, 80% and 54%, respectively, of the average value of its portfolio.

(e) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

 

       See accompanying notes to the financial statements.   105


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

U.S. EQUITY 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

     $ 11.89     $ 13.07     $ 15.41     $ 15.14     $ 13.79     $ 11.78     $ 12.97     $ 15.31     $ 15.06     $ 13.73
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                        

Net investment income (loss)(a)

       0.18       0.22       0.23       0.27       0.27       0.19       0.23       0.24       0.29       0.27

Net realized and unrealized gain (loss)

       3.56       0.21       (0.04 )(b)       1.73       2.89       3.53       0.20       (0.04 )(b)       1.71       2.89
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       3.74       0.43       0.19       2.00       3.16       3.72       0.43       0.20       2.00       3.16
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                        

From net investment income

       (0.21 )       (0.32 )       (0.26 )       (0.28 )       (0.34 )       (0.22 )       (0.33 )       (0.27 )       (0.30 )       (0.36 )

From net realized gains

       (1.03 )       (1.29 )       (2.27 )       (1.45 )       (1.47 )       (1.03 )       (1.29 )       (2.27 )       (1.45 )       (1.47 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.24 )       (1.61 )       (2.53 )       (1.73 )       (1.81 )       (1.25 )       (1.62 )       (2.54 )       (1.75 )       (1.83 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 14.39     $ 11.89     $ 13.07     $ 15.41     $ 15.14     $ 14.25     $ 11.78     $ 12.97     $ 15.31     $ 15.06
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       33.74 %       2.51 %       1.94 %       13.76 %       23.59 %       33.92 %       2.53 %       2.05 %       13.84 %       23.68 %

Ratios/Supplemental Data:

 

                                   

Net assets, end of period (000’s)

     $ 105,656     $ 83,738     $ 131,198     $ 77,297     $ 109,726     $ 245,547     $ 365,693     $ 758,714     $ 1,200,008     $ 1,469,935

Net expenses to average daily net assets(d)

       0.47 %       0.46 %       0.46 %       0.46 %       0.46 %       0.37 %       0.37 %       0.37 %       0.37 %       0.37 %

Net investment income (loss) to average daily net assets(a)

       1.47 %       1.64 %       1.62 %       1.78 %       1.80 %       1.56 %       1.75 %       1.68 %       1.88 %       1.87 %

Portfolio turnover rate

       66 %(e)       72 %(e)       89 %(e)       79 %(e)       66 %(e)       66 %(e)       72 %(e)       89 %(e)       79 %(e)       66 %(e)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.04 %(f)       0.03 %(f)       0.03 %       0.02 %       0.02 %       0.04 %(f)       0.03 %(f)       0.03 %       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 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 Fund shares in relation to fluctuating market values of the investments of the Fund.

(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) 

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

(e) 

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 81%, 88%, 105%, 100% and 91%, respectively, of the average value of its portfolio.

(f) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

 

106   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

U.S. SMALL CAP VALUE FUND

 

     Class VI Shares
     Year Ended
February 28,
2021
  Period from
July 2, 2019
(commencement
of operations)
through
February
29, 2020

Net asset value, beginning of period

     $ 18.06     $ 20.00
    

 

 

     

 

 

 

Income (loss) from investment operations:

        

Net investment income (loss)(a)

       0.30       0.23

Net realized and unrealized gain (loss)

       6.96       (1.99 )
    

 

 

     

 

 

 

Total from investment operations

       7.26       (1.76 )
    

 

 

     

 

 

 

Less distributions to shareholders:

        

From net investment income

       (0.33 )       (0.18 )
    

 

 

     

 

 

 

Total distributions

       (0.33 )       (0.18 )
    

 

 

     

 

 

 

Net asset value, end of period

     $ 24.99     $ 18.06
    

 

 

     

 

 

 

Total Return(b)

       40.64 %       (8.95 )%**

Ratios/Supplemental Data:

 

   

Net assets, end of period (000’s)

     $ 372,498     $ 415,508

Net expenses to average daily net assets(c)

       0.41 %       0.44 %*

Net investment income (loss) to average daily net assets(a)

       1.67 %       1.69 %*

Portfolio turnover rate(d)

       86 %       56 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.00 %(e)(f)       0.00 %(e)(f)*
(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) 

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 and February 29, 2020, including transactions in USTF, was 98% and 69%, respectively, of the average value of its portfolio.

(e) 

Ratio includes indirect fees waived or borne by GMO.

(f) 

Rounds to less than 0.01%.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

       See accompanying notes to the financial statements.   107


GMO Trust Funds

 

Notes to Financial Statements

February 28, 2021

 

 

1.

Organization

Each of Climate Change Fund, Cyclical Focus Fund (commenced operations on May 12, 2020), Emerging Domestic Opportunities Fund, Emerging Markets Fund, International Equity Fund, Japan Value Creation Fund (commenced operations on September 14, 2020), Quality Fund, Resources Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value 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. The Funds may also invest in other GMO Funds (“underlying funds”). 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 Securities and Exchange Commission’s (“SEC”) 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
Climate Change Fund   Not Applicable   High total return
Cyclical Focus Fund   Not Applicable   Total return
Emerging Domestic Opportunities Fund   Not Applicable   Total return
Emerging Markets Fund   MSCI Emerging Markets Index   Total return in excess of benchmark
International Equity Fund   Not Applicable   High total return
Japan Value Creation Fund   Not Applicable   Total return
Quality Fund   Not Applicable   Total return
Resources Fund   Not Applicable   Total return
Tax-Managed International Equities Fund   Not Applicable   High after-tax total return
U.S. Equity Fund   Not Applicable   High total return
U.S. Small Cap Value Fund   S&P SmallCap 600 Value Index   Total return in excess of its benchmark

International Equity Fund and Tax-Managed International Equities Fund currently limit 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

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 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

 

108              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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).

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.

“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.

 

              109


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

The types of assets and liabilities categorized in Level 2 generally include 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 securities that are valued at the local price; and certain foreign 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, 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; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

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  
Climate Change Fund  
Asset Valuation Inputs  

Common Stocks

         

Argentina

  $ 3,155,749     $     $         —     $ 3,155,749  

Australia

          7,866,219             7,866,219  

Brazil

          4,338,809             4,338,809  

Canada

    22,617,381                   22,617,381  

China

    2,073,762       22,528,962             24,602,724  

Denmark

          3,036,605             3,036,605  

Finland

          10,396,789             10,396,789  

France

          19,036,949             19,036,949  

Germany

          12,917,862             12,917,862  

India

          1,042,959             1,042,959  

Israel

          845,198             845,198  

Italy

          10,525,193             10,525,193  

Japan

          31,580,962             31,580,962  

Mexico

    9,261,211                   9,261,211  

Netherlands

          3,826,298             3,826,298  

Norway

          7,096,694             7,096,694  

Pakistan

          795,098             795,098  

Philippines

          555,241             555,241  

Portugal

          4,273,863             4,273,863  

Russia

          14,230,373             14,230,373  

South Korea

          1,885,433             1,885,433  

Spain

          10,120,297             10,120,297  

Switzerland

          3,116,074             3,116,074  

Taiwan

          1,580,239             1,580,239  

Thailand

          795,304             795,304  

Ukraine

          2,096,771             2,096,771  

United Kingdom

    1,785,810       8,368,602             10,154,412  

United States

    112,168,880                   112,168,880  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    151,062,793       182,856,794             333,919,587  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Chile

    6,320,030                   6,320,030  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    6,320,030                   6,320,030  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

110              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Climate Change Fund (continued)  
Asset Valuation Inputs (continued)  

Mutual Funds

         

United States

  $ 18,563,731     $     $     $ 18,563,731  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    18,563,731                   18,563,731  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    506,601                   506,601  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    176,453,155       182,856,794             359,309,949  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 176,453,155     $ 182,856,794     $     $ 359,309,949  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Cyclical Focus Fund  
Asset Valuation Inputs  

Common Stocks

         

Canada

  $ 6,646,512     $     $     $ 6,646,512  

Finland

          4,503,230             4,503,230  

France

          10,973,112             10,973,112  

Ireland

          4,061,581             4,061,581  

Mexico

    9,012,768                   9,012,768  

Russia

          6,238,877             6,238,877  

Spain

          6,922,151             6,922,151  

United Kingdom

          17,214,034             17,214,034  

United States

    71,741,954                   71,741,954  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    87,401,234       49,912,985             137,314,219  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          4,286,979             4,286,979  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          4,286,979             4,286,979  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    528,000                   528,000  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    528,000                   528,000  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    298,283                   298,283  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    88,227,517       54,199,964             142,427,481  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 88,227,517     $ 54,199,964     $     $ 142,427,481  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Emerging Domestic Opportunities Fund  
Asset Valuation Inputs  

Common Stocks

         

Brazil

  $ 2,293,354     $ 35,441,077     $     $ 37,734,431  

Chile

          3,227,041             3,227,041  

China

    115,691,000       268,767,346             384,458,346  

Germany

    930,510                   930,510  

Hong Kong

          15,612,946             15,612,946  

Hungary

          2,959,701             2,959,701  

India

    2,466,585       118,808,550       265,151       121,540,286  

Indonesia

          7,993,218             7,993,218  

Mexico

    7,500,315                   7,500,315  

Philippines

          6,515,069             6,515,069  

Poland

          5,642,295             5,642,295  

Russia

    10,116,029       18,465,654             28,581,683  

Singapore

    2,569,021                   2,569,021  

South Africa

          1,921,726             1,921,726  
                                 

 

              111


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Emerging Domestic Opportunities Fund (continued)  
Asset Valuation Inputs (continued)  

Common Stocks (continued)

         

South Korea

  $     $ 125,549,054     $     $ 125,549,054  

Taiwan

          175,322,741             175,322,741  

Thailand

          7,354,651             7,354,651  

Turkey

          4,162,147             4,162,147  

United Arab Emirates

          5,524,485             5,524,485  

Vietnam

          15,929,142             15,929,142  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    141,566,814       819,196,843       265,151       961,028,808  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          7,984,774             7,984,774  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          7,984,774             7,984,774  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

Brazil

    3,725,920                   3,725,920  

Russia

    15,332,902                   15,332,902  

South Africa

    10,443,250                   10,443,250  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    29,502,072                   29,502,072  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    20,442,282                   20,442,282  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    191,511,168       827,181,617       265,151       1,018,957,936  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 191,511,168     $ 827,181,617     $ 265,151     $ 1,018,957,936  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Emerging Markets Fund  
Asset Valuation Inputs  

Common Stocks

         

Argentina

  $ 12,936,292     $     $     $ 12,936,292  

Brazil

          14,106,796             14,106,796  

Chile

          336,954             336,954  

China

    220,718,290       834,498,095       0 §      1,055,216,385  

Czech Republic

          5,918,353             5,918,353  

Egypt

          597,344             597,344  

India

    8,155,968       98,077,930             106,233,898  

Indonesia

          73,628,856             73,628,856  

Kuwait

          57,365,532             57,365,532  

Mexico

    80,680,751                   80,680,751  

Pakistan

          15,069,224             15,069,224  

Philippines

          8,351,863             8,351,863  

Poland

          22,011,850             22,011,850  

Qatar

          17,602,073             17,602,073  

Russia

    11,438,570       433,848,908             445,287,478  

Saudi Arabia

          7,933,980             7,933,980  

South Africa

          48,217,852             48,217,852  

South Korea

          41,446,446             41,446,446  

Sri Lanka

          678,007             678,007  

Taiwan

    1,259       723,608,434             723,609,693  

Thailand

          33,868,852             33,868,852  

Turkey

          10,021,230             10,021,230  

United Arab Emirates

          11,463,958             11,463,958  

United Kingdom

          20,155,826             20,155,826  

Vietnam

          9,289,897             9,289,897  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    333,931,130       2,488,098,260       0 §      2,822,029,390  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

112              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Emerging Markets Fund (continued)  
Asset Valuation Inputs (continued)  

Preferred Stocks

         

Brazil

  $ 41,567     $ 75,058     $     $ 116,625  

Colombia

    1,828,864                   1,828,864  

Russia

          54,360,539             54,360,539  

South Korea

          38,587,442             38,587,442  

Taiwan

          2,414,198             2,414,198  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    1,870,431       95,437,237             97,307,668  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

United States

    21,983,926                   21,983,926  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    21,983,926                   21,983,926  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    17,512,148                   17,512,148  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    17,512,148                   17,512,148  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    13,198,179                   13,198,179  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    388,495,814       2,583,535,497       0 §      2,972,031,311  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Futures Contracts

         

Equity Risk

  $ 6,256,645     $ 377,116     $     $ 6,633,761  

Swap Contracts

         

Equity Risk

          225,326             225,326  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 394,752,459     $ 2,584,137,939     $ 0 §    $ 2,978,890,398  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
International Equity Fund  
Asset Valuation Inputs  

Common Stocks

         

Australia

  $     $ 125,447,299     $     $ 125,447,299  

Belgium

          25,447,001             25,447,001  

Denmark

          1,090,942             1,090,942  

Finland

          4,081,799             4,081,799  

France

    17,704,655       146,149,540             163,854,195  

Germany

          135,487,653             135,487,653  

Hong Kong

          64,582,010             64,582,010  

Ireland

    10,089,477       7,819,227             17,908,704  

Italy

          69,329,836             69,329,836  

Japan

          472,404,209             472,404,209  

Malta

                0 §      0 § 

Netherlands

          181,656,969               —       181,656,969  

Norway

          51,347,766             51,347,766  

Portugal

          65,904,111             65,904,111  

Singapore

          92,233,720             92,233,720  

Spain

          120,826,048             120,826,048  

Sweden

          41,864,618             41,864,618  

Switzerland

          124,411,924             124,411,924  

United Kingdom

    19,042,343       350,600,060             369,642,403  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    46,836,475       2,080,684,732       0 §      2,127,521,207  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Germany

          21,923,651             21,923,651  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          21,923,651             21,923,651  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              113


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
International Equity Fund (continued)  
Asset Valuation Inputs (continued)  

Short-Term Investments

  $ 85,310,611     $     $     $ 85,310,611  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    132,147,086       2,102,608,383       0 §      2,234,755,469  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 132,147,086     $ 2,102,608,383     $ 0 §    $ 2,234,755,469  
   

 

 

   

 

 

   

 

 

   

 

 

 
Liability Valuation Inputs  

Derivatives^

 

Futures Contracts

         

Equity Risk

  $ (370,276   $     $     $ (370,276
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Japan Value Creation Fund  
Asset Valuation Inputs  

Common Stocks

  $     $ 160,799,243     $     $ 160,799,243  

Short-Term Investments

    2,975,074                   2,975,074  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    2,975,074       160,799,243             163,774,317  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 2,975,074     $ 160,799,243     $     $ 163,774,317  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Quality Fund  
Asset Valuation Inputs  

Common Stocks

         

France

  $     $ 252,347,982     $     $ 252,347,982  

Germany

          232,217,153             232,217,153  

Switzerland

          224,693,466             224,693,466  

Taiwan

          289,665,132             289,665,132  

United Kingdom

          321,488,581             321,488,581  

United States

    5,918,798,400                   5,918,798,400  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    5,918,798,400       1,320,412,314             7,239,210,714  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    9,830,961                   9,830,961  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    9,830,961                   9,830,961  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    134,939,138                   134,939,138  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    6,063,568,499       1,320,412,314             7,383,980,813  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 6,063,568,499     $ 1,320,412,314     $     $ 7,383,980,813  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Resources Fund  
Asset Valuation Inputs  

Common Stocks

         

Argentina

  $ 9,866,620     $     $         —     $ 9,866,620  

Australia

          48,218,078             48,218,078  

Austria

          15,262,527             15,262,527  

Brazil

          12,036,084             12,036,084  

Canada

    54,756,389                   54,756,389  

China

          44,367,965             44,367,965  

Denmark

          4,627,553             4,627,553  

Finland

          20,350,751             20,350,751  

France

          25,485,562             25,485,562  

Germany

          6,970,379             6,970,379  

Hungary

          8,662,853             8,662,853  

India

          29,215,923             29,215,923  
                                 

 

114              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Resources Fund (continued)  
Asset Valuation Inputs (continued)  

Common Stocks (continued)

         

Israel

  $     $ 10,299,969     $     $ 10,299,969  

Italy

          1,884,350             1,884,350  

Japan

          22,594,589             22,594,589  

Mexico

    28,025,734                   28,025,734  

Norway

          27,715,377             27,715,377  

Pakistan

          6,249,088             6,249,088  

Poland

          8,335,353             8,335,353  

Russia

          111,391,936             111,391,936  

Singapore

                0 §      0 § 

South Africa

          14,881,479             14,881,479  

South Korea

          3,917,128             3,917,128  

Spain

          13,271,104             13,271,104  

Switzerland

          4,956,935             4,956,935  

Thailand

          6,113,369             6,113,369  

Turkey

          4,275,790             4,275,790  

Ukraine

          5,668,871             5,668,871  

United Kingdom

          137,686,708             137,686,708  

United States

    218,475,600                   218,475,600  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    311,124,343       594,439,721       0 §      905,564,064  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          53,162,002             53,162,002  

Chile

    17,501,043                   17,501,043  

Russia

          17,733,719             17,733,719  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    17,501,043       70,895,721             88,396,764  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

Singapore

                0 §      0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

                0 §      0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    3,999,664                   3,999,664  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    332,625,050       665,335,442             997,960,492  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 332,625,050     $ 665,335,442     $ 0 §    $ 997,960,492  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Tax-Managed International Equities Fund  
Asset Valuation Inputs  

Common Stocks

         

Australia

  $     $ 2,168,481     $     $ 2,168,481  

Belgium

          360,470             360,470  

Brazil

          164,381             164,381  

China

          875,705             875,705  

Denmark

          50,491             50,491  

Finland

          21,017             21,017  

France

          2,852,555             2,852,555  

Germany

          2,438,457             2,438,457  

Hong Kong

          660,606             660,606  

Hungary

          76,811             76,811  

India

          149,489             149,489  

Ireland

    175,920       655,277             831,197  

Italy

          885,248             885,248  

Japan

          8,276,011             8,276,011  
                                 

 

              115


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Tax-Managed International Equities Fund (continued)  
Asset Valuation Inputs (continued)  

Common Stocks (continued)

         

Malta

  $     $     $ 0 §    $ 0 § 

Netherlands

          3,155,921             3,155,921  

Norway

          290,074             290,074  

Poland

          56,270             56,270  

Portugal

          1,070,477             1,070,477  

Russia

          523,987             523,987  

Singapore

          1,586,679             1,586,679  

South Africa

          34,898             34,898  

South Korea

          865,272             865,272  

Spain

          1,881,678             1,881,678  

Sweden

          243,143             243,143  

Switzerland

          2,090,431             2,090,431  

Taiwan

          241,899             241,899  

Thailand

          12,678             12,678  

Turkey

          609,808             609,808  

United Kingdom

    564,466       4,782,478             5,346,944  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    740,386       37,080,692       0 §      37,821,078  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          20,906             20,906  

Germany

          327,465             327,465  

Russia

          22,721             22,721  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          371,092             371,092  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    5,165                   5,165  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    5,165                   5,165  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    791,693                   791,693  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    1,537,244       37,451,784       0 §      38,989,028  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Futures Contracts

         

Equity Risk

    7,519                   7,519  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,544,763     $ 37,451,784     $         0 §    $ 38,996,547  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
U.S. Equity Fund  
Asset Valuation Inputs  

Common Stocks

  $ 347,575,155     $         —     $     $ 347,575,155  

Mutual Funds

    2,850,296                   2,850,296  

Short-Term Investments

    318,707                   318,707  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 350,744,158     $     $     $ 350,744,158  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Futures Contracts

         

Equity Risk

  $ 6,984     $     $     $ 6,984  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 350,751,142     $     $     $ 350,751,142  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

116              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
U.S. Small Cap Value Fund  
Asset Valuation Inputs  

Common Stocks

  $ 367,177,319     $     $     $ 367,177,319  

Mutual Funds

    101,097                   101,097  

Rights/Warrants

                36,350       36,350  

Short-Term Investments

    3,066,956                   3,066,956  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    370,345,372             36,350       370,381,722  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 370,345,372     $     $ 36,350     $ 370,381,722  
   

 

 

   

 

 

   

 

 

   

 

 

 
Liability Valuation Inputs  

Derivatives^

 

Futures Contracts

         

Equity Risk

  $ (109,220   $     $     $ (109,220
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

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 and fully funded total return swaps, if any, which are included in investments.

  §

Represents the interest in securities that were determined to have a value of zero at February 28, 2021.

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). At February 28, 2021, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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.

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

 

              117


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities with a value equal to at least 100% of the market value of the loaned securities (marked to market daily). Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

Funds that lend their portfolio securities bear the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. Such Funds also bear the risk that the value of investments made with collateral may decline and bear the risk of total loss with respect to the investment of collateral.

At February 28, 2021, securities on loan at value and collateral from securities on loan are listed below:

 

         
Fund Name   Value of securities
on loan ($)
    Cash
collateral ($)
    Non-cash
collateral ($)*
    Total
collateral ($)
 

Climate Change Fund

    19,593,447       3,377,753       17,297,746       20,675,499  

Emerging Markets Fund

    3,874,183             4,204,133       4,204,133  

Resources Fund

    23,419,309             24,261,132       24,261,132  

 

  *

Non-cash collateral is comprised of U.S Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

Information regarding the value of the securities loaned and the value of cash collateral at period end is included in the Statements of Assets and Liabilities.

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.

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. 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.

 

118              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service (the “IRS”). Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders). Based on current guidance from the IRS, it is expected that International Equity Fund will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund’s closing agreement liability are presented as a reduction of Other income in the Statements of Operations and its estimated closing agreement liability is presented as Payable for IRS closing agreement fees in the Statements of Assets and Liabilities.

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.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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.

 

 

              119


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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

 

                       
Differences related to:   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
Capital loss carry forwards   X       X   X   X           X   X       X
Derivative contract transactions           X   X                           X
Dividend income and withholding tax reclaim reserves               X   X           X   X        

EU tax reclaims, associated interest entitlements and IRS closing agreement matters

                  X                        
Foreign currency transactions           X                                
Late-year ordinary losses           X                   X   X        
Losses on wash sale transactions   X   X   X   X   X       X   X   X   X   X
Partnership interest tax allocations               X                            
Passive foreign investment company transactions   X   X   X   X   X   X       X   X        
Redemption in-kind transactions                   X       X           X   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 ($)

 
Climate Change Fund     6,683,492       7,099,833       13,783,325       3,590,555       1,404,035       4,994,590  
Cyclical Focus Fund     7,515,852             7,515,852       N/A       N/A       N/A  
Emerging Domestic Opportunities Fund     7,101,297             7,101,297       51,556,984             51,556,984  
Emerging Markets Fund     113,896,942             113,896,942       158,828,533             158,828,533  
International Equity Fund     112,859,036             112,859,036       122,617,075             122,617,075  
Japan Value Creation Fund     2,070,899             2,070,899       N/A       N/A       N/A  
Quality Fund     151,652,451       774,234,311       925,886,762       132,495,166       399,309,648       531,804,814  
Resources Fund     20,325,831       11,022,393       31,348,224       17,144,201             17,144,201  
Tax-Managed International Equities Fund     882,340             882,340       1,766,064             1,766,064  
U.S. Equity Fund     15,615,633       20,105,110       35,720,743       13,879,421       54,102,864       67,982,285  
U.S. Small Cap Value Fund     6,891,863             6,891,863       3,801,218             3,801,218  

 

120              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

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 ($)

 

Climate Change Fund

    20,718,714       9,724,265             (4,384,481)        

Cyclical Focus Fund

    14,240,390                          

Emerging Domestic Opportunities Fund

    2,377,796                   (2,759,936)        

Emerging Markets Fund

    7,435,951                   (1,198,190,505)        

International Equity Fund

    33,770,181                   (1,021,402,908)        

Japan Value Creation Fund

    11,064,275                          

Quality Fund

    92,589,957       62,691,067                    

Resources Fund

    52,074,968       4,564,120                    

Tax-Managed International Equities Fund

    157,079       554,028             (2,732,322)        

U.S. Equity Fund

    870,861       21,990,970                    

U.S. Small Cap Value Fund

    17,754,941                          

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 ($)     Long-Term ($)  
Climate Change Fund     (1,674,056)       (2,710,425)  
Cyclical Focus Fund            
Emerging Domestic Opportunities Fund     (2,759,936)        
Emerging Markets Fund     (84,953,319)       (1,113,237,186)  
International Equity Fund     (769,130,239)       (252,272,669)  
Japan Value Creation Fund            
Quality Fund            
Resources Fund            
Tax-Managed International Equities Fund     (2,732,322)        
U.S. Equity Fund            
U.S. Small Cap Value Fund            

 

 

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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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) ($)

 
Climate Change Fund     294,572,809       67,829,480       (3,092,340)       64,737,140        

Cyclical Focus Fund

    108,278,459       34,448,700       (299,678)       34,149,022        
Emerging Domestic Opportunities Fund     874,941,701       170,209,171       (26,192,936)       144,016,235        
Emerging Markets Fund     2,714,531,364       429,099,418       (171,599,471)       257,499,947       377,116  
International Equity Fund     2,079,851,442       287,659,440       (132,755,413)       154,904,027        
Japan Value Creation Fund     148,982,218       16,172,570       (1,380,471)       14,792,099        
Quality Fund     4,465,585,299       3,005,329,310       (86,933,796)       2,918,395,514        
Resources Fund     767,288,967       240,812,952       (10,141,427)       230,671,525        

Tax-Managed International Equities Fund

    28,707,562       10,453,589       (172,123)       10,281,466        
U.S. Equity Fund     286,138,785       69,425,629       (4,820,256)       64,605,373        
U.S. Small Cap Value Fund     314,876,796       69,998,347       (14,493,421)       55,504,926        

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.

 

122              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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. Prior to November 3, 2017, Brown Brothers Harriman & Co. served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Cyclical Focus Fund, Japan Value Creation Fund, Quality Fund and U.S. Equity Fund. 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).

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, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below

 

Emerging Domestic Opportunities Fund   For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Emerging Markets Fund   For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Resources Fund   Prior to March 9, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.30% of the amount invested or redeemed.

 

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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.12% of the Fund’s total net assets as of February 28, 2021, though in recognition of the potential liability, a portion of that amount is included as a Miscellaneous payable within the Statements of Assets and Liabilities. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

 

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.

 

                       
     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
Commodities Risk   X                           X            
Counterparty Risk   X   X   X   X   X   X   X   X   X   X   X
Credit Risk           X                                
Currency Risk   X   X   X   X   X   X   X   X   X        
Derivatives and Short Sales Risk   X   X   X   X   X   X   X   X   X   X   X
Focused Investment Risk   X   X   X   X   X   X   X   X   X   X   X
Fund of Funds Risk           X   X                            
Illiquidity Risk   X   X   X   X   X   X   X   X   X   X   X
Large Shareholder Risk   X   X   X   X   X   X   X   X   X   X   X
Leveraging Risk   X   X   X   X   X   X   X   X   X   X   X
Management and Operational Risk   X   X   X   X   X   X   X   X   X   X   X
Market Disruption and Geopolitical Risk   X   X   X   X   X   X   X   X   X   X   X
Market Risk – Equities   X   X   X   X   X   X   X   X   X   X   X
Market Risk – Fixed Income           X                                
Merger Arbitrage Risk   X                           X            
Non-Diversified Funds   X   X   X   X       X   X   X   X        
Non-U.S. Investment Risk   X   X   X   X   X   X   X   X   X        
Smaller Company Risk   X   X   X   X   X   X   X   X   X   X   X

 

 

124              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

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.

 

              125


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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 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.

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 obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. 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.

 

126              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

Some Funds may lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of a Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline.

• 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 counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may

 

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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 to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements

 

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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 remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the

 

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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.

• 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.

 

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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 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

 

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disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future changes in tax legislation and regulation.

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.

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,

 

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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 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

 

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February 28, 2021

 

 

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:

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.

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.

 

 

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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.

 MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.

 NON-DIVERSIFIED FUNDS. Some of the Funds 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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February 28, 2021

 

 

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

 

   

Climate Change Fund

   

Cyclical Focus Fund

   

Emerging Domestic Opportunities Fund

   

Emerging Markets Fund

   

Japan Value Creation Fund

   

Quality Fund

   

Resources Fund

   

Tax-Managed International Equities Fund

 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. For information on possible special Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of 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.

 

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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 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 normally do not take 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. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. 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). A Fund also may use currency derivatives in an attempt to reduce 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, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). 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 currencies in which its equities are traded.

 

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February 28, 2021

 

 

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund may be leveraged).

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

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, 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

Domestic

Opportunities

Fund

   

Emerging

Markets

Fund

   

International

Equity

Fund

   

Tax-Managed

International

Equities

Fund

   

U.S.

Equity

Fund

   

U.S. Small

Cap

Value Fund

 
Forward currency contracts                                                

Hedge foreign currency exposure in the underlying funds’ investments relative to the U.S. dollar

    X                                          
Futures contracts                                                

Adjust exposure to certain securities markets

    X       X       X       X       X       X  

Maintain the diversity and liquidity of the portfolio

                    X       X       X       X  
Swap contracts                                                

Substitute for direct equity investment

    X       X                                  

Achieve returns comparable to holding and lending a direct equity position

    X       X                                  

Forward currency contracts

The Funds 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

 

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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.

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.

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,

 

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February 28, 2021

 

 

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.

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.

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.

 

              141


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

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.

 

       
    

Equity

Contracts

   

Foreign

Currency

Contracts

    Total  

Emerging Domestic Opportunities Fund

 

Net Realized Gain (Loss) on

 

Futures Contracts

  $ 1,405,623     $     $ 1,405,623  

Swap Contracts

    3,304,683             3,304,683  

Forward Currency Contracts

          (474,612     (474,612
   

 

 

   

 

 

   

 

 

 

Total

  $ 4,710,306     $ (474,612   $ 4,235,694  
   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Futures Contracts

  $ (1,227,126   $     $ (1,227,126

Swap Contracts

    (618,942           (618,942

Forward Currency Contracts

          405,915       405,915  
   

 

 

   

 

 

   

 

 

 

Total

  $ (1,846,068   $ 405,915     $ (1,440,153
   

 

 

   

 

 

   

 

 

 
                         

 

142              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

       
    

Equity

Contracts

   

Foreign

Currency

Contracts

    Total  

Emerging Markets Fund

 

Asset Derivatives

 

Unrealized Appreciation on Futures Contracts¤

  $ 6,633,761     $         —     $ 6,633,761  

Swap Contracts, at value¤

    225,326             225,326  
   

 

 

   

 

 

   

 

 

 

Total

  $ 6,859,087     $     $ 6,859,087  
   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Futures Contracts

  $ 30,465,630     $     $ 30,465,630  

Swap Contracts

    12,228,051             12,228,051  
   

 

 

   

 

 

   

 

 

 

Total

  $ 42,693,681     $     $ 42,693,681  
   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Futures Contracts

  $ 13,670,985     $     $ 13,670,985  

Swap Contracts

    (600,792           (600,792
   

 

 

   

 

 

   

 

 

 

Total

  $ 13,070,193     $     $ 13,070,193  
   

 

 

   

 

 

   

 

 

 
                         

International Equity Fund

 

Liability Derivatives

 

Unrealized Depreciation on Futures Contracts¤

  $ (370,276   $     $ (370,276
   

 

 

   

 

 

   

 

 

 

Total

  $ (370,276   $     $ (370,276
   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Futures Contracts

  $ (14,279,213   $     $ (14,279,213
   

 

 

   

 

 

   

 

 

 

Total

  $ (14,279,213   $     $ (14,279,213
   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Futures Contracts

  $ 8,280,402     $     $ 8,280,402  
   

 

 

   

 

 

   

 

 

 

Total

  $ 8,280,402     $     $ 8,280,402  
   

 

 

   

 

 

   

 

 

 
                         

Tax-Managed International Equities Fund

 

Asset Derivatives

 

Unrealized Appreciation on Futures Contracts¤

  $ 7,519     $     $ 7,519  
   

 

 

   

 

 

   

 

 

 

Total

  $ 7,519     $     $ 7,519  
   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Futures Contracts

  $ 50,395     $     $ 50,395  
   

 

 

   

 

 

   

 

 

 

Total

  $ 50,395     $     $ 50,395  
   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Futures Contracts

  $ 5,679     $     $ 5,679  
   

 

 

   

 

 

   

 

 

 

Total

  $ 5,679     $     $ 5,679  
   

 

 

   

 

 

   

 

 

 
                         

U.S. Equity Fund

 

Asset Derivatives

 

Unrealized Appreciation on Futures Contracts¤

  $ 6,984     $         —     $ 6,984  
   

 

 

   

 

 

   

 

 

 

Total

  $ 6,984     $     $ 6,984  
   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Futures Contracts

  $ (209,606   $     $ (209,606
   

 

 

   

 

 

   

 

 

 

Total

  $ (209,606   $     $ (209,606
   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Futures Contracts

  $ 78,400     $     $ 78,400  
   

 

 

   

 

 

   

 

 

 

Total

  $ 78,400     $     $ 78,400  
   

 

 

   

 

 

   

 

 

 
                         

 

              143


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

       
    

Equity

Contracts

   

Foreign

Currency

Contracts

    Total  

U.S. Small Cap Value Fund

 

Liability Derivatives

 

Unrealized Depreciation on Futures Contracts¤

  $ (109,220   $         —     $ (109,220
   

 

 

   

 

 

   

 

 

 

Total

  $ (109,220   $     $ (109,220
   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Futures Contracts

  $ (2,130,022   $     $ (2,130,022
   

 

 

   

 

 

   

 

 

 

Total

  $ (2,130,022   $     $ (2,130,022
   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Futures Contracts

  $ 681,150     $     $ 681,150  
   

 

 

   

 

 

   

 

 

 

Total

  $ 681,150     $     $ 681,150  
   

 

 

   

 

 

   

 

 

 
                         

 

  ^

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, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. 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, reverse repurchase agreements and securities loans held by the Funds at February 28, 2021, if any.

 

 

144              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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 Markets Fund

 

         
Counterparty  

Gross Derivative

Assets Subject to

Master Agreements

   

Collateral

Received

   

Derivative

Assets/(Liabilities)

Available for Offset

   

Net Amount

of Derivative

Assets

 

Goldman Sachs International

  $ 225,326     $ (225,326   $         —     $         —
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 225,326     $ (225,326   $     $  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

  *

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), 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 ($)

   

Swap

Contracts ($)

 

Emerging Domestic Opportunities Fund

    88,033,269       23,269,654       3,804,078  

Emerging Markets Fund

          194,472,624       36,521,837  

International Equity Fund

          21,586,453        

Tax-Managed International Equities Fund

          283,744        

U.S. Equity Fund

          2,941,698        

U.S. Small Cap Value Fund

          3,436,181        

 

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:

 

                       
    

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

 

Management Fee

    0.60%(a)       0.33%       0.75%       0.65%(b)       0.50%       0.50%       0.33%       0.50%       0.50%       0.31%       0.31%  

 

  (a) 

Prior to December 31, 2018, GMO voluntarily agreed to reduce its annual management fee by 0.15%.

  (b) 

Prior to June 30, 2020, GMO contractually agreed to reduce its annual management fee from 0.75% to 0.65%.

 

 

              145


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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 II     Class III     Class IV     Class V     Class VI     Class R6     Class I  

Climate Change Fund

            0.15%       0.10%*       0.085%*       0.055%*       0.15%       0.15%  

Cyclical Focus Fund

            0.15%*       0.105%*       0.085%*       0.055%       0.15%*       0.15%*  

Emerging Domestic Opportunities Fund

    0.22%       0.15%*       0.105%*       0.085%       0.055%*       0.22%*       0.22%  

Emerging Markets Fund

    0.22%       0.15%       0.105%*       0.085%       0.055%       0.22%       0.22%  

International Equity Fund

    0.22%       0.15%       0.09%                       0.22%*       0.22%*  

Japan Value Creation Fund

            0.15%*       0.10%*       0.085%*       0.055%       0.15%*       0.15%*  

Quality Fund

            0.15%       0.105%       0.085%*       0.055%       0.15%       0.15%  

Resources Fund

            0.15%       0.10%       0.085%*       0.055%*       0.15%       0.15%  

Tax-Managed International Equities Fund

            0.15%                               0.15%*       0.15%*  

U.S. Equity Fund

            0.15%       0.10%*       0.085%*       0.055%       0.15%*       0.15%*  

U.S. Small Cap Value Fund

            0.15%*       0.10%*       0.085%*       0.055%       0.15%*       0.15%*  

 

  *

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

For each Fund, other than Climate Change Fund, for the period prior to September 25, 2018, Resources Fund, and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund, for the period prior to September 25, 2018, Resources Fund and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

Subject to the exclusions noted below, “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. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For Resources Fund and U.S Small Cap Value 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 Funds’ “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A 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.

For the period starting September 25, 2018, GMO has contractually agreed to waive its fees and/or reimburse GMO Climate Change Fund (the “Fund”) to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses),

 

146              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.

For the year ended February 28, 2021, GMO did not recoup any previously recorded waivers and/or reimbursements.

As of February 28, 2021, there were no waivers and/or reimbursements subject to possible future recoupment.

For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.

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. Effective January 27 2020, GMO has contractually agreed to reimburse Class I assets for Emerging Markets Fund and Emerging Domestic Opportunities Fund to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.05% and 0.03%, respectively, of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, 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 II, 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.

 

 

              147


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 ($)

 

Climate Change Fund

    5,913       567  

Cyclical Focus Fund

    3,970       310  

Emerging Domestic Opportunities Fund

    33,510       3,566  

Emerging Markets Fund

    107,227       11,385  

International Equity Fund

    96,625       10,540  

Japan Value Creation Fund

    3,001       167  

Quality Fund

    252,876       25,108  

Resources Fund

    21,118       2,168  

Tax-Managed International Equities Fund

    1,454       120  

U.S. Equity Fund

    14,199       1,562  

U.S. Small Cap Value Fund

    14,442       1,571  

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2021, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

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)
 

Climate Change Fund

          397,016,110             272,851,635  

Cyclical Focus Fund

          175,824,209             87,535,863  

Emerging Domestic Opportunities Fund

          2,133,615,082       10,000,166       2,302,874,620  

Emerging Markets Fund

    34,991,797       2,886,676,311       42,507,063       3,511,742,851  

International Equity Fund

          1,208,697,216             2,344,781,253  

Japan Value Creation Fund

          172,953,423             38,913,694  

Quality Fund

    20,392,560       1,843,194,770       103,656,921       2,512,705,985  

Resources Fund

    34,266,210       661,692,273       34,182,697       513,986,978  

Tax-Managed International Equities Fund

          29,945,432             35,453,564  

U.S. Equity Fund

          305,006,195             498,135,310  

U.S. Small Cap Value Fund

          394,859,894             575,953,861  

 

148              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 28, 2021. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

 

       
Fund Name   In-Kind
Purchases ($)
    In-Kind
Sales ($)
   

Net realized gains/(losses)

attributed to redemption in-kind
transactions ($)

 

International Equity Fund

          293,635,824       51,053,730  

Quality Fund

    26,431,152       88,710,926       44,892,883  

U.S. Equity Fund

          51,936,295       14,072,869  

U.S. Small Cap Value Fund

          83,728,845       22,272,788  

 

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.

 

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
 

Climate Change Fund

    2       31.42%       5.63      

Cyclical Focus Fund

    3#       86.84%       1.31     87.66%  

Emerging Domestic Opportunities Fund*

    1       53.51%       1.30      

Emerging Markets Fund*

    3#       36.87%       0.42     64.61%  

International Equity Fund

    4#       72.13%       0.00 %**      84.88%  

Japan Value Creation Fund

          83.17%             99.95%  

Quality Fund

                0.27     4.25%  

Resources Fund

    3       76.61%       1.55      

Tax-Managed International Equities Fund

    1       83.59%              

U.S. Equity Fund

    2#       50.81%             91.21%  

U.S. Small Cap Value Fund

          74.40%       0.00 %**      99.99%  

 

  *

The Fund’s outstanding shares were owned by more than 10 shareholders as of February 28, 2021.

  **

Rounds to 0.00%.

  #

Two of the shareholders are other funds of the Trust.

  §

Three of the shareholders are other funds of the Trust.

 

              149


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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  

Climate Change Fund

 

Class III:

 

Shares sold

    814,512     $ 23,807,446       1,335,895     $ 29,627,307  

Shares issued to shareholders in reinvestment of distributions

    333,433       9,073,794       208,829       4,878,287  

Shares repurchased

    (688,426     (14,748,239     (1,258,218     (27,634,266

Shares repurchased in connection with reorganization(a)

    (691,250     (24,319,296            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (231,731   $ (6,186,295     286,506     $ 6,871,328  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(b)

 

Shares sold

    2,115,846     $ 53,282,325       50,513     $ 1,239,895  

Shares issued to shareholders in reinvestment of distributions

    96,807       2,822,175              

Shares repurchased

    (79,939     (1,769,065            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    2,132,714     $ 54,335,435       50,513     $ 1,239,895  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class I:(c)

 

Shares sold

    2,287,524       67,483,965       43,031       1,000,842  

Shares issued to shareholders in reinvestment of distributions

    59,254       1,739,936              

Shares issued to shareholders in connection with reorganization(a)

    696,975       24,478,649              

Shares repurchased

    (212,005     (6,571,577            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    2,831,748     $ 87,130,973       43,031     $ 1,000,842  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Cyclical Focus Fund

 

Class VI:(d)

 

Shares sold

    6,591,975     $ 138,002,053        

Shares issued to shareholders in reinvestment of distributions

    272,615       7,428,754        

Shares repurchased

    (1,978,588     (51,803,852      
   

 

 

   

 

 

       

Net increase (decrease)

    4,886,002     $ 93,626,955        
   

 

 

   

 

 

       
                                 

Emerging Domestic Opportunities Fund

 

Class II :

 

Shares sold

    2,559,887     $ 63,321,505       289,248     $ 6,614,135  

Shares issued to shareholders in reinvestment of distributions

    66,747       1,732,754       664,068       15,015,951  

Shares repurchased

    (5,260,674     (125,740,953     (8,745,485     (191,639,350

Purchase premiums

                      4,323  

Redemption fees

                      847,788  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (2,634,040   $ (60,686,694     (7,792,169   $ (169,157,153
   

 

 

   

 

 

   

 

 

   

 

 

 

Class III:(e)

 

Shares sold

    317,759     $ 6,587,104       77,711     $ 1,718,594  

Shares issued to shareholders in reinvestment of distributions

    3,255       84,526       227,211       5,137,598  

Shares repurchased

    (4,653,377     (88,118,115     (3,609,060     (78,781,535

Shares repurchased in connection with reorganization(a)

    (545,433     (15,763,441            

Purchase premiums

                      1,876  

Redemption fees

                      350,461  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (4,877,796   $ (97,209,926     (3,304,138   $ (71,573,006
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

150              


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 Domestic Opportunities Fund (continued)

 

Class IV:(f)

 

Shares issued to shareholders in reinvestment of distributions

            $  

Shares repurchased

        (5,133,511     (114,489,235

Purchase premiums

              189  

Redemption fees

              9,656  
       

 

 

   

 

 

 

Net increase (decrease)

        (5,133,511   $ (114,479,390
       

 

 

   

 

 

 

Class V:

 

Shares sold

    138,555     $ 3,005,148       4,069,005     $ 94,765,020  

Shares issued to shareholders in reinvestment of distributions

    198,807       5,157,051       1,207,239       27,262,953  

Shares repurchased

    (1,874,733     (50,168,277     (13,489,760     (301,571,976

Purchase premiums

                      6,412  

Redemption fees

                      1,090,567  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (1,537,371   $ (42,006,078     (8,213,516   $ (178,447,024
   

 

 

   

 

 

   

 

 

   

 

 

 

Class I: (g)

 

Shares sold

    116,224     $ 3,449,122        

Shares issued to shareholders in connection with reorganization(a)

    551,407       15,926,244        
   

 

 

   

 

 

       

Net increase (decrease)

    667,631     $ 19,375,366        
   

 

 

   

 

 

       
                                 

Emerging Markets Fund

 

Class II :

         

Shares sold

    1,648,844     $ 53,161,685       2,591,221     $ 84,009,094  

Shares issued to shareholders in reinvestment of distributions

    284,900       9,549,283       645,799       21,903,810  

Shares repurchased

    (6,920,252     (230,894,405     (4,313,640     (141,674,686

Purchase premiums

                      51,363  

Redemption fees

                      223,821  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (4,986,508   $ (168,183,437     (1,076,620   $ (35,486,598
   

 

 

   

 

 

   

 

 

   

 

 

 

Class III:

 

Shares sold

    4,370,676     $ 146,164,042       3,289,119     $ 107,742,551  

Shares issued to shareholders in reinvestment of distributions

    298,873       10,087,950       138,763       4,718,700  

Shares repurchased

    (812,877     (27,463,504     (1,201,886     (38,674,913

Shares repurchased in connection with reorganization(a)

    (1,043,359     (39,415,082            

Purchase premiums

                      29,976  

Redemption fees

                      127,453  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    2,813,313     $ 89,373,406       2,225,996     $ 73,943,767  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class V:(h)

 

Shares sold

    5,421,878     $ 199,958,895       6,704,011     $ 210,170,738  

Shares issued to shareholders in reinvestment of distributions

    169,700       5,655,265              

Shares repurchased

    (3,845,713     (125,000,000            

Purchase premiums

                       

Redemption fees

                       
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    1,745,865     $ 80,614,160       6,704,011     $ 210,170,738  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              151


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 Markets Fund (continued)

 

Class VI:

 

Shares sold

    8,650,691     $ 256,039,952       7,402,013     $ 246,827,168  

Shares issued to shareholders in reinvestment of distributions

    2,248,634       74,845,061       3,573,268       120,190,006  

Shares repurchased

    (33,325,115     (1,071,217,844     (23,395,592     (757,169,808

Purchase premiums

                      277,115  

Redemption fees

                      1,196,746  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (22,425,790   $ (740,332,831     (12,420,311   $ (388,678,773
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(i)

 

Shares sold

    813,354     $ 22,128,535        

Shares issued to shareholders in reinvestment of distributions

    27,888       936,435        

Shares issued to shareholders in connection with reorganization(a)

    439,317       16,534,284        

Shares repurchased

    (89,853     (2,939,669      
   

 

 

   

 

 

       

Net increase (decrease)

    1,190,706     $ 36,659,585        
   

 

 

   

 

 

       

Class I:(j)

 

Shares sold

    1,160,474     $ 41,034,616       525,691     $ 17,411,530  

Shares issued to shareholders in reinvestment of distributions

    28,672       965,150              

Shares issued to shareholders in connection with reorganization(a)

    614,858       23,134,094              

Shares repurchased

    (151,985     (4,910,965     (211     (6,910
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    1,652,019     $ 60,222,895       525,480     $ 17,404,620  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
International Equity Fund  

Class II:

 

Shares sold

        $           $  

Shares issued to shareholders in reinvestment of distributions

    4,663       100,614       13,808       300,245  

Shares repurchased

    (308,564     (5,424,568     (375,731     (7,877,185
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (303,901   $ (5,323,954     (361,923   $ (7,576,940
   

 

 

   

 

 

   

 

 

   

 

 

 

Class III:

 

Shares sold

    3,720,329     $ 66,916,245       2,042,255     $ 42,764,756  

Shares issued to shareholders in reinvestment of distributions

    960,872       20,929,248       876,701       19,307,608  

Shares repurchased

    (9,040,551     (188,307,672     (5,358,133     (115,630,443
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (4,359,350   $ (100,462,179     (2,439,177   $ (53,558,079
   

 

 

   

 

 

   

 

 

   

 

 

 

Class IV:

 

Shares sold

    12,892,796     $ 240,379,292       11,741,908     $ 249,651,330  

Shares issued to shareholders in reinvestment of distributions

    4,223,138       91,652,733       4,679,297       102,794,963  

Shares repurchased

    (70,171,356 )(k)      (1,432,924,992 )(k)      (43,099,517     (902,931,022
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (53,055,422   $ (1,100,892,967     (26,678,312   $ (550,484,729
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Japan Value Creation Fund  

Class VI:(l)

 

Shares sold

    8,189,635     $ 164,396,732        

Shares issued to shareholders in reinvestment of distributions

    90,304       2,043,576        

Shares repurchased

    (1,297,353     (28,419,114      
   

 

 

   

 

 

       

Net increase (decrease)

    6,982,586     $ 138,021,194        
   

 

 

   

 

 

       
                                 

 

152              


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  

Quality Fund

 

Class III:

 

Shares sold

    32,026,815 (m)    $ 786,417,726 (m)      24,208,061 (n)    $ 587,758,048 (n) 

Shares issued to shareholders in reinvestment of distributions

    16,255,824       396,418,267       9,288,097       227,503,802  

Shares repurchased

    (42,127,119     (1,019,341,255     (30,748,307     (748,409,967

Shares repurchased in connection with reorganization(a)

    (10,985,195     (286,038,477            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (4,829,675   $ (122,543,739     2,747,851     $ 66,851,883  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class IV:

 

Shares sold

    6,158,990     $ 150,155,647       5,393,298     $ 137,744,836  

Shares issued to shareholders in reinvestment of distributions

    5,043,483       123,440,372       3,200,998       78,540,885  

Shares repurchased

    (19,751,036     (495,584,958     (22,245,865 )(o)      (531,451,811 )(o) 
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (8,548,563   $ (221,988,939     (13,651,569   $ (315,166,090
   

 

 

   

 

 

   

 

 

   

 

 

 

Class VI:

 

Shares sold

    9,304,601     $ 207,464,992       5,679,207     $ 137,503,394  

Shares issued to shareholders in reinvestment of distributions

    12,982,294       316,855,443       7,389,652       180,990,035  

Shares repurchased

    (18,610,905 )(p)      (453,735,000 )(p)      (21,809,752     (528,211,553
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    3,675,990     $ 70,585,435       (8,740,893   $ (209,718,124
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(q)

 

Shares sold

    2,926,477     $ 76,021,273       3,486,855     $ 87,903,607  

Shares issued to shareholders in reinvestment of distributions

    99,528       2,458,364              

Shares issued to shareholders in connection with reorganization(a)

    6,739,160       175,346,775              

Shares repurchased

    (439,543     (11,695,126     (87,109     (2,238,685
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    9,325,622     $ 242,131,286       3,399,746     $ 85,664,922  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class I: (r)

 

Shares sold

    4,848,696     $ 115,110,578       3,566,561     $ 88,681,940  

Shares issued to shareholders in reinvestment of distributions

    869,086       21,195,796       71,643       1,757,400  

Shares issued to shareholders in connection with reorganization(a)

    4,273,468       111,094,880              

Shares repurchased

    (1,810,113     (44,845,668     (116,810     (2,898,788
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    8,181,137     $ 202,555,586       3,521,394     $ 87,540,552  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Resources Fund  

Class III:

 

Shares sold

    5,566,651     $ 104,471,696       2,761,934     $ 55,016,482  

Shares issued to shareholders in reinvestment of distributions

    567,771       13,774,201       306,986       6,449,418  

Shares repurchased

    (1,016,432     (23,560,174     (302,137     (6,067,221

Shares repurchased in connection with reorganization(a)

    (12,778,315     (350,668,382            

Purchase premiums

                      87,946  

Redemption fees

                      2,400  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (7,660,325   $ (255,982,659     2,766,783     $ 55,489,025  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class IV:

 

Shares sold

    4,555,504     $ 107,109,178       382,045     $ 7,856,670  

Shares issued to shareholders in reinvestment of distributions

    704,295       17,024,643       509,639       10,674,039  

Shares repurchased

    (3,363,546     (71,459,516     (285,769     (5,818,904

Purchase premiums

                      147,126  

Redemption fees

                      4,202  
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    1,896,253     $ 52,674,305       605,915     $ 12,863,133  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              153


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  
Resources Fund (continued)  

Class R6:(s)

 

Shares sold

    40,259     $ 1,068,906        

Shares issued to shareholders in connection with reorganization(a)

    54,721       1,501,686        

Shares repurchased

    (888     (23,453      
   

 

 

   

 

 

       

Net increase (decrease)

    94,092     $ 2,547,139        
   

 

 

   

 

 

       

Class I:(s)

 

Shares sold

    695,863     $ 19,518,024        

Shares issued to shareholders in connection with reorganization(a)

    12,718,172       349,017,891        

Shares repurchased

    (143,755     (3,958,459      
   

 

 

   

 

 

       

Net increase (decrease)

    13,270,280     $ 364,577,456        
   

 

 

   

 

 

       
                                 

Tax-Managed International Equities Fund

 

Class III:

 

Shares sold

    1,805,115     $ 20,617,208       722     $ 10,001  

Shares issued to shareholders in reinvestment of distributions

    9,074       135,500       61,454       905,073  

Shares repurchased

    (2,045,534     (26,003,077     (918,834     (13,006,197
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (231,345   $ (5,250,369     (856,658   $ (12,091,123
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

U.S. Equity Fund

 

Class III:

 

Shares sold

    390,012     $ 4,296,146       280,647     $ 3,693,248  

Shares issued to shareholders in reinvestment of distributions

    721,214       8,728,187       959,250       12,501,419  

Shares repurchased

    (815,138     (10,502,121     (4,232,533     (55,999,328
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    296,088     $ 2,522,212       (2,992,636   $ (39,804,661
   

 

 

   

 

 

   

 

 

   

 

 

 

Class VI:

 

Shares sold

    3,501,114     $ 44,086,437       765,484     $ 9,757,003  

Shares issued to shareholders in reinvestment of distributions

    2,251,552       26,876,326       4,277,949       55,400,367  

Shares repurchased

    (19,564,469 )(t)      (240,929,654 )(t)      (32,517,831     (433,954,549
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (13,811,803   $ (169,966,891     (27,474,398   $ (368,797,179
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

U.S. Small Cap Value Fund

 

Class VI:(u)

 

Shares sold

    4,758,720     $ 67,971,759       26,882,418 (w)    $ 541,929,344 (w) 

Shares issued to shareholders in reinvestment of distributions

    337,635       6,843,929       177,333       3,801,218  

Shares repurchased

    (13,194,884 )(v)      (261,216,696 )(v)      (4,053,702     (81,541,924
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (8,098,529   $ (186,401,008     23,006,049     $ 464,188,638  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

  (a) 

See Note 11 for discussion of reorganization.

  (b) 

The period under the heading “Year Ended February 29, 2020” represents the period from January 16, 2020 (commencement of operations) through February 29, 2020.

  (c) 

The period under the heading “Year Ended February 29, 2020” represents the period from February 25, 2020 (commencement of operations) through February 29, 2020.

  (d) 

The period under the heading “Year Ended February 28, 2021” represents the period from May 12, 2020 (commencement of operations) through February 28, 2021.

  (e) 

Class III liquidated on January 22, 2021.

  (f) 

For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders.

 

154              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

  (g) 

The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

  (h) 

For the period February 27, 2019 to February 25, 2020, Class V had no shareholders. The period under the heading “Year Ended February 29, 2020” represents the period from February 26, 2020 through February 29, 2020.

  (i) 

The period under the heading “Year Ended February 28, 2021” represents the period from March 31, 2020 (commencement of operations) through February 28, 2021.

  (j) 

The period under the heading “Year Ended February 29, 2020” represents the period from January 14, 2020 (commencement of operations) through February 29, 2020.

  (k) 

13,244,102 shares and $293,635,824 were redeemed in-kind.

  (l) 

The period under the heading “Year Ended February 28, 2021” represents the period from September 14, 2020 (commencement of operations) through February 28, 2021.

  (m) 

1,161,256 shares and $26,431,152 were purchased in-kind.

  (n) 

838,547 shares and $7,413,522 were purchased in-kind.

  (o) 

3,733,580 shares and $88,710,926 were redeemed in-kind.

  (p) 

7,413,522 shares and $165,586,344 were redeemed in-kind

  (q) 

The period under the heading “Year Ended February 29, 2020” represents the period from November 12, 2019 (commencement of operations) through February 29, 2020.

  (r) 

The period under the heading “Year Ended February 29, 2020” represents the period from September 26, 2019 (commencement of operations) through February 29, 2020.

  (s) 

The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

  (t) 

3,849,646 shares and $51,936,295 were redeemed in-kind.

  (u) 

The period under the heading “Year Ended February 29, 2020” represents the period from July 2, 2019 (commencement of operations) through February 29, 2020. February 29, 2020” represents the period from February 26, 2020 through February 29, 2020.

  (v) 

3,680,987 shares and $83,728,845 were redeemed in-kind.

  (w) 

3,127,405 shares and $62,548,093 represented a contribution of assets by its sole shareholder to launch U.S. Small Cap Value Fund on July 2, 2019.

 

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
 

Climate Change Fund

 

GMO U.S. Treasury Fund

  $ 8,545,006     $ 131,650,051     $ 121,641,856     $ 8,787   $ 1,155     $ 25,397     $ (14,867   $ 18,563,731  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Cyclical Focus Fund

 

GMO U.S. Treasury Fund

  $     $ 7,528,000     $ 7,000,000     $ 907     $ 286     $     $     $ 528,000  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Emerging Domestic Opportunities Fund

 

CMI Ltd

  $ 325,809     $     $ 326,512     $     $     $ (3,310,713   $ 3,311,416     $

Gayatri Projects Ltd

    3,380,455             1,436,828                   (1,485,323     1,667,267      

GMO U.S. Treasury Fund

    18,615,329       226,543,803       245,227,370       38,293       16       85,327       (17,089      
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 22,321,593     $ 226,543,803     $ 246,990,710     $ 38,293     $ 16     $ (4,710,709   $ 4,961,594     $  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

 

              155


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

                 
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
 
Emerging Markets Fund  

Anilana Hotels & Properties Ltd

  $ 485,306     $     $     $     $     $     $ 192,701     $ 678,007  

Gayatri Highways Ltd

    49,629             53,333                   (1,353,564     1,357,268      

Gayatri Projects Ltd

    5,130,069             1,223,719                   (2,099,960     4,490,009       6,296,399  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 5,665,004     $     $ 1,277,052     $     $     $ (3,453,524   $ 6,039,978     $ 6,974,406  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 
Quality Fund  

GMO U.S. Treasury Fund

  $ 15,768,140     $     $ 6,000,000     $ 31,838     $ 975     $ 47,619     $ 15,202     $ 9,830,961  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 
Resources Fund  

GMO U.S. Treasury Fund

  $ 1,832,863     $ 12,190,500     $ 14,026,825     $     $     $ 10,764     $ (7,302   $  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 
Tax-Managed International Equities Fund  

GMO U.S. Treasury Fund

  $ 368,696     $ 1,055,000     $ 1,420,000     $ 768     $ 26     $ 2,326     $ (857   $ 5,165  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 
U.S. Equity Fund  

GMO U.S. Treasury Fund

  $ 1,469,983     $ 57,600,000     $ 56,230,000     $ 7,941       213     $ 13,242     $ (2,929   $ 2,850,296  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

U.S. Small Cap Value Fund

 

   

GMO U.S. Treasury Fund

  $ 6,280,467     $ 50,000,000     $ 56,192,000     $ 4,990     $ 343     $ 28,629     $ (15,999   $ 101,097  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

 

  *

Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $16,320 in Climate Change Fund during the year.

  #

Security is no longer an affiliate at year end.

 

11.

Reorganization

Under a plan of reorganization completed at the close of business on January 22, 2021, GMO Climate Change Series Fund, GMO Emerging Domestic Opportunities Series Fund, GMO Emerging Markets Series Fund, GMO Quality Series Fund and GMO Resources Series Fund (each, a “Selling Fund”) transferred all of their assets and liabilities to GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO Quality Fund and GMO Resources Fund (each, an “Acquiring Fund”), respectively, in a reorganization that was approved by the shareholders and that was tax-free from a U.S. federal tax perspective. Prior to the reorganization, each Selling Fund invested all or substantially all of its assets in the corresponding Acquiring Fund and thus had the same investment program as the Acquiring Fund. The purpose of the reorganization was to provide exposure to a more efficient portfolio with substantially similar investment strategies.

 

156              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

The following is a summary of net assets and shares outstanding of the Acquiring Funds immediately before and after the reorganization.

 

     
     Before Reorganization     After Reorganization  
GMO Climate Change Fund            

Net assets

    $325,591,865       $325,751,217  

Shares outstanding

     

Class III

    5,584,858       4,893,608  

Class I

    1,511,080       2,208,055  

Net asset value per share

     

Class III

    $35.18       $35.18  

Class I

    $35.12       $35.12  
GMO Emerging Domestic Opportunities Fund            

Net assets

    $1,113,606,556       $1,113,769,359  

Shares outstanding

     

Class III

    545,433       0  

Class I

    0       551,407  

Net asset value per share

     

Class III

    $28.90       $0.00  

Class I

    $0.00       $28.88  
GMO Emerging Markets Fund            

Net assets

    $3,194,894,095       $3,195,147,391  

Shares outstanding

     

Class III

    13,574,730       12,531,371  

Class R6

    755,101       1,194,418  

Class I

    1,369,821       1,984,679  

Net asset value per share

     

Class III

    $37.78       $37.78  

Class R6

    $37.64       $37.64  

Class I

    $37.63       $37.63  
GMO Quality Fund            

Net assets

    $7,482,218,495       $7,482,542,613  

Shares outstanding

     

Class III

    137,986,811       127,001,617  

Class R6

    4,319,678       11,058,838  

Class I

    7,373,888       11,647,356  

Net asset value per share

     

Class III

    $26.04       $26.04  

Class R6

    $26.02       $26.02  

Class I

    $26.00       $26.00  
GMO Resources Fund            

Net assets

    $982,068,220       $982,041,482  

Shares outstanding

     

Class III

    16,202,336       3,424,021  

Class R6

    0       54,721  

Class I

    0       12,718,172  

Net asset value per share

     

Class III

    $27.44       $27.44  

Class R6

    $0.00       $27.44  

Class I

    $0.00       $27.44  

Because each Selling Fund was invested in the corresponding Acquiring Fund and no investments were transferred to the Acquiring Fund as part of the reorganization, the Acquiring Funds’ market value of investments, cost of investments and net unrealized appreciation/(depreciation) were unchanged as a result of the reorganization. Since the reorganization did not result in transfers of investments, its impact to the Statement of Operations were not material to the Acquiring Funds. Therefore, pro forma financial statements showing the effect of the reorganization are not presented.

 

              157


Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Climate Change Fund, GMO Cyclical Focus Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Cyclical Focus Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2021, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, 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 and the changes in each of their net assets for each of the periods indicated in the table below 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.

 

GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund   Statements of operations for the year ended February 28, 2021 and the statements of changes in net assets for each of the two years in the period ended February 28, 2021
GMO Cyclical Focus Fund   Statements of operations and changes in net assets for the period May 12, 2020 (commencement of operations) through February 28, 2021
GMO-Usonian Japan Value Creation Fund   Statements of operations and changes in net assets for the period September 14, 2020 (commencement of operations) through February 28, 2021
GMO U.S. Small Cap Value Fund   Statement of operations for the year ended February 28, 2021 and statement of changes in net assets for the year ended February 28, 2021 and for the period July 2, 2019 (commencement of operations) through February 29, 2020

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.

 

158              


GMO Trust Funds

 

Board Review of Investment Management Agreement

February 28, 2021 (Unaudited)

 

 

GMO-Usonian Japan Value Creation Fund

Approval of initial management agreement for GMO-Usonian Japan Value Creation Fund (the “Fund”). At a meeting on July 30, 2020, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term commencing August 11, 2020 the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund. In approving the initial management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At a meeting on July 30, 2020, the Trustees discussed materials provided by GMO for purposes of considering GMO’s proposal to establish the Fund as a new series of the Trust and a proposed management agreement between the Trust, on behalf of the Fund, and GMO. During this meeting, the Trustees met with the senior member of the investment team that was expected to be primarily responsible for the investment management of the Fund.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees therefore considered the performance of other funds and accounts advised by the investment team that would advise the Fund, noting that this performance was achieved by the investment team while its members were employed by a different investment advisory firm.

The Trustees considered the Fund’s estimated expense ratio (i.e. annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of other funds in a peer group determined by GMO to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees to be paid to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by GMO comparing the management fee to be paid by the Fund to the management fees of other funds and accounts pursuing similar investment strategies that are advised by the investment team that would advise the Fund, as well as funds managed by other managers determined by GMO to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by GMO to different share classes of the Fund in light of the services to be provided to each class by GMO.

The Trustees also considered that the non-investment management services to be provided by GMO to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services, were the same as the services provided by GMO under its current management agreements with other GMO funds. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

Since the Fund had not yet commenced operations, no information regarding GMO’s profitability with respect to the Fund was available to the Trustees. The Trustees did, however, consider information provided to them by GMO regarding its profits from managing the Trust overall. The Trustees also considered how the proposed fees compared to fees paid by other GMO funds and took note of “fallout benefits” realized by Manager that would result from its management of the Fund and the other GMO funds. The Trustees also considered possible alternative fee arrangements. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to GMO associated with managing the Fund.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel, and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO would employ in managing the Fund, GMO’s organization, its reputation, its risk management policies, and other matters relating to GMO and the nature and quality of its services to be provided to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s initial management agreement, that the nature, extent and quality of services to be provided supported their approval of the Fund’s management agreement and that the fee to be charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.

 

              159


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, 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. 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
 
   

Climate Change Fund

 

       

Class III

    $1,000.00       $1,427.00       $4.63       $1,000.00       $1,020.98       $3.86       0.77%  

Class R6

    $1,000.00       $1,427.30       $4.63       $1,000.00       $1,020.98       $3.86       0.77%  

Class I

    $1,000.00       $1,426.60       $5.23       $1,000.00       $1,020.48       $4.36       0.87%  
   

Cyclical Focus Fund

 

       

Class VI

    $1,000.00       $1,290.40       $2.27       $1,000.00       $1,022.81       $2.01       0.40%  
   

Emerging Domestic Opportunities Fund

 

       

Class II

    $1,000.00       $1,163.50       $5.47       $1,000.00       $1,019.74       $5.11       1.02%  

Class V

    $1,000.00       $1,164.10       $4.78       $1,000.00       $1,020.38       $4.46       0.89%  

Class I(a)

    $1,000.00       $958.10       $1.03       $1,000.00       $1,019.64       $5.21       1.04%  
   

Emerging Markets Fund

 

       

Class II

    $1,000.00       $1,178.30       $4.97       $1,000.00       $1,020.23       $4.61       0.92%  

Class III

    $1,000.00       $1,178.70       $4.70       $1,000.00       $1,020.48       $4.36       0.87%  

Class V

    $1,000.00       $1,179.60       $4.16       $1,000.00       $1,020.98       $3.86       0.77%  

Class VI

    $1,000.00       $1,179.50       $4.00       $1,000.00       $1,021.13       $3.71       0.74%  

Class R6

    $1,000.00       $1,178.40       $5.02       $1,000.00       $1,020.18       $4.66       0.93%  

Class I

    $1,000.00       $1,178.40       $5.29       $1,000.00       $1,019.94       $4.91       0.98%  
   

International Equity Fund

 

       

Class II

    $1,000.00       $1,166.70       $3.92       $1,000.00       $1,021.18       $3.66       0.73%  

Class III

    $1,000.00       $1,166.90       $3.55       $1,000.00       $1,021.52       $3.31       0.66%  

Class IV

    $1,000.00       $1,167.00       $3.22       $1,000.00       $1,021.82       $3.01       0.60%  
   

Japan Value Creation Fund(b)

 

       

Class VI

    $1,000.00       $1,188.20       $2.80       $1,000.00       $1,022.02       $2.81       0.56%  

 

160              


GMO Trust Funds

 

Fund Expenses — (Continued)

February 28, 2021 (Unaudited)

 

 

    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
 
   

Quality Fund

 

       

Class III

    $1,000.00       $1,117.20       $2.52       $1,000.00       $1,022.41       $2.41       0.48%  

Class IV

    $1,000.00       $1,117.20       $2.31       $1,000.00       $1,022.61       $2.21       0.44%  

Class VI

    $1,000.00       $1,117.40       $2.05       $1,000.00       $1,022.86       $1.96       0.39%  

Class R6

    $1,000.00       $1,116.90       $2.57       $1,000.00       $1,022.36       $2.46       0.49%  

Class I

    $1,000.00       $1,116.00       $3.10       $1,000.00       $1,021.87       $2.96       0.59%  
   

Resources Fund

 

       

Class III

    $1,000.00       $1,459.50       $4.33       $1,000.00       $1,021.27       $3.56       0.71%  

Class IV

    $1,000.00       $1,459.50       $4.02       $1,000.00       $1,021.52       $3.31       0.66%  

Class R6(a)

    $1,000.00       $1,013.80       $0.72       $1,000.00       $1,021.27       $3.56       0.71%  

Class I(a)

    $1,000.00       $1,013.50       $0.83       $1,000.00       $1,020.78       $4.06       0.81%  
   

Tax-Managed International Equities Fund

 

       

Class III

    $1,000.00       $1,158.70       $3.53       $1,000.00       $1,021.52       $3.31       0.66%  
   

U.S. Equity Fund

 

       

Class III

    $1,000.00       $1,169.20       $2.47       $1,000.00       $1,022.51       $2.31       0.46%  

Class VI

    $1,000.00       $1,169.80       $1.99       $1,000.00       $1,022.96       $1.86       0.37%  
   

U.S. Small Cap Value Fund

 

       

Class VI

    $1,000.00       $1,414.20       $2.39       $1,000.00       $1,022.81       $2.01       0.40%  

 

  *

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.

  (a) 

For the period January 22, 2021 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2021, multiplied by the average account value over the period, multiplied by 37 days in the period, divided by 365 days in the year.

  (b) 

For the period September 14, 2020 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 2021, multiplied by the average account value over the period, multiplied by 167 days in the period, divided by 365 days in the year.

 

              161


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   Dividend
Received
Deduction
(corporate
shareholders)(1)
   

Qualified

Dividend
Income
(non-corporate
shareholders)(1)

    U.S.
Government
Obligation
Income(1)(2)
    Interest-
Related
Dividend
Income
($)(3)
    Short-
Term
Capital
Gain
Dividends
($)(3)
    Long-Term
Capital Gain
Distributions
($)
    Foreign
Taxes
Paid
($)(4)
    Foreign
Source
Income
($)(4)
   

Section 199A
Dividend
Income

(non-corporate
shareholders)
($)(5)

 

Climate Change Fund

    5.68%       45.57%             46,887       4,114,087       7,099,833       246,026       3,652,523        

Cyclical Focus Fund

    11.70%       24.76%                   4,615,397                          

Emerging Domestic Opportunities Fund

    2.44%       98.00%       1.70%                         2,616,234       9,717,530        

Emerging Markets Fund

          56.81%             1,284,255                   12,026,066       114,520,393        

International Equity Fund

          67.22%             778,997                                

Japan Value Creation Fund

          65.02%                   55,555             177,464       1,774,638        

Quality Fund

    63.42%       80.95%             2,263,699       56,143,661       774,234,311                    

Resources Fund

    3.20%       79.82%                   4,072,900       11,022,393       1,839,991       20,141,393        

Tax-Managed International Equities Fund

          100.00%                               94,790       977,130        

U.S. Equity Fund

    44.83%       48.38%             168,067       9,483,285       20,105,110                   617  

U.S. Small Cap Value Fund

    100.00%       100.00%             70,317                               640,630  

 

  (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 may include short-term capital gain distributions received from underlying funds.

  (4) 

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

  (5) 

The Funds hereby designate the above qualified business income under Section 199A of the Code.

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

 

162              


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.

 

              163


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.

 

164              


 

 

 

 

AR-022821-EQ


GMO Trust

Annual Report

February 28, 2021

Alternative Allocation Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Strategic Opportunities Allocation 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, market risk-asset backed securities, credit 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

 

Alternative Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     2  

Performance Graph

     3  

Investment Concentration Summary

     4  

Schedule of Investments

     5  

Benchmark-Free Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     18  

Performance Graph

     19  

Investment Concentration Summary

     20  

Schedule of Investments

     21  

Benchmark-Free Fund

  

Management Discussion and Analysis of Fund Performance

     22  

Performance Graph

     23  

Investment Concentration Summary

     24  

Schedule of Investments

     25  

Global Asset Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     48  

Performance Graph

     49  

Investment Concentration Summary

     50  

Schedule of Investments

     51  

Global Developed Equity Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     52  

Performance Graph

     53  

Investment Concentration Summary

     54  

Schedule of Investments

     55  

Global Equity Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     56  

Performance Graph

     57  

Investment Concentration Summary

     58  

Schedule of Investments

     59  

Implementation Fund

  

Management Discussion and Analysis of Fund Performance

     60  

Performance Graph

     61  

Investment Concentration Summary

     62  

Schedule of Investments

     63  

International Developed Equity Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     90  

Performance Graph

     91  

Investment Concentration Summary

     92  

Schedule of Investments

     93  

International Equity Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     94  

Performance Graph

     95  

Investment Concentration Summary

     96  

Schedule of Investments

     97  

SGM Major Markets Fund

  

Management Discussion and Analysis of Fund Performance

     98  

Performance Graph

     99  

Investment Concentration Summary

     100  

Schedule of Investments

     101  

Strategic Opportunities Allocation Fund

  

Management Discussion and Analysis of Fund Performance

     104  

Performance Graph

     105  

Investment Concentration Summary

     106  

Schedule of Investments

     107  

 

             


Portfolio, Counterparty and Currency Abbreviations

     118  

Fund Financial Statements:

  

Statements of Assets and Liabilities

     119  

Statements of Operations

     125  

Statements of Changes in Net Assets

     128  

Statement of Cash Flows

     134  

Financial Highlights

     135  

Notes to Financial Statements

     147  

Report of Independent Registered Public Accounting Firm

     213  

Fund Expenses

     214  

Tax Information

     216  

Trustees and Officers

     217  

 

             


GMO Alternative Allocation 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

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 FTSE 3-Month Treasury Bill Index is included for comparative purposes only.

Class VI shares of GMO Alternative Allocation Fund returned +0.01% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

One of the underlying strategies, Systematic Global Macro had a solid positive return and, as a sizeable allocation, was the biggest contributor to total Fund returns with a 2.0% contribution. Event-Driven and High Yield also made decent contributions of 0.5% and 0.4%, respectively, as Event-Driven had a modest positive return but a sizeable allocation, while High Yield enjoyed a larger return on a smaller allocation. The Equity Dislocation Strategy, which is broadly 100% long cheap global Value and 100% short expensive global Growth, was added towards the end of 2020, and got off to a great start adding almost 0.5% to the total Fund return. The holdings in cash and equivalents, which are needed to collateralize the underlying exposures, generated a modest positive return as did the Asset Allocation Long/Short strategy and the Relative Value Credit strategy, while the Put Selling strategy had negligible impact. Unfortunately, the Fixed Income Absolute Return Strategy, which had a substantial exposure, suffered a very challenging year, and largely offset the positive contributions from the other strategies.

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 Alternative Allocation Fund

(A Series of GMO Trust)

  

 

 

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

GMO Alternative Allocation Fund Class VI Shares and the FTSE 3-Month Treasury Bill Index

As of February 28, 2021

 

LOGO

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

For Class VI, R6 and I the gross expense ratio of 1.43%, 1.59% and 1.69%, 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 1.16%, 1.32% and 1.42% 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 Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary(a)

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    55.5

Debt Obligations

    29.4  

Investment Funds

    10.4  

Short-Term Investments

    5.1  

Preferred Stocks

    0.3  

Rights/Warrants

    0.0

Purchased Options

    0.0

Forward Currency Contracts

    (0.0 )^ 

Written Options

    (0.2

Futures Contracts

    (0.2

Swap Contracts

    (0.5

Securities Sold Short

    (36.4

Other

    36.6  
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤   Debt Obligations as a
% of Total Net Assets
 

United States

    2.2

Other Emerging

    0.0 ^† 
 

 

 

 
    2.2 % 
 

 

 

 
 
Country/Region Summary¤   Equity Investments as a
% of Total Net Assets
 

United States

    21.7

China

    2.6  

Other Emerging

    1.8 † 

Taiwan

    1.4  

Australia

    1.1  

United Kingdom

    1.0  

Other Developed

    (0.3 )‡ 
 

 

 

 
    29.3 % 
 

 

 

 
(a)

GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

 

&

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 the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

 

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

 

“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

 

^

Rounds to 0.0%.

 

 

4              


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
    COMMON STOCKS — 50.1%

 

          Australia — 1.4%  
    5,363     BHP Group Ltd     202,724  
    18,210     BlueScope Steel Ltd     232,563  
    494,300     Coca-Cola Amatil Ltd     5,103,500  
    4,352     Computershare Ltd (a)     44,528  
    34,096     Dexus (REIT)     233,893  
    9,537     Fortescue Metals Group Ltd     176,131  
    85,845     GPT Group (The) (REIT)     281,964  
    68,980     Mirvac Group (REIT)     118,894  
    2,625     Rio Tinto Ltd     257,565  
    150,531     Scentre Group (REIT)     333,326  
    8,570     Stockland (REIT)     27,383  
     

 

 

 
    Total Australia     7,012,471  
     

 

 

 
          Belgium — 0.1%  
    6,227     Ageas SA/NV (a)     349,034  
    871     UCB SA (a)     86,366  
     

 

 

 
    Total Belgium     435,400  
     

 

 

 
          Canada — 0.3%  
    2,900     Canadian Apartment Properties (REIT)     116,310  
    200     Canadian Tire Corp Ltd – Class A     25,843  
    6,800     Imperial Oil Ltd (a)     149,027  
    1,300     Linamar Corp     72,641  
    3,900     Magna International Inc     328,494  
    300     Manulife Financial Corp (a)     5,981  
    10,400     Power Corp of Canada (a)     250,724  
    6,100     RioCan Real Estate Investment Trust     90,882  
    15,600     TELUS Corp     312,588  
     

 

 

 
    Total Canada     1,352,490  
     

 

 

 
          China — 0.6%  
    62,000     Agile Group Holdings Ltd     87,561  
    394,000     Bank of Communications Co Ltd – Class H     222,403  
    9,500     Beijing Enterprises Holdings Ltd     32,879  
    168,000     China Communications Services Corp Ltd – Class H     79,464  
    2,599,000     China Huarong Asset Management Co Ltd – Class H     307,863  
    12,500     China Overseas Land & Investment Ltd     31,672  
    712,000     China Railway Group Ltd – Class H     375,997  
    334,400     China Zhongwang Holdings Ltd *     98,249  
    105,000     Chongqing Rural Commercial Bank Co Ltd – Class H     46,280  
    284,000     Dongfeng Motor Group Co Ltd – Class H     260,715  
    37,500     Fosun International Ltd     56,257  
    262,400     Guangzhou R&F Properties Co Ltd – Class H     350,207  
    19,000     Kingboard Holdings Ltd     87,531  
    42,900     Legend Holdings Corp – Class H     63,980  
    18,000     Momo Inc Sponsored ADR (a)     285,120  
Shares     Description   Value ($)  
          China — continued  
    34,000     Seazen Group Ltd *     41,057  
    33,300     Shanghai Pharmaceuticals Holding Co Ltd – Class H     61,079  
    69,000     Shimao Group Holdings Ltd     227,214  
    66,000     Sinopharm Group Co Ltd – Class H     154,527  
    256,000     Skyworth Group Ltd *     80,438  
    232,000     Yuzhou Group Holdings Co Ltd     89,422  
     

 

 

 
    Total China     3,039,915  
     

 

 

 
          Denmark — 0.2%  
    18,095     Danske Bank A/S     332,639  
    7,746     Demant A/S * (a)     318,401  
    2,943     Pandora A/S     285,722  
     

 

 

 
    Total Denmark     936,762  
     

 

 

 
          Finland — 0.0%  
    52,470     Nokia Oyj *     209,047  
     

 

 

 
          France — 0.3%      
    3,747     Atos SE * (a)     292,863  
    4,273     Publicis Groupe SA (a)     251,258  
    7,510     Renault SA *     337,244  
    13,744     Societe Generale SA *     340,114  
    2,061     Unibail-Rodamco-Westfield (REIT) *     151,741  
    5,230     Valeo SA     184,839  
     

 

 

 
    Total France     1,558,059  
     

 

 

 
          Germany — 0.3%  
    26,199     Aroundtown SA     190,507  
    4,566     Bayer AG (Registered) (a)     277,344  
    630     Bayerische Motoren Werke AG     54,438  
    4,840     Daimler AG (Registered)     388,000  
    7,112     Deutsche Lufthansa AG (Registered) *     106,126  
    603     Deutsche Wohnen SE     28,343  
    1,790     Fresenius SE & Co KGaA     76,689  
    2,069     SAP SE     255,908  
     

 

 

 
    Total Germany     1,377,355  
     

 

 

 
          Hong Kong — 0.2%  
    43,000     CK Hutchison Holdings Ltd     324,494  
    432,000     First Pacific Co Ltd     141,728  
    50,300     Hongkong Land Holdings Ltd     241,652  
    45,500     Kerry Properties Ltd     146,585  
    534,000     PCCW Ltd     306,256  
    6,500     Swire Pacific Ltd – Class A     47,640  
     

 

 

 
    Total Hong Kong     1,208,355  
     

 

 

 
          Israel — 0.1%  
    1,000     Check Point Software Technologies Ltd *     110,240  
 

 

       See accompanying notes to the financial statements.   5


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
          Israel — continued  
    30,600     Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)     329,256  
     

 

 

 
    Total Israel     439,496  
     

 

 

 
          Italy — 0.2%  
    4,119     EXOR NV (a)     330,175  
    14,546     Leonardo SPA     116,019  
    319,892     Telecom Italia SPA     151,889  
    479,429     Telecom Italia SPA – RSP     257,022  
     

 

 

 
    Total Italy     855,105  
     

 

 

 
          Japan — 1.1%  
    33,100     Asahi Kasei Corp     359,089  
    6,900     Astellas Pharma Inc (a)     109,097  
    2,500     Central Japan Railway Co     411,936  
    4,600     Daiwa House Industry Co Ltd     130,484  
    3,300     Electric Power Development Co Ltd     53,970  
    10,500     Honda Motor Co Ltd     290,233  
    59,500     Inpex Corp (a)     442,417  
    11,100     ITOCHU Corp     331,535  
    10,300     KDDI Corp     321,087  
    300     MEIJI Holdings Co Ltd     19,085  
    12,800     Nippon Telegraph & Telephone Corp     331,585  
    37,300     Obayashi Corp     322,003  
    20,700     ORIX Corp (a)     353,198  
    17,000     Sekisui House Ltd     320,766  
    28,700     Shimizu Corp     218,022  
    25,800     Sumitomo Chemical Co Ltd     125,603  
    22,600     Sumitomo Dainippon Pharma Co Ltd (a)     359,231  
    1,500     Suzuki Motor Corp     65,430  
    6,400     Taisei Corp     226,950  
    11,300     TIS Inc (a)     235,237  
    104,700     Tokyo Electric Power Co Holdings Inc *     337,241  
    4,600     Tosoh Corp     84,561  
     

 

 

 
    Total Japan     5,448,760  
     

 

 

 
          Netherlands — 0.3%  
    7,623     ABN AMRO Bank NV CVA *     87,653  
    58,511     Aegon NV (a)     280,427  
    5,600     AerCap Holdings NV *     269,808  
    33,946     ING Groep NV     371,801  
    10,020     Koninklijke Ahold Delhaize NV     264,576  
    2,955     NN Group NV (a)     136,443  
    3,693     Randstad NV *     246,981  
     

 

 

 
    Total Netherlands     1,657,689  
     

 

 

 
          New Zealand — 0.1%  
    54,568     Meridian Energy Ltd     224,642  
     

 

 

 
          South Africa — 0.1%      
    27,750     Bidvest Group Ltd (The)     307,740  
Shares     Description   Value ($)  
          South Africa — continued      
    40,963     Old Mutual Ltd     36,398  
     

 

 

 
    Total South Africa     344,138  
     

 

 

 
          Spain — 0.1%  
    58,170     Banco Bilbao Vizcaya Argentaria SA     323,476  
    103,214     Banco Santander SA *     358,885  
     

 

 

 
    Total Spain     682,361  
     

 

 

 
          Sweden — 0.1%  
    38,435     Nordea Bank Abp     348,099  
     

 

 

 
          Switzerland — 0.1%      
    5,031     Adecco Group AG (Registered)     316,635  
    2,465     Banque Cantonale Vaudoise (Registered)     258,339  
     

 

 

 
    Total Switzerland     574,974  
     

 

 

 
          United Kingdom — 4.2%  
    19,301     Aviva Plc (a)     97,787  
    5,163     Berkeley Group Holdings Plc (The)     292,520  
    178,933     BT Group Plc *     309,718  
    3,877     Carnival Plc *     86,349  
    8,068     Coca-Cola HBC AG *     253,000  
    1,091     Ferguson Plc     129,077  
    31,839     GW Pharmaceuticals Plc ADR * (a)     6,821,506  
    50,071     Kingfisher Plc *     185,586  
    107,848     M&G Plc (a)     277,777  
    54,221     Micro Focus International Plc * (a)     318,323  
    28     National Grid Plc     315  
    199,297     Royal Dutch Shell Plc – Class B Sponsored ADR (a)     7,748,667  
    417,200     RSA Insurance Group Plc (a)     3,938,761  
    1,573     Smiths Group Plc     32,213  
    56,314     Taylor Wimpey Plc *     124,251  
    19,173     WPP Plc (a)     229,298  
     

 

 

 
    Total United Kingdom     20,845,148  
     

 

 

 
          United States — 40.3%  
    150,035     Aerojet Rocketdyne Holdings, Inc. *     7,692,294  
    1,500     Aflac, Inc. (a)     71,835  
    51,733     Alexion Pharmaceuticals, Inc. * (a)     7,902,216  
    4,200     Alliance Data Systems Corp. (a)     405,300  
    800     Allstate Corp. (The) (a)     85,280  
    5,200     Ally Financial, Inc. (a)     215,800  
    1,400     American International Group, Inc. (a)     61,530  
    800     Anthem, Inc. (a)     242,552  
    600     Archer-Daniels-Midland Co.     33,948  
    3,300     Arrow Electronics, Inc. *     330,858  
    10,100     AT&T, Inc.     281,689  
    6,900     Athene Holding Ltd. – Class A * (a)     314,571  
    100     AutoZone, Inc. *     115,992  
    1,500     Bank of New York Mellon Corp. (The) (a)     63,240  
 

 

6   See accompanying notes to the financial statements.       


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
          United States — continued  
    1,900     Bed Bath & Beyond, Inc. *     51,034  
    300     Best Buy Co., Inc.     30,105  
    1,000     Biogen, Inc. * (a)     272,880  
    1,900     Booz Allen Hamilton Holding Corp. (a)     146,566  
    3,500     BorgWarner, Inc.     157,500  
    39,000     Bristol-Myers Squibb Co.     2,391,870  
    69,300     Cantel Medical Corp. *     5,147,604  
    3,400     Capital One Financial Corp. (a)     408,646  
    300     Capri Holdings Ltd. *     14,001  
    200     CarMax, Inc. *     23,902  
    12,700     Carnival Corp. *     339,725  
    7,000     Carrier Global Corp.     255,710  
    5,000     CBRE Group, Inc. – Class A *     378,850  
    4,000     Centene Corp. * (a)     234,160  
    1,500     CenterPoint Energy, Inc.     29,160  
    346,200     Change Healthcare, Inc. *     7,917,594  
    1,700     Cigna Corp. (a)     356,830  
    4,200     Cisco Systems, Inc.     188,454  
    5,500     Citigroup, Inc.     362,340  
    6,200     Citizens Financial Group, Inc.     269,328  
    3,100     Cognizant Technology Solutions Corp. – Class A (a)     227,788  
    6,500     Comcast Corp. – Class A (a)     342,680  
    1,500     Consolidated Edison, Inc.     98,475  
    8,000     Corteva, Inc.     361,200  
    30,600     Coty Inc. – Class A *     234,702  
    4,600     CVS Health Corp. (a)     313,398  
    2,100     Discover Financial Services (a)     197,547  
    204,071     Discovery, Inc. – Class C * (a)     9,183,195  
    9,000     DISH Network Corp. – Class A * (a)     283,590  
    4,000     DR Horton, Inc.     307,480  
    1,100     Dropbox, Inc. – Class A * (a)     24,799  
    3,100     Edwards Lifesciences Corp. * (a)     257,610  
    500     Electronic Arts, Inc. (a)     66,985  
    6,300     Exelon Corp.     243,180  
    2,400     Expedia Group, Inc. *     386,400  
    7,700     Exxon Mobil Corp. (a)     418,649  
    1,200     Facebook, Inc. – Class A * (a)     309,144  
    400     FedEx Corp.     101,800  
    700     Fifth Third Bancorp     24,283  
    1,000     FleetCor Technologies, Inc. * (a)     277,310  
    166,796     FLIR Systems, Inc.     8,906,906  
    34,600     Ford Motor Co. *     404,820  
    4,800     Fox Corp. – Class A (a)     159,888  
    8,400     Fox Corp. – Class B (a)     268,212  
    7,300     General Motors Co. *     374,709  
    800     General Mills, Inc.     44,008  
    3,900     Gilead Sciences, Inc. (a)     239,460  
    1,300     Goldman Sachs Group, Inc. (The) (a)     415,324  
    21,777     Grubhub, Inc. *     1,395,252  
    500     Hartford Financial Services Group, Inc. (The) (a)     25,345  
    10,600     HP, Inc.     307,082  
Shares     Description   Value ($)  
          United States — continued  
    124,892     IHS Markit Ltd.     11,260,263  
    69,389     Inphi Corp. * (a)     11,420,736  
    5,700     Intel Corp. (a)     346,446  
    500     International Paper Co.     24,825  
    2,800     International Business Machines Corp. (a)     333,004  
    13,600     Invesco Ltd. (a)     304,912  
    1,700     Jazz Pharmaceuticals Plc *     285,668  
    22,200     Kinder Morgan, Inc. (a)     326,340  
    4,500     Kohl’s Corp. *     248,625  
    6,700     Kraft Heinz Co. (The)     243,746  
    7,800     Kroger Co. (The)     251,238  
    1,000     Laboratory Corp. of America Holdings * (a)     239,910  
    2,100     Leidos Holdings, Inc. * (a)     185,745  
    3,800     Lennar Corp. – Class A     315,286  
    84,958     Liberty Broadband Corp. – Class C * (a)     12,702,071  
    5,800     Lincoln National Corp. (a)     329,846  
    3,000     LKQ Corp. *     118,170  
    28,700     Lumen Technologies, Inc.     352,723  
    3,500     LyondellBasell Industries NV – Class A     360,815  
    175,917     Maxim Integrated Products, Inc. (a)     16,390,187  
    7,300     MetLife, Inc. (a)     420,480  
    4,600     Micron Technology, Inc. * (a)     421,038  
    800     Mohawk Industries, Inc. *     139,992  
    6,700     Molson Coors Brewing Co. – Class B *     297,815  
    1,700     Morgan Stanley (a)     130,679  
    5,900     Occidental Petroleum Corp. (a)     156,999  
    4,800     Oracle Corp. (a)     309,648  
    1,200     PACCAR, Inc.     109,188  
    2,900     PG&E Corp. *     30,479  
    5,000     Phillips 66 (a)     415,250  
    186,105     PNM Resources, Inc.     8,934,901  
    4,000     PPL Corp.     104,760  
    17,897     PRA Health Sciences, Inc. *     2,638,197  
    800     Principal Financial Group, Inc. (a)     45,264  
    1,800     Progressive Corp. (The) (a)     154,710  
    4,000     Prudential Financial, Inc. (a)     346,880  
    500     Public Service Enterprise Group, Inc.     26,915  
    4,800     PulteGroup, Inc.     216,528  
    14,800     Qurate Retail, Inc. – Series A     183,816  
    4,600     Raytheon Technologies Corp.     331,154  
    600     Regeneron Pharmaceuticals, Inc. * (a)     270,342  
    176,000     Slack Technologies, Inc. – Class A * (a)     7,203,680  
    200     Snap-on, Inc.     40,622  
    3,900     SS&C Technologies Holdings, Inc. (a)     258,492  
    9,600     Synchrony Financial (a)     371,328  
    21,075     Teladoc Health, Inc. *     4,659,472  
    3,200     Textron, Inc.     161,088  
    4,000     Tyson Foods, Inc. – Class A     270,680  
    800     United Rentals, Inc. *     237,904  
    2,300     Universal Health Services, Inc. – Class B * (a)     288,259  
    71,607     Varian Medical Systems, Inc. * (a)     12,550,559  
 

 

       See accompanying notes to the financial statements.   7


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
          United States — continued  
    4,600     Verizon Communications, Inc.     254,380  
    7,500     ViacomCBS, Inc. – Class B (a)     483,675  
    14,600     Viatris, Inc. * (a)     216,810  
    800     VICI Properties, Inc. (REIT)     22,800  
    1,700     VMware, Inc. – Class A * (a)     234,957  
    4,800     Walgreens Boots Alliance, Inc.     230,064  
    11,100     Wells Fargo & Co.     401,487  
    10,900     Western Union Co. (The) (a)     253,098  
    5,200     Western Digital Corp. *     356,356  
    600     Whirlpool Corp.     114,048  
    110,677     Willis Towers Watson Plc (a)     24,419,773  
    104,700     Xilinx, Inc. (a)     13,642,410  
     

 

 

 
    Total United States     201,392,118  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $231,331,413)
    249,942,384  
     

 

 

 
          PREFERRED STOCKS (b) — 0.1%  
          Germany — 0.1%  
    4,986     Bayerische Motoren Werke AG     337,653  
    391     Henkel AG & Co KGaA     38,507  
     

 

 

 
    Total Germany     376,160  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $346,244)
    376,160  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          United States — 0.0%  
    195,149     Bristol-Myers Squibb Co., Expires 03/31/21 * (c)     146,362  
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $270,780)
    146,362  
     

 

 

 
          INVESTMENT FUNDS — 10.4%  
          United States — 10.4%  
    734,100     Altaba, Inc. (c)     10,681,155  
    107,500     iShares Core S&P 500 ETF     41,040,275  
     

 

 

 
    Total United States     51,721,430  
     

 

 

 
    TOTAL INVESTMENT FUNDS
(COST $49,332,355)
    51,721,430  
     

 

 

 
          DEBT OBLIGATIONS — 29.3%  
          United States — 28.6%  
          Asset-Backed Securities — 12.6%  
    7,435,777     Apidos CLO XXI, Series 15-21A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 1.15%, due 07/18/27     7,437,688  
Shares     Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    9,433,694     Canyon CLO Ltd., Series 20-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.92%, 2.16%, due 07/15/28     9,469,444  
    844,910     Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.06%, due 01/27/28     845,114  
    5,794,635     MP CLO VIII Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.91%, 1.13%, due 10/28/27     5,796,292  
    8,063,879     Neuberger Berman CLO XIX Ltd., Series 15-19A, Class A1R2, 144A, Variable Rate, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 07/15/27     8,065,798  
    3,403,632     Oaktree CLO Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 1.09%, due 10/20/27     3,404,527  
    2,685,044     Ocean Trails CLO VI, Series 16-6A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.39%, due 07/15/28     2,687,041  
    1,473,764     Octagon Investment Partners XXIII Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.09%, due 07/15/27     1,474,115  
    1,871,893     Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.09%, due 11/15/26     1,872,638  
    4,092,659     Palmer Square Loan Funding Ltd., Series 19-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.03%, due 08/20/27     4,094,350  
    4,595,954     TICP CLO III-2 Ltd., Series 18-3R, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.84%, 1.06%, due 04/20/28     4,597,163  
    8,460,531     Venture XX CLO Ltd., Series 15-20A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.82%, 1.06%, due 04/15/27     8,462,544  
    4,835,266     Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.19%, due 04/15/29     4,801,782  
     

 

 

 
    Total Asset-Backed Securities     63,008,496  
     

 

 

 
          U.S. Government — 16.0%  
    1,000,000     U.S. Treasury Note, 0.13%, due 07/31/22     1,000,117  
    19,000,000     U.S. Treasury Note, 0.13%, due 08/31/22     19,000,742  
    20,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22 (a)     20,005,152  
    20,000,000     U.S. Treasury Note, 0.13%, due 12/31/22 (a)     19,999,219  
    20,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.08%, due 01/31/23 (a)     20,001,580  
     

 

 

 
    Total U.S. Government     80,006,810  
     

 

 

 
    Total United States     143,015,306  
     

 

 

 
 

 

8   See accompanying notes to the financial statements.       


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
    United States Virgin Islands — 0.7%

 

          Asset-Backed Securities — 0.7%  
    3,376,282     Denali Capital CLO X LLC, Series 13-1A, Class A1LR, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.27%, due 10/26/27     3,377,266  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $146,191,714)
    146,392,572  
     

 

 

 
          MUTUAL FUNDS — 5.8%  
          United States — 5.8%  
          Affiliated Issuers — 5.8%  
    801,777     GMO Emerging Markets Fund, Class VI     29,192,704  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $25,967,584)
    29,192,704  
     

 

 

 
Shares     Description   Value ($)  
    SHORT-TERM INVESTMENTS — 5.1%

 

          Money Market Funds — 5.1%  
    25,386,986     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)     25,386,986  
    156,168     State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (e)     156,168  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $25,543,154)
    25,543,154  
     

 

 

 
 

 

PURCHASED OPTIONS — 0.0%

 

Description    Counterparty    Exercise
Rate
    Expiration
Date
     Principal/
Notional
Amount
     Floating
Rate
Index
  Pay/Receive
Floating
Rate
     Value ($)  

Options on Credit Default Swaps — Calls — 0.0%

         

CDX.NA.IGS.35.V1-5Y

   BOA      47.50     04/21/21      USD     24,450,000      Fixed Spread     Receive                   8,015  
                    

 

 

 
    TOTAL PURCHASED OPTIONS (COST $26,895)      8,015  
      

 

 

 
    TOTAL INVESTMENTS — 100.8%
(Cost $479,010,139)
     503,322,781  
      

 

 

 

 

Shares     Description   Value ($)  
    SECURITIES SOLD SHORT — (36.5)%

 

          Common Stocks — (36.4)%      
          Australia — (0.3)%      
    (3,326   Afterpay Ltd *     (303,811
    (46,005   APA Group     (330,227
    (1,441   ASX Ltd     (75,039
    (892   Cochlear Ltd     (145,536
    (159   Ramsay Health Care Ltd     (8,092
    (55,610   Sydney Airport *     (252,094
    (13,806   TPG Telecom Ltd *     (73,038
    (29,180   Transurban Group     (289,180
     

 

 

 
    Total Australia     (1,477,017
     

 

 

 
          Austria — (0.1)%  
    (3,630   Verbund AG     (275,944
     

 

 

 
          Canada — (0.1)%      
    (17,400   AltaGas Ltd     (263,748
     

 

 

 
          Denmark — (0.0)%      
    (1,181   Ambu A/S – Class B     (54,425
     

 

 

 
Shares     Description   Value ($)  
          Common Stocks — continued      
          France — (0.4)%      
    (5,804   Edenred     (321,669
    (18,729   Getlink SE *     (306,925
    (325   Hermes International     (362,063
    (601   Sartorius Stedim Biotech     (262,785
    (2,488   Ubisoft Entertainment SA *     (202,850
    (11,247   Vivendi SE     (389,283
    (2,821   Wendel SE     (321,830
     

 

 

 
    Total France     (2,167,405
     

 

 

 
          Germany — (0.4)%  
    (2,038   Delivery Hero SE *     (260,415
    (3,079   Puma SE *     (327,864
    (1,873   QIAGEN NV *     (92,559
    (7,820   RWE AG     (295,360
    (3,316   Scout24 AG     (250,124
    (110,544   Telefonica Deutschland Holding AG     (296,010
    (9,469   Uniper SE     (330,967
    (2,926   Zalando SE *     (300,813
     

 

 

 
    Total Germany     (2,154,112
     

 

 

 
 

 

       See accompanying notes to the financial statements.   9


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
          Common Stocks — continued      
    Ireland — (0.3)%

 

    (7,389   ICON Plc *     (1,335,045
     

 

 

 
          Israel — (0.1)%      
    (900   Wix.com Ltd *     (313,713
     

 

 

 
          Italy — (0.2)%      
    (1,330   Amplifon SPA *     (52,904
    (2,607   Atlantia SPA *     (48,808
    (1,646   Ferrari NV     (320,320
    (21,720   FinecoBank Banca Fineco SPA *     (380,950
    (3,887   Infrastrutture Wireless Italiane SPA     (40,466
     

 

 

 
    Total Italy     (843,448
     

 

 

 
          Japan — (1.2)%  
    (14,000   Acom Co Ltd     (62,736
    (9,200   Asahi Intecc Co Ltd     (264,205
    (64,600   ENEOS Holdings Inc     (285,660
    (300   Fast Retailing Co Ltd     (297,443
    (2,500   GMO Payment Gateway Inc     (330,887
    (5,200   Hitachi Metals Ltd     (82,845
    (500   Ibiden Co Ltd     (20,426
    (11,100   Idemitsu Kosan Co Ltd     (291,966
    (10,900   Isetan Mitsukoshi Holdings Ltd     (80,180
    (4,800   Japan Airport Terminal Co Ltd     (232,356
    (5,200   Japan Exchange Group Inc     (112,302
    (63   Japan Real Estate Investment Corp     (385,078
    (17,400   JGC Holding Corp     (225,928
    (18,100   Keikyu Corp     (287,916
    (500   Keio Corp     (37,514
    (1,200   Kintetsu Group Holdings Co Ltd     (50,481
    (16,800   Kyushu Electric Power Co Inc     (144,354
    (1,100   Lasertec Corp     (134,683
    (9,800   LIXIL Corp     (276,342
    (3,700   M3 Inc     (294,068
    (500   McDonald’s Holdings Co Japan Ltd     (24,844
    (2,400   Mercari Inc *     (115,473
    (1,100   Mitsubishi Materials Corp     (26,059
    (5,500   MonotaRO Co Ltd     (316,205
    (1,000   Nidec Corp     (127,515
    (4,200   Nihon M&A Center Inc     (229,216
    (2,700   Nippon Paint Holdings Co Ltd     (201,105
    (11,400   Nippon Yusen KK     (329,741
    (500   Nissin Foods Holdings Co Ltd     (37,784
    (5,600   Odakyu Electric Railway Co Ltd     (164,588
    (1,600   ORIENTAL LAND CO LTD     (269,413
    (2,000   Yaskawa Electric Corp     (100,625
     

 

 

 
    Total Japan     (5,839,938
     

 

 

 
          Netherlands — (0.4)%  
    (166   Adyen NV *     (387,342
Shares     Description   Value ($)  
          Common Stocks — continued      
          Netherlands — continued  
    (17,458   Just Eat Takeaway.com NV *     (1,679,925
     

 

 

 
    Total Netherlands     (2,067,267
     

 

 

 
          New Zealand — (0.0)%  
    (2,628   Xero Ltd *     (240,512
     

 

 

 
          Norway — (0.0)%      
    (896   Schibsted ASA – B Shares *     (30,725
     

 

 

 
          Peru — (0.1)%      
    (4,800   Southern Copper Corp     (342,384
     

 

 

 
          Singapore — (0.1)%      
    (46,900   Singapore Exchange Ltd     (349,181
     

 

 

 
          Spain — (0.2)%      
    (5,781   Cellnex Telecom SA     (314,543
    (12,517   Endesa SA     (309,299
    (11,379   Ferrovial SA     (282,402
    (7,713   Siemens Gamesa Renewable Energy SA     (286,101
     

 

 

 
    Total Spain     (1,192,345
     

 

 

 
          Sweden — (0.1)%  
    (2,398   Evolution Gaming Group AB     (299,018
     

 

 

 
          Switzerland — (0.2)%      
    (219   Partners Group Holding AG     (262,202
    (268   Straumann Holding AG (Registered)     (323,654
    (3,632   Swiss Re AG     (341,219
     

 

 

 
    Total Switzerland     (927,075
     

 

 

 
          United Kingdom — (3.2)%  
    (5,018   Admiral Group Plc     (217,150
    (8,841   Antofagasta Plc     (220,653
    (105,866   AstraZeneca Plc Sponsored ADR     (5,121,797
    (41,370   Auto Trader Group Plc *     (318,076
    (99,136   ConvaTec Group Plc     (260,236
    (17,349   Entain Plc *     (343,218
    (7,404   Experian Plc     (235,031
    (4,074   Halma Plc     (128,971
    (15,135   Hargreaves Lansdown Plc     (319,979
    (41,990   Informa Plc *     (322,130
    (3,588   Land Securities Group Plc (REIT)     (33,274
    (2,828   London Stock Exchange Group Plc     (380,023
    (8,387   Melrose Industries Plc *     (19,491
    (10,017   Ocado Group Plc *     (307,756
    (5,621   Prudential Plc     (111,972
    (189,150   Royal Dutch Shell Plc – Class A Sponsored ADR     (7,760,825
    (649   Spirax-Sarco Engineering Plc     (97,265
     

 

 

 
    Total United Kingdom     (16,197,847
     

 

 

 
 

 

10   See accompanying notes to the financial statements.       


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
          Common Stocks — continued      
          United States — (29.0)%  
    (183,548   Advanced Micro Devices, Inc. *     (15,511,641
    (8,000   AES Corp. (The)     (212,480
    (600   Agilent Technologies, Inc.     (73,242
    (300   Align Technology, Inc. *     (170,133
    (1,500   American Tower Corp. (REIT)     (324,195
    (110,889   Analog Devices, Inc.     (17,278,724
    (119,691   Aon Plc – Class A     (27,254,838
    (2,900   Aramark     (107,648
    (2,300   Arthur J Gallagher & Co.     (275,540
    (1,200   Autodesk, Inc. *     (331,200
    (1,700   Avalara, Inc. *     (266,798
    (1,000   Axalta Coating Systems Ltd. *     (27,340
    (1,000   Ball Corp.     (85,390
    (100   Black Knight, Inc. *     (7,669
    (39,001   Bristol-Myers Squibb Co.     (2,391,931
    (200   Broadcom, Inc.     (93,974
    (1,300   Burlington Stores, Inc. *     (336,466
    (1,400   Cabot Oil & Gas Corp.     (25,914
    (900   Carvana Co. *     (255,150
    (1,400   Catalent, Inc. *     (159,194
    (1,500   Ceridian HCM Holding, Inc. *     (134,490
    (7,479   Charter Communications, Inc. – Class A *     (4,587,768
    (5,500   Cheniere Energy, Inc. *     (370,645
    (200   Chipotle Mexican Grill, Inc. *     (288,400
    (1,100   Cloudflare, Inc. – Class A *     (81,367
    (800   CME Group, Inc.     (159,760
    (2,900   Cognex Corp.     (239,511
    (200   CoStar Group, Inc. *     (164,752
    (1,000   Coupa Software, Inc. *     (346,260
    (1,700   Crowdstrike Holdings, Inc. – Class A *     (367,200
    (1,700   Crown Castle International Corp. (REIT)     (264,775
    (2,700   Datadog, Inc. – Class A *     (257,607
    (800   DexCom, Inc. *     (318,224
    (1,800   Digital Realty Trust, Inc. (REIT)     (242,514
    (183,398   Discovery, Inc. – Class A *     (9,725,596
    (1,400   DocuSign, Inc. *     (317,324
    (1,600   Enphase Energy, Inc. *     (281,696
    (1,500   Equifax, Inc.     (242,820
    (400   Equinix, Inc. (REIT)     (259,336
    (5,700   Equity LifeStyle Properties, Inc. (REIT)     (351,405
    (200   Erie Indemnity Co. – Class A     (48,420
    (800   Essential Utilities, Inc.     (33,648
    (200   Etsy, Inc. *     (44,054
    (2,500   Exact Sciences Corp. *     (340,300
    (1,900   Fastenal Co.     (88,103
    (2,600   Guidewire Software, Inc. *     (288,574
    (600   HubSpot, Inc. *     (309,000
    (600   IDEXX Laboratories, Inc. *     (312,102
    (200   Illumina, Inc. *     (87,882
    (3,400   Ingersoll Rand, Inc. *     (157,556
Shares     Description   Value ($)  
          Common Stocks — continued      
          United States — continued  
    (1,300   Insulet Corp. *     (336,830
    (1,900   IQVIA Holdings, Inc. *     (366,301
    (2,900   Iron Mountain, Inc. (REIT)     (100,891
    (2,679   Jazz Pharmaceuticals Plc *     (450,179
    (4,400   Lamb Weston Holdings, Inc.     (350,988
    (1,000   Liberty Broadband Corp. – Class A *     (145,360
    (56,940   Liberty Broadband Corp. – Class C *     (8,513,099
    (1,100   Liberty Global Plc – Class C *     (26,730
    (7,500   Liberty Media Corp-Liberty Formula One – Class C *     (329,250
    (1,100   Linde Plc     (268,697
    (4,700   Live Nation Entertainment, Inc. *     (417,642
    (300   Lululemon Athletica, Inc. *     (93,504
    (600   MarketAxess Holdings, Inc.     (333,564
    (161,198   Marvell Technology Group Ltd.     (7,782,639
    (1,000   MongoDB, Inc. *     (385,930
    (400   Monolithic Power Systems, Inc.     (149,808
    (800   MSCI, Inc.     (331,616
    (300   Neurocrine Biosciences, Inc. *     (32,853
    (2,100   NIKE Inc. – Class B     (283,038
    (1,600   Novocure Ltd. *     (238,560
    (600   NRG Energy, Inc.     (21,906
    (5,000   Nuance Communications, Inc. *     (223,000
    (300   NVIDIA Corp.     (164,574
    (1,400   Okta, Inc. *     (366,030
    (600   Paycom Software, Inc. *     (224,544
    (2,200   Philip Morris International, Inc.     (184,844
    (600   Pinterest, Inc. – Class A *     (48,348
    (600   Pioneer Natural Resources Co.     (89,142
    (800   Public Storage (REIT)     (187,152
    (900   RingCentral, Inc. – Class A *     (340,344
    (200   Rockwell Automation, Inc.     (48,656
    (900   Roku, Inc. *     (355,932
    (7,100   Rollins, Inc.     (235,507
    (35,950   S&P Global, Inc.     (11,840,492
    (13,661   salesforce.com, Inc. *     (2,957,607
    (900   SBA Communications Corp. (REIT)     (229,617
    (1,000   Seagen, Inc. *     (151,110
    (600   ServiceNow, Inc. *     (320,076
    (2,900   Simon Property Group, Inc. (REIT)     (327,468
    (7,000   Snap, Inc. – Class A *     (459,620
    (1,700   Splunk, Inc. *     (243,117
    (1,200   Square, Inc. – Class A *     (276,036
    (2,800   Starbucks Corp.     (302,484
    (23,418   STERIS Plc     (4,093,466
    (600   Sun Communities, Inc. (REIT)     (91,170
    (3,500   Sunrun, Inc. *     (219,030
    (300   Sysco Corp.     (23,889
    (200   Take-Two Interactive Software, Inc. *     (36,892
    (11,700   Targa Resources Corp.     (361,881
    (22,375   Teladoc Health, Inc. *     (4,946,889
 

 

       See accompanying notes to the financial statements.   11


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares     Description   Value ($)  
          Common Stocks — continued      
          United States — continued  
    (11,953   Teledyne Technologies, Inc. *     (4,434,563
    (500   Tesla, Inc. *     (337,750
    (100   TransDigm Group, Inc. *     (57,667
    (1,000   Twilio, Inc. – Class A *     (392,880
    (1,800   Twitter, Inc. *     (138,708
    (2,700   Uber Technologies, Inc. *     (139,725
    (8,000   UDR, Inc. (REIT)     (329,360
    (1,000   Vail Resorts, Inc.     (309,180
    (900   Wayfair, Inc. – Class A *     (260,082
    (600   West Pharmaceutical Services, Inc.     (168,390
    (12,100   Williams Cos, Inc. (The)     (276,364
    (3,100   Wynn Resorts Ltd. *     (408,363
    (400   XPO Logistics, Inc. *     (46,640
    (1,600   Zendesk, Inc. *     (233,824
    (2,688   Zillow Group, Inc. – Class C *     (433,655
    (700   Zoetis, Inc.     (108,668
    (700   Zoom Video Communications, Inc. – Class A *     (261,527
Shares     Description   Value ($)  
          Common Stocks — continued      
          United States — continued  
    (1,700   Zscaler, Inc. *     (348,551
     

 

 

 
    Total United States     (144,894,755
     

 

 

 
   

TOTAL COMMON STOCKS

(PROCEEDS $163,805,759)

    (181,265,904
     

 

 

 
          PREFERRED STOCKS (b) — (0.1)%      
          Germany — (0.1)%      
    (720   Sartorius AG     (369,809
     

 

 

 
   

TOTAL PREFERRED STOCKS

(PROCEEDS $318,960)

    (369,809
     

 

 

 
    TOTAL SECURITIES SOLD SHORT (PROCEEDS $164,124,719)     (181,635,713
    Other Assets and Liabilities (net) — 35.7%     177,649,939  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $499,337,007  
     

 

 

 
 

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)
($)
 
03/31/2021   BOA     AUD       5,353,882       USD       4,240,607       120,578  
03/31/2021   SSB     AUD       987,987       USD       767,879       7,583  
04/16/2021   GS     AUD       2,218,662       USD       1,721,999       14,565  
04/16/2021   MSCI     AUD       1,045,271       USD       822,011       17,593  
04/16/2021   UBSA     AUD       17,456,685       USD       13,510,008       75,722  
05/10/2021   MSCI     AUD       64,719,000       USD       49,327,851       (480,826
04/05/2021   GS     BRL       4,160,079       USD       770,000       28,552  
04/05/2021   JPM     BRL       8,659,139       USD       1,606,579       63,267  
04/05/2021   MSCI     BRL       5,128,670       USD       950,000       35,921  
05/03/2021   BCLY     CAD       5,141,138       USD       4,040,000       (187
05/03/2021   JPM     CAD       4,919,551       USD       3,885,264       19,213  
04/13/2021   JPM     CHF       8,513,624       USD       9,490,000       119,736  
04/13/2021   MSCI     CHF       52,661,944       USD       59,287,967       1,327,184  
05/24/2021   JPM     CLP       662,465,000       USD       940,000       23,896  
05/24/2021   MSCI     CLP       359,930,500       USD       508,211       10,474  
03/15/2021   DB     EUR       895,918       USD       1,085,302       4,013  
03/15/2021   JPM     EUR       1,922,493       USD       2,319,003       (1,267
03/19/2021   BOA     EUR       859,736       USD       1,035,935       (1,786
03/31/2021   BCLY     EUR       3,050,000       USD       3,698,904       16,411  
03/19/2021   MSCI     GBP       2,489,290       USD       3,447,968       (20,451
03/19/2021   SSB     GBP       368,530       USD       519,861       6,375  
04/13/2021   BCLY     GBP       3,140,000       USD       4,340,777       (34,923
04/13/2021   JPM     GBP       8,280,000       USD       11,281,031       (257,439
04/13/2021   BCLY     HUF       1,509,723,002       USD       5,078,011       55,663  
04/13/2021   JPM     HUF       402,006,821       USD       1,350,000       12,657  
04/30/2021   GS     ILS       2,927,913       USD       900,000       14,554  
04/19/2021   JPM     INR       57,722,930       USD       790,000       14,691  
03/09/2021   BCLY     JPY       109,200,000       USD       1,040,000       15,499  
03/09/2021   JPM     JPY       415,048,229       USD       3,940,000       46,069  

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation)
($)
 
03/19/2021   SSB     JPY       336,367,200       USD       3,169,300       13,140  
04/21/2021   DB     MXN       12,702,437       USD       640,000       36,039  
04/19/2021   JPM     NOK       41,475,717       USD       4,880,000       96,813  
04/16/2021   UBSA     NZD       3,220,426       USD       2,326,793       (66
05/05/2021   JPM     NZD       5,160,000       USD       3,763,412       35,339  
05/05/2021   MSCI     NZD       26,300,000       USD       18,949,676       (51,937
04/21/2021   JPM     PHP       146,445,145       USD       3,042,269       65,560  
05/28/2021   BCLY     RON       15,110,866       USD       3,745,793       21,137  
05/05/2021   JPM     SEK       17,448,894       USD       2,110,000       42,136  
04/15/2021   MSCI     SGD       3,635,043       USD       2,743,946       18,167  
04/16/2021   BOA     THB       24,191,107       USD       803,054       419  
05/03/2021   BCLY     TWD       4,035,249       USD       145,714       (97
05/03/2021   JPM     TWD       16,028,880       USD       580,000       807  
05/10/2021   JPM     USD       710,901       AUD       900,000       (18,248
04/05/2021   JPM     USD       630,000       BRL       3,401,408       (23,770
03/31/2021   MSCI     USD       3,569,011       CAD       4,579,456       29,795  
05/03/2021   BCLY     USD       5,140,000       CAD       6,483,940       (44,566
05/03/2021   MSCI     USD       56,377,545       CAD       72,354,265       482,388  
04/13/2021   MSCI     USD       2,510,000       CHF       2,227,600       (58,259
04/30/2021   MSCI     USD       2,612,904       COP       9,362,212,200       (50,926
05/17/2021   MSCI     USD       2,115,878       CZK       44,985,685       (41,562
03/15/2021   BCLY     USD       1,468,522       EUR       1,209,710       (8,515
03/15/2021   DB     USD       5,465,175       EUR       4,514,802       (16,233
03/15/2021   SSB     USD       20,374,678       EUR       16,697,339       (222,555
03/19/2021   BOA     USD       2,654       EUR       2,203       5  
03/31/2021   MSCI     USD       47,687,334       EUR       39,290,000       (249,578
04/16/2021   UBSA     USD       19,944,945       EUR       16,430,847       (99,668
05/17/2021   BCLY     USD       20,643,729       EUR       17,000,000       (97,374
04/13/2021   MSCI     USD       18,678,996       GBP       13,856,000       629,825  
 

 

12   See accompanying notes to the financial statements.       


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

Forward Currency Contracts — continued

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation)
($)
 
04/13/2021   CITI     USD       500,000       HUF       147,124,650       (10,565
05/11/2021   JPM     USD       800,000       IDR       11,360,800,000       (19,048
05/11/2021   MSCI     USD       2,832,249       IDR       39,963,040,000       (85,151
04/19/2021   CITI     USD       700,000       INR       51,728,880       (5,200
04/19/2021   JPM     USD       3,708,826       INR       274,390,783       (23,329
03/09/2021   MSCI     USD       50,371,458       JPY       5,309,967,694       (554,004
04/12/2021   BOA     USD       20,652,021       JPY       2,177,530,473       (214,128
05/10/2021   BCLY     USD       1,963,676       JPY       205,045,640       (38,560
05/10/2021   JPM     USD       1,836,174       JPY       193,946,269       (15,267
05/10/2021   MSCI     USD       18,977,385       JPY       2,000,000,000       (199,941
05/10/2021   UBSA     USD       4,329,682       JPY       458,273,247       (27,082
04/19/2021   MSCI     USD       1,452,421       KRW       1,604,736,810       (28,394
04/21/2021   JPM     USD       3,480,487       MXN       69,169,459       (191,695
04/19/2021   BCLY     USD       2,870,000       NOK       24,472,777       (47,677

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation)
($)
 
04/19/2021   JPM     USD       1,984,642       NOK       17,002,940       (23,778
05/05/2021   BOA     USD       981,082       NZD       1,365,252       5,306  
05/05/2021   JPM     USD       17,948,481       NZD       24,934,748       66,745  
05/24/2021   MSCI     USD       1,406,369       PEN       5,136,480       1,467  
05/17/2021   CITI     USD       3,615,165       PLN       13,400,331       (37,156
05/12/2021   MSCI     USD       4,510,523       RUB       335,346,126       (55,780
05/05/2021   BCLY     USD       26,557,740       SEK       223,254,985       (99,845
05/05/2021   JPM     USD       18,700,000       SEK       156,748,834       (123,733
04/15/2021   DB     USD       1,210,000       SGD       1,599,829       (10,349
04/15/2021   GS     USD       1,150,000       SGD       1,524,701       (6,686
04/16/2021   MSCI     USD       805,457       THB       24,191,107       (2,823
05/17/2021   BCLY     USD       4,102,847       TRY       30,035,714       (195,058
04/30/2021   MSCI     USD       5,747,358       ZAR       88,482,659       57,523  
           

 

 

 
            $ (142,655
           

 

 

 
 

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys        
205   Australian Government Bond 10 Yr.   March 2021     21,621,180       (1,203,935
164   CAC40 10 Euro   March 2021     11,288,660       (126,492
115   Canadian Government Bond 10 Yr.   June 2021     12,631,384       (233,237
2   DAX Index   March 2021     831,505       (7,657
75   Hang Seng Index   March 2021     14,042,585       (697,616
564   Mini MSCI Emerging Markets   March 2021     37,734,420       1,991,221  
110   MSCI Singapore   March 2021     2,773,309       41,912  
3   S&P/TSX 60   March 2021     505,328       15,558  
30   TOPIX Index   March 2021     5,311,280       (84,432
168   U.S. Treasury Note 10 Yr. (CBT)   June 2021     22,296,750       (237,285
     

 

 

   

 

 

 
      $ 129,036,401     $ (541,963
     

 

 

   

 

 

 
Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Sales        
129   E-mini Russell 2000 Index   March 2021     14,184,840       (876,007
113   Euro Bund   March 2021     23,641,394       435,260  
38   FTSE Taiwan Index   March 2021     2,106,853       64,069  
89   FTSE/JSE TOP 40   March 2021     3,550,717       (317,394
232   S&P 500 E-Mini   March 2021     44,186,720       50,369  
18   SPI 200   March 2021     2,297,693       (11,152
     

 

 

   

 

 

 
      $ 89,968,217     $ (654,855
     

 

 

   

 

 

 

 

+

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

 

 

Written Options

Equity Options

 

Description

    

Exercise
Price

     Expiration
Date
       Number of
Contracts
       Notional
Amount
       Value
($)
 

Index Options — Puts

                          

FTSE 100 Index

     6,775.00        03/05/21          (37        GBP       (2,398,869        (83,349

FTSE 100 Index

     6,475.00        03/19/21          (29        GBP       (1,880,195        (59,392

FTSE 100 Index

     6,575.00        03/19/21          (19        GBP       (1,231,852        (47,484

S&P 500 Index

     3,935.00        03/05/21          (13        USD       (4,954,495        (180,700

S&P 500 Index

     3,905.00        03/12/21          (18        USD       (6,860,070        (223,740

S&P 500 Index

     3,820.00        03/19/21          (16        USD       (6,097,840        (133,440
                          

 

 

 
            Total Index Options — Puts          (728,105)  
                          

 

 

 

 

 

       See accompanying notes to the financial statements.   13


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

Written Options — continued

Equity Options — continued

 

Description

   Counterparty      Exercise
Rate
    Expiration
Date
     Principal/
Notional
Amount
     Floating
Rate
Index
     Pay/Receive
Floating
Rate
     Value ($)  

Written Option on Credit Default Swaps — Call

 

                

CDX.NA.HYS.35.V1-5Y

     JPM        109.50%       03/17/21      USD (8,890,000)        Fixed Spread        Receive        (12,160
                   

 

 

 

Written Options on Credit Default Swaps — Puts

 

                

CDX.NA.HYS.35.V1-5Y

     JPM        109.00%       03/17/21      USD (8,890,000)        Fixed Spread        Pay        (112,433

CDX.NA.IGS.35.V1-5Y

     BOA          70.00%       04/21/21      USD   (24,450,000)        Fixed Spread        Pay        (31,513
                   

 

 

 
             Total Written Options on Credit Default Swaps — Puts        (143,946
                   

 

 

 
             TOTAL WRITTEN OPTIONS     
             (Premiums $677,642)      $ (884,211
                   

 

 

 

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-NA.HYS.35.V1-5Y

   USD     8,890,000       5.00%       3.11%       N/A       12/20/2025       Quarterly       (822,325     (729,549     92,776  

CDX-NA.IGS.35.V1-5Y

   USD     24,450,000       1.00%       0.56%       N/A       12/20/2025       Quarterly       (591,772     (506,849     84,923  

ITRAXX.EUROPES.34.V1-5Y

   EUR     9,968,000       1.00%       0.51%       N/A       12/20/2025       Quarterly       (313,377     (284,148     29,229  
                

 

 

   

 

 

   

 

 

 
                 $ (1,727,474   $ (1,520,546   $ 206,928  
                

 

 

   

 

 

   

 

 

 

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^:

                     

CDX-NA.HYS.31.V14-5Y

  CITI     USD       1,631,000       5.00%       5.21%       N/A       12/20/2023       Quarterly       (6,361     9,398       15,759  

ITRAXX.EUROPES.32.V1-5Y

  JPM     EUR       9,600,000       1.00%       1.64%       N/A       12/20/2024       Quarterly       572,808       282,731       (290,077

CMBX.NA.BBB-.9

  CITI     USD       1,110,000       3.00%       5.79%       N/A       09/17/2058       Monthly       128,808       124,864       (3,944

CMBX.NA.BBB-.9

  CITI     USD       666,000       3.00%       5.79%       N/A       09/17/2058       Monthly       77,753       74,919       (2,834

Sell Protection^:

                     

CDX-NA.HYS.31.V14-5Y

  CITI     USD       1,187,000       5.00%       1.41%       1,187,000 USD       12/20/2023       Quarterly       121,668       119,599       (2,069

CDX-NA.HYS.31.V14-5Y

  CITI     USD       1,928,000       5.00%       1.41%       1,928,000 USD       12/20/2023       Quarterly       203,886       194,260       (9,626

CDX-NA.HYS.33.V12-5Y

  CITI     USD       4,450,000       5.00%       0.47%       4,450,000 USD       12/20/2024       Quarterly       756,555       752,817       (3,738

ITRAXX.EUROPES.32.V1-5Y

  JPM     EUR       20,000,000       1.00%       0.76%       20,000,000 EUR       12/20/2024       Quarterly       116,938       223,921       106,983  

ITRAXX.EUROPES.34.V1-5Y

  BOA     EUR       17,800,000       1.00%       0.23%       17,800,000 EUR       12/20/2025       Quarterly       857,391       811,997       (45,394

CMBX.NA.A.9

  CITI     USD       1,112,500       2.00%       2.51%       1,112,500 USD       09/17/2058       Monthly       (33,096     (24,864     8,232  

CMBX.NA.A.9

  CITI     USD       1,780,000       2.00%       2.51%       1,780,000 USD       09/17/2058       Monthly       (44,602     (39,782     4,820  
                 

 

 

   

 

 

   

 

 

 
  $ 2,751,748     $ 2,529,860     $ (221,888
                 

 

 

   

 

 

   

 

 

 

 

^

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.

 

14   See accompanying notes to the financial statements.       


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

  

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) ($)
 

0.49%

  3 Month CAD LIBOR   CAD     276,250,000       03/13/2023     Semi-Annually     67,894       792,469       724,575  

3 Month CAD LIBOR

  0.52%   CAD     7,680,000       03/13/2023     Semi-Annually           (18,435     (18,435

6 Month EURIBOR

  (0.55)%   EUR     57,960,000       03/15/2023     Semi-Annually     (24,479     (127,803     (103,324

6 Month GBP LIBOR

  0.10%   GBP     241,470,000       03/15/2023     Semi-Annually     5,127       (1,184,067     (1,189,194

6 Month GBP LIBOR

  0.10%   GBP     21,050,000       03/15/2023     Semi-Annually           (104,389     (104,389

6 Month GBP LIBOR

  0.18%   GBP     39,640,000       03/15/2023     Semi-Annually     704       (105,256     (105,960

0.23%

  3 Month USD LIBOR   USD     57,860,000       03/15/2023     Quarterly     2,128       22,969       20,841  

0.21%

  3 Month USD LIBOR   USD     31,230,000       03/15/2023     Quarterly     (10,972     26,708       37,680  

0.21%

  3 Month USD LIBOR   USD     96,810,000       03/15/2023     Quarterly     (10,084     77,006       87,090  

0.09%

  3 Month AUD BBSW   AUD     25,700,000       03/17/2023     Quarterly           48,326       48,326  

0.12%

  3 Month AUD BBSW   AUD     20,850,000       03/17/2023     Quarterly           28,791       28,791  

0.07%

  3 Month AUD BBSW   AUD     68,570,000       03/17/2023     Quarterly     836       143,695       142,859  

3 Month AUD BBSW

  0.10%   AUD     5,080,000       03/17/2023     Quarterly     (601     (8,381     (7,780

(0.72)%

  6 Month CHF LIBOR   CHF     8,640,000       03/17/2023     Semi-Annually     (1,266     21,016       22,282  

6 Month CHF LIBOR

  (0.70)%   CHF     11,800,000       03/17/2023     Semi-Annually           (24,245     (24,245

0.39%

  3 Month NZD Bank Bill Rate   NZD     257,200,000       03/17/2023     Quarterly     (58,630     391,300       449,930  

3 Month SEK STIBOR

  (0.03)%   SEK     1,494,770,000       03/17/2023     Quarterly     38,245       (191,309     (229,554

1.05%

  6 Month AUD BBSW   AUD     1,070,000       03/17/2031     Semi-Annually     (502     61,355       61,857  

6 Month AUD BBSW

  1.01%   AUD     4,360,000       03/17/2031     Semi-Annually           (261,738     (261,738

6 Month AUD BBSW

  0.99%   AUD     5,380,000       03/17/2031     Semi-Annually           (332,948     (332,948

6 Month AUD BBSW

  1.95%   AUD     87,580,000       03/17/2031     Semi-Annually     597,381       710,702       113,321  

6 Month AUD BBSW

  1.26%   AUD     14,360,000       03/17/2031     Semi-Annually     8,188       (609,315     (617,503

3 Month CAD LIBOR

  1.50%   CAD     123,780,000       03/17/2031     Semi-Annually     10,129       (3,496,297     (3,506,426

3 Month CAD LIBOR

  1.51%   CAD     55,510,000       03/17/2031     Semi-Annually     (51,022     (1,527,071     (1,476,049

3 Month CAD LIBOR

  1.61%   CAD     10,690,000       03/17/2031     Semi-Annually           (215,378     (215,378

3 Month CAD LIBOR

  1.75%   CAD     94,540,000       03/17/2031     Semi-Annually     (115,875     (930,327     (814,452

(0.23)%

  6 Month CHF LIBOR   CHF     7,520,000       03/17/2031     Semi-Annually           267,079       267,079  

(0.25)%

  6 Month CHF LIBOR   CHF     2,430,000       03/17/2031     Semi-Annually           90,364       90,364  

6 Month CHF LIBOR

  (0.25)%   CHF     34,330,000       03/17/2031     Semi-Annually     (16,559     (1,307,213     (1,290,654

6 Month CHF LIBOR

  (0.27)%   CHF     1,730,000       03/17/2031     Semi-Annually     3,783       (69,151     (72,934

(0.21)%

  6 Month CHF LIBOR   CHF     2,340,000       03/17/2031     Semi-Annually           77,372       77,372  

(0.19)%

  6 Month CHF LIBOR   CHF     3,110,000       03/17/2031     Semi-Annually           96,597       96,597  

(0.12)%

  6 Month CHF LIBOR   CHF     13,180,000       03/17/2031     Semi-Annually     (5,659     302,193       307,852  

0.09%

  6 Month CHF LIBOR   CHF     4,210,000       03/17/2031     Semi-Annually           623       623  

3 Month NZD Bank Bill Rate

  1.10%   NZD     46,850,000       03/17/2031     Quarterly     (127,042     (2,846,654     (2,719,612

3 Month NZD Bank Bill Rate

  2.15%   NZD     65,460,000       03/17/2031     Quarterly     440,939       655,178       214,239  

3 Month NZD Bank Bill Rate

  1.45%   NZD     7,270,000       03/17/2031     Quarterly           (269,009     (269,009

3 Month NZD Bank Bill Rate

  1.70%   NZD     102,880,000       03/17/2031     Quarterly     (362,259     (2,090,635     (1,728,376

0.41%

  3 Month SEK STIBOR   SEK     219,840,000       03/17/2031     Quarterly     (813     1,047,020       1,047,833  

0.54%

  3 Month SEK STIBOR   SEK     87,700,000       03/17/2031     Quarterly     (2,559     287,397       289,956  

0.82%

  3 Month SEK STIBOR   SEK     40,000,000       03/17/2031     Quarterly           2,099       2,099  

3 Month SEK STIBOR

  0.49%   SEK     53,870,000       03/17/2031     Quarterly     13,083       (206,933     (220,016

3 Month SEK STIBOR

  0.48%   SEK     6,300,000       03/17/2031     Quarterly           (24,745     (24,745

(0.25)%

  6 Month EURIBOR   EUR     11,470,000       03/19/2031     Semi-Annually     11,138       426,926       415,788  

(0.03)%

  6 Month EURIBOR   EUR     4,570,000       03/19/2031     Semi-Annually           47,258       47,258  

0.02%

  6 Month EURIBOR   EUR     184,560,000       03/19/2031     Semi-Annually     (55,945     753,198       809,143  

 

       See accompanying notes to the financial statements.   15


GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

Centrally Cleared Interest Rate Swaps — continued

 

Fund Pays

  Fund Receives  

Notional
Amount

    Expiration
Date
   

Periodic
Payment
Frequency

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

0.05%

  6 Month EURIBOR   EUR     3,350,000       03/19/2031     Semi-Annually           (514     (514

0.48%

  6 Month GBP LIBOR   GBP     45,280,000       03/19/2031     Semi-Annually     32,805       3,249,879       3,217,074  

0.54%

  6 Month GBP LIBOR   GBP     7,630,000       03/19/2031     Semi-Annually     20,920       483,523       462,603  

0.69%

  6 Month GBP LIBOR   GBP     8,070,000       03/19/2031     Semi-Annually     1,873       350,651       348,778  

0.92%

  6 Month GBP LIBOR   GBP     83,040,000       03/19/2031     Semi-Annually     148,267       1,020,026       871,759  

1.46%

  3 Month USD LIBOR   USD     93,120,000       03/19/2031     Quarterly     (52,914     634,852       687,766  

1.51%

  3 Month USD LIBOR   USD     4,970,000       03/19/2031     Quarterly           9,472       9,472  

1.52%

  3 Month USD LIBOR   USD     4,990,000       03/19/2031     Quarterly           4,037       4,037  

1.52%

  3 Month USD LIBOR   USD     5,000,000       03/19/2031     Quarterly           5,953       5,953  

3 Month USD LIBOR

  1.45%   USD     37,860,000       03/19/2031     Quarterly     (14,783     (294,222     (279,439
           

 

 

   

 

 

   

 

 

 
            $ 491,476     $ (4,110,001   $ (4,601,477
           

 

 

   

 

 

   

 

 

 

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  14,860,800       03/01/2021       At Maturity             (406,438     (406,438

Total Return on iShares Core S&P 500 ETF

 

1 Month USD LIBOR plus a spread of 0.21%

   GS   USD 26,463,375       03/10/2021       At Maturity             697,787       697,787  

1 Month FED Funds Rate plus 0.60%

  Total Return on Equity Basket (f)    GS   USD 193,238       05/24/2022       Monthly             1,794       1,794  

Total Return on Equity Basket (f)

  1 Month FED Funds Rate minus 0.50%    GS   USD 40,720       05/24/2022       Monthly             1,416       1,416  

Total Return on Equity Basket(f)

  1 Month FED Funds Rate minus 0.75%    GS   USD 187,128       05/24/2022       Monthly             10,672       10,672  

1 Month FED Funds Rate plus 0.95%

  Total Return on Equity Basket(f)    MORD   USD 201,680       10/18/2022       Monthly             263       263  

Total Return on Equity Basket (f)

  1 Month FED Funds Rate minus 0.40%    MORD   USD 3,148,869       10/18/2022       Monthly             412,229       412,229  

Total Return on Equity Basket (f)

  1 Month FED Funds Rate plus 1.00%    MORD   USD 101,361       12/19/2022       Monthly             6,329       6,329  

Total Return on Equity Basket (f)

  1 Month FED Funds Rate minus 0.50%    MORD   USD 4,659       02/21/2023       Monthly             333       333  
            

 

 

   

 

 

   

 

 

 
             $     $ 724,385     $ 724,385  
            

 

 

   

 

 

   

 

 

 

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.

 

*

Non-income producing security.

 

(a)

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).

 

(b)

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

 

(c)

Investment valued using significant unobservable inputs (Note 2).

 

(d)

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

(e)

All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

 

(f)

Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

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 118.

 

 

16   See accompanying notes to the financial statements.       


 

 

 

This page has been left blank intentionally.


GMO Benchmark-Free Allocation 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

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 Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Allocation Fund returned +5.60% (net) for the fiscal year ended February 28, 2021, as compared with +1.59% for the CPI.

Although it was a reasonable 12 months from an absolute performance perspective, relative to burgeoning equity markets it was distinctly lackluster. In particular, we put broad market hedges in place to remove a significant proportion of the effective exposure to equities in May 2020 as we believed that valuations were excessive, and risk was elevated due to COVID-19. This decision proved highly detrimental to performance as equities continued their strong run. Within equities, a bias to a “Value” style also proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). Fixed income exposure was additive to performance, driven by an excellent return from our High Yield/Distressed Debt positions. The equity long/short and alternative strategies also enjoyed solid positive returns, but simply could not keep up with the rampant equity markets, despite the Special Opportunities Strategy having a tremendous 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.

 

18              


GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

  

 

 

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

GMO Benchmark-Free Allocation Fund Class III Shares, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2021

 

 

LOGO

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

Prior to January 1, 2012, the Fund served as a principal component of a broader GMO real return strategy that also included a pooled investment vehicle with a cash-like benchmark. The returns shown for periods prior to January 1, 2012 are for Class III shares of the Fund under the Fund’s prior fee arrangement. Under the Fund’s current fee arrangement, the returns for periods prior to January 1, 2012 would have been lower.

For Class III, IV, MF, R6 and I the gross expense ratio of 1.03%, 0.98%, 0.98%, 1.03% and 1.13%, 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 0.88%, 0.83%, 0.83%, 0.88% and 0.98% 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 Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    73.4

Debt Obligations

    18.0  

Short-Term Investments

    5.6  

Preferred Stocks

    1.1  

Investment Funds

    1.1  

Swap Contracts

    0.1  

Loan Participations

    0.0

Rights/Warrants

    0.0

Loan Assignments

    0.0

Forward Currency Contracts

    0.0

Purchased Options

    0.0

Written/Credit Linked Options

    (0.0 )^ 

Reverse Repurchase Agreements

    (0.0 )^ 

Futures Contracts

    (0.6

Securities Sold Short

    (21.8

Other

    23.1  
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤   Debt Obligations as a %
of Total Net Assets
 

United States

    3.2

Other Emerging

    2.4 † 

Other Developed

    0.2 ‡ 

Euro Region

    0.0 ^# 
 

 

 

 
    5.8 % 
 

 

 

 
 
Country/Region Summary¤   Equity Investments as a %
of Total Net Assets
 

China

    11.3

Japan

    8.2  

United States

    6.1  

Other Developed

    5.4 ‡ 

Taiwan

    4.9  

Other Emerging

    4.0  

Russia

    3.3  

South Korea

    2.4  

United Kingdom

    2.1  

India

    1.9  

South Africa

    1.3  

Canada

    1.1  

Hong Kong

    1.1  

Netherlands

    1.1  
 

 

 

 
    54.2 % 
 

 

 

 
&

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 contribution to the concentration percentage. Credit default swap exposure are factored into the duration adjusted exposure using the reference securities and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposure which may be attributable to derivatives or short sales, if any, the tables not total to 100%.

 

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

 

“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

 

#

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

 

^

Rounds to 0.0%.

 

 

 

20              


GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%  
          Affiliated Issuers — 100.0%      
    6,328,082     GMO Emerging Country Debt Fund, Class IV     161,366,088  
    469,934,492     GMO Implementation Fund     5,968,168,051  
    9,198,727     GMO Opportunistic Income Fund, Class VI     237,695,110  
    5,507,128     GMO SGM Major Markets Fund, Class VI     176,393,296  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $6,757,132,953)
    6,543,622,545  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.1%  
          Money Market Funds — 0.1%      
    6,316,225     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)     6,316,225  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $6,316,225)     6,316,225  
     

 

 

 
    TOTAL INVESTMENTS — 100.1%
(Cost $6,763,449,178)
    6,549,938,770  
    Other Assets and Liabilities (net) — (0.1%)     (4,940,935
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $6,544,997,835  
     

 

 

 

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 118.

 

 

       See accompanying notes to the financial statements.   21


GMO Benchmark-Free 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

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Fund returned +6.64% (net) for the fiscal year ended February 28, 2021, as compared with +1.59% for the CPI.

Although it was a reasonable 12 months from an absolute performance perspective, relative to burgeoning equity markets it was distinctly lackluster. In particular, we put broad market hedges in place to remove a significant proportion of the effective exposure to equities in May 2020 as we believed that valuations were excessive, and risk was elevated due to COVID-19. This decision proved highly detrimental to performance as equities continued their strong run. Within equities, a bias to a “Value” style also proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). Fixed income exposure was additive to performance, driven by an excellent return from our High Yield/Distressed Debt positions. The equity long/short and alternative strategies also enjoyed solid positive returns, but simply could not keep up with the rampant equity markets, despite the Special Opportunities Strategy having a tremendous 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.

 

22              


GMO Benchmark-Free Fund

(A Series of GMO Trust)

  

 

 

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

GMO Benchmark-Free Fund Class III Shares, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2021

 

 

LOGO

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

For Class III the gross expense ratio of 0.35% 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 0.31% 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.

 

23


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    79.8

Debt Obligations

    14.3  

Short-Term Investments

    3.5  

Investment Funds

    1.2  

Preferred Stocks

    1.2  

Swap Contracts

    0.2  

Loan Participations

    0.0

Loan Assignments

    0.0

Rights/Warrants

    0.0

Purchased Options

    0.0

Written/Credit Linked Options

    (0.0 )^ 

Forward Currency Contracts

    (0.0 )^ 

Reverse Repurchase Agreements

    (0.0 )^ 

Securities Sold Short

    (0.8

Futures Contracts

    (19.6

Other

    20.2  
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤   Debt Obligations as a %
of Total Net Assets
 

Other Emerging

    2.9 †% 

United States

    1.8  

Other Developed

    0.0 ^‡ 

Euro Region

    0.0 ^# 
 

 

 

 
    4.7 % 
 

 

 

 
 
Country/Region Summary¤   Equity Investments as a %
of Total Net Assets
 

China

    13.9

Japan

    9.9  

Other Developed

    6.5 ‡ 

Taiwan

    5.7  

United States

    4.8  

Russia

    4.0  

Other Emerging

    3.3 † 

South Korea

    2.9  

United Kingdom

    2.5  

India

    2.0  

South Africa

    1.6  

Canada

    1.3  

Hong Kong

    1.3  

Netherlands

    1.3  

Mexico

    1.1  
 

 

 

 
    62.1 % 
 

 

 

 
&

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 contribution to the concentration percentage. Credit default swap exposure are factored into the duration adjusted exposure using the reference securities and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposure which may be attributable to derivatives or short sales, if any, the tables not total to 100%.

 

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

 

“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

 

#

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

 

^

Rounds to 0.0%.

 

 

24              


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
    COMMON STOCKS — 76.6%  
          Argentina — 0.1%  
    15,000     Banco BBVA Argentina SA ADR *     40,650  
    4,200     Globant SA *     901,824  
    22,800     Grupo Financiero Galicia SA ADR     169,860  
     

 

 

 
    Total Argentina     1,112,334  
     

 

 

 
          Australia — 1.6%  
    77,283     Accent Group Ltd     129,101  
    25,859     Adairs Ltd     75,639  
    17,975     Ansell Ltd (a)     499,549  
    72,623     Asaleo Care Ltd     79,297  
    632     Austal Ltd     1,155  
    183,456     Australian Pharmaceutical Industries Ltd     157,076  
    30,888     Aventus Group (REIT)     66,745  
    12,278     Bank of Queensland Ltd * (b)     83,116  
    3,676     Bank of Queensland Ltd * (b)     20,789  
    23,333     BHP Group Ltd     881,998  
    190,214     BlueScope Steel Ltd     2,429,256  
    19,756     Codan Ltd     226,977  
    40,499     Computershare Ltd (a)     414,367  
    362,619     Dexus (REIT)     2,487,503  
    387,703     Fortescue Metals Group Ltd     7,160,160  
    39,768     GDI Property Group (REIT)     31,687  
    133,824     Genworth Mortgage Insurance Australia Ltd     266,150  
    1,039,851     GPT Group (The) (REIT)     3,415,464  
    30,806     JB Hi-Fi Ltd     1,033,546  
    29,709     McMillan Shakespeare Ltd     284,835  
    644,307     Mirvac Group (REIT)     1,110,534  
    99,102     Mount Gibson Iron Ltd     67,522  
    71,491     Rio Tinto Ltd     7,014,696  
    136,209     Sandfire Resources Ltd     636,638  
    1,675,012     Scentre Group (REIT) (c)     3,709,041  
    342,240     Stockland (REIT)     1,093,521  
    13,140     Virtus Health Ltd (c)     61,714  
     

 

 

 
    Total Australia     33,438,076  
     

 

 

 
          Austria — 0.0%  
    2,199     Semperit AG Holding *     67,963  
    2,078     Vienna Insurance Group AG Wiener Versicherung Gruppe     55,804  
     

 

 

 
    Total Austria     123,767  
     

 

 

 
          Belgium — 0.4%  
    113,350     Ageas SA/NV     6,353,465  
    27,203     bpost SA *     294,651  
    29,901     UCB SA     2,964,881  
     

 

 

 
    Total Belgium     9,612,997  
     

 

 

 
    
Shares
    Description   Value ($)  
    Brazil — 0.6%

 

    347,700     Banco Bradesco SA *     1,277,460  
    133,600     Banco do Brasil SA     668,691  
    292,900     Camil Alimentos SA     545,117  
    317,200     Cia de Saneamento do Parana     1,120,122  
    4,000     Cia Paranaense de Energia     41,041  
    7,800     CPFL Energia SA     40,168  
    150,200     Dimed SA Distribuidora da Medicamentos     503,865  
    69,700     Mahle-Metal Leve SA     220,385  
    399,900     Marfrig Global Foods SA *     991,865  
    615,540     Petrobras Distribuidora SA     2,187,923  
    15,500     Petroleo Brasileiro SA Sponsored ADR     122,915  
    47,600     Telefonica Brasil SA     373,720  
    381,800     TIM SA     872,032  
    82,300     Tupy SA *     312,065  
    118,500     Vale SA Sponsored ADR     2,002,650  
    125,100     Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *     770,128  
    26,100     WEG SA     363,496  
     

 

 

 
    Total Brazil     12,413,643  
     

 

 

 
          Canada — 1.4%  
    7,100     AGF Management Ltd – Class B (c)     38,663  
    200     Bank of Montreal     16,341  
    51,819     Brookfield Asset Management Inc – Class A     2,090,897  
    6,537     BRP Inc Sub Voting     472,322  
    13,400     Canaccord Genuity Group Inc     120,248  
    25,600     Canadian Apartment Properties (REIT)     1,026,736  
    8,800     Canadian Imperial Bank of Commerce     811,334  
    3,600     Canadian Tire Corp Ltd – Class A     465,177  
    4,700     Canfor Corp *     95,876  
    1,400     Canfor Pulp Products Inc     11,221  
    33,300     Cascades Inc     439,342  
    59,000     Celestica Inc * (b)     489,117  
    4,000     Celestica Inc * (b)     33,120  
    5,600     Cogeco Inc (a)     410,913  
    5,600     First Quantum Minerals Ltd     120,704  
    10,659     iA Financial Corp Inc     547,691  
    8,200     IGM Financial Inc (c)     223,718  
    59,900     Imperial Oil Ltd (c)     1,312,754  
    10,300     Intertape Polymer Group Inc     194,005  
    15,100     Linamar Corp     843,754  
    39,200     Magna International Inc     3,301,782  
    6,700     Martinrea International Inc     78,341  
    3,000     Morguard North American Residential Real Estate Investment Trust     35,219  
    38,000     Nutrien Ltd     2,050,480  
    89,100     Power Corp of Canada     2,148,034  
    57,400     RioCan Real Estate Investment Trust     855,182  
    48,100     Royal Bank of Canada     4,095,644  
    13,200     Sun Life Financial Inc (c)     635,210  
 

 

       See accompanying notes to the financial statements.   25


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Canada — continued  
    3,100     Teekay Tankers Ltd – Class A *     39,029  
    148,800     TELUS Corp     2,981,613  
    6,700     TFI International Inc     467,989  
    26,700     Toronto-Dominion Bank (The)     1,618,449  
    69,300     Tourmaline Oil Corp     1,261,188  
    33,900     Transcontinental Inc – Class A (c)     582,581  
    5,500     Wajax Corp     89,074  
    6,400     Westshore Terminals Investment Corp (c)     95,050  
     

 

 

 
    Total Canada     30,098,798  
     

 

 

 
          Chile — 0.0%  
    5,354     Inversiones La Construccion SA     38,058  
     

 

 

 
          China — 12.8%  
    3,313,668     Agile Group Holdings Ltd     4,679,780  
    19,448,800     Agricultural Bank of China Ltd – Class H     7,073,406  
    16,600     Alibaba Group Holding Ltd *     498,816  
    37,500     Alibaba Group Holding Ltd Sponsored ADR *     8,916,000  
    1,303,584     Anhui Conch Cement Co Ltd – Class H     8,377,194  
    32,500     Asia Cement China Holdings Corp     30,559  
    1,200     Autohome Inc ADR (a)     136,848  
    4,144,000     BAIC Motor Corp Ltd – Class H     1,482,369  
    35,900     Baidu Inc Sponsored ADR * (a)     10,176,214  
    27,639,000     Bank of China Ltd – Class H     9,691,622  
    17,133,000     Bank of Communications Co Ltd – Class H     9,671,159  
    83,000     Beijing Enterprises Holdings Ltd     287,254  
    130,400     BYD Co Ltd – Class A     3,973,921  
    179,500     BYD Electronic International Co Ltd (c)     998,332  
    8,368,000     China Cinda Asset Management Co Ltd – Class H     1,660,195  
    3,961,357     China Communications Services Corp Ltd – Class H     1,873,726  
    13,106,000     China Construction Bank Corp – Class H     10,520,770  
    460,000     China Dongxiang Group Co Ltd     51,532  
    2,098,000     China Everbright Bank Co Ltd – Class H     907,949  
    1,822,000     China Feihe Ltd     4,984,000  
    1,058,000     China Greenfresh Group Co Ltd * (d)     11,049  
    2,026,500     China Hongqiao Group Ltd     2,512,154  
    24,182,000     China Huarong Asset Management Co Ltd – Class H     2,864,459  
    3,191,000     China Lesso Group Holdings Ltd     5,892,697  
    508,000     China Lilang Ltd     362,653  
    1,688,000     China Machinery Engineering Corp – Class H     774,091  
    3,340,645     China Medical System Holdings Ltd     5,218,370  
    78,798     China Merchants Bank Co Ltd – Class A     622,839  
    5,884,000     China National Building Material Co Ltd – Class H     8,901,872  
    650,000     China Oriental Group Co Ltd     203,954  
    375,000     China Overseas Grand Oceans Group Ltd     206,049  
    187,000     China Overseas Land & Investment Ltd     473,816  
    12,738     China Petroleum & Chemical Corp ADR     700,845  
    
Shares
    Description   Value ($)  
          China — continued  
    14,878,000     China Petroleum & Chemical Corp – Class H     8,286,446  
    162,000     China Pioneer Pharma Holdings Ltd     20,680  
    16,988,042     China Railway Group Ltd – Class H     8,971,146  
    1,341,000     China Reinsurance Group Corp – Class H     148,560  
    34,000     China Resources Gas Group Ltd     169,977  
    530,000     China Resources Land Ltd     2,518,631  
    3,857,500     China Resources Pharmaceutical Group Ltd     2,459,396  
    93,000     China SCE Group Holdings Ltd     38,482  
    261,979     China Shenhua Energy Co Ltd – Class H     498,380  
    570,000     China Shineway Pharmaceutical Group Ltd     415,355  
    1,156,000     China South City Holdings Ltd     137,117  
    313,900     China Vanke Co Ltd – Class A     1,609,813  
    330,125     China Vanke Co Ltd – Class H     1,399,505  
    15,400     China Yuchai International Ltd     242,396  
    3,110,000     China Zhongwang Holdings Ltd *     913,740  
    18,000     Chinasoft International Ltd *     19,053  
    3,130,604     Country Garden Holdings Co Ltd     3,896,809  
    15,000     Country Garden Services Holdings Co Ltd     123,385  
    3,494,000     Dongfeng Motor Group Co Ltd – Class H     3,207,534  
    1,966,000     Dongyue Group Ltd     1,545,162  
    13,400     ENN Energy Holdings Ltd     204,914  
    119,800     Everbright Securities Co Ltd – Class H     102,686  
    628,700     Fangda Special Steel Technology Co Ltd – Class A *     699,415  
    1,015,500     Fantasia Holdings Group Co Ltd *     159,687  
    1,491,500     Fosun International Ltd     2,237,542  
    642,000     Geely Automobile Holdings Ltd     2,076,682  
    894,500     Great Wall Motor Co Ltd – Class H     2,591,230  
    157,000     Greenland Hong Kong Holdings Ltd     50,464  
    646,000     Guangdong Investment Ltd     1,153,701  
    99,100     Guangdong Tapai Group Co Ltd – Class A     192,707  
    82,000     Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H     209,705  
    2,443,200     Guangzhou R&F Properties Co Ltd – Class H     3,260,765  
    58,400     Guotai Junan Securities Co Ltd – Class H     81,110  
    28,000     Haitian International Holdings Ltd     96,050  
    41,000     Hebei Construction Group Corp Ltd – Class H     17,022  
    8,500     Hengan International Group Co Ltd     58,759  
    475,887     Hisense Home Appliances Group Co Ltd – Class A     1,102,391  
    248,000     Hisense Home Appliances Group Co Ltd – Class H     379,476  
    18,800     Hollysys Automation Technologies Ltd     283,128  
    464,000     Hopson Development Holdings Ltd     1,522,767  
    991,000     Huabao International Holdings Ltd     1,083,306  
    7,693,000     Industrial & Commercial Bank of China Ltd – Class H     5,032,916  
    1,600     JOYY Inc ADR (a)     188,640  
    233,500     Kingboard Holdings Ltd     1,075,713  
    36,500     Kingboard Laminates Holdings Ltd     62,120  
    200     Kuaishou Technology *     7,962  
 

 

26   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          China — continued  
    259,000     KWG Group Holdings Ltd     392,306  
    391,800     Legend Holdings Corp – Class H     584,325  
    278,000     Lenovo Group Ltd     351,403  
    392,481     Livzon Pharmaceutical Group Inc – Class H     1,442,401  
    226,000     Logan Group Co Ltd     351,837  
    245,000     Longfor Group Holdings Ltd     1,452,174  
    3,447,000     Lonking Holdings Ltd     1,274,724  
    24,000     Lufax Holding Ltd ADR *     360,480  
    1,704,000     Metallurgical Corp of China Ltd – Class H     502,370  
    135,800     Momo Inc Sponsored ADR (a)     2,151,072  
    86,900     NetEase Inc     1,896,929  
    70,900     NetEase Inc ADR (a)     7,788,365  
    41,500     New China Life Insurance Co Ltd – Class A     334,605  
    48,300     New China Life Insurance Co Ltd – Class H     184,243  
    630,000     Nexteer Automotive Group Ltd     830,569  
    2,106,000     Nine Dragons Paper Holdings Ltd     3,390,973  
    1,135,000     PAX Global Technology Ltd     1,043,160  
    5,700     PetroChina Co Ltd ADR     203,832  
    2,726,000     PetroChina Co Ltd – Class H     975,746  
    5,910,000     PICC Property & Casualty Co Ltd – Class H     4,471,288  
    765,000     Poly Property Group Co Ltd     235,021  
    1,595,000     Postal Savings Bank of China Co Ltd – Class H     1,186,688  
    1,964,000     Powerlong Real Estate Holdings Ltd     1,488,100  
    144,000     Qingling Motors Co Ltd – Class H     31,169  
    244,000     Road King Infrastructure Ltd     331,517  
    332,000     Seazen Group Ltd *     400,907  
    16,000     Shanghai Baosight Software Co Ltd – Class A     141,945  
    298,000     Shanghai Jin Jiang Capital Co Ltd – Class H     60,271  
    16,400     Shanghai Mechanical and Electrical Industry Co Ltd – Class A     46,500  
    2,457,400     Shanghai Pharmaceuticals Holding Co Ltd – Class H     4,507,386  
    420,858     Shenzhen Investment Ltd     151,564  
    10,500     Shenzhou International Group Holdings Ltd     217,733  
    2,042,500     Shimao Group Holdings Ltd     6,725,848  
    186,500     Sinopec Engineering Group Co Ltd – Class H     99,513  
    2,991,600     Sinopharm Group Co Ltd – Class H     7,004,284  
    1,544,500     Sinotruk Hong Kong Ltd     4,929,177  
    2,374,000     Skyworth Group Ltd *     745,934  
    1,816,000     TCL Electronics Holdings Ltd *     1,478,105  
    141,600     Tencent Holdings Ltd     12,318,766  
    35,000     Tencent Holdings Ltd ADR (a)     3,052,000  
    610,000     Tianjin Port Development Holdings Ltd     51,862  
    1,674,000     Tianneng Power International Ltd (c)     3,234,314  
    51,597     Tsingtao Brewery Co Ltd – Class A     636,879  
    28,000     Tsingtao Brewery Co Ltd – Class H     229,949  
    115,800     Vipshop Holdings Ltd ADR *     4,321,656  
    1,303,185     Weifu High-Technology Group Co Ltd – Class A     4,643,486  
    3,890,000     West China Cement Ltd     641,118  
    435,000     Xinhua Winshare Publishing and Media Co Ltd – Class H     282,063  
    
Shares
    Description   Value ($)  
          China — continued  
    69,000     Xtep International Holdings Ltd     32,875  
    700     Yixintang Pharmaceutical Group Co Ltd – Class A     4,547  
    34,000     Yuexiu Property Co Ltd     7,543  
    100     Yum China Holdings Inc     5,984  
    2,837,000     Yuzhou Group Holdings Co Ltd     1,093,488  
    144,099     Zhejiang Weixing New Building Materials Co Ltd – Class A     414,126  
    623,999     Zhengzhou Coal Mining Machinery Group Co Ltd – Class A     1,433,564  
    31,200     Zhengzhou Yutong Bus Co Ltd – Class A     73,323  
    674,000     Zhongsheng Group Holdings Ltd     4,165,787  
    1,573,198     Zhuzhou Kibing Group Co Ltd – Class A     3,588,419  
    432,600     Zoomlion Heavy Industry Science and Technology Co Ltd – Class H     658,991  
     

 

 

 
    Total China     275,944,123  
     

 

 

 
          Czech Republic — 0.0%  
    5,678     CEZ AS     138,585  
    2,291     Komercni Banka AS *     71,509  
    98,949     Moneta Money Bank AS *     360,738  
    15     Philip Morris CR AS     10,640  
     

 

 

 
    Total Czech Republic     581,472  
     

 

 

 
          Denmark — 0.5%  
    205,382     Danske Bank A/S     3,775,521  
    72,475     Demant A/S * (a)     2,979,097  
    7,316     Matas A/S *     96,694  
    34,400     Pandora A/S     3,339,736  
    24,338     Scandinavian Tobacco Group A/S     451,779  
     

 

 

 
    Total Denmark     10,642,827  
     

 

 

 
          Egypt — 0.0%  
    13,380     Commercial International Bank Egypt SAE     52,707  
    11,787     Eastern Co SAE     11,145  
     

 

 

 
    Total Egypt     63,852  
     

 

 

 
          Finland — 0.2%  
    2,416     Aktia Bank Oyj     26,212  
    16,599     Kesko Oyj – B Shares     422,347  
    42,507     Neste Oyj     2,807,592  
    490,849     Nokia Oyj *     1,955,600  
    3,498     Tokmanni Group Corp     76,074  
    3,774     Uponor Oyj     79,084  
     

 

 

 
    Total Finland     5,366,909  
     

 

 

 
          France — 1.7%  
    1,553     AKWEL     54,888  
    18,514     ALD SA     271,042  
    27,305     APERAM SA     1,144,460  
 

 

       See accompanying notes to the financial statements.   27


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          France — continued  
    8,186     ArcelorMittal SA *     191,154  
    603     Arkema SA     66,473  
    902     Assystem SA     27,358  
    35,104     Atos SE * (a)     2,743,708  
    839     Axway Software SA * (a)     28,865  
    71,972     BNP Paribas SA *     4,278,550  
    721     Boiron SA     29,806  
    680     Bonduelle SCA     16,220  
    683     Christian Dior SE     379,349  
    19,730     Cie de Saint-Gobain *     1,061,007  
    78,491     Credit Agricole SA *     1,099,775  
    45,243     Derichebourg SA *     359,744  
    215     Eiffage SA *     22,099  
    709     Fnac Darty SA *     43,014  
    2,268     Gaztransport Et Technigaz SA     190,555  
    1,371     GL Events *     17,750  
    337     Groupe Crit *     24,319  
    389     HEXAOM *     16,649  
    17,181     IPSOS (a)     665,465  
    2,685     Kaufman & Broad SA     118,576  
    2,720     Kering SA     1,720,261  
    3,811     LVMH Moet Hennessy Louis Vuitton SE     2,414,722  
    21,950     Metropole Television SA * (a)     437,903  
    61,087     Publicis Groupe SA (a)     3,591,994  
    21,645     Quadient SA     492,912  
    6     Renault SA * (b)     269  
    98,314     Renault SA * (b)     4,414,891  
    1,204     Rothschild & Co *     42,852  
    19,858     Safran SA *     2,706,895  
    9,493     Sanofi     871,179  
    122,668     Societe Generale SA *     3,035,587  
    2,897     STMicroelectronics NV – NY Shares     112,577  
    695     Synergie SE *     24,984  
    44,687     Television Francaise 1 * (a) (c)     389,153  
    6,276     TOTAL SE     292,651  
    10,959     Unibail-Rodamco-Westfield (REIT) *     806,857  
    55,242     Valeo SA     1,952,364  
    4,488     Vicat SA     215,547  
    369     Vilmorin & Cie SA     23,614  
     

 

 

 
    Total France     36,398,038  
     

 

 

 
          Germany — 1.6%  
    732     Amadeus Fire AG *     104,218  
    211,422     Aroundtown SA     1,537,365  
    3,936     Aurubis AG     343,356  
    47,918     Bayer AG (Registered)     2,910,596  
    9,225     Bayerische Motoren Werke AG     797,122  
    327     bet-at-home.com AG     15,061  
    5,808     Brenntag SE     450,044  
    58,557     CECONOMY AG *     365,067  
    
Shares
    Description   Value ($)  
          Germany — continued  
    478     Cewe Stiftung & Co KGaA     62,674  
    4,403     CropEnergies AG     59,657  
    80,910     Daimler AG (Registered)     6,486,175  
    123,928     Deutsche Lufthansa AG (Registered) *     1,849,276  
    97,389     Deutsche Pfandbriefbank AG *     1,062,123  
    7,683     Deutsche Wohnen SE     361,123  
    15,417     Deutz AG *     113,009  
    69,478     Dialog Semiconductor Plc *     5,400,729  
    1,823     Draegerwerk AG & Co KGaA (a)     135,574  
    845     DWS Group GmbH & Co KGaA     35,212  
    2,334     Elmos Semiconductor SE     93,391  
    32,148     Fresenius SE & Co KGaA (a)     1,377,317  
    4,682     Hamburger Hafen und Logistik AG     119,182  
    42,776     HeidelbergCement AG     3,383,287  
    5,262     Hornbach Baumarkt AG     213,914  
    8,290     Hornbach Holding AG & Co KGaA     782,390  
    917     KWS Saat SE & Co KGaA     80,517  
    19,942     SAP SE     2,466,560  
    7,182     Siemens AG (Registered)     1,111,496  
    12,311     Takkt AG *     173,364  
    2,908     Traton SE     81,005  
    17,163     VERBIO Vereinigte BioEnergie AG     686,243  
    4,192     Volkswagen AG     981,132  
     

 

 

 
    Total Germany     33,638,179  
     

 

 

 
          Greece — 0.0%  
    12,055     FF Group * (e)      
    6,918     JUMBO SA     113,924  
     

 

 

 
    Total Greece     113,924  
     

 

 

 
          Hong Kong — 1.1%  
    112,500     BOC Hong Kong Holdings Ltd     373,782  
    28,700     Budweiser Brewing Co APAC Ltd     87,556  
    158,400     Champion (REIT)     92,742  
    142,000     Chow Sang Sang Holdings International Ltd     192,267  
    67,800     Chow Tai Fook Jewellery Group Ltd     92,985  
    1,108,000     CITIC Telecom International Holdings Ltd     358,617  
    6,000     CK Asset Holdings Ltd     35,265  
    504,000     CK Hutchison Holdings Ltd     3,803,369  
    550,000     CSI Properties Ltd     17,381  
    100,500     Dah Sing Banking Group Ltd     110,206  
    133,200     Dah Sing Financial Holdings Ltd     430,562  
    8,528,000     First Pacific Co Ltd     2,797,817  
    730,000     Giordano International Ltd     145,761  
    396,200     Hongkong Land Holdings Ltd     1,903,430  
    396,000     IGG Inc     590,750  
    369,500     Johnson Electric Holdings Ltd     1,066,302  
    113,000     K Wah International Holdings Ltd     58,091  
    85,500     Kerry Logistics Network Ltd     248,965  
    488,500     Kerry Properties Ltd     1,573,781  
 

 

28   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Hong Kong — continued  
    36,800     Luk Fook Holdings International Ltd     93,327  
    179,000     Pacific Textiles Holdings Ltd     114,618  
    4,959,000     PCCW Ltd     2,844,050  
    848,000     Shun Tak Holdings Ltd     287,303  
    60,500     SmarTone Telecommunications Holdings Ltd     38,269  
    130,000     Sun Hung Kai & Co Ltd     55,767  
    3,000     Sun Hung Kai Properties Ltd     48,694  
    180,000     Texwinca Holdings Ltd     39,422  
    360,000     VSTECS Holdings Ltd     322,822  
    256,700     VTech Holdings Ltd     2,151,091  
    3,265,000     WH Group Ltd     2,928,409  
    536,500     Yue Yuen Industrial Holdings Ltd     1,142,586  
     

 

 

 
    Total Hong Kong     24,045,987  
     

 

 

 
          Hungary — 0.0%  
    75,431     Magyar Telekom Telecommunications Plc     102,258  
    17,805     Richter Gedeon Nyrt     506,517  
     

 

 

 
    Total Hungary     608,775  
     

 

 

 
          India — 1.9%  
    20,481     Asian Paints Ltd     636,136  
    74,244     Aurobindo Pharma Ltd     857,965  
    7,869     Bajaj Auto Ltd     405,069  
    82,729     Balrampur Chini Mills Ltd     198,281  
    9,635     Bombay Burmah Trading Co     152,283  
    224,776     Cadila Healthcare Ltd     1,326,940  
    6,868     Cochin Shipyard Ltd     34,609  
    26,027     Dr Reddy’s Laboratories Ltd     1,574,390  
    42,700     Dr Reddy’s Laboratories Ltd ADR     2,560,719  
    21,677     Engineers India Ltd     23,432  
    41,187     Gujarat Narmada Valley Fertilizers & Chemicals Ltd     163,395  
    622,742     HCL Technologies Ltd     7,715,493  
    17,815     HDFC Bank Ltd *     374,415  
    23,877     Hindalco Industries Ltd     110,342  
    21,163     Hindustan Unilever Ltd     612,121  
    3,955     Hindustan Zinc Ltd     15,896  
    20,265     Housing Development Finance Corp Ltd     701,452  
    107,289     ICICI Bank Ltd *     881,393  
    536,537     Indiabulls Housing Finance Ltd *     1,594,626  
    175,007     Indian Oil Corp Ltd     232,957  
    139,900     Infosys Ltd Sponsored ADR (a)     2,395,088  
    12,460     JSW Energy Ltd     12,169  
    3,380     Just Dial Ltd *     33,178  
    30,989     Kotak Mahindra Bank Ltd *     755,708  
    4,989     Mindtree Ltd     108,231  
    155,313     NBCC India Ltd     90,715  
    20,817     NCC Ltd     25,318  
    225,503     NTPC Ltd     328,443  
    2,798,853     Oil & Natural Gas Corp Ltd     4,241,598  
    
Shares
    Description   Value ($)  
          India — continued  
    315     Oracle Financial Services Software Ltd     12,999  
    1,724,845     Power Finance Corp Ltd *     2,914,943  
    356,414     PTC India Ltd     355,568  
    21,371     Rajesh Exports Ltd     148,060  
    3,616,729     REC Ltd     6,659,281  
    15,326     Tata Consultancy Services Ltd     605,671  
    25,137     Titan Co Ltd     482,287  
    280,002     TV18 Broadcast Ltd *     110,451  
    124,503     Wipro Ltd     693,588  
     

 

 

 
    Total India     40,145,210  
     

 

 

 
          Indonesia — 0.3%  
    441,900     Astra International Tbk PT     166,970  
    1,031,100     Bank Central Asia Tbk PT     2,425,916  
    1,466,100     Bank Mandiri Persero Tbk PT *     627,789  
    1,396,600     Bank Negara Indonesia Persero Tbk PT     581,147  
    2,588,500     Bank Pembangunan Daerah Jawa Timur Tbk PT     153,462  
    7,581,000     Bank Rakyat Indonesia Persero Tbk PT *     2,497,217  
    429,000     Bank Tabungan Negara Persero Tbk PT     62,092  
    2,535,200     Bukit Asam Tbk PT     480,811  
    55,900     Indah Kiat Pulp & Paper Corp Tbk PT     51,499  
    243,500     Indo Tambangraya Megah Tbk PT     207,905  
    445,600     Matahari Department Store Tbk PT *     39,320  
    651,500     Pakuwon Jati Tbk PT *     25,123  
    1,417,500     Panin Financial Tbk PT *     22,814  
    1,911,200     Ramayana Lestari Sentosa Tbk PT     97,694  
    43,600     United Tractors Tbk PT     68,881  
     

 

 

 
    Total Indonesia     7,508,640  
     

 

 

 
          Ireland — 0.4%  
    170,930     AIB Group Plc * (c)     381,545  
    212,253     Bank of Ireland Group Plc *     857,418  
    3,941     CRH Plc *     171,084  
    17,240     CRH Plc Sponsored ADR     747,009  
    9,518     Glanbia Plc     122,951  
    307,199     Hibernia REIT Plc     415,428  
    53,468     Irish Residential Properties REIT Plc     96,296  
    2,828     Kingspan Group Plc *     205,122  
    54,941     Origin Enterprises Plc     232,159  
    32,738     Permanent TSB Group Holdings Plc *     42,965  
    126,930     Ryanair Holdings Plc *     2,532,229  
    41,962     Smurfit Kappa Group Plc (b)     1,977,846  
    4,844     Smurfit Kappa Group Plc (b)     230,238  
    28,153     Total Produce Plc     70,626  
     

 

 

 
    Total Ireland     8,082,916  
     

 

 

 
          Israel — 0.2%  
    5,200     Check Point Software Technologies Ltd *     573,248  
    530     Fox Wizel Ltd     48,645  
    28,569     Isracard Ltd     97,516  
 

 

       See accompanying notes to the financial statements.   29


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Israel — continued  
    458     Israel Corp Ltd (The) *     102,701  
    477,592     Oil Refineries Ltd *     102,907  
    288,100     Teva Pharmaceutical Industries Ltd Sponsored ADR *     3,099,956  
     

 

 

 
    Total Israel     4,024,973  
     

 

 

 
          Italy — 1.0%  
    114,237     A2A SPA     191,635  
    112,167     Anima Holding SPA     537,330  
    42,629     Banca Popolare di Sondrio SCPA *     122,551  
    5,369     Biesse SPA *     141,531  
    81,336     Buzzi Unicem SPA     2,050,427  
    15,485     Cementir Holding NV     148,395  
    10,648     CNH Industrial NV *     157,172  
    55,960     Cofide SPA *     33,150  
    22,116     Credito Emiliano SPA *     125,914  
    3,140     De’ Longhi SPA     116,027  
    1,622     El.En. SPA * (a)     53,986  
    115,094     Enel SPA     1,085,210  
    107,294     EXOR NV     8,600,561  
    16,451     Hera SPA     58,392  
    180,650     Intesa Sanpaolo SPA *     464,457  
    20,728     Iren SPA     51,207  
    9,031     La Doria SPA     153,107  
    169,091     Leonardo SPA     1,348,672  
    543     MARR SPA *     12,354  
    5,119     Mediobanca Banca di Credito Finanziario SPA *     53,155  
    7,193     Poste Italiane SPA     81,493  
    2,365     Saras SPA * (c)     1,840  
    1,481     Sesa SPA *     201,009  
    3,295,984     Telecom Italia SPA     1,564,979  
    5,568,512     Telecom Italia SPA – RSP     2,985,283  
    4,432     Unieuro SPA * (c)     83,846  
    271,928     Unipol Gruppo SPA *     1,409,766  
     

 

 

 
    Total Italy     21,833,449  
     

 

 

 
          Japan — 12.8%  
    7,500     ADEKA Corp     126,354  
    8,700     Aeon Delight Co Ltd (c)     260,089  
    224,100     Aeon Mall Co Ltd (c)     3,792,551  
    6,100     Aichi Corp     48,895  
    7,700     Aida Engineering Ltd     65,058  
    2,200     Altech Corp     41,136  
    405,000     Amada Co Ltd     4,948,294  
    75,500     Amano Corp     1,702,030  
    6,600     AOKI Holdings Inc     42,560  
    3,500     Arata Corp     147,496  
    21,800     Arcland Sakamoto Co Ltd     313,266  
    61,000     Arcs Co Ltd (c)     1,261,709  
    399,700     Asahi Kasei Corp     4,336,195  
    
Shares
    Description   Value ($)  
          Japan — continued  
    220,300     Asics Corp (c)     3,631,948  
    241,200     Astellas Pharma Inc     3,813,654  
    3,600     Bando Chemical Industries Ltd     24,146  
    86,200     Brother Industries Ltd     1,708,036  
    10,800     Bunka Shutter Co Ltd     101,333  
    2,300     Canon Electronics Inc     35,127  
    1,600     Cawachi Ltd     42,990  
    3,400     Central Glass Co Ltd     70,782  
    24,100     Central Japan Railway Co     3,971,060  
    1,600     Chiyoda Integre Co Ltd     25,983  
    138,700     Chugoku Marine Paints Ltd     1,180,486  
    4,300     CONEXIO Corp     54,940  
    5,400     Dai Nippon Toryo Co Ltd     45,857  
    1,500     Dai-Dan Co Ltd     37,987  
    38,400     Daihen Corp     1,639,149  
    1,900     Daiichi Jitsugyo Co Ltd     73,662  
    1,900     Dainichiseika Color & Chemicals Manufacturing Co Ltd     41,190  
    1,600     Daishi Hokuetsu Financial Group Inc     35,491  
    47,000     Daiwa House Industry Co Ltd     1,333,203  
    5,200     Daiwa Industries Ltd     49,537  
    66,000     Daiwabo Holdings Co Ltd     4,937,618  
    113,500     Denka Co Ltd     4,289,321  
    21,800     Doshisha Co Ltd     362,476  
    4,400     DTS Corp (a)     96,266  
    121,200     Ebara Corp     4,566,968  
    3,200     Ehime Bank Ltd (The)     29,226  
    5,800     Elecom Co Ltd     256,031  
    39,000     Electric Power Development Co Ltd     637,829  
    8,500     FAN Communications Inc     31,164  
    110,000     Fuji Corp     2,600,949  
    3,700     Fuji Media Holdings Inc (a)     44,947  
    3,700     Fujimi Inc     137,084  
    1,500     Fujimori Kogyo Co Ltd     59,978  
    15,500     Fujitsu Ltd (a)     2,248,713  
    2,600     Furuno Electric Co Ltd     25,878  
    3,000     G-7 Holdings Inc     67,252  
    3,800     Geo Holdings Corp     42,757  
    17,300     GungHo Online Entertainment Inc (a)     354,303  
    11,600     Gunma Bank Ltd (The)     37,365  
    3,600     Hakuto Co Ltd     41,953  
    3,300     Hanwa Co Ltd     86,356  
    337,200     Haseko Corp     4,193,874  
    419,000     Hazama Ando Corp     3,147,462  
    1,800     Heiwado Co Ltd     33,037  
    10,200     Hisamitsu Pharmaceutical Co Inc (c)     639,226  
    113,200     Hitachi Ltd     5,221,092  
    45,100     Hogy Medical Co Ltd (a)     1,291,498  
    3,800     Hokuhoku Financial Group Inc     34,418  
    125,400     Honda Motor Co Ltd     3,466,218  
 

 

30   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Japan — continued  
    74,400     Horiba Ltd     4,468,175  
    4,200     Iida Group Holdings Co Ltd     95,550  
    93,600     Inabata & Co Ltd     1,323,753  
    606,200     Inpex Corp     4,507,454  
    206,900     ITOCHU Corp (c)     6,179,690  
    16,400     Itochu Enex Co Ltd     158,147  
    600     Itochu-Shokuhin Co Ltd     29,463  
    11,600     Itoki Corp     38,621  
    6,800     Jaccs Co Ltd     130,977  
    93,500     JAFCO Group Co Ltd     5,735,001  
    72,874     Japan Post Insurance Co Ltd     1,498,445  
    12,500     Japan Tobacco Inc     226,331  
    4,400     Juroku Bank Ltd (The)     81,764  
    159,300     JVCKenwood Corp     277,982  
    278,100     K’s Holdings Corp     3,730,387  
    122,900     Kadokawa Corp (a)     4,524,586  
    52,100     Kajima Corp     668,637  
    3,500     Kamei Corp     38,343  
    47,700     Kanamoto Co Ltd     1,063,526  
    156,500     Kanematsu Corp     1,997,862  
    2,600     Kato Sangyo Co Ltd     87,478  
    303,300     KDDI Corp     9,454,914  
    6,200     Keiyo Bank Ltd (The)     25,087  
    9,300     Kinden Corp     152,406  
    10,701     Kohnan Shoji Co Ltd (c)     291,863  
    18,501     Komeri Co Ltd     498,754  
    115,074     Konica Minolta Inc (c)     587,947  
    98,600     Konoike Transport Co Ltd     960,528  
    2,000     Kureha Corp     132,588  
    140,500     Kyowa Exeo Corp     3,600,600  
    101,100     Kyudenko Corp     3,345,692  
    108,000     Macromill Inc     865,614  
    76,500     Mandom Corp     1,307,713  
    4,500     Marubeni Corp     33,714  
    130,700     Maruichi Steel Tube Ltd     2,998,717  
    2,100     Maruzen Showa Unyu Co Ltd     60,467  
    7,700     Marvelous Inc (a)     63,338  
    2,000     Matsuda Sangyo Co Ltd     35,307  
    127,500     Maxell Holdings Ltd *     1,671,248  
    23,900     MCJ Co Ltd     204,544  
    22,700     Mebuki Financial Group Inc     48,489  
    16,400     Meidensha Corp     353,717  
    1,000     Melco Holdings Inc     35,505  
    74,100     Mitsubishi Gas Chemical Co Inc     1,735,629  
    2,000     Mitsubishi Research Institute Inc (a)     75,743  
    1,402,400     Mitsubishi UFJ Financial Group Inc     7,376,196  
    4,400     Mitsuboshi Belting Ltd     68,236  
    5,700     Mitsui & Co Ltd     122,061  
    17,200     Mitsui Chemicals Inc     532,819  
    6,200     Mitsui Sugar Co Ltd     109,652  
    
Shares
    Description   Value ($)  
          Japan — continued  
    30,200     Mixi Inc (a)     761,186  
    7,500     Mizuho Financial Group Inc     110,388  
    2,800     Mizuno Corp     57,249  
    46,400     Morinaga & Co Ltd     1,675,842  
    134,500     MS&AD Insurance Group Holdings Inc     3,817,747  
    200     MTI Ltd     1,578  
    21,200     NEC Networks & System Integration Corp (a)     352,261  
    103,800     NH Foods Ltd     4,391,574  
    4,700     Nichias Corp     110,282  
    5,500     Nichiha Corp     155,345  
    36,300     Nikkon Holdings Co Ltd     699,425  
    3,000     Nippn Corp     44,852  
    16,500     Nippo Corp     431,913  
    13,800     Nippon Light Metal Holdings Co Ltd     273,761  
    2,200     Nippon Soda Co Ltd     69,373  
    271,400     Nippon Telegraph & Telephone Corp     7,030,629  
    9,300     Nippon Television Holdings Inc (a)     123,824  
    16,300     Nishi-Nippon Financial Holdings Inc     106,877  
    1,500     Nishio Rent All Co Ltd     37,058  
    1,500     Nissin Corp     19,087  
    6,200     Nissin Electric Co Ltd     72,540  
    2,300     Nitto Denko Corp     197,425  
    9,000     Nojima Corp     236,480  
    19,700     Nomura Real Estate Holdings Inc     446,660  
    2,000     Obara Group Inc (c)     71,442  
    590,800     Obayashi Corp     5,100,250  
    11,900     Okamura Corp     124,197  
    600     Okinawa Cellular Telephone Co     27,627  
    553,300     ORIX Corp     9,440,799  
    4,200     Osaka Soda Co Ltd     101,215  
    111,000     Pacific Industrial Co Ltd     1,208,777  
    250,000     Penta-Ocean Construction Co Ltd     1,868,474  
    4,300     Prima Meat Packers Ltd     125,927  
    5,700     Proto Corp     60,055  
    66,800     Raiznext Corp (c)     718,134  
    29,000     Renesas Electronics Corp *     319,020  
    177,400     Resona Holdings Inc     716,826  
    2,400     Rinnai Corp     243,392  
    900     Rion Co Ltd     24,279  
    18,900     Rohm Co Ltd     1,871,499  
    2,900     Roland DG Corp     48,794  
    1,300     Ryobi Ltd *     15,340  
    23,500     San-A Co Ltd (c)     916,722  
    9,200     San-Ai Oil Co Ltd     92,287  
    11,200     San-In Godo Bank Ltd (The)     51,094  
    15,300     Sanki Engineering Co Ltd     187,044  
    35,700     Sankyu Inc     1,495,565  
    8,300     Sanwa Holdings Corp     103,188  
    42,800     Secom Co Ltd     3,726,811  
    4,900     Seiko Holdings Corp     81,867  
 

 

       See accompanying notes to the financial statements.   31


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Japan — continued  
    31,100     Sekisui Chemical Co Ltd     557,346  
    171,400     Sekisui House Ltd     3,234,081  
    4,300     Sekisui Jushi Corp     78,462  
    900     Shimamura Co Ltd     89,934  
    491,800     Shimizu Corp     3,735,999  
    1,300     Shindengen Electric Manufacturing Co Ltd     37,749  
    600     Shinko Electric Industries Co Ltd     16,200  
    6,600     Shizuoka Gas Co Ltd     57,535  
    800     Sinanen Holdings Co Ltd     23,095  
    9,100     Sinko Industries Ltd     161,815  
    7,400     Sintokogio Ltd     50,804  
    348,700     SKY Perfect JSAT Holdings Inc (a)     1,478,825  
    131,900     Sojitz Corp     348,926  
    604,700     Sumitomo Chemical Co Ltd     2,943,871  
    265,500     Sumitomo Dainippon Pharma Co Ltd (c)     4,220,166  
    225,600     Sumitomo Forestry Co Ltd     4,066,353  
    40,400     Sumitomo Mitsui Trust Holdings Inc     1,333,905  
    2,300     Sumitomo Seika Chemicals Co Ltd     84,015  
    5,500     Suzuki Motor Corp     239,910  
    64,600     T Hasegawa Co Ltd     1,126,464  
    4,000     T-Gaia Corp     68,755  
    77,800     Tachi-S Co Ltd     777,037  
    51,600     Taisei Corp     1,829,783  
    233,100     Takara Holdings Inc (c)     3,138,247  
    49,700     Takara Leben Co Ltd     161,235  
    3,700     Takasago Thermal Engineering Co Ltd     54,946  
    15,200     Takeuchi Manufacturing Co Ltd (c)     387,072  
    112,400     Takuma Co Ltd     2,211,071  
    9,000     Tamron Co Ltd     162,897  
    257,000     Teijin Ltd (c)     4,433,793  
    122,500     TIS Inc (a)     2,550,136  
    92,100     Toho Holdings Co Ltd     1,599,107  
    1,170,100     Tokyo Electric Power Co Holdings Inc *     3,768,921  
    88,400     Tokyo Seimitsu Co Ltd     3,874,395  
    20,500     Tokyu Construction Co Ltd     102,633  
    9,100     TOMONY Holdings Inc     25,941  
    6,200     Toppan Forms Co Ltd     59,410  
    351,300     Toppan Printing Co Ltd     5,550,401  
    106,500     Tosei Corp     1,004,748  
    296,284     Tosoh Corp     5,446,550  
    3,400     Totetsu Kogyo Co Ltd     82,212  
    2,200     Towa Pharmaceutical Co Ltd (c)     43,468  
    40,300     Toyo Construction Co Ltd     207,402  
    26,700     Toyo Suisan Kaisha Ltd     1,136,651  
    57,000     Toyota Industries Corp     4,897,293  
    1,100     Toyota Tsusho Corp     46,400  
    2,200     TPR Co Ltd     30,587  
    7,000     TS Tech Co Ltd     195,941  
    82,200     Tsumura & Co     2,587,328  
    2,500     UKC Holdings Corp     46,827  
    
Shares
    Description   Value ($)  
          Japan — continued  
    900     Ulvac Inc     40,719  
    5,300     Wacoal Holdings Corp     113,608  
    16,500     YAMABIKO Corp     173,110  
    19,700     Yamaguchi Financial Group Inc     121,887  
    4,800     Yamazen Corp     42,877  
    9,400     Yellow Hat Ltd     148,192  
    190,800     Yokogawa Electric Corp     3,649,090  
    5,500     Yuasa Trading Co Ltd     152,329  
    90,800     Zenkoku Hosho Co Ltd     4,192,061  
     

 

 

 
    Total Japan     276,559,209  
     

 

 

 
          Kuwait — 0.2%  
    61,657     Gulf Bank KSCP     43,881  
    7,476     Gulf Cable & Electrical Industries Co KSCP     21,381  
    12,800     Humansoft Holding Co KSC *     161,804  
    887,500     Kuwait Finance House KSCP     2,107,990  
    38,023     Kuwait Projects Co Holding KSCP     21,414  
    152,743     Mobile Telecommunications Co KSCP     315,193  
    550,173     National Bank of Kuwait SAKP     1,498,450  
     

 

 

 
    Total Kuwait     4,170,113  
     

 

 

 
          Malaysia — 0.0%  
    661,200     DRB-Hicom Berhad     296,493  
    85,000     Pharmaniaga Berhad     88,936  
    87,300     Syarikat Takaful Malaysia Keluarga Berhad     99,048  
    98,700     Westports Holdings Berhad     99,294  
     

 

 

 
    Total Malaysia     583,771  
     

 

 

 
          Mexico — 1.0%  
    165,700     Arca Continental SAB de CV     753,614  
    87,100     Banco del Bajio SA *     101,085  
    206,600     Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico *     195,727  
    83,100     Cemex SAB de CV Sponsored ADR *     549,291  
    27,500     Corp Inmobiliaria Vesta SAB de CV     51,777  
    122,700     Credito Real SAB de CV SOFOM ER *     66,860  
    81,100     El Puerto de Liverpool SAB de CV – Class C1     245,382  
    222,800     Fibra Uno Administracion SA de CV (REIT)     253,034  
    259,800     Fomento Economico Mexicano SAB de CV     1,772,566  
    421,300     Gentera SAB de CV *     211,043  
    61,600     Grupo Aeroportuario del Centro Norte SAB de CV *     355,508  
    49,600     Grupo Bimbo SAB de CV – Series A     92,842  
    806,900     Grupo Financiero Banorte SAB de CV – Class O *     4,052,049  
    80,800     Grupo Financiero Inbursa SAB de CV – Class O *     72,608  
    56,242     Grupo Herdez SAB de CV – Series *     112,613  
    1,623,000     Grupo Mexico SAB de CV – Series B     7,694,142  
    10,400     Kimberly-Clark de Mexico SAB de CV – Class A     16,663  
    199,000     Nemak SAB de CV     58,974  
 

 

32   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Mexico — continued  
    1,305     Promotora y Operadora de Infraestructura SAB de CV     9,627  
    51,000     Qualitas Controladora SAB de CV     276,781  
    29,400     Regional SAB de CV *     133,446  
    24,649     Unifin Financiera SAB de CV SOFOM ENR *     29,184  
    1,679,638     Wal-Mart de Mexico SAB de CV     4,780,156  
     

 

 

 
    Total Mexico     21,884,972  
     

 

 

 
          Netherlands — 1.7%  
    50,592     ABN AMRO Bank NV CVA *     581,732  
    557,367     Aegon NV     2,671,310  
    73,300     AerCap Holdings NV *     3,531,594  
    1,438     ASM International NV     387,863  
    73,996     ASR Nederland NV     3,091,584  
    11,846     ForFarmers NV     78,242  
    3,410     Heineken Holding NV     293,596  
    282     Hunter Douglas NV *     22,200  
    423,119     ING Groep NV (c)     4,634,299  
    202,699     Koninklijke Ahold Delhaize NV     5,352,215  
    8,225     Koninklijke Vopak NV     392,458  
    13,264     NN Group NV     612,448  
    194,750     PostNL NV *     827,910  
    89,462     Randstad NV *     5,983,053  
    103,003     Signify NV *     4,488,339  
    171,718     Stellantis NV *     2,781,271  
     

 

 

 
    Total Netherlands     35,730,114  
     

 

 

 
          New Zealand — 0.1%  
    573,760     Meridian Energy Ltd     2,362,013  
     

 

 

 
          Norway — 0.5%  
    84,266     Aker Solutions ASA *     128,079  
    25,363     Austevoll Seafood ASA     290,591  
    10,158     Avance Gas Holding Ltd (c)     37,753  
    685     Borregaard ASA     12,918  
    161,368     BW LPG Ltd     958,099  
    98,163     DNB ASA (c)     1,907,051  
    199,376     Elkem ASA     701,054  
    82,696     Europris ASA     483,569  
    2,070     Nordic Semiconductor ASA *     39,031  
    234,790     Norsk Hydro ASA     1,299,857  
    73,828     Norwegian Finans Holding ASA *     650,546  
    224,411     Orkla ASA *     2,066,964  
    19,122     Sbanken ASA * (c)     182,802  
    16,885     Selvaag Bolig ASA     109,197  
    26,396     SpareBank 1 Nord Norge     233,907  
    19,287     SpareBank 1 SMN     222,677  
    58,396     SpareBank 1 SR-Bank ASA *     672,557  
    26,879     Wallenius Wilhelmsen ASA *     73,680  
     

 

 

 
    Total Norway     10,070,332  
     

 

 

 
    
Shares
    Description   Value ($)  
    Pakistan — 0.1%

 

    34,810     Engro Corp Ltd     66,701  
    488,454     Engro Fertilizers Ltd     201,345  
    58,068     Fauji Fertilizer Co Ltd     40,667  
    5,110     Lucky Cement Ltd *     28,589  
    407,858     Oil & Gas Development Co Ltd     269,950  
    54,623     Pakistan Oilfields Ltd     138,151  
    277,068     Pakistan Petroleum Ltd     158,564  
    23,700     Pakistan State Oil Co Ltd *     35,466  
    47,700     Searle Co Ltd (The)     81,603  
    67,270     United Bank Ltd     54,270  
     

 

 

 
    Total Pakistan     1,075,306  
     

 

 

 
          Philippines — 0.0%  
    3,085     Globe Telecom Inc     128,908  
    14,660     Manila Electric Co     81,777  
    2,369,000     Megaworld Corp     176,988  
    2,145,000     Metro Pacific Investments Corp     179,485  
    15,810     Security Bank Corp     42,687  
    135,050     Semirara Mining & Power Corp     35,501  
     

 

 

 
    Total Philippines     645,346  
     

 

 

 
          Poland — 0.4%  
    20,978     Asseco Poland SA     372,313  
    3,461     Budimex SA     319,584  
    93,198     Cyfrowy Polsat SA     708,665  
    247,657     Polski Koncern Naftowy ORLEN SA     3,884,930  
    970,013     Polskie Gornictwo Naftowe i Gazownictwo SA     1,443,725  
    198,317     Powszechny Zaklad Ubezpieczen SA *     1,545,766  
     

 

 

 
    Total Poland     8,274,983  
     

 

 

 
          Portugal — 0.4%  
    97,323     Altri SGPS SA     706,547  
    6,706,345     Banco Comercial Portugues SA – Class R * (c)     944,575  
    113,256     CTT-Correios de Portugal SA * (c)     341,003  
    32,269     EDP Renovaveis SA     703,960  
    431,047     EDP – Energias de Portugal SA     2,470,634  
    180,442     Galp Energia SGPS SA     2,017,060  
    25,415     Jeronimo Martins SGPS SA     393,361  
    118,662     Mota-Engil SGPS SA * (c)     209,104  
    172,750     Navigator Co SA (The) *     584,264  
    140,247     REN – Redes Energeticas Nacionais SGPS SA     384,189  
    11,271     Semapa-Sociedade de Investimento e Gestao     161,309  
    598,195     Sonae SGPS SA     488,263  
     

 

 

 
    Total Portugal     9,404,269  
     

 

 

 
          Qatar — 0.1%  
    114,022     Doha Bank QPSC *     69,037  
    46,534     Masraf Al Rayan QSC     55,266  
    87,754     Ooredoo QPSC     184,915  
 

 

       See accompanying notes to the financial statements.   33


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Qatar — continued  
    16,323     Qatar Electricity & Water Co QSC     77,873  
    32,266     Qatar Gas Transport Co Ltd     29,045  
    31,879     Qatar Insurance Co SAQ     19,657  
    187,330     Qatar National Bank QPSC     880,406  
    45,376     Qatar National Cement Co QSC     50,698  
     

 

 

 
    Total Qatar     1,366,897  
     

 

 

 
          Russia — 3.4%  
    2,336,120     Alrosa PJSC     3,118,875  
    698,800     Credit Bank of Moscow PJSC *     62,617  
    79,270     Detsky Mir PJSC     150,929  
    117,090,000     Federal Grid Co Unified Energy System PJSC     337,194  
    21,540     Gazprom Neft PJSC     98,238  
    2,752     Gazprom Neft PJSC Sponsored ADR     62,388  
    1,040,450     Gazprom PJSC     3,047,038  
    29,818     Globaltrans Investment Plc Sponsored GDR (Registered)     198,586  
    46,796,001     Inter RAO UES PJSC     3,215,779  
    3,503     LSR Group PJSC     41,518  
    70,889     LSR Group PJSC GDR (Registered)     156,561  
    102,465     LUKOIL PJSC     7,678,984  
    105,380     LUKOIL PJSC Sponsored ADR     7,852,013  
    13,200     M.Video PJSC     145,275  
    3,685     Magnit PJSC     243,170  
    18,915     Magnit PJSC Sponsored GDR (Registered)     257,479  
    354,180     Magnitogorsk Iron & Steel Works PJSC     257,764  
    34,180     Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)     322,836  
    166,845     MMC Norilsk Nickel PJSC ADR     5,257,779  
    79,200     Mobile TeleSystems PJSC Sponsored ADR     651,024  
    1,014,040     Moscow Exchange MICEX-RTS PJSC     2,349,219  
    15,129     Novatek PJSC Sponsered GDR (Registered)     2,588,691  
    176,900     Novolipetsk Steel PJSC     530,888  
    89,438     Novolipetsk Steel PJSC GDR     2,647,661  
    10,741     PhosAgro PJSC GDR (Registered)     188,298  
    202,189     Polymetal International Plc     3,996,843  
    5,033     Polyus PJSC     947,903  
    18,801     Polyus PJSC GDR (Registered)     1,756,820  
    38,000     QIWI Plc Sponsored ADR     406,220  
    35,200     Raspadskaya OJSC     85,560  
    939     Ros Agro Plc GDR (Registered)     11,400  
    10,621     Rosneft Oil Co PJSC GDR (Registered)     73,550  
    35,627,000     ROSSETI PJSC     813,163  
    5,455,000     RusHydro PJSC     57,252  
    13,580     Safmar Financial Investment *     88,479  
    1,346,650     Sberbank of Russia PJSC     4,885,021  
    658,148     Sberbank of Russia PJSC Sponsored ADR     9,577,330  
    15,715     Severstal PJSC     284,637  
    51,905     Severstal PJSC GDR (Registered)     927,555  
    3,325,100     Surgutneftegas PJSC     1,451,350  
    
Shares
    Description   Value ($)  
          Russia — continued  
    296,272     Surgutneftegas PJSC Sponsored ADR     1,266,817  
    57,310     Tatneft PJSC Sponsored ADR     2,398,341  
    10,652     TCS Group Holding Plc GDR (Registered)     557,082  
    4,860,000     Unipro PJSC     183,328  
    24,343     X5 Retail Group NV GDR (Registered) (b)     792,731  
    16,423     X5 Retail Group NV GDR (Registered) (b)     541,244  
    6,000     Yandex NV – Class A *     383,910  
     

 

 

 
    Total Russia     72,947,340  
     

 

 

 
          Saudi Arabia — 0.0%  
    38,732     Al Rajhi Bank     934,087  
     

 

 

 
          Singapore — 0.6%  
    68,800     AEM Holdings Ltd     205,643  
    243,500     Asian Pay Television Trust     19,878  
    269,094     CapitaLand Ltd     637,082  
    532,700     ComfortDelGro Corp Ltd     640,142  
    178,235     DBS Group Holdings Ltd     3,531,654  
    187,200     First Real Estate Investment Trust     28,674  
    403,800     Golden Agri-Resources Ltd     57,910  
    291,940     Japfa Ltd     196,074  
    58,200     Jardine Cycle & Carriage Ltd     914,357  
    78,000     Lendlease Global Commercial (REIT)     44,772  
    56,500     Mapletree North Asia Commercial Trust (REIT)     40,573  
    2,900     Oversea-Chinese Banking Corp Ltd     23,724  
    187,200     Sasseur Real Estate Investment Trust     117,741  
    254,100     Sembcorp Industries Ltd     327,930  
    349,500     Silverlake Axis Ltd     62,400  
    379,500     Singapore Airlines Ltd *     1,406,648  
    700     Singapore Exchange Ltd     5,212  
    78,900     Soilbuild Business Space REIT     31,249  
    189,800     StarHub Ltd     180,641  
    39,200     Venture Corp Ltd     559,379  
    133,800     Wilmar International Ltd     526,785  
    3,580,799     Yangzijiang Shipbuilding Holdings Ltd     2,859,067  
    338,000     Yanlord Land Group Ltd     290,194  
     

 

 

 
    Total Singapore     12,707,729  
     

 

 

 
          South Africa — 1.6%  
    683,123     Absa Group Ltd     5,466,824  
    274     Anglo American Platinum Ltd     33,188  
    90,540     Aspen Pharmacare Holdings Ltd *     851,317  
    51,903     Astral Foods Ltd     463,761  
    12,719     AVI Ltd     59,507  
    145,031     Barloworld Ltd *     874,367  
    262,333     Bidvest Group Ltd (The)     2,909,205  
    357,441     Blue Label Telecoms Ltd *     112,809  
    2,397     Clicks Group Ltd     38,790  
    15,426     Discovery Ltd     144,431  
    110,996     Imperial Logistics Ltd     309,339  
 

 

34   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          South Africa — continued  
    74,376     Investec Ltd     194,726  
    77,369     Kumba Iron Ore Ltd     3,314,102  
    57,204     Lewis Group Ltd     97,562  
    31,586     Metair Investments Ltd *     37,772  
    156,610     Motus Holdings Ltd *     813,334  
    38,980     Mr Price Group Ltd     448,978  
    49,210     Naspers Ltd – N Shares     11,612,450  
    1,623,238     Old Mutual Ltd     1,442,340  
    11,716     Rand Merchant Investment Holdings Ltd     23,607  
    30,943     Raubex Group Ltd     46,633  
    84,355     Reunert Ltd     254,790  
    1,640,950     RMB Holdings Ltd *     162,094  
    521,965     Sanlam Ltd     2,097,212  
    118,057     Sappi Ltd *     345,940  
    14,085     Shoprite Holdings Ltd     123,808  
    517,142     Telkom SA SOC Ltd     1,401,773  
    3,606     Tiger Brands Ltd     48,023  
    133,272     Truworths International Ltd     426,440  
    90,743     Tsogo Sun Gaming Ltd *     37,607  
    48,949     Vodacom Group Ltd     403,121  
    31,788     Wilson Bayly Holmes-Ovcon Ltd *     202,545  
     

 

 

 
    Total South Africa     34,798,395  
     

 

 

 
          South Korea — 2.5%  
    15,200     Aekyung Petrochemical Co Ltd     147,862  
    28,389     BNK Financial Group Inc     148,719  
    1,131     Com2uSCorp     138,982  
    5,533     Daou Data Corp *     65,082  
    5,900     DB Insurance Co Ltd     217,112  
    69,381     DGB Financial Group Inc     435,283  
    34,093     Dongwon Development Co Ltd     156,071  
    7,678     DoubleUGames Co Ltd     377,126  
    7,088     GS Home Shopping Inc     855,984  
    248,198     Hana Financial Group Inc     8,152,456  
    24,210     Hankook Tire & Technology Co Ltd     1,024,067  
    1,710     HDC Hyundai Development Co-Engineering & Construction     40,685  
    9,888     Hyundai Home Shopping Network Corp     697,969  
    5,819     Hyundai Mobis Co Ltd     1,565,530  
    57,759     KB Financial Group Inc     2,235,601  
    5,900     KB Financial Group Inc ADR *     226,088  
    7,907     KC Co Ltd     194,960  
    2,247     KCC Glass Corp     88,230  
    172,211     Kia Motors Corp     12,142,286  
    6,463     Korea Asset In Trust Co Ltd     22,297  
    5,306     KT Skylife Co Ltd     40,317  
    57,485     KT&G Corp     4,001,262  
    33,545     LF Corp     460,578  
    57,175     LG Electronics Inc     7,438,167  
    502     LOTTE Fine Chemical Co Ltd     23,808  
    
Shares
    Description   Value ($)  
          South Korea — continued  
    3,520     LOTTE Himart Co Ltd     117,246  
    21,590     Mirae Asset Life Insurance Co Ltd     76,740  
    284     NCSoft Corp     235,879  
    550     NHN KCP Corp *     22,692  
    4,631     S&T Motiv Co Ltd     257,757  
    20,033     Samjin Pharmaceutical Co Ltd     454,428  
    9,603     Samsung Electronics Co Ltd     703,762  
    4,899     Sebang Global Battery Co Ltd     392,651  
    150,675     Shinhan Financial Group Co Ltd *     4,385,725  
    2,632     Silicon Works Co Ltd     150,046  
    999     SK Telecom Co Ltd     219,005  
    67,300     SK Telecom Co Ltd Sponsored ADR     1,620,584  
    6,106     SL Corp *     128,498  
    9,409     Woori Financial Capital Co Ltd     87,008  
    33,145     Woori Financial Group Inc *     282,265  
    55,440     Yuhan Corp     3,055,061  
     

 

 

 
    Total South Korea     53,085,869  
     

 

 

 
          Spain — 1.2%  
    16,249     Acerinox SA     188,350  
    85,262     ACS Actividades de Construccion y Servicios SA     2,605,131  
    30,966     Amadeus IT Group SA * (a)     2,161,962  
    41,700     Atresmedia Corp de Medios de Comunicacion SA * (a)     173,291  
    668,503     Banco Bilbao Vizcaya Argentaria SA     3,717,463  
    265,325     Banco de Sabadell SA     132,397  
    1,828,526     Banco Santander SA *     6,357,957  
    44,150     Bankinter SA (c)     290,991  
    161,679     CaixaBank SA     468,260  
    46,250     Cia de Distribucion Integral Logista Holdings SA (c)     889,961  
    14,467     Ebro Foods SA     311,971  
    10,080     eDreams ODIGEO SA * (c)     60,448  
    20,248     Endesa SA     500,334  
    8,337     Grupo Catalana Occidente SA     311,204  
    195,728     Iberdrola SA     2,452,847  
    65,320     Industria de Diseno Textil SA     2,153,810  
    293,102     Liberbank SA *     91,331  
    202,017     Mapfre SA     382,522  
    170,660     Mediaset Espana Comunicacion SA * (a)     1,020,427  
    104,629     Red Electrica Corp SA     1,747,964  
    7,729     Repsol SA     97,291  
    675,348     Unicaja Banco SA *     588,303  
    110     Viscofan SA     7,731  
     

 

 

 
    Total Spain     26,711,946  
     

 

 

 
          Sweden — 0.3%  
    69,031     Betsson AB *     563,679  
    1,725     Bufab AB *     42,934  
    7,410     Humana AB *     58,607  
 

 

       See accompanying notes to the financial statements.   35


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Sweden — continued  
    3,014     Instalco Intressenter AB     110,307  
    43,668     Inwido AB *     662,525  
    1,701     KNOW IT AB * (a)     52,055  
    11,243     Nobina AB *     86,870  
    284,946     Nordea Bank Abp     2,580,706  
    8,328     Volvo AB – A Shares *     213,925  
    64,616     Volvo AB – B Shares *     1,654,195  
     

 

 

 
    Total Sweden     6,025,803  
     

 

 

 
          Switzerland — 0.5%  
    48,561     Adecco Group AG (Registered)     3,056,273  
    849     ALSO Holding AG (Registered) *     230,459  
    23,011     Banque Cantonale Vaudoise (Registered)     2,411,620  
    4,221     BKW AG     466,923  
    1,108     Bobst Group SA (Registered)     74,744  
    1,058     Huber + Suhner AG (Registered)     81,756  
    433     Kardex Holding AG (Registered)     91,798  
    1,049     Logitech International SA (Registered)     111,524  
    2,853     Mobilezone Holding AG (Registered)     33,295  
    15,348     Novartis AG (Registered)     1,321,868  
    990     Roche Holding AG     331,068  
    9,799     Roche Holding AG – Genusschein     3,214,648  
    4,580     UBS Group AG (Registered)     71,257  
    1,520     Vetropack Holding AG (Registered) *     95,479  
    1,148     Wizz Air Holdings Plc *     85,153  
    1,469     Zehnder Group AG – Class RG     111,661  
     

 

 

 
    Total Switzerland     11,789,526  
     

 

 

 
          Taiwan — 5.0%  
    18,000     Accton Technology Corp     169,509  
    5,207     Acter Group Corp Ltd     37,171  
    4,000     Airtac International Group     139,207  
    77,000     Alchip Technologies Ltd     2,441,816  
    31,333     Amazing Microelectronic Corp     118,573  
    723,035     Asustek Computer Inc     7,884,872  
    19,000     Aten International Co Ltd     59,955  
    8,400     Aurora Corp     26,274  
    648,000     Catcher Technology Co Ltd     4,461,081  
    1,194,399     Cathay Financial Holding Co Ltd     1,797,541  
    169,430     Chailease Holding Co Ltd     1,046,443  
    248,000     Chicony Electronics Co Ltd     834,387  
    670,000     China Development Financial Holding Corp     223,660  
    129,000     China Life Insurance Co Ltd     105,041  
    106,000     China Motor Corp *     182,791  
    29,000     Chong Hong Construction Co Ltd     85,269  
    615,000     Coretronic Corp     1,059,647  
    2,176,000     CTBC Financial Holding Co Ltd     1,562,232  
    43,000     Delta Electronics Inc     432,804  
    85,000     Elan Microelectronics Corp     524,320  
    149,000     Elite Material Co Ltd     903,019  
    
Shares
    Description   Value ($)  
          Taiwan — continued  
    202,000     Evergreen Marine Corp Taiwan Ltd *     275,110  
    91,000     Farglory Land Development Co Ltd     175,057  
    432,000     FLEXium Interconnect Inc     1,952,341  
    224,000     Foxconn Technology Co Ltd     562,424  
    1,799,000     Fubon Financial Holding Co Ltd     3,221,748  
    19,000     Fusheng Precision Co Ltd     137,366  
    25,000     Getac Technology Corp     51,087  
    345,000     Gigabyte Technology Co Ltd     1,077,032  
    1,539,000     Grand Pacific Petrochemical *     1,316,629  
    22,000     Holiday Entertainment Co Ltd     50,927  
    5,329,318     Hon Hai Precision Industry Co Ltd     21,409,183  
    78,000     Huaku Development Co Ltd     246,724  
    62,820     IEI Integration Corp     118,107  
    32,721     Innodisk Corp     191,983  
    63,000     International Games System Co Ltd     1,871,707  
    261,000     Lite-On Technology Corp     556,263  
    12,000     Lotes Co Ltd     223,287  
    19,300     Makalot Industrial Co Ltd     140,951  
    67,000     Merry Electronics Co Ltd     329,250  
    172,000     Micro-Star International Co Ltd     919,949  
    1,158,817     Mitac Holdings Corp     1,286,116  
    8,000     Nan Liu Enterprise Co Ltd     48,902  
    37,000     Nantex Industry Co Ltd     85,367  
    34,000     Nichidenbo Corp     64,526  
    15,000     Nien Made Enterprise Co Ltd     209,967  
    151,000     Novatek Microelectronics Corp     2,571,113  
    1,166,000     Pegatron Corp     3,120,741  
    2,933,000     Pou Chen Corp     3,178,425  
    659,000     Qisda Corp     722,642  
    370,000     Quanta Computer Inc     1,128,577  
    1,234,000     Radiant Opto-Electronics Corp     5,289,635  
    1,000     Realtek Semiconductor Corp     16,499  
    468,000     Ruentex Development Co Ltd     700,910  
    72,000     Sampo Corp     69,118  
    66,000     Shin Kong Financial Holding Co Ltd     19,601  
    87,000     Shinkong Insurance Co Ltd     119,502  
    42,900     Simplo Technology Co Ltd     576,267  
    25,945     Sinmag Equipment Corp     92,832  
    19,000     Soft-World International Corp     65,247  
    9,000     Standard Foods Corp     17,751  
    128,500     Syncmold Enterprise Corp     384,977  
    201,000     Taiwan Cement Corp     302,876  
    219,000     Taiwan PCB Techvest Co Ltd     381,742  
    67,000     Taiwan Sakura Corp     126,777  
    937,000     Taiwan Semiconductor Manufacturing Co Ltd     20,470,664  
    19,885     Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR     2,504,317  
    7,000     TCI Co Ltd     53,169  
    70,000     Teco Electric and Machinery Co Ltd     76,215  
    23,000     Test Research Inc     48,098  
 

 

36   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Taiwan — continued  
    175,681     TOPBI International Holdings Ltd     84,343  
    49,000     Transcend Information Inc     114,985  
    102,000     Tripod Technology Corp     507,001  
    57,624     United Integrated Services Co Ltd     489,623  
    1,602,000     United Microelectronics Corp     3,123,522  
    93,000     Universal Inc     274,891  
    7,000     Vanguard International Semiconductor Corp     29,117  
    427,000     Wistron Corp     490,338  
    6,000     Yulon Nissan Motor Co Ltd     55,118  
    33,000     Zeng Hsing Industrial Co Ltd     177,792  
     

 

 

 
    Total Taiwan     108,002,040  
     

 

 

 
          Thailand — 0.3%  
    1,351,700     AP Thailand Pcl NVDR     325,188  
    186,700     Bangkok Bank Pcl NVDR     743,006  
    109,400     Carabao Group Pcl NVDR     495,912  
    117,300     Kasikornbank Pcl NVDR     540,236  
    117,600     KCE Electronics Pcl NVDR     207,861  
    101,100     Land & Houses Pcl NVDR     26,105  
    193,900     Origin Property Pcl NVDR     44,367  
    167,600     Pruksa Holding Pcl NVDR     70,641  
    19,800     PTT Exploration & Production Pcl NVDR     73,895  
    909,500     Quality Houses Pcl NVDR     70,476  
    42,700     Siam Cement Pcl NVDR (The)     513,972  
    267,800     Siam Commercial Bank Pcl NVDR (The)     898,519  
    141,300     Somboon Advance Technology Pcl NVDR     86,028  
    78,600     SPCG Pcl NVDR     51,217  
    73,400     Sri Trang Agro-Industry Pcl NVDR     128,922  
    74,250     Supalai Pcl (Foreign Registered)     49,091  
    305,075     Supalai Pcl NVDR     201,702  
    1,475,400     Thai Beverage Pcl (c)     812,736  
    20,700     Thai Vegetable Oil Pcl NVDR     23,264  
    5,118,300     TMB Bank Pcl NVDR     188,893  
    106,000     TTW Pcl NVDR     41,717  
     

 

 

 
    Total Thailand     5,593,748  
     

 

 

 
          Turkey — 0.6%  
    404,011     Aksa Akrilik Kimya Sanayii AS     863,820  
    318,357     Arcelik AS *     1,424,473  
    3     Aselsan Elektronik Sanayi Ve Ticaret AS     7  
    2,423,244     Dogan Sirketler Grubu Holding AS     1,035,375  
    81,284     Dogus Otomotiv Servis ve Ticaret AS *     340,216  
    1,764,163     Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)     534,469  
    458,051     Enerjisa Enerji AS     708,316  
    530,867     Eregli Demir ve Celik Fabrikalari TAS     1,047,062  
    288,243     Selcuk Ecza Deposu Ticaret ve Sanayi AS     442,355  
    2,021,598     Turkiye Garanti Bankasi AS *     2,438,457  
    4,357,441     Turkiye Is Bankasi AS – Class C *     3,366,454  
    13,234     Vestel Beyaz Esya Sanayi ve Ticaret AS     92,927  
     

 

 

 
    Total Turkey     12,293,931  
     

 

 

 
    
Shares
    Description   Value ($)  
    United Arab Emirates — 0.1%

 

    10,313     Abu Dhabi Commercial Bank PJSC     17,390  
    31,478     Abu Dhabi Islamic Bank PJSC     42,307  
    453,868     Aldar Properties PJSC     442,085  
    170,272     Dubai Islamic Bank PJSC     216,201  
    75,698     Emaar Malls PJSC *     34,030  
    1,967,777     Emaar Properties PJSC *     1,822,958  
    14,015     Emirates NBD Bank PJSC     42,123  
    98,498     First Abu Dhabi Bank PJSC     387,490  
     

 

 

 
    Total United Arab Emirates     3,004,584  
     

 

 

 
          United Kingdom — 4.0%  
    71,690     3i Group Plc     1,112,915  
    88,449     888 Holdings Plc     365,729  
    12,235     Aggreko Plc     137,549  
    33,417     Airtel Africa Plc     37,063  
    14,571     Anglo American Plc     565,369  
    4,815     Antofagasta Plc     120,172  
    189,290     Aviva Plc     959,019  
    8,004     B&M European Value Retail SA     61,227  
    14,675     Bank of Georgia Group Plc *     203,227  
    416,462     Barratt Developments Plc *     3,870,325  
    39,532     Bellway Plc     1,549,497  
    104,066     Berkeley Group Holdings Plc (The)     5,896,070  
    14,800     BP Plc Sponsored ADR     361,268  
    47,132     British American Tobacco Plc     1,636,666  
    59,800     British American Tobacco Plc Sponsored ADR     2,096,588  
    1,874,377     BT Group Plc *     3,244,394  
    6,878     Bunzl Plc     214,736  
    36,511     Carnival Plc *     813,176  
    30,246     Central Asia Metals Plc     101,620  
    11,654     CMC Markets Plc     66,180  
    75,653     Coca-Cola HBC AG *     2,372,365  
    148,427     Compass Group Plc *     3,014,101  
    17,757     Computacenter Plc (a)     517,664  
    1,540     Cranswick Plc     73,327  
    6,278     Daily Mail & General Trust Plc – Class A (a)     79,219  
    1,154     Dart Group Plc *     23,497  
    10,760     Dunelm Group Plc *     189,012  
    36,390     Electrocomponents Plc     493,689  
    4,137     EMIS Group Plc (a)     61,251  
    31,438     Evraz Plc     252,384  
    40,778     Ferguson Plc     4,824,488  
    318,739     Ferrexpo Plc     1,494,815  
    80,475     Frasers Group Plc *     527,592  
    3,369     Fresnillo Plc     42,548  
    11,710     Galliford Try Holdings Plc *     22,319  
    1,117     Games Workshop Group Plc     148,899  
    19,604     Go-Ahead Group Plc (The) *     319,632  
    66,636     Halfords Group Plc *     268,319  
    107,200     HSBC Holdings Plc *     642,152  
 

 

       See accompanying notes to the financial statements.   37


GMO Benchmark-Free 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  
    160,310     IG Group Holdings Plc     1,748,541  
    18,917     IMI Plc     346,929  
    9,183     Inchcape Plc *     91,073  
    127,082     Indivior Plc *     227,133  
    32,655     International Personal Finance Plc *     36,692  
    76,612     Investec Plc     208,941  
    404,971     ITV Plc * (a)     622,205  
    216,158     J Sainsbury Plc     684,141  
    102,308     JD Sports Fashion Plc *     1,189,126  
    23,985     John Laing Group Plc     101,102  
    39,590     Jupiter Fund Management Plc     163,157  
    111,133     Just Group Plc *     139,957  
    1,164,830     Kingfisher Plc *     4,317,382  
    462,468     Legal & General Group Plc     1,681,623  
    1,471,714     M&G Plc     3,790,599  
    686,739     Micro Focus International Plc * (a)     4,031,730  
    44,152     Mitchells & Butlers Plc * (c)     186,414  
    38,425     Morgan Advanced Materials Plc     166,460  
    17,371     Morgan Sindall Group Plc     401,290  
    74,584     National Express Group Plc *     310,645  
    65,292     National Grid Plc     734,172  
    2,057     Next Plc *     217,887  
    20,574     Numis Corp Plc     95,139  
    58,873     OSB Group Plc *     363,849  
    69,279     Paragon Banking Group Plc     434,174  
    197,658     Persimmon Plc     7,162,209  
    79,698     Pets at Home Group Plc     439,412  
    98,781     Phoenix Group Holdings Plc     980,353  
    43,894     Playtech Plc *     289,859  
    89,750     Plus500 Ltd     1,719,222  
    216,530     Premier Foods Plc *     273,465  
    143,614     QinetiQ Group Plc     598,033  
    31,670     Redde Northgate Plc     121,469  
    63,965     Royal Dutch Shell Plc – A Shares (c)     1,320,081  
    188,788     Royal Dutch Shell Plc – B Shares     3,700,873  
    2,700     Royal Dutch Shell Plc – Class B Sponsored ADR     104,976  
    45,622     Royal Mail Plc *     289,200  
    26,269     Smiths Group Plc     537,960  
    1,283     Softcat Plc (a)     26,124  
    126,119     Spirent Communications Plc     414,312  
    57,445     Stock Spirits Group Plc     212,130  
    289,620     Tate & Lyle Plc     2,940,513  
    580,484     Taylor Wimpey Plc *     1,280,777  
    12,980     Vesuvius Plc     94,682  
    29,633     Vistry Group Plc *     348,489  
    243,222     WPP Plc (a)     2,908,798  
     

 

 

 
    Total United Kingdom     86,833,361  
     

 

 

 
          United States — 13.4%  
    20,200     Alexion Pharmaceuticals, Inc. *     3,085,550  
    42,200     Alliance Data Systems Corp. (a)     4,072,300  
    
Shares
    Description   Value ($)  
          United States — continued  
    48,000     Ally Financial, Inc.     1,992,000  
    20,262     American Express Co.     2,740,638  
    2,200     Anthem, Inc. (a)     667,018  
    32,000     Arrow Electronics, Inc. *     3,208,320  
    91,800     AT&T, Inc.     2,560,302  
    77,400     Athene Holding Ltd. – Class A *     3,528,666  
    20,600     Bed Bath & Beyond, Inc. *     553,316  
    9,900     Biogen, Inc. *     2,701,512  
    1,000     Booking Holdings, Inc. *     2,328,510  
    13,100     Booz Allen Hamilton Holding Corp. (a)     1,010,534  
    93,000     BorgWarner, Inc.     4,185,000  
    34,000     Capital One Financial Corp.     4,086,460  
    4,800     Capri Holdings Ltd. *     224,016  
    94,800     Carnival Corp. *     2,535,900  
    67,000     Carrier Global Corp.     2,447,510  
    54,800     CBRE Group, Inc. – Class A *     4,152,196  
    40,800     Centene Corp. * (a)     2,388,432  
    44,929     Charles Schwab Corp. (The)     2,773,018  
    19,700     Chevron Corp.     1,970,000  
    14,800     Cigna Corp. (a)     3,106,520  
    16,800     Cisco Systems, Inc.     753,816  
    57,800     Citigroup, Inc.     3,807,864  
    46,600     Citizens Financial Group, Inc.     2,024,304  
    33,315     Coca-Cola Co. (The)     1,632,102  
    31,600     Cognizant Technology Solutions Corp. – Class A (a)     2,321,968  
    61,100     Comcast Corp. – Class A (a)     3,221,192  
    2,600     Consolidated Edison, Inc.     170,690  
    74,500     Corteva, Inc.     3,363,675  
    129,700     Coty Inc. – Class A *     994,799  
    43,600     CVS Health Corp. (a)     2,970,468  
    3,900     Discover Financial Services     366,873  
    95,700     DISH Network Corp. – Class A * (a)     3,015,507  
    37,800     DR Horton, Inc.     2,905,686  
    13,600     Dropbox, Inc. – Class A * (a)     306,612  
    30,200     Edwards Lifesciences Corp. * (a)     2,509,620  
    44,657     EOG Resources, Inc.     2,883,056  
    60,400     Exelon Corp.     2,331,440  
    25,000     Expedia Group, Inc. *     4,025,000  
    72,900     Exxon Mobil Corp.     3,963,573  
    9,600     FleetCor Technologies, Inc. * (a)     2,662,176  
    325,300     Ford Motor Co. *     3,806,010  
    55,700     Fox Corp. – Class A (a)     1,855,367  
    77,700     Fox Corp. – Class B (a)     2,480,961  
    67,900     General Motors Co. *     3,485,307  
    41,000     Gilead Sciences, Inc.     2,517,400  
    13,000     Goldman Sachs Group, Inc. (The)     4,153,240  
    19,300     Hasbro, Inc.     1,808,603  
    18,028     Hilton Worldwide Holdings, Inc. *     2,229,703  
    9,361     Honeywell International, Inc.     1,894,198  
 

 

38   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          United States — continued  
    98,900     HP, Inc.     2,865,133  
    57,900     Intel Corp.     3,519,162  
    29,300     International Business Machines Corp. (a)     3,484,649  
    134,000     Invesco Ltd.     3,004,280  
    16,400     Jazz Pharmaceuticals Plc *     2,755,856  
    249,600     Kinder Morgan, Inc.     3,669,120  
    55,200     Kohl’s Corp. *     3,049,800  
    67,000     Kraft Heinz Co. (The)     2,437,460  
    67,300     Kroger Co. (The)     2,167,733  
    10,700     Laboratory Corp. of America Holdings * (a)     2,567,037  
    31,884     Las Vegas Sands Corp.     1,995,938  
    19,300     Leidos Holdings, Inc. * (a)     1,707,085  
    35,000     Lennar Corp. – Class A     2,903,950  
    68,200     Lincoln National Corp.     3,878,534  
    17,100     LKQ Corp. *     673,569  
    302,800     Lumen Technologies, Inc.     3,721,412  
    57,500     Lyft, Inc. – Class A *     3,202,750  
    38,500     LyondellBasell Industries NV – Class A     3,968,965  
    1,898     Markel Corp. *     2,066,542  
    68,000     MetLife, Inc.     3,916,800  
    48,100     Micron Technology, Inc. *     4,402,593  
    8,100     Mohawk Industries, Inc. *     1,417,419  
    72,200     Molson Coors Brewing Co. – Class B *     3,209,290  
    86,000     Occidental Petroleum Corp.     2,288,460  
    44,300     Oracle Corp. (a)     2,857,793  
    6,000     PACCAR, Inc.     545,940  
    45,900     Phillips 66     3,811,995  
    7,500     PPL Corp.     196,425  
    7,400     Principal Financial Group, Inc.     418,692  
    44,300     Prudential Financial, Inc.     3,841,696  
    49,700     PulteGroup, Inc.     2,241,967  
    147,600     Qurate Retail, Inc. – Series A     1,833,192  
    76,565     Raytheon Technologies Corp.     5,511,914  
    5,300     Regeneron Pharmaceuticals, Inc. *     2,388,021  
    56,560     Sensata Technologies Holding Plc *     3,240,323  
    113,000     Southwestern Energy Co. *     457,650  
    35,200     SS&C Technologies Holdings, Inc. (a)     2,333,056  
    86,000     Stryker Corp. (a)     20,871,340  
    97,300     Synchrony Financial     3,763,564  
    28,600     Textron, Inc.     1,439,724  
    37,600     Tyson Foods, Inc. – Class A     2,544,392  
    7,400     United Rentals, Inc. *     2,200,612  
    25,100     Universal Health Services, Inc. – Class B * (a)     3,145,783  
    67,309     US Bancorp     3,365,450  
    42,125     Verso Corp. – Class A     526,563  
    29,949     VF Corp.     2,369,864  
    69,400     ViacomCBS, Inc. – Class B (a)     4,475,606  
    134,700     Viatris, Inc. *     2,000,295  
    17,100     VMware, Inc. – Class A * (a)     2,363,391  
    59,900     Walgreens Boots Alliance, Inc.     2,871,007  
    
Shares
    Description   Value ($)  
          United States — continued  
    162,456     Wells Fargo & Co.     5,876,034  
    109,700     Western Union Co. (The) (a)     2,547,234  
    62,100     Western Digital Corp. *     4,255,713  
    1,000     Whirlpool Corp.     190,080  
     

 

 

 
    Total United States     290,137,781  
     

 

 

 
          Vietnam — 0.0%  
    151,500     Hoa Phat Group JSC     299,680  
    16,600     PetroVietnam Gas JSC     64,497  
    142,000     PetroVietnam Technical Services Corp     138,603  
    5,100     Vietnam Dairy Products JSC     23,206  
    20,800     Vinh Hoan Corp     35,871  
     

 

 

 
    Total Vietnam     561,857  
     

 

 

 
    TOTAL COMMON STOCKS
(COST $1,434,080,742)
    1,653,392,269  
     

 

 

 
          PREFERRED STOCKS (f) — 1.0%  
          Brazil — 0.3%  
    66,200     Banco Bradesco SA     271,689  
    239,221     Bradespar SA     2,683,243  
    148,000     Cia de Saneamento do Parana     104,579  
    4,200     Cia de Transmissao de Energia Eletrica Paulista     17,911  
    19,800     Cia Energetica de Minas Gerais Sponsored ADR     41,778  
    115,700     Cia Paranaense de Energia – Class B     1,209,398  
    333,700     Itau Unibanco Holding SA Sponsored ADR     1,511,661  
     

 

 

 
    Total Brazil     5,840,259  
     

 

 

 
          Colombia — 0.0%  
    409,827     Grupo Aval Acciones y Valores SA     133,500  
     

 

 

 
          Germany — 0.2%  
    51,200     Bayerische Motoren Werke AG     3,467,275  
    2,472     Draegerwerk AG & Co KGaA (a)     188,489  
    4,591     Henkel AG & Co KGaA     452,136  
    1,243     Sixt SE     92,919  
    1,897     Villeroy & Boch AG     34,346  
    11     Volkswagen AG     2,301  
     

 

 

 
    Total Germany     4,237,466  
     

 

 

 
          Russia — 0.2%  
    30,990     Bashneft PJSC     478,598  
    56,000     Nizhnekamskneftekhim PJSC     59,710  
    7,770,900     Surgutneftegas PJSC     4,096,711  
    79     Transneft PJSC     151,825  
     

 

 

 
    Total Russia     4,786,844  
     

 

 

 
          South Korea — 0.3%  
    11,310     Hyundai Motor Co Ltd Prf     1,043,706  
    8,563     Hyundai Motor Co Ltd-2nd Prf     775,262  
 

 

       See accompanying notes to the financial statements.   39


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

Shares /
Par Value†
    Description   Value ($)  
          South Korea — continued  
    17,594     LG Electronics Inc     1,114,443  
    70,397     Samsung Electronics Co Ltd     4,553,408  
    59     Samsung Electronics Co Ltd GDR (Registered)     96,476  
     

 

 

 
    Total South Korea     7,583,295  
     

 

 

 
          Taiwan — 0.0%  
    13,589     Chailease Holding Co Ltd *     48,528  
    20,463     CTBC Financial Holding Co Ltd     46,862  
     

 

 

 
    Total Taiwan     95,390  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $19,180,271)
    22,676,754  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          United Kingdom — 0.0%  
    17,170     Mitchells & Butlers Plc, Expires 03/10/21 *      
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $—)
     
     

 

 

 
          INVESTMENT FUNDS — 1.2%  
          United States — 1.2%  
    12,670     iShares Core MSCI Emerging Markets ETF     820,129  
    65,000     iShares Core S&P 500 ETF     24,815,050  
     

 

 

 
    Total United States     25,635,179  
     

 

 

 
    TOTAL INVESTMENT FUNDS
(COST $25,834,393)
    25,635,179  
     

 

 

 
          DEBT OBLIGATIONS — 5.9%  
          United States — 5.9%  
    Asset-Backed Securities — 0.1%

 

    91,045     Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 07/26/31     91,038  
    6,962     Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.32%, due 04/25/26     6,964  
    229,805     Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 10/25/37     229,454  
    93,465     Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 07/15/31     93,465  
    2,571,735     Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35     3  
    214,000     Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.02%, due 10/25/31     213,070  
    52,406     Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.79%, due 05/16/31     52,278  
Par Value† /
Shares
    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    56,791     LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/20/31     56,703  
    308,678     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.40%, due 06/25/37     306,773  
    99,820     Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/19/30     99,683  
    231,467     Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 04/17/28     231,443  
    170,766     Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 01/17/30     170,017  
    17,474     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.38%, due 05/25/47     17,451  
    10,123     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47     10,127  
     

 

 

 
    Total Asset-Backed Securities     1,578,469  
     

 

 

 
          U.S. Government — 5.8%  
    5,000,000     U.S. Treasury Note, 0.13%, due 08/31/22     5,000,195  
    57,000,000     U.S. Treasury Note, 0.13%, due 10/31/22 (a)     57,000,000  
    65,000,000     U.S. Treasury Note, 0.13%, due 11/30/22 (a)     65,000,000  
     

 

 

 
    Total U.S. Government     127,000,195  
     

 

 

 
    Total United States     128,578,664  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $129,804,085)
    128,578,664  
     

 

 

 
          MUTUAL FUNDS — 14.2%  
          United States — 14.2%  
    Affiliated Issuers — 14.2%

 

    2,669,773     GMO Emerging Country Debt Fund, Class IV     68,079,210  
    2,017,648     GMO Emerging Markets Fund, Class VI     73,462,563  
    3,682,300     GMO Opportunistic Income Fund, Class VI     95,150,641  
    1,663,312     GMO SGM Major Markets Fund, Class VI     53,275,871  
    3,101,018     GMO U.S. Treasury Fund (g)     15,629,132  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $299,444,887)
    305,597,417  
     

 

 

 
 

 

40   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
    SHORT-TERM INVESTMENTS — 1.5%

 

          Money Market Funds — 1.5%  
    31,962,856     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)     31,962,856  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $31,962,856)
    31,962,856  
     

 

 

 
    TOTAL INVESTMENTS — 100.4%
(Cost $1,940,307,234)
    2,167,843,139  
     

 

 

 
          SECURITIES SOLD SHORT — (19.6)%      
          Common Stocks — (19.5)%      
    Australia — (0.7)%  
    (32,296   Afterpay Ltd *     (2,950,051
    (446,159   APA Group     (3,202,556
    (20,467   ASX Ltd     (1,065,798
    (7,635   Cochlear Ltd     (1,245,708
    (8,073   Ramsay Health Care Ltd     (410,835
    (539,287   Sydney Airport *     (2,444,724
    (111,084   TPG Telecom Ltd *     (587,671
    (329,513   Transurban Group     (3,265,546
     

 

 

 
    Total Australia     (15,172,889
     

 

 

 
          Austria — (0.1)%      
    (35,242   Verbund AG     (2,679,013
     

 

 

 
          Canada — (0.1)%      
    (169,400   AltaGas Ltd     (2,567,756
     

 

 

 
          Denmark — (0.0)%      
    (8,029   Ambu A/S – Class B     (370,008
     

 

 

 
          France — (1.0)%      
    (62,034   Edenred     (3,438,040
    (211,691   Getlink SE *     (3,469,127
    (3,429   Hermes International     (3,820,040
    (5,836   Sartorius Stedim Biotech     (2,551,768
    (25,384   Ubisoft Entertainment SA *     (2,069,590
    (109,230   Vivendi SE     (3,780,691
    (28,914   Wendel SE     (3,298,619
     

 

 

 
    Total France     (22,427,875
     

 

 

 
          Germany — (1.1)%      
    (21,344   Delivery Hero SE *     (2,727,327
    (32,338   Puma SE *     (3,443,474
    (30,584   QIAGEN NV *     (1,511,387
    (75,036   RWE AG     (2,834,096
    (31,749   Scout24 AG     (2,394,806
    
Shares
    Description   Value ($)  
          Common Stocks — continued      
          Germany — continued      
    (1,210,405   Telefonica Deutschland Holding AG     (3,241,169
    (99,257   Uniper SE     (3,469,297
    (30,635   Zalando SE *     (3,149,496
     

 

 

 
    Total Germany     (22,771,052
     

 

 

 
          Israel — (0.1)%      
    (5,300   Wix.com Ltd *     (1,847,421
     

 

 

 
          Italy — (0.4)%      
    (8,218   Amplifon SPA *     (326,890
    (16,800   Atlantia SPA *     (314,525
    (16,008   Ferrari NV     (3,115,240
    (222,263   FinecoBank Banca Fineco SPA *     (3,898,304
    (51,104   Infrastrutture Wireless Italiane SPA     (532,023
     

 

 

 
    Total Italy     (8,186,982
     

 

 

 
          Japan — (2.6)%      
    (140,500   Acom Co Ltd     (629,596
    (89,500   Asahi Intecc Co Ltd     (2,570,259
    (682,000   ENEOS Holdings Inc     (3,015,795
    (2,200   Fast Retailing Co Ltd     (2,181,252
    (24,000   GMO Payment Gateway Inc     (3,176,516
    (65,700   Hitachi Metals Ltd     (1,046,708
    (3,100   Ibiden Co Ltd     (126,641
    (109,700   Idemitsu Kosan Co Ltd     (2,885,466
    (180,500   Isetan Mitsukoshi Holdings Ltd     (1,327,759
    (47,900   Japan Airport Terminal Co Ltd     (2,318,718
    (50,500   Japan Exchange Group Inc     (1,090,629
    (583   Japan Real Estate Investment Corp     (3,563,497
    (181,600   JGC Holding Corp     (2,357,956
    (183,000   Keikyu Corp     (2,910,977
    (3,000   Keio Corp     (225,083
    (11,400   Kintetsu Group Holdings Co Ltd     (479,573
    (151,700   Kyushu Electric Power Co Inc     (1,303,479
    (8,100   Lasertec Corp     (991,757
    (101,500   LIXIL Corp     (2,862,110
    (38,500   M3 Inc     (3,059,898
    (3,700   McDonald’s Holdings Co Japan Ltd     (183,843
    (11,000   Mercari Inc *     (529,249
    (16,100   Mitsubishi Materials Corp     (381,416
    (60,800   MonotaRO Co Ltd     (3,495,507
    (3,800   Nidec Corp     (484,557
    (41,700   Nihon M&A Center Inc     (2,275,788
    (29,800   Nippon Paint Holdings Co Ltd     (2,219,600
    (119,100   Nippon Yusen KK     (3,444,928
    (3,200   Nissin Foods Holdings Co Ltd     (241,815
    (60,800   Odakyu Electric Railway Co Ltd     (1,786,955
    (15,200   ORIENTAL LAND CO LTD     (2,559,424
    (17,800   Yaskawa Electric Corp     (895,566
     

 

 

 
    Total Japan     (56,622,317
     

 

 

 
 

 

       See accompanying notes to the financial statements.   41


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Common Stocks — continued      
    Netherlands — (0.3)%  
    (1,665   Adyen NV *     (3,885,085
    (27,945   Just Eat Takeaway.com NV *     (2,689,055
     

 

 

 
    Total Netherlands     (6,574,140
     

 

 

 
          New Zealand — (0.1)%      
    (13,541   Xero Ltd *     (1,239,261
     

 

 

 
          Norway — (0.0)%      
    (8,598   Schibsted ASA – B Shares *     (294,838
     

 

 

 
          Peru — (0.2)%      
    (45,700   Southern Copper Corp     (3,259,781
     

 

 

 
          Russia — (0.0)%      
    (26,941   Magnit PJSC Sponsored GDR (Registered)     (366,733
     

 

 

 
          Singapore — (0.2)%      
    (491,200   Singapore Exchange Ltd     (3,657,098
     

 

 

 
          Spain — (0.6)%      
    (56,127   Cellnex Telecom SA     (3,053,855
    (121,646   Endesa SA     (3,005,911
    (128,162   Ferrovial SA     (3,180,704
    (80,766   Siemens Gamesa Renewable Energy SA     (2,995,887
     

 

 

 
    Total Spain     (12,236,357
     

 

 

 
          Sweden — (0.2)%      
    (31,883   Evolution Gaming Group AB     (3,975,639
     

 

 

 
          Switzerland — (0.5)%      
    (2   Chocoladefabriken Lindt & Spruengli AG (Registered)     (176,765
    (2,029   Partners Group Holding AG     (2,429,258
    (3,020   Straumann Holding AG (Registered)     (3,647,142
    (37,544   Swiss Re AG     (3,527,185
     

 

 

 
    Total Switzerland     (9,780,350
     

 

 

 
          United Kingdom — (1.5)%      
    (48,694   Admiral Group Plc     (2,107,197
    (81,058   Antofagasta Plc     (2,023,036
    (443,174   Auto Trader Group Plc *     (3,407,373
    (1,055,086   ConvaTec Group Plc     (2,769,640
    (181,366   Entain Plc *     (3,587,990
    (34,412   Experian Plc     (1,092,368
    (35,314   Halma Plc     (1,117,942
    (160,034   Hargreaves Lansdown Plc     (3,383,384
    (474,284   Informa Plc *     (3,638,512
    (71,563   Land Securities Group Plc (REIT)     (663,651
    (29,553   London Stock Exchange Group Plc     (3,971,293
    (92,648   Ocado Group Plc *     (2,846,463
    
Shares
    Description   Value ($)  
          Common Stocks — continued      
          United Kingdom — continued      
    (40,245   Prudential Plc     (801,692
    (6,077   Spirax-Sarco Engineering Plc     (910,753
     

 

 

 
    Total United Kingdom     (32,321,294
     

 

 

 
          United States — (9.9)%      
    (31,400   Advanced Micro Devices, Inc. *     (2,653,614
    (77,900   AES Corp. (The)     (2,069,024
    (1,200   Align Technology, Inc. *     (680,532
    (15,000   American Tower Corp. (REIT)     (3,241,950
    (15,600   Aramark     (579,072
    (21,000   Arthur J Gallagher & Co.     (2,515,800
    (11,800   Autodesk, Inc. *     (3,256,800
    (15,700   Avalara, Inc. *     (2,463,958
    (13,400   Ball Corp.     (1,144,226
    (12,700   Burlington Stores, Inc. *     (3,287,014
    (8,600   Carvana Co. *     (2,438,100
    (10,800   Catalent, Inc. *     (1,228,068
    (54,800   Cheniere Energy, Inc. *     (3,692,972
    (2,400   Chipotle Mexican Grill, Inc. *     (3,460,800
    (29,700   Cognex Corp.     (2,452,923
    (1,400   CoStar Group, Inc. *     (1,153,264
    (9,200   Coupa Software, Inc. *     (3,185,592
    (16,600   Crowdstrike Holdings, Inc. – Class A *     (3,585,600
    (15,500   Crown Castle International Corp. (REIT)     (2,414,125
    (27,900   Datadog, Inc. – Class A *     (2,661,939
    (9,000   DexCom, Inc. *     (3,580,020
    (17,500   Digital Realty Trust, Inc. (REIT)     (2,357,775
    (15,400   DocuSign, Inc. *     (3,490,564
    (12,400   Enphase Energy, Inc. *     (2,183,144
    (14,300   Equifax, Inc.     (2,314,884
    (4,400   Equinix, Inc. (REIT)     (2,852,696
    (54,900   Equity LifeStyle Properties, Inc. (REIT)     (3,384,585
    (1,600   Erie Indemnity Co. – Class A     (387,360
    (25,700   Exact Sciences Corp. *     (3,498,284
    (3,300   Extra Space Storage, Inc. (REIT)     (414,810
    (9,500   Fastenal Co.     (440,515
    (28,200   Guidewire Software, Inc. *     (3,129,918
    (6,500   HubSpot, Inc. *     (3,347,500
    (4,300   IDEXX Laboratories, Inc. *     (2,236,731
    (33,700   Ingersoll Rand, Inc. *     (1,561,658
    (13,100   Insulet Corp. *     (3,394,210
    (17,300   IQVIA Holdings, Inc. *     (3,335,267
    (17,600   Iron Mountain, Inc. (REIT)     (612,304
    (42,900   Lamb Weston Holdings, Inc.     (3,422,133
    (9,900   Liberty Broadband Corp. – Class A *     (1,439,064
    (13,900   Liberty Broadband Corp. – Class C *     (2,078,189
    (81,100   Liberty Media Corp-Liberty Formula One – Class C *     (3,560,290
    (7,600   Linde Plc     (1,856,452
    (50,300   Live Nation Entertainment, Inc. *     (4,469,658
 

 

42   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

    
Shares
    Description   Value ($)  
          Common Stocks — continued      
          United States — continued      
    (2,100   Lululemon Athletica, Inc. *     (654,528
    (6,200   MarketAxess Holdings, Inc.     (3,446,828
    (9,100   MongoDB, Inc. *     (3,511,963
    (3,100   Monolithic Power Systems, Inc.     (1,161,012
    (8,400   MSCI, Inc.     (3,481,968
    (2,000   Neurocrine Biosciences, Inc. *     (219,020
    (19,600   NIKE Inc. – Class B     (2,641,688
    (17,800   Novocure Ltd. *     (2,653,980
    (52,800   Nuance Communications, Inc. *     (2,354,880
    (13,100   Okta, Inc. *     (3,424,995
    (6,900   Paycom Software, Inc. *     (2,582,256
    (18,000   Pinterest, Inc. – Class A *     (1,450,440
    (10,600   Public Storage (REIT)     (2,479,764
    (9,200   RingCentral, Inc. – Class A *     (3,479,072
    (3,100   Rockwell Automation, Inc.     (754,168
    (8,600   Roku, Inc. *     (3,401,128
    (65,100   Rollins, Inc.     (2,159,367
    (9,300   SBA Communications Corp. (REIT)     (2,372,709
    (3,800   Seagen, Inc. *     (574,218
    (6,500   ServiceNow, Inc. *     (3,467,490
    (8,000   Simon Property Group, Inc. (REIT)     (903,360
    (61,900   Snap, Inc. – Class A *     (4,064,354
    (171,500   Southwestern Energy Co. *     (694,575
    (16,400   Splunk, Inc. *     (2,345,364
    (14,100   Square, Inc. – Class A *     (3,243,423
    (26,500   Starbucks Corp.     (2,862,795
    (7,100   Sun Communities, Inc. (REIT)     (1,078,845
    (21,900   Sunrun, Inc. *     (1,370,502
    (116,300   Targa Resources Corp.     (3,597,159
    (13,400   Teladoc Health, Inc. *     (2,962,606
    (4,800   Tesla, Inc. *     (3,242,400
    
Shares
    Description   Value ($)  
          Common Stocks — continued      
          United States — continued      
    (9,400   Twilio, Inc. – Class A *     (3,693,072
    (88,800   UDR, Inc. (REIT)     (3,655,896
    (9,900   Vail Resorts, Inc.     (3,060,882
    (6,900   Wayfair, Inc. – Class A *     (1,993,962
    (3,900   West Pharmaceutical Services, Inc.     (1,094,535
    (121,300   Williams Cos, Inc. (The)     (2,770,491
    (32,800   Wynn Resorts Ltd. *     (4,320,743
    (2,000   XPO Logistics, Inc. *     (233,200
    (17,900   Zendesk, Inc. *     (2,615,905
    (25,556   Zillow Group, Inc. – Class C *     (4,122,948
    (1,800   Zoetis, Inc.     (279,431
    (6,600   Zoom Video Communications, Inc. – Class A *     (2,465,825
    (17,100   Zscaler, Inc. *     (3,506,012
     

 

 

 
    Total United States     (213,963,143
     

 

 

 
    TOTAL COMMON STOCKS
(PROCEEDS $390,066,697)
    (420,313,947
     

 

 

 
          PREFERRED STOCKS (f) — (0.1)%      
          Germany — (0.1)%      
    (6,658   Sartorius AG     (3,419,708
     

 

 

 
   

TOTAL PREFERRED STOCKS

(PROCEEDS $2,914,054)

    (3,419,708
     

 

 

 
    TOTAL SECURITIES SOLD SHORT
(PROCEEDS $392,980,751)
    (423,733,655
    Other Assets and Liabilities (net) — 19.2%     414,386,558  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $2,158,496,042  
     

 

 

 
 

 

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

Apprecia-
tion

(Deprecia-
tion)

($)
 
03/19/2021   MSCI   AUD     26,295,400       USD       20,371,467       137,107  
05/10/2021   MSCI   AUD     19,960,000       USD       15,213,213       (148,291
04/05/2021   GS   BRL     1,080,540       USD       200,000       7,416  
04/05/2021   JPM   BRL     2,934,450       USD       544,445       21,440  
04/05/2021   MSCI   BRL     1,511,608       USD       280,000       10,587  
05/03/2021   BCLY   CAD     2,506,941       USD       1,970,000       (91
05/03/2021   JPM   CAD     1,375,655       USD       1,086,862       5,798  
04/13/2021   JPM   CHF     1,013,740       USD       1,130,000       14,257  
04/13/2021   MSCI   CHF     18,211,234       USD       20,502,605       458,959  
05/24/2021   JPM   CLP     197,330,000       USD       280,000       7,118  
05/24/2021   MSCI   CLP     106,042,000       USD       149,728       3,086  
03/19/2021   BOA   EUR     55,876,300       USD       67,327,896       (116,102

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized

Apprecia-
tion

(Deprecia-
tion)

($)
 
03/19/2021   MSCI   EUR     55,876,300       USD       67,340,887       (103,110
03/31/2021   BCLY   EUR     900,000       USD       1,091,480       4,843  
03/19/2021   MSCI   GBP     26,498,600       USD       36,703,767       (217,699
04/13/2021   BCLY   GBP     990,000       USD       1,368,589       (11,011
04/13/2021   JPM   GBP     3,000,000       USD       4,088,128       (92,478
03/19/2021   JPM   HKD     97,522,500       USD       12,579,784       6,270  
04/13/2021   BCLY   HUF     473,461,682       USD       1,592,939       17,889  
04/13/2021   JPM   HUF     119,113,132       USD       400,000       3,750  
04/30/2021   GS   ILS     878,374       USD       270,000       4,366  
04/19/2021   JPM   INR     16,805,410       USD       230,000       4,277  
03/09/2021   BCLY   JPY     98,700,000       USD       940,000       14,009  
03/09/2021   JPM   JPY     123,250,362       USD       1,170,000       13,681  
 

 

       See accompanying notes to the financial statements.   43


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

 

 

Forward Currency Contracts — continued

 

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized

Apprecia-
tion

(Deprecia-
tion)

($)
 
03/19/2021   DB   JPY     2,418,280,434       USD       22,798,913       107,998  
03/19/2021   SSB   JPY     4,836,560,866       USD       45,578,288       196,459  
04/21/2021   DB   MXN     4,366,463       USD       220,000       12,388  
04/19/2021   JPM   NOK     13,428,613       USD       1,580,000       31,345  
05/05/2021   JPM   NZD     1,530,000       USD       1,115,895       10,478  
05/05/2021   MSCI   NZD     8,110,000       USD       5,843,417       (16,016
04/21/2021   JPM   PHP     43,593,850       USD       905,247       19,139  
05/28/2021   BCLY   RON     4,451,798       USD       1,103,545       6,227  
05/05/2021   JPM   SEK     5,209,859       USD       630,000       12,581  
04/15/2021   MSCI   SGD     1,235,940       USD       932,961       6,177  
04/16/2021   BOA   THB     8,364,492       USD       277,670       145  
05/03/2021   BCLY   TWD     1,352,411       USD       48,836       (33
05/03/2021   JPM   TWD     4,698,120       USD       170,000       237  
05/10/2021   JPM   USD     868,879       AUD       1,100,000       (22,303
04/05/2021   JPM   USD     220,000       BRL       1,187,793       (8,300
05/03/2021   BCLY   USD     1,520,000       CAD       1,917,430       (13,179
05/03/2021   MSCI   USD     17,390,103       CAD       22,318,250       148,797  
04/13/2021   JPM   USD     770,000       CHF       692,857       (7,428
04/13/2021   MSCI   USD     1,170,000       CHF       1,038,363       (27,157
04/30/2021   MSCI   USD     774,089       COP       2,774,810,600       (14,760
05/17/2021   MSCI   USD     681,706       CZK       14,493,742       (13,390
03/31/2021   MSCI   USD     14,109,576       EUR       11,625,000       (73,844
04/13/2021   MSCI   USD     6,356,197       GBP       4,715,000       214,321  
04/13/2021   CITI   USD     240,000       HUF       70,619,832       (5,071

Settlement
Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized

Apprecia-
tion

(Deprecia-
tion)

($)
 
05/11/2021   JPM   USD     200,000       IDR       2,840,200,000       (4,762
05/11/2021   MSCI   USD     877,633       IDR       12,383,397,000       (26,386
04/19/2021   CITI   USD     240,000       INR       17,735,616       (1,783
04/19/2021   JPM   USD     1,063,949       INR       78,762,823       (6,042
03/09/2021   MSCI   USD     15,536,506       JPY       1,637,799,457       (170,876
04/19/2021   MSCI   USD     434,031       KRW       479,548,300       (8,485
04/21/2021   JPM   USD     1,184,283       MXN       23,535,858       (65,227
04/19/2021   BCLY   USD     980,000       NOK       8,356,558       (16,280
04/19/2021   JPM   USD     592,028       NOK       5,072,055       (7,093
05/05/2021   BOA   USD     302,531       NZD       420,996       1,636  
05/05/2021   JPM   USD     5,534,684       NZD       7,689,004       20,582  
05/24/2021   MSCI   USD     480,169       PEN       1,753,722       501  
05/17/2021   CITI   USD     1,064,425       PLN       3,945,505       (10,940
05/12/2021   MSCI   USD     1,453,741       RUB       108,082,034       (17,978
05/05/2021   BCLY   USD     9,042,887       SEK       76,018,127       (33,997
05/05/2021   JPM   USD     4,350,000       SEK       36,454,773       (29,754
04/15/2021   DB   USD     360,000       SGD       475,982       (3,079
04/15/2021   GS   USD     460,000       SGD       609,930       (2,637
04/16/2021   MSCI   USD     278,501       THB       8,364,492       (976
05/17/2021   BCLY   USD     1,218,083       TRY       8,917,217       (57,910
04/30/2021   MSCI   USD     1,706,610       ZAR       26,349,208       22,022  
           

 

 

 
            $ 191,418  
           

 

 

 
 

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
    Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys        
308   Mini MSCI Emerging Markets     March 2021     $ 20,606,740     $ 273,943  
     

 

 

   

 

 

 
Sales        
3,059   Euro STOXX 50     March 2021       134,159,672       (4,695,025
411   FTSE 100 Index     March 2021       37,074,487       116,501  
69   Hang Seng Index     March 2021       12,919,178       484,316  
1,100   S&P 500 E-Mini     March 2021       209,506,000       (7,498,661
76   SGX Nifty 50     March 2021       2,210,722       24,772  
155   SPI 200     March 2021       19,785,684       (181,768
395   TOPIX Index     March 2021       69,931,858       (4,787,878
     

 

 

   

 

 

 
      $ 485,587,601     $ (16,537,743
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

    

Sales - Fund is short the futures contract.

 

 

Reverse Repurchase Agreements

 

Average balance outstanding

   $ (20,500,000

Average interest rate

     (0.65 )% 

Maximum balance outstanding

   $ (20,500,000

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.

 

44   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

 

 

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) ($)
 

0.49%

  3 Month CAD LIBOR   CAD 89,100,000        03/13/2023        Semi-Annually        21,707       255,598       233,891  

3 Month CAD LIBOR

  0.52%   CAD 6,200,000        03/13/2023        Semi-Annually              (14,883     (14,883

6 Month EURIBOR

  (0.55)%   EUR 17,930,000        03/15/2023        Semi-Annually        (7,213     (39,536     (32,323

6 Month GBP LIBOR

  0.10%   GBP  80,140,000        03/15/2023        Semi-Annually        6,810       (392,973     (399,783

6 Month GBP LIBOR

  0.10%   GBP 6,650,000        03/15/2023        Semi-Annually              (32,978     (32,978

6 Month GBP LIBOR

  0.18%   GBP 3,140,000        03/15/2023        Semi-Annually        55       (8,338     (8,393

0.21%

  3 Month USD LIBOR   USD 7,010,000        03/15/2023        Quarterly        (3,064     5,995       9,059  

0.23%

  3 Month USD LIBOR   USD 19,990,000        03/15/2023        Quarterly        741       7,935       7,194  

0.21%

  3 Month USD LIBOR   USD 28,250,000        03/15/2023        Quarterly        (2,886     22,471       25,357  

0.09%

  3 Month AUD BBSW   AUD 8,600,000        03/17/2023        Quarterly              16,171       16,171  

0.12%

  3 Month AUD BBSW   AUD 7,800,000        03/17/2023        Quarterly              10,771       10,771  

0.07%

  3 Month AUD BBSW   AUD 18,460,000        03/17/2023        Quarterly        247       38,685       38,438  

3 Month AUD BBSW

  0.10%   AUD 2,260,000        03/17/2023        Quarterly        (268     (3,729     (3,461

(0.72)%

  6 Month CHF LIBOR   CHF 2,980,000        03/17/2023        Semi-Annually        (436     7,249       7,685  

6 Month CHF LIBOR

  (0.70)%   CHF 4,030,000        03/17/2023        Semi-Annually              (8,280     (8,280

0.39%

  3 Month NZD Bank Bill Rate   NZD 75,720,000        03/17/2023        Quarterly        (19,954     115,199       135,153  

3 Month SEK STIBOR

  (0.03)%   SEK 443,750,000        03/17/2023        Quarterly        11,974       (56,794     (68,768

1.05%

  6 Month AUD BBSW   AUD 480,000        03/17/2031        Semi-Annually        (225     27,524       27,749  

6 Month AUD BBSW

  1.01%   AUD 1,630,000        03/17/2031        Semi-Annually              (97,852     (97,852

6 Month AUD BBSW

  0.99%   AUD 1,800,000        03/17/2031        Semi-Annually              (111,395     (111,395

6 Month AUD BBSW

  1.95%   AUD 25,910,000        03/17/2031        Semi-Annually        176,732       210,257       33,525  

6 Month AUD BBSW

  1.26%   AUD 3,870,000        03/17/2031        Semi-Annually        2,422       (164,209     (166,631

3 Month CAD LIBOR

  1.50%   CAD 24,540,000        03/17/2031        Semi-Annually        500       (693,158     (693,658

3 Month CAD LIBOR

  1.51%   CAD 17,120,000        03/17/2031        Semi-Annually        (15,735     (470,968     (455,233

3 Month CAD LIBOR

  1.61%   CAD 3,120,000        03/17/2031        Semi-Annually              (62,861     (62,861

3 Month CAD LIBOR

  1.75%   CAD 39,960,000        03/17/2031        Semi-Annually        (48,978     (393,229     (344,251

(0.23)%

  6 Month CHF LIBOR   CHF 2,560,000        03/17/2031        Semi-Annually              90,920       90,920  

(0.25)%

  6 Month CHF LIBOR   CHF 1,290,000        03/17/2031        Semi-Annually              47,971       47,971  

6 Month CHF LIBOR

  (0.25)%   CHF 11,690,000        03/17/2031        Semi-Annually        (5,638     (445,130     (439,492

6 Month CHF LIBOR

  (0.27)%   CHF 590,000        03/17/2031        Semi-Annually        1,291       (23,583     (24,874

(0.21)%

  6 Month CHF LIBOR   CHF 800,000        03/17/2031        Semi-Annually              26,452       26,452  

(0.19)%

  6 Month CHF LIBOR   CHF 1,290,000        03/17/2031        Semi-Annually              40,067       40,067  

(0.12)%

  6 Month CHF LIBOR   CHF 4,150,000        03/17/2031        Semi-Annually        (1,668     95,152       96,820  

0.09%

  6 Month CHF LIBOR   CHF 1,250,000        03/17/2031        Semi-Annually              185       185  

3 Month NZD Bank Bill Rate

  1.10%   NZD 15,950,000        03/17/2031        Quarterly        (43,967     (969,138     (925,171

3 Month NZD Bank Bill Rate

  2.15%   NZD 14,690,000        03/17/2031        Quarterly        98,952       147,030       48,078  

3 Month NZD Bank Bill Rate

  1.70%   NZD 35,220,000        03/17/2031        Quarterly        (124,016     (715,709     (591,693

0.41%

  3 Month SEK STIBOR   SEK 74,860,000        03/17/2031        Quarterly        2,297       356,531       354,234  

0.54%

  3 Month SEK STIBOR   SEK 23,300,000        03/17/2031        Quarterly        (763     76,355       77,118  

0.82%

  3 Month SEK STIBOR   SEK 11,800,000        03/17/2031        Quarterly              619       619  

3 Month SEK STIBOR

  0.49%   SEK 18,360,000        03/17/2031        Quarterly        4,459       (70,527     (74,986

3 Month SEK STIBOR

  0.48%   SEK 8,900,000        03/17/2031        Quarterly              (34,957     (34,957

(0.25)%

  6 Month EURIBOR   EUR 3,550,000        03/19/2031        Semi-Annually        4,054       132,135       128,081  

(0.03)%

  6 Month EURIBOR   EUR 1,350,000        03/19/2031        Semi-Annually              13,960       13,960  

0.02%

  6 Month EURIBOR   EUR 54,630,000        03/19/2031        Semi-Annually        (16,560     222,948       239,508  

0.05%

  6 Month EURIBOR   EUR 990,000        03/19/2031        Semi-Annually              (152     (152

0.48%

  6 Month GBP LIBOR   GBP 15,520,000        03/19/2031        Semi-Annually        1,626       1,113,916       1,112,290  

0.54%

  6 Month GBP LIBOR   GBP 1,970,000        03/19/2031        Semi-Annually        3,914       124,841       120,927  

0.69%

  6 Month GBP LIBOR   GBP 640,000        03/19/2031        Semi-Annually        149       27,809       27,660  

0.92%

  6 Month GBP LIBOR   GBP 24,580,000        03/19/2031        Semi-Annually        43,888       301,930       258,042  

1.46%

  3 Month USD LIBOR   USD 27,560,000        03/19/2031        Quarterly        (15,662     187,891       203,553  

1.51%

  3 Month USD LIBOR   USD 1,470,000        03/19/2031        Quarterly              2,802       2,802  

1.52%

  3 Month USD LIBOR   USD 1,470,000        03/19/2031        Quarterly              1,190       1,190  

1.52%

  3 Month USD LIBOR   USD 1,470,000        03/19/2031        Quarterly              1,751       1,751  

3 Month USD LIBOR

  1.45%   USD 11,220,000        03/19/2031        Quarterly        (4,382     (87,195     (82,813
            

 

 

   

 

 

   

 

 

 
             $ 70,403     $ (1,167,264   $ (1,237,667
            

 

 

   

 

 

   

 

 

 

 

       See accompanying notes to the financial statements.   45


GMO Benchmark-Free 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) ($)
 

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

  Appreciation of Total
Return on CSI
500 Index
  GS   USD  2,276,885       12/07/2021       Monthly             12,868       12,868  

Total Return on Equity Basket (i)

  1 Month Federal
Funds Rate plus 0.20%
  GS   USD  20,388,880       03/08/2021       At Maturity             (479,162     (479,162

Total Return on iShares Core S&P 500 ETF

  1 Month Federal Funds
Rate plus 0.23%
  GS   USD 25,254,450       03/24/2021       At Maturity             439,885       439,885  

Total Return on Equity Basket (i)

  1 Month Federal Funds
Rate minus 0.75%
  GS   USD 1,243,409       05/24/2022       Monthly             79,804       79,804  

Total Return on Equity Basket (i)

  1 Month Federal Funds
Rate minus 0.75%
  GS   USD 196,719       05/24/2022       Monthly             2,042       2,042  

Total Return on Equity Basket (i)

  1 Month Federal Funds
Rate minus 0.50%
  GS   USD 760,639       05/24/2022       Monthly             23,496       23,496  

Total Return on Equity Basket (i)

  1 Month Federal Funds
Rate minus 1.00%
  MORD   USD 2       06/20/2022       Monthly                    

Total Return on Equity Basket (j)

  1 Month Federal Funds
Rate minus 0.40%
  MORD   USD  33,295,302       10/18/2022       Monthly             4,136,116       4,136,116  

Total Return on Equity Basket (i)

  1 Month Federal Funds
Rate minus 0.40%
  MORD   USD 340,533       10/18/2022       Monthly             (18,936     (18,936

Total Return on Equity Basket (i)

  1 Month Federal Funds
Rate minus 1.00%
  MORD   USD 1,859,335       10/18/2022       Monthly             138,006       138,006  

Total Return on Equity Basket (i)

  1 Month Federal Funds
Rate minus 0.50%
  MORD   USD 260,382       10/18/2022       Monthly             14,050       14,050  
           

 

 

   

 

 

   

 

 

 
            $     $ 4,348,169     $ 4,348,169  
 

 

 

   

 

 

   

 

 

 

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.

 

*

Non-income producing security.

 

(a)

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).

 

(b)

Securities are traded on separate exchanges for the same entity.

 

(c)

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

 

(d)

Investment valued using significant unobservable inputs (Note 2).

 

(e)

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).

 

(f)

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

 

(g)

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

 

(h)

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

 

(i)

Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

 

 

46   See accompanying notes to the financial statements.       


GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

 

 

(j)

The following table represents the individual short positions within the custom equity basket swap as of February 28, 2021:

 

     Shares     Description   % of
Equity Basket
    Value ($)  
    23,130,000     Alibaba Pictures Group Ltd     11.0     3,217,654  
    539,500     China Cosco Holdings Co – Class H     2.1     599,402  
    4,905,000     China Molybdenum Co Ltd – Class H     13.0     3,783,182  
    254,000     China Resources Beer Holdings Co Ltd     6.6     1,916,361  
    738,000     China Yuhua Education Corp Ltd     2.1     609,915  
    13,200     Fuyao Glass Industry Group Co Ltd – Class H     0.3     80,902  
    2,052,000     Greentown Service Group Co Ltd     7.1     2,080,660  
    16,000     Haidilao International Holding Ltd     0.4     131,128  
    55,200     Hong Kong Exchanges and Clearing Ltd     11.6     3,393,853  
    816,000     Kingdee International Software Group Co Ltd     10.0     2,920,472  
    83,000     New World Development Co Ltd     1.4     422,137  
    213,200     Sands China Ltd     3.5     1,004,840  
    163,000     SJM Holdings Ltd     0.8     226,717  
    828,800     Wynn Resorts Ltd     5.4     1,563,253  
    204,000     Yihai International Holding Ltd.     9.6     2,793,444  
    644,500     Zhaojin Mining Industry Co Ltd     2.2     649,035  
    2,546,000     Zijin Mining Group Co Ltd – Class H     12.9     3,756,252  
       

 

 

 
    TOTAL COMMON STOCKS     $ 29,149,207  
       

 

 

 

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 118.

 

 

       See accompanying notes to the financial statements.   47


GMO Global Asset Allocation 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 Global Asset Allocation Fund returned +15.39% (net) for the fiscal year ended February 28, 2021, as compared with +20.00% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index (“ACWI”) and 35% Bloomberg Barclays U.S. Aggregate Index).

The Fund’s underweight in equities, compared to the benchmark, had a negative impact on performance, and this was exacerbated by the bias in developed equities away from the decently performing U.S. towards markets outside the U.S., which fared less well. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI ACWI Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. The Fund’s exposure to alternative strategies detracted from relative performance, as they did not manage to keep up with the return generated by the Fund’s benchmark. The underweighting to fixed income was additive to performance as the asset class did relatively less well, and this was complemented by good performance within fixed income.

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 Global Asset Allocation Fund

(A Series of GMO Trust)

  

 

 

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

GMO Global Asset Allocation Fund Class III Shares, the GMO Global Asset Allocation Index*, the MSCI ACWI and the Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2021

 

 

LOGO

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

 

  *

The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg Barclays U.S. Aggregate Index.

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 0.60%, 0.60% and 0.70%, 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 0.59%, 0.59% and 0.69% 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 Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    68.2

Debt Obligations

    20.6  

Short-Term Investments

    7.6  

Investment Funds

    3.2  

Preferred Stocks

    0.9  

Loan Participations

    0.0

Forward Currency Contracts

    0.0

Rights/Warrants

    0.0

Loan Assignments

    0.0

Swap Contracts

    0.0

Purchased Options

    0.0

Reverse Repurchase Agreements

    (0.0 )^ 

Futures Contracts

    (0.0 )^ 

Written/Credit Linked Options

    (0.0 )^ 

Securities Sold Short

    (7.2

Other

    6.7  
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤   Debt Obligations as a %
of Total Net Assets
 

United States

    7.6

Other Emerging

    2.9 † 

Other Developed

    0.1 ‡ 

Euro Region

    0.0 ^# 
 

 

 

 
    10.6 % 
 

 

 

 

 

Country/Region Summary¤   Equity Investments as a
% of Total Net Assets
 

United States

    23.1

Japan

    7.3  

China

    7.2  

Taiwan

    5.0  

Other Emerging

    4.6 † 

Other Developed

    3.7 ‡ 

United Kingdom

    3.5  

Russia

    3.4  

France

    1.5  

Netherlands

    1.3  

Germany

    1.2  

Australia

    1.1  

Spain

    1.0  

Switzerland

    1.0  

Euro Region

    0.0 ^# 
 

 

 

 
    64.9 % 
 

 

 

 
&

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 the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

 

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

 

“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

 

#

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

 

^

Rounds to 0.0%.

 

 

50              


GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares /
Par Value†
    Description   Value ($)  
    MUTUAL FUNDS — 99.9%

 

          Affiliated Issuers — 99.9%  
    9,403,469     GMO Alternative Allocation Fund, Class VI     178,571,877  
    2,453,474     GMO Asset Allocation Bond Fund, Class VI     58,588,962  
    922,964     GMO Cyclical Focus Fund, Class IV     26,821,332  
    1,044,566     GMO Emerging Country Debt Fund, Class IV     26,636,433  
    4,807,595     GMO Emerging Markets Fund, Class VI     175,044,536  
    6,174,126     GMO International Equity Fund, Class IV     143,733,654  
    1,521,877     GMO-Usonian Japan Value Creation Fund, Class VI     35,718,441  
    2,447,422     GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV     49,437,917  
    1,033,517     GMO Opportunistic Income Fund, Class VI     26,706,075  
    696,357     GMO Quality Fund, Class VI     18,091,344  
    5,157,125     GMO U.S. Equity Fund, Class VI     73,489,034  
    2,326,912     GMO U.S. Small Cap Value Fund, Class VI     58,149,527  
    4,902,218     GMO U.S. Treasury Fund     24,707,179  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $867,843,418)
    895,696,311  
     

 

 

 
          DEBT OBLIGATIONS — 0.0%      
          Asset-Backed Securities — 0.0%      
    20,160     ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.41%, due 02/25/36     5,140  
    10,012     GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.62%, due 10/25/34     9,554  
    10,031     Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.37%, due 02/26/34     8,654  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $26,976)
    23,348  
     

 

 

 
         
Shares
    Description   Value ($)  
          SHORT-TERM INVESTMENTS — 0.1%  
          Money Market Funds — 0.1%      
    600,429     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)     600,429  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $600,429)
    600,429  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $868,470,823)
    896,320,088  
    Other Assets and Liabilities (net) — (0.0%)     (190,479
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $896,129,609  
     

 

 

 

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.

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 118.

 

 

       See accompanying notes to the financial statements.   51


GMO Global Developed Equity Allocation 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 Global Developed Equity Allocation Fund returned +28.41% (net) for the fiscal year ended February 28, 2021, as compared with +29.34% for the Fund’s benchmark, the MSCI World Index.

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. markets detracted from performance relative to the benchmark, while the overweight to emerging markets was helpful. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Stock selection was strong in the U.S., helped by an explicit allocation to small cap value stocks which performed very well, along with an allocation to the Cyclical Focus Strategy (which is predominantly U.S.) that rallied extremely strongly as COVID-19 related worries started to recede given the successful vaccine developments.

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 Global Developed Equity Allocation Fund

(A Series of GMO Trust)

 

 

 

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

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 28, 2021

 

LOGO

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

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 the gross expense ratio of 0.60% 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 0.57% 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 Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    97.3

Short-Term Investments

    2.3  

Preferred Stocks

    0.9  

Investment Funds

    0.1  

Debt Obligations

    0.1  

Futures Contracts

    0.0

Rights/Warrants

    0.0

Swap Contracts

    0.0

Other

    (0.7
 

 

 

 
    100.0 % 
 

 

 

 

 

Country/Region Summary¤   % of Investments  

United States

    39.3

Japan

    13.0  

United Kingdom

    8.4  

France

    4.0  

China

    3.7  

Germany

    3.5  

Netherlands

    3.5  

Other Emerging

    2.9 † 

Taiwan

    2.9  

Switzerland

    2.8  

Spain

    2.6  

Australia

    2.5  

Other Developed

    2.3 ‡ 

Russia

    1.8  

Singapore

    1.8  

Italy

    1.4  

Hong Kong

    1.3  

Portugal

    1.3  

Norway

    1.0  
 

 

 

 
    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 and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, 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.

 

^

Rounds to 0.0%.

 

 

54              


GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    MUTUAL FUNDS — 99.9%

 

          Affiliated Issuers — 99.9%  
    157,943     GMO Cyclical Focus Fund, Class VI     4,589,809  
    233,425     GMO Emerging Markets Fund, Class VI     8,499,013  
    1,594,133     GMO International Equity Fund, Class IV     37,111,417  
    148,893     GMO-Usonian Japan Value Creation Fund, Class VI     3,494,510  
    420,532     GMO Quality Fund, Class VI     10,925,424  
    994,155     GMO U.S. Equity Fund, Class VI     14,166,705  
    373,874     GMO U.S. Small Cap Value Fund, Class VI     9,343,101  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $74,078,175)
    88,129,979  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.1%  
          Money Market Funds — 0.1%  
    47,867     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)     47,867  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $47,867)
    47,867  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $74,126,042)
    88,177,846  
    Other Assets and Liabilities (net) — (0.0%)     (24,323
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $88,153,523  
     

 

 

 

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 118.

 

 

       See accompanying notes to the financial statements.   55


GMO Global Equity Allocation 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. Specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Equity Allocation Fund returned +27.51% (net) for the fiscal year ended February 28, 2021, as compared with +30.25% for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. markets detracted from performance relative to the benchmark, while the overweight to emerging markets was helpful. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Stock selection was strong in the U.S., helped by an explicit allocation to small cap value stocks which performed very well, along with an allocation to the Cyclical Focus Strategy (which is predominantly U.S.) that rallied extremely strongly as COVID-19 related worries started to recede given the successful vaccine developments.

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.

 

56              


GMO Global Equity Allocation Fund

(A Series of GMO Trust)

  

 

 

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

GMO Global Equity Allocation Fund Class III Shares and the MSCI ACWI

As of February 28, 2021

 

LOGO

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

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 0.59%, 0.59% and 0.69%, 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 0.58%, 0.58% and 0.68% 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.

 

57


GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    96.5

Short-Term Investments

    2.0  

Preferred Stocks

    1.4  

Investment Funds

    0.2  

Debt Obligations

    0.2  

Futures Contracts

    0.1  

Swap Contracts

    0.0

Rights/Warrants

    0.0

Other

    (0.4
 

 

 

 
    100.0 % 
 

 

 

 

 

Country/Region Summary¤   % of Investments  

United States

    29.8

Japan

    10.9  

China

    10.4  

Taiwan

    7.4  

United Kingdom

    6.9  

Russia

    4.7  

Other Emerging

    4.0 † 

France

    3.3  

Germany

    2.8  

Netherlands

    2.8  

Other Developed

    2.7 ‡ 

Switzerland

    2.3  

Spain

    2.1  

Australia

    1.9  

Singapore

    1.5  

India

    1.2  

Italy

    1.1  

Korea

    1.1  

Mexico

    1.1  

Hong Kong

    1.0  

Portugal

    1.0  
 

 

 

 
    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 and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, 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.

 

^

Rounds to 0.0%.

 

 

58              


GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%

 

          Affiliated Issuers — 100.0%  
    2,791,930     GMO Cyclical Focus Fund, Class VI     81,133,477  
    12,399,583     GMO Emerging Markets Fund, Class VI     451,468,804  
    23,489,305     GMO International Equity Fund, Class IV     546,831,021  
    2,769,996     GMO-Usonian Japan Value Creation Fund, Class VI     65,011,818  
    8,491,203     GMO Quality Fund, Class VI     220,601,446  
    7,326,868     GMO U.S. Equity Fund, Class VI     104,407,865  
    7,118,035     GMO U.S. Small Cap Value Fund, Class VI     177,879,688  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $1,496,772,738)
    1,647,334,119  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.0%  
          Money Market Funds — 0.0%  
    607,265     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)     607,265  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $607,265)     607,265  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $1,497,380,003)
    1,647,941,384  
    Other Assets and Liabilities (net) — (0.0%)     (60,274
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $1,647,881,110  
     

 

 

 

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 118.

 

 

       See accompanying notes to the financial statements.   59


GMO Implementation 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. Allocations among asset classes are made by the Asset Allocation team and specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

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 Consumer Price Index (“CPI”) is included for comparative purposes only.

GMO Implementation Fund returned +1.95% (net) for the fiscal year ended February 28, 2021, as compared with +1.59% for the CPI.

Although it was a reasonable 12 months from an absolute performance perspective, relative to burgeoning equity markets it was distinctly lackluster. In particular, we put broad market hedges in place to remove a significant proportion of the effective exposure to equities in May 2020 as we believed that valuations were excessive, and risk was elevated due to COVID-19. This decision proved highly detrimental to performance as equities continued their strong run. Within equities, a bias to a “Value” style also proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). Fixed Income exposure was additive to performance, driven by an excellent return from our High Yield/Distressed Debt positions. The equity long/short and alternative strategies also enjoyed solid positive returns, but simply could not keep up with the rampant equity markets.

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.

 

60              


GMO Implementation Fund

(A Series of GMO Trust)

  

 

 

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

GMO Implementation Fund, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury

Inflation Notes: 1-10 Year Index

As of February 28, 2021

 

LOGO

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

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 net expense ratio of 0.06% 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.

 

61


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary (a)

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    80.5

Debt Obligations

    11.7  

Short-Term Investments

    4.2  

Preferred Stocks

    1.3  

Investment Funds

    1.2  

Mutual Funds

    0.6  

Forward Currency Contracts

    0.0

Rights/Warrants

    0.0

Swap Contracts

    0.0

Futures Contracts

    (0.7

Securities Sold Short

    (23.9

Other

    25.1  
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤  

Debt Obligations as a

% of Total Net Assets

 

United States

    2.8

Other Developed

    0.2 ‡ 

Other Emerging

    0.1 † 

Euro Region

    0.0 ^§ 
 

 

 

 
    3.1 % 
 

 

 

 
 
Country/Region Summary¤   Equity Investments
% of Total Net Assets
 

China

    12.4

Japan

    9.1  

United States

    6.6  

Other Developed

    5.9 ‡ 

Taiwan

    5.4  

Russia

    3.6  

Other Emerging

    3.0 † 

South Korea

    2.7  

United Kingdom

    2.4  

India

    2.0  

South Africa

    1.4  

Netherlands

    1.3  

Canada

    1.2  

Hong Kong

    1.2  

Mexico

    1.0  
 

 

 

 
    59.2 % 
 

 

 

 
Industry Group Summary   % of Equity Investments#  

Banks

    15.4

Materials

    10.4  

Capital Goods

    9.2  

Technology Hardware & Equipment

    8.6  

Automobiles & Components

    6.5  

Consumer Durables & Apparel

    5.5  

Energy

    5.5  

Semiconductors & Semiconductor Equipment

    5.0  

Pharmaceuticals, Biotechnology & Life Sciences

    4.3  

Food, Beverage & Tobacco

    4.1  

Insurance

    4.1  

Retailing

    4.0  

Diversified Financials

    3.9  

Real Estate

    3.6  

Media & Entertainment

    3.2  

Telecommunication Services

    2.8  

Commercial & Professional Services

    2.0  

Food & Staples Retailing

    1.7  

Health Care Equipment & Services

    1.3  

Utilities

    1.2  

Household & Personal Products

    0.3  

Transportation

    0.1  

Consumer Services

    (1.0

Software & Services

    (1.7
 

 

 

 
    100.0 % 
 

 

 

 

 

(a)

GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

&

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 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 the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

 

“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

 

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

 

§

“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%.

 

 

62              


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
    COMMON STOCKS — 80.5%

 

          Argentina — 0.1%  

    

    62,800     Banco BBVA Argentina SA ADR *     170,188  
    13,400     Globant SA *     2,877,248  
    71,800     Grupo Financiero Galicia SA ADR     534,910  
     

 

 

 
    Total Argentina     3,582,346  
     

 

 

 
          Australia — 1.6%      
    184,608     Accent Group Ltd     308,387  
    120,256     Adairs Ltd     351,756  
    45,669     Ansell Ltd (a)     1,269,201  
    179,254     Asaleo Care Ltd     195,727  
    448,397     Australian Pharmaceutical Industries Ltd     383,919  
    48,776     Aventus Group (REIT)     105,399  
    10,852     Bank of Queensland Ltd * (b)     73,462  
    65     Bank of Queensland Ltd * (b)     368  
    34,054     BHP Group Ltd     1,287,257  
    551,698     BlueScope Steel Ltd     7,045,831  
    878,503     Coca-Cola Amatil Ltd     9,070,282  
    51,006     Codan Ltd     586,009  
    114,842     Computershare Ltd (a)     1,175,009  
    43,628     Coronado Global Resources Inc CDI     36,454  
    1,025,495     Dexus (REIT)     7,034,718  
    980,216     Fortescue Metals Group Ltd     18,102,782  
    53,937     G8 Education Ltd * (c)     44,745  
    82,845     GDI Property Group (REIT) (c)     66,010  
    351,484     Genworth Mortgage Insurance Australia Ltd (c)     699,035  
    2,938,405     GPT Group (The) (REIT)     9,651,400  
    76,883     JB Hi-Fi Ltd (c)     2,579,436  
    74,853     McMillan Shakespeare Ltd     717,653  
    1,822,107     Mirvac Group (REIT)     3,140,601  
    233,134     Mount Gibson Iron Ltd     158,842  
    184,843     Rio Tinto Ltd     18,136,792  
    360,129     Sandfire Resources Ltd     1,683,236  
    4,720,072     Scentre Group (REIT)     10,451,831  
    963,499     Stockland (REIT)     3,078,560  
    33,424     Virtus Health Ltd     156,982  
     

 

 

 
    Total Australia     97,591,684  
     

 

 

 
          Austria — 0.0%      
    5,489     Semperit AG Holding *     169,646  
     

 

 

 
          Belgium — 0.4%      
    302,788     Ageas SA/NV     16,971,796  
    34,661     AGFA-Gevaert NV *     155,322  
    55,443     bpost SA *     600,534  
    23,298     Econocom Group SA/NV (a)     86,373  
    118     Sofina SA     39,002  
    75,473     UCB SA     7,483,646  
     

 

 

 
    Total Belgium     25,336,673  
     

 

 

 
         
Shares
    Description   Value ($)  
    Brazil — 0.6%  
    924,800     Banco Bradesco SA *     3,397,743  
    425,200     Banco do Brasil SA     2,128,200  
    808,100     Camil Alimentos SA     1,503,958  
    576,900     Cia de Saneamento do Parana     2,037,196  
    8,200     Cia Paranaense de Energia     84,133  
    336,100     Dimed SA Distribuidora da Medicamentos     1,127,490  
    137,300     Mahle-Metal Leve SA     434,131  
    995,700     Marfrig Global Foods SA *     2,469,617  
    1,962,600     Petrobras Distribuidora SA     6,976,017  
    37,900     Petroleo Brasileiro SA Sponsored ADR     300,547  
    146,300     Telefonica Brasil SA     1,148,639  
    542,400     TIM SA     1,238,842  
    3,200     Transmissora Alianca de Energia Eletrica SA     17,444  
    203,800     Tupy SA *     772,769  
    467,800     Vale SA Sponsored ADR     7,905,820  
    412,500     Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *     2,539,390  
    215,600     WEG SA     3,002,673  
     

 

 

 
    Total Brazil     37,084,609  
     

 

 

 
          Canada — 1.3%      
    29,700     AGF Management Ltd – Class B     161,733  
    118,842     Brookfield Asset Management Inc – Class A     4,795,275  
    15,348     BRP Inc     1,108,949  
    32,900     Canaccord Genuity Group Inc     295,236  
    71,100     Canadian Apartment Properties (REIT)     2,851,598  
    6,500     Canadian Imperial Bank of Commerce     599,281  
    9,000     Canadian Tire Corp Ltd – Class A     1,162,942  
    13,400     Canfor Corp *     273,349  
    8,200     Canfor Pulp Products Inc     65,724  
    83,500     Cascades Inc     1,101,654  
    139,500     Celestica Inc * (b)     1,156,471  
    9,800     Celestica Inc * (b)     81,144  
    15,100     Cogeco Inc     1,107,998  
    900     First Quantum Minerals Ltd     19,399  
    29,700     iA Financial Corp Inc     1,526,075  
    30,700     IGM Financial Inc     837,580  
    166,200     Imperial Oil Ltd (c)     3,642,400  
    25,600     Intertape Polymer Group Inc     482,188  
    46,400     Linamar Corp     2,592,727  
    111,500     Magna International Inc     9,391,549  
    6,100     Morguard North American Residential Real Estate Investment Trust     71,612  
    86,843     Nutrien Ltd     4,686,048  
    261,000     Power Corp of Canada     6,292,221  
    162,600     RioCan Real Estate Investment Trust     2,422,518  
    114,400     Royal Bank of Canada     9,740,990  
 

 

       See accompanying notes to the financial statements.   63


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Canada — continued      
    1,700     Teekay Tankers Ltd – Class A *     21,403  
    403,500     TELUS Corp     8,085,219  
    13,800     TFI International Inc     963,918  
    125,800     Toronto-Dominion Bank (The)     7,625,500  
    139,600     Tourmaline Oil Corp     2,540,575  
    11,800     Transat AT Inc * (c)     48,123  
    76,920     Transcontinental Inc – Class A (c)     1,321,892  
    11,900     Wajax Corp     192,723  
     

 

 

 
    Total Canada     77,266,014  
     

 

 

 
          Chile — 0.0%  
    9,603     Inversiones La Construccion SA     68,261  
     

 

 

 
          China — 12.4%  
    5,122,000     361 Degrees International Ltd (c)     1,175,365  
    270,000     7Road Holdings Ltd *     90,507  
    8,713,000     Agile Group Holdings Ltd     12,305,072  
    52,523,000     Agricultural Bank of China Ltd – Class H     19,102,284  
    120,100     Alibaba Group Holding Ltd Sponsored ADR *     28,554,976  
    3,350,332     Anhui Conch Cement Co Ltd – Class H     21,530,167  
    5,000     ANTA Sports Products Ltd     76,602  
    11,513,000     BAIC Motor Corp Ltd – Class H     4,118,368  
    92,300     Baidu Inc Sponsored ADR* (a)     26,163,358  
    69,655,000     Bank of China Ltd – Class H     24,424,542  
    42,264,000     Bank of Communications Co Ltd – Class H     23,856,993  
    234,000     Beijing Enterprises Holdings Ltd     809,850  
    464,396     BYD Co Ltd – Class A     14,152,401  
    611,500     BYD Electronic International Co Ltd     3,401,005  
    12,564,000     China Cinda Asset Management Co Ltd – Class H     2,492,674  
    8,316,485     China Communications Services Corp Ltd – Class H     3,933,706  
    33,583,803     China Construction Bank Corp – Class H     26,959,215  
    767,000     China Dongxiang Group Co Ltd     85,925  
    2,196,000     China Everbright Bank Co Ltd – Class H     950,360  
    6,395,000     China Feihe Ltd     17,493,237  
    3,659,000     China Greenfresh Group Co Ltd * (d)     38,211  
    5,404,000     China Hongqiao Group Ltd     6,699,077  
    68,332,000     China Huarong Asset Management Co Ltd – Class H     8,094,212  
    7,872,000     China Lesso Group Holdings Ltd     14,536,919  
    1,571,000     China Lilang Ltd     1,121,511  
    5,774,000     China Machinery Engineering Corp – Class H     2,647,869  
    8,441,925     China Medical System Holdings Ltd     13,187,000  
    382,363     China Merchants Bank Co Ltd – Class A     3,022,291  
         
Shares
    Description   Value ($)  
          China — continued  
    14,530,000     China National Building Material Co Ltd – Class H     21,982,360  
    1,664,000     China Oriental Group Co Ltd (c)     522,121  
    320,000     China Overseas Land & Investment Ltd     810,809  
    201,700     China Pacific Insurance Group Co Ltd – Class A     1,379,332  
    39,916,000     China Petroleum & Chemical Corp – Class H     22,231,603  
    45,782,000     China Railway Group Ltd – Class H     24,176,829  
    5,441,000     China Reinsurance Group Corp – Class H     602,771  
    2,090,000     China Resources Land Ltd     9,931,960  
    10,624,500     China Resources Pharmaceutical Group Ltd     6,773,778  
    314,000     China Shenhua Energy Co Ltd – Class H     597,344  
    1,407,000     China Shineway Pharmaceutical Group Ltd     1,025,271  
    2,586,000     China South City Holdings Ltd     306,735  
    188,100     China Vanke Co Ltd – Class A     964,657  
    120,500     China Yongda Automobiles Services Holdings Ltd     175,428  
    36,200     China Yuchai International Ltd     569,788  
    8,787,600     China Zhongwang Holdings Ltd * (c)     2,581,860  
    66,000     Chinasoft International Ltd *     69,860  
    6,965,506     Country Garden Holdings Co Ltd     8,670,290  
    10,000     Country Garden Services Holdings Co Ltd     82,256  
    10,842,000     Dongfeng Motor Group Co Ltd – Class H     9,953,086  
    3,980,000     Dongyue Group Ltd     3,128,049  
    26,000     ENN Energy Holdings Ltd     397,594  
    580,000     Everbright Securities Co Ltd – Class H (c)     497,143  
    1,265,600     Fangda Special Steel Technology Co Ltd – Class A *     1,407,952  
    2,878,500     Fantasia Holdings Group Co Ltd *     452,642  
    3,650,500     Fosun International Ltd     5,476,464  
    82,000     Geely Automobile Holdings Ltd     265,246  
    1,934,000     Great Wall Motor Co Ltd – Class H (c)     5,602,502  
    641,000     Greenland Hong Kong Holdings Ltd     206,033  
    1,912,000     Guangdong Investment Ltd     3,414,670  
    101,100     Guangdong Tapai Group Co Ltd – Class A     196,597  
    762,000     Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H     1,948,720  
    6,904,000     Guangzhou R&F Properties Co Ltd – Class H     9,214,277  
    236,400     Guotai Junan Securities Co Ltd – Class H     328,329  
    1,000     Hengan International Group Co Ltd     6,913  
 

 

64   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          China — continued  
    3,096,544     Hisense Home Appliances Group Co Ltd – Class A     7,173,138  
    1,347,000     Hisense Home Appliances Group Co Ltd – Class H     2,061,106  
    52,900     Hollysys Automation Technologies Ltd     796,674  
    990,000     Hopson Development Holdings Ltd     3,249,008  
    2,836,000     Huabao International Holdings Ltd (c)     3,100,157  
    12,959,400     Industrial & Commercial Bank of China Ltd – Class H     8,478,301  
    505,000     Kingboard Holdings Ltd     2,326,490  
    700     Kuaishou Technology *     27,868  
    339,000     KWG Group Holdings Ltd     513,482  
    1,155,900     Legend Holdings Corp – Class H     1,723,892  
    196,000     Lenovo Group Ltd     247,752  
    1,123,800     Livzon Pharmaceutical Group Inc – Class H     4,130,061  
    652,000     Logan Group Co Ltd     1,015,033  
    1,026,000     Longfor Group Holdings Ltd     6,081,347  
    9,125,000     Lonking Holdings Ltd     3,374,488  
    109,800     Lufax Holding Ltd ADR *     1,649,196  
    2,785,000     Metallurgical Corp of China Ltd – Class H     821,069  
    381,200     Momo Inc Sponsored ADR (a)     6,038,208  
    112,000     NetEase Inc     2,444,833  
    177,600     NetEase Inc ADR (a)     19,509,360  
    1,247,000     Nexteer Automotive Group Ltd     1,644,000  
    5,104,000     Nine Dragons Paper Holdings Ltd     8,218,199  
    11,000     Niu Technologies Sponsored ADR *     411,180  
    2,112,000     PAX Global Technology Ltd     1,941,106  
    13,900     PetroChina Co Ltd ADR     497,064  
    8,208,000     PetroChina Co Ltd – Class H     2,937,975  
    15,275,000     PICC Property & Casualty Co Ltd – Class H     11,556,502  
    1,483,000     Poly Property Group Co Ltd     455,602  
    8,441,000     Postal Savings Bank of China Co Ltd – Class H (c)     6,280,144  
    3,404,000     Powerlong Real Estate Holdings Ltd     2,579,171  
    291,000     Road King Infrastructure Ltd     395,375  
    946,000     Seazen Group Ltd *     1,142,343  
    1,108,000     Shanghai Jin Jiang Capital Co Ltd – Class H     224,095  
    6,365,100     Shanghai Pharmaceuticals Holding Co Ltd – Class H     11,674,926  
    57,228     Shenzhen Investment Ltd     20,609  
    7,228,576     Shimao Group Holdings Ltd     23,803,332  
    1,204,000     Sinopec Engineering Group Co Ltd – Class H     642,435  
    7,206,000     Sinopharm Group Co Ltd – Class H     16,871,530  
    2,288,500     Sinotruk Hong Kong Ltd     7,303,607  
    6,712,000     Skyworth Group Ltd *     2,108,976  
    79,800     Sungrow Power Supply Co Ltd – Class A     1,068,515  
    4,433,000     TCL Electronics Holdings Ltd *     3,608,172  
         
Shares
    Description   Value ($)  
          China — continued  
    529,900     Tencent Holdings Ltd     46,099,677  
    40,300     Tencent Holdings Ltd ADR (a)     3,514,160  
    914,000     Tianjin Port Development Holdings Ltd     77,708  
    4,566,000     Tianneng Power International Ltd (c)     8,821,911  
    162,894     Tsingtao Brewery Co Ltd – Class A     2,010,654  
    66,000     Tsingtao Brewery Co Ltd – Class H     542,023  
    289,600     Vipshop Holdings Ltd ADR *     10,807,872  
    3,495,000     Weichai Power Co Ltd – Class H     10,287,371  
    4,702,968     Weifu High-Technology Group Co Ltd – Class A     16,757,533  
    8,374,000     West China Cement Ltd (c)     1,380,135  
    90,000     Xinyi Solar Holdings Ltd.     189,033  
    2,000     Yihai International Holding Ltd *     27,387  
    8,437,000     Yuzhou Group Holdings Co Ltd     3,251,942  
    348,999     Zhejiang Weixing New Building Materials Co Ltd – Class A     1,002,987  
    2,238,396     Zhengzhou Coal Mining Machinery Group Co Ltd – Class A     5,142,449  
    1,692,500     Zhongsheng Group Holdings Ltd     10,460,824  
    5,353,395     Zhuzhou Kibing Group Co Ltd – Class A     12,210,939  
    793,600     Zoomlion Heavy Industry Science and Technology Co Ltd – Class H     1,208,913  
     

 

 

 
    Total China     740,914,805  
     

 

 

 
          Colombia — 0.0%  
    2,023     Interconexion Electrica SA ESP     13,202  
     

 

 

 
          Czech Republic — 0.0%      
    7,043     CEZ AS     171,900  
    1,388     Komercni Banka AS *     43,324  
    318,479     Moneta Money Bank AS *     1,161,078  
    74     Philip Morris CR AS     52,491  
     

 

 

 
    Total Czech Republic     1,428,793  
     

 

 

 
          Denmark — 0.5%  
    593,074     Danske Bank A/S     10,902,432  
    204,800     Demant A/S *     8,418,339  
    17,339     Matas A/S *     229,165  
    97,209     Pandora A/S     9,437,570  
    56,225     Scandinavian Tobacco Group A/S     1,043,689  
     

 

 

 
    Total Denmark     30,031,195  
     

 

 

 
          Egypt — 0.0%  
    29,365     Commercial International Bank Egypt SAE     115,677  
    42,380     Eastern Co SAE     40,072  
    16,737     ElSewedy Electric Co     9,965  
    110,623     Medinet Nasr Housing     26,303  
    144,665     Palm Hills Developments SAE *     15,820  
     

 

 

 
    Total Egypt     207,837  
     

 

 

 
 

 

       See accompanying notes to the financial statements.   65


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Finland — 0.2%  
    49,807     Kesko Oyj – B Shares     1,267,296  
    97,255     Neste Oyj     6,423,703  
    1,387,038     Nokia Oyj *     5,526,121  
    5,821     Sanoma Oyj (a)     96,307  
    14,139     Tokmanni Group Corp     307,492  
    10,720     Uponor Oyj     224,639  
     

 

 

 
    Total Finland     13,845,558  
     

 

 

 
          France — 1.6%  
    46,270     ALD SA     677,386  
    74,160     APERAM SA     3,108,338  
    26,539     ArcelorMittal SA *     619,721  
    2,294     Assystem SA     69,577  
    99,202     Atos SE * (a)     7,753,570  
    2,133     Axway Software SA * (a)     73,383  
    178,266     BNP Paribas SA *     10,597,456  
    1,836     Boiron SA     75,899  
    909     Caisse Regionale de Credit Agricole Mutuel Nord de France     23,854  
    1,607     Christian Dior SE     892,553  
    51,810     Cie de Saint-Gobain *     2,786,152  
    198,670     Credit Agricole SA *     2,783,660  
    94,715     Derichebourg SA *     753,115  
    2,036     Eiffage SA *     209,270  
    5,633     Gaztransport Et Technigaz SA     473,279  
    857     Groupe Crit *     61,844  
    989     HEXAOM *     42,328  
    44,168     IPSOS     1,710,741  
    6,510     Kaufman & Broad SA     287,496  
    6,222     Kering SA     3,935,097  
    8,718     LVMH Moet Hennessy Louis Vuitton SE     5,523,890  
    1,885     Mersen SA *     64,773  
    62,001     Metropole Television SA *     1,236,920  
    161,157     Publicis Groupe SA (a)     9,476,238  
    53,745     Quadient SA     1,223,912  
    15     Renault SA * (b)     674  
    276,439     Renault SA * (b)     12,413,776  
    2,190     Rothschild & Co *     77,946  
    45,435     Safran SA *     6,193,361  
    18,295     Sanofi     1,678,945  
    366,284     Societe Generale SA*     9,064,197  
    1,769     Synergie SE *     63,593  
    110,946     Television Francaise 1 *     966,163  
    23,520     TOTAL SE (b)     1,096,740  
    2,003     TOTAL SE (b)     92,956  
    32,331     Unibail-Rodamco-Westfield (REIT) * (c)     2,380,373  
    162,414     Valeo SA     5,740,039  
    10,717     Vicat SA     514,710  
    1,584     Vilmorin & Cie SA     101,366  
     

 

 

 
    Total France     94,845,291  
     

 

 

 
         
Shares
    Description   Value ($)  
          Germany — 1.5%  
    1,860     Amadeus Fire AG *     264,817  
    590,405     Aroundtown SA     4,293,159  
    15,842     Aurubis AG     1,381,973  
    125,520     Bayer AG (Registered)     7,624,232  
    25,781     Bayerische Motoren Werke AG     2,227,708  
    13,754     Brenntag SE     1,065,755  
    137,487     CECONOMY AG *     857,148  
    933     Cewe Stiftung & Co KGaA     122,333  
    10,006     CropEnergies AG     135,572  
    213,939     Daimler AG (Registered)     17,150,485  
    392,896     Deutsche Lufthansa AG (Registered) *     5,862,867  
    267,260     Deutsche Pfandbriefbank AG *     2,914,732  
    23,205     Deutsche Wohnen SE     1,090,702  
    45,498     Deutz AG *     333,507  
    170,745     Dialog Semiconductor Plc *     13,272,511  
    4,603     Draegerwerk AG & Co KGaA     342,319  
    9,246     DWS Group GmbH & Co KGaA     385,295  
    111,165     Fresenius SE & Co KGaA (a)     4,762,644  
    1,775     Gesco AG     45,163  
    1,061     Grammer AG *     28,607  
    11,781     Hamburger Hafen und Logistik AG     299,889  
    111,228     HeidelbergCement AG     8,797,368  
    13,715     Hornbach Baumarkt AG     557,550  
    20,853     Hornbach Holding AG & Co KGaA     1,968,055  
    377     KWS Saat SE & Co KGaA     33,102  
    56,667     SAP SE     7,008,953  
    14,538     Siemens AG (Registered)     2,249,920  
    17,987     Takkt AG *     253,294  
    2,091     Talanx AG *     87,046  
    7,427     Traton SE     206,885  
    44,221     VERBIO Vereinigte BioEnergie AG     1,768,127  
    10,220     Volkswagen AG     2,391,977  
    813     Wuestenrot & Wuerttembergische AG     16,690  
     

 

 

 
    Total Germany     89,800,385  
     

 

 

 
          Greece — 0.0%  
    17,559     JUMBO SA     289,156  
     

 

 

 
          Hong Kong — 1.0%  
    297,500     BOC Hong Kong Holdings Ltd     988,445  
    279,800     Budweiser Brewing Co APAC Ltd     853,595  
    488,000     Chow Sang Sang Holdings International Ltd     660,747  
    108,000     Chow Tai Fook Jewellery Group Ltd     148,117  
    2,818,000     CITIC Telecom International Holdings Ltd     912,078  
    35,500     CK Asset Holdings Ltd     208,654  
    1,423,000     CK Hutchison Holdings Ltd     10,738,481  
    1,400,000     CSI Properties Ltd     44,242  
    394,400     Dah Sing Banking Group Ltd     432,490  
 

 

66   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Hong Kong — continued  
    362,400     Dah Sing Financial Holdings Ltd     1,171,440  
    10,536,000     First Pacific Co Ltd     3,456,590  
    1,610,000     Giordano International Ltd     321,473  
    1,113,400     Hongkong Land Holdings Ltd     5,349,012  
    1,040,213     I-CABLE Communications Ltd *     9,104  
    997,000     IGG Inc     1,487,319  
    883,500     Johnson Electric Holdings Ltd     2,549,601  
    443,000     K Wah International Holdings Ltd     227,739  
    210,500     Kerry Logistics Network Ltd (c)     612,949  
    1,518,000     Kerry Properties Ltd     4,890,480  
    182,000     Man Wah Holdings Ltd     397,854  
    1,494,000     Pacific Textiles Holdings Ltd     956,647  
    14,013,000     PCCW Ltd     8,036,636  
    201,000     Regal Real Estate Investment Trust     40,467  
    1,772,000     Shun Tak Holdings Ltd (c)     600,354  
    350,000     Singamas Container Holdings Ltd     29,273  
    139,500     SmarTone Telecommunications Holdings Ltd     88,239  
    522,000     Sun Hung Kai & Co Ltd     223,927  
    11,500     Sun Hung Kai Properties Ltd     186,662  
    40,000     TAI Cheung Holdings Ltd     27,039  
    806,000     VSTECS Holdings Ltd     722,761  
    553,700     VTech Holdings Ltd     4,639,886  
    7,489,000     WH Group Ltd     6,716,955  
    1,085,000     Yue Yuen Industrial Holdings Ltd     2,310,729  
     

 

 

 
    Total Hong Kong     60,039,985  
     

 

 

 
          Hungary — 0.0%  
    66,675     Richter Gedeon Nyrt     1,896,772  
     

 

 

 
          India — 2.1%  
    104,228     Asian Paints Ltd     3,237,299  
    94,852     Aurobindo Pharma Ltd     1,096,111  
    37,653     Bajaj Auto Ltd     1,938,248  
    377,444     Balrampur Chini Mills Ltd     904,641  
    21,231     Bombay Burmah Trading Co     335,560  
    417,270     Cadila Healthcare Ltd     2,463,306  
    9,322     Cochin Shipyard Ltd     46,975  
    59,329     Dr Reddy’s Laboratories Ltd     3,588,850  
    104,800     Dr Reddy’s Laboratories Ltd ADR     6,284,856  
    117,082     Engineers India Ltd     126,561  
    534,240     Firstsource Solutions Ltd     727,040  
    126,336     Gujarat Narmada Valley Fertilizers & Chemicals Ltd     501,192  
    1,695,344     HCL Technologies Ltd     21,004,550  
    91,213     HDFC Bank Ltd *     1,917,007  
    2     Hero MotoCorp Ltd     88  
    8,803     Hindalco Industries Ltd     40,681  
    108,665     Hindustan Unilever Ltd     3,143,037  
    10,593     Hindustan Zinc Ltd     42,574  
    102,379     Housing Development Finance Corp Ltd     3,543,745  
         
Shares
    Description   Value ($)  
          India — continued  
    542,577     ICICI Bank Ltd *     4,457,341  
    1,705,386     Indiabulls Housing Finance Ltd *     5,068,530  
    62,354     Infosys Ltd     1,068,078  
    359,400     Infosys Ltd Sponsored ADR (a)     6,152,928  
    22,612     JSW Energy Ltd     22,084  
    155,879     Kotak Mahindra Bank Ltd *     3,801,319  
    1,056     Larsen & Toubro Infotech Ltd     51,740  
    830     Mindtree Ltd     18,006  
    56,133     Narayana Hrudayalaya Ltd     329,858  
    432,689     NBCC India Ltd     252,725  
    40,695     NCC Ltd     49,495  
    637,221     NTPC Ltd     928,107  
    8,338,205     Oil & Natural Gas Corp Ltd     12,636,361  
    2,197     Oracle Financial Services Software Ltd     90,663  
    4,794,346     Power Finance Corp Ltd *     8,102,320  
    809,264     PTC India Ltd     807,343  
    55,410     Rajesh Exports Ltd     383,884  
    9,720,783     REC Ltd     17,898,335  
    4,293     Sonata Software Ltd     28,048  
    76,805     Tata Consultancy Services Ltd     3,035,271  
    126,805     Titan Co Ltd     2,432,923  
    33,198     Welspun Corp Ltd     58,086  
    623,604     Wipro Ltd     3,474,006  
     

 

 

 
    Total India     122,089,772  
     

 

 

 
          Indonesia — 0.4%  
    3,704,600     Bank Central Asia Tbk PT     8,715,981  
    5,472,400     Bank Mandiri Persero Tbk PT *     2,343,300  
    5,643,500     Bank Negara Indonesia Persero Tbk PT     2,348,348  
    3,584,900     Bank Pembangunan Daerah Jawa Timur Tbk PT     212,535  
    27,054,900     Bank Rakyat Indonesia Persero Tbk PT *     8,912,010  
    2,279,400     Bukit Asam Tbk PT     432,298  
    2,540,600     Gajah Tunggal Tbk PT *     151,976  
    150,200     Indah Kiat Pulp & Paper Corp Tbk PT     138,376  
    1,554,600     Indo Tambangraya Megah Tbk PT     1,327,347  
    53,844,000     Panin Financial Tbk PT *     866,589  
    9,006,900     Ramayana Lestari Sentosa Tbk PT     460,401  
     

 

 

 
    Total Indonesia     25,909,161  
     

 

 

 
          Ireland — 0.3%  
    259,112     AIB Group Plc * (c)     578,383  
    507,247     Bank of Ireland Group Plc *     2,049,076  
    4,381     CRH Plc *     190,185  
    41,200     CRH Plc Sponsored ADR     1,785,196  
    28,431     Glanbia Plc     367,264  
    636,023     Hibernia REIT Plc     860,099  
    126,385     Irish Residential Properties REIT Plc     227,618  
    7,809     Kingspan Group Plc *     566,407  
 

 

       See accompanying notes to the financial statements.   67


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Ireland — continued  
    131,178     Origin Enterprises Plc     554,307  
    83,277     Permanent TSB Group Holdings Plc *     109,292  
    290,416     Ryanair Holdings Plc * (c)     5,793,742  
    106,740     Smurfit Kappa Group Plc (b)     5,031,107  
    16,182     Smurfit Kappa Group Plc (b)     769,141  
    71,613     Total Produce Plc     179,652  
     

 

 

 
    Total Ireland     19,061,469  
     

 

 

 
          Israel — 0.2%  
    18,800     Check Point Software Technologies Ltd *     2,072,512  
    71,583     Isracard Ltd     244,337  
    836,336     Oil Refineries Ltd *     180,206  
    818,700     Teva Pharmaceutical Industries Ltd Sponsored ADR *     8,809,212  
     

 

 

 
    Total Israel     11,306,267  
     

 

 

 
          Italy — 1.0%  
    267,339     A2A SPA     448,468  
    227,013     Anima Holding SPA     1,087,494  
    59,818     Arnoldo Mondadori Editore SPA * (a)     112,781  
    175,124     Banca Popolare di Sondrio SCPA *     503,449  
    17,925     Biesse SPA *     472,517  
    200,505     Buzzi Unicem SPA     5,054,599  
    39,390     Cementir Holding NV     377,480  
    27,873     CNH Industrial NV *     411,425  
    60,403     Credito Emiliano SPA *     343,894  
    8,160     De’ Longhi SPA     301,522  
    512,247     Enel SPA     4,829,926  
    275,402     EXOR NV     22,075,902  
    118,900     Hera SPA     422,032  
    100,916     IMMSI SPA *     55,916  
    722,616     Intesa Sanpaolo SPA *     1,857,869  
    50,261     Iren SPA     124,165  
    23,101     La Doria SPA     391,642  
    525,203     Leonardo SPA     4,189,027  
    11,757     Poste Italiane SPA     133,200  
    1,097     Prima Industrie SPA * (c)     20,639  
    1,858     Sabaf SPA     41,971  
    315,435     Saras SPA * (c)     245,409  
    3,768     Sesa SPA *     511,412  
    36,755     Societa Cattolica di Assicurazioni SC * (c)     201,601  
    9,725,339     Telecom Italia SPA     4,617,726  
    16,232,692     Telecom Italia SPA – RSP     8,702,356  
    664,438     Unipol Gruppo SPA *     3,444,670  
     

 

 

 
    Total Italy     60,979,092  
     

 

 

 
          Japan — 12.1%  
    22,500     ADEKA Corp     379,062  
    23,900     Aeon Delight Co Ltd (c)     714,499  
         
Shares
    Description   Value ($)  
          Japan — continued  
    576,300     Aeon Mall Co Ltd (c)     9,753,000  
    15,500     Aichi Corp     124,241  
    1,033,100     Amada Co Ltd     12,622,427  
    182,000     Amano Corp     4,102,906  
    29,500     AOKI Holdings Inc     190,230  
    6,300     Arata Corp     265,494  
    52,900     Arcland Sakamoto Co Ltd     760,173  
    167,900     Arcs Co Ltd (c)     3,472,803  
    1,057,000     Asahi Kasei Corp     11,466,996  
    563,100     Asics Corp     9,283,477  
    643,600     Astellas Pharma Inc     10,176,068  
    9,100     Bando Chemical Industries Ltd     61,035  
    216,200     Brother Industries Ltd     4,283,961  
    23,300     Bunka Shutter Co Ltd     218,617  
    5,600     Canon Electronics Inc     85,528  
    4,800     Central Glass Co Ltd     99,928  
    68,200     Central Japan Railway Co     11,237,605  
    4,000     Chiyoda Integre Co Ltd     64,957  
    373,600     Chugoku Marine Paints Ltd     3,179,737  
    9,600     CONEXIO Corp     122,658  
    13,700     Dai Nippon Toryo Co Ltd     116,340  
    4,000     Dai-Dan Co Ltd     101,299  
    103,600     Daihen Corp     4,422,287  
    4,800     Daiichi Jitsugyo Co Ltd     186,094  
    4,700     Dainichiseika Color & Chemicals Manufacturing Co Ltd     101,891  
    8,500     Daishi Hokuetsu Financial Group Inc     188,543  
    2,800     Daito Pharmaceutical Co Ltd     86,883  
    125,500     Daiwa House Industry Co Ltd     3,559,935  
    13,300     Daiwa Industries Ltd     126,701  
    165,500     Daiwabo Holdings Co Ltd     12,381,450  
    284,100     Denka Co Ltd     10,736,531  
    59,100     Doshisha Co Ltd     982,675  
    307,200     Ebara Corp     11,575,681  
    114,500     Electric Power Development Co Ltd     1,872,600  
    9,200     FJ Next Co Ltd (c)     95,036  
    272,300     Fuji Corp     6,438,530  
    9,700     Fuji Media Holdings Inc (a)     117,834  
    4,300     Fuji Pharma Co Ltd     49,437  
    9,400     Fujimi Inc     348,267  
    4,700     Fujimori Kogyo Co Ltd     187,930  
    41,500     Fujitsu Ltd (a)     6,020,748  
    6,800     Furuno Electric Co Ltd     67,681  
    7,800     Furyu Corp     80,796  
    7,400     G-7 Holdings Inc     165,889  
    1,700     Geo Holdings Corp     19,128  
    50,600     GungHo Online Entertainment Inc (a)     1,036,286  
    9,100     Hakuto Co Ltd     106,048  
    8,300     Hanwa Co Ltd     217,199  
    858,794     Haseko Corp     10,681,119  
    1,087,900     Hazama Ando Corp     8,172,133  
 

 

68   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Japan — continued  
    5,900     Heiwado Co Ltd     108,287  
    23,600     Hisamitsu Pharmaceutical Co Inc (c)     1,478,994  
    313,300     Hitachi Ltd     14,450,248  
    2,700     Hochiki Corp     32,443  
    122,000     Hogy Medical Co Ltd     3,493,630  
    10,300     Hokuhoku Financial Group Inc     93,290  
    353,900     Honda Motor Co Ltd     9,782,253  
    190,200     Horiba Ltd     11,422,674  
    1,900     Hosokawa Micron Corp     112,582  
    10,500     Iida Group Holdings Co Ltd     238,875  
    3,200     Inaba Denki Sangyo Co Ltd     76,214  
    253,400     Inabata & Co Ltd     3,583,750  
    13,400     Information Services International-Dentsu Ltd (a)     473,182  
    1,713,200     Inpex Corp     12,738,650  
    574,800     ITOCHU Corp (c)     17,168,128  
    32,300     Itochu Enex Co Ltd     311,472  
    1,600     Itochu-Shokuhin Co Ltd     78,569  
    29,400     Itoki Corp     97,885  
    16,300     Jaccs Co Ltd     313,960  
    237,100     JAFCO Group Co Ltd     14,542,981  
    170,800     Japan Post Insurance Co Ltd     3,512,013  
    13,000     Japan Tobacco Inc     235,385  
    11,000     Juroku Bank Ltd (The)     204,411  
    490,100     JVCKenwood Corp     855,236  
    723,700     K’s Holdings Corp     9,707,590  
    315,400     Kadokawa Corp     11,611,509  
    128,700     Kajima Corp     1,651,701  
    13,800     Kamei Corp     151,179  
    132,000     Kanamoto Co Ltd     2,943,090  
    411,300     Kanematsu Corp     5,250,612  
    20,100     Kasai Kogyo Co Ltd     76,112  
    4,400     Kato Sangyo Co Ltd     148,040  
    787,400     KDDI Corp     24,545,991  
    13,700     Keiyo Bank Ltd (The)     55,435  
    27,100     Kinden Corp     444,107  
    19,400     Kitz Corp     102,975  
    24,100     Kohnan Shoji Co Ltd (c)     657,312  
    45,700     Komeri Co Ltd     1,231,991  
    488,731     Konica Minolta Inc (c)     2,497,072  
    266,200     Konoike Transport Co Ltd     2,593,232  
    1,700     Krosaki Harima Corp     76,988  
    3,800     Kureha Corp     251,918  
    13,600     Kyosan Electric Manufacturing Co Ltd     53,579  
    359,300     Kyowa Exeo Corp     9,207,797  
    258,200     Kyudenko Corp     8,544,588  
    291,800     Macromill Inc     2,338,761  
    207,100     Mandom Corp     3,540,226  
    336,600     Maruichi Steel Tube Ltd     7,722,786  
    5,400     Maruzen Showa Unyu Co Ltd     155,487  
    15,300     Marvelous Inc (a)     125,854  
         
Shares
    Description   Value ($)  
          Japan — continued  
    5,000     Matsuda Sangyo Co Ltd     88,267  
    344,700     Maxell Holdings Ltd *     4,518,269  
    59,000     MCJ Co Ltd     504,941  
    54,700     Mebuki Financial Group Inc     116,844  
    34,300     Meidensha Corp     739,786  
    150,300     Mitsubishi Chemical Holdings Corp     1,051,035  
    168,300     Mitsubishi Gas Chemical Co Inc     3,942,055  
    5,100     Mitsubishi Research Institute Inc (a)     193,143  
    3,568,700     Mitsubishi UFJ Financial Group Inc     18,770,274  
    11,100     Mitsuboshi Belting Ltd     172,140  
    5,200     Mitsui & Co Ltd     111,354  
    43,500     Mitsui Chemicals Inc     1,347,537  
    12,600     Mitsui Sugar Co Ltd     222,841  
    78,800     Mixi Inc (a)     1,986,141  
    15,300     Mizuho Financial Group Inc     225,191  
    2,500     Mizuno Corp     51,115  
    13,900     Modec Inc     226,695  
    119,100     Morinaga & Co Ltd     4,301,569  
    343,400     MS&AD Insurance Group Holdings Inc     9,747,319  
    15,500     MTI Ltd     122,315  
    43,900     NEC Networks & System Integration Corp (a)     729,446  
    267,000     NH Foods Ltd     11,296,244  
    12,400     Nichias Corp     290,955  
    16,000     Nichiha Corp     451,913  
    98,000     Nikkon Holdings Co Ltd     1,888,254  
    5,300     Nippn Corp     79,239  
    51,200     Nippo Corp     1,340,240  
    38,380     Nippon Light Metal Holdings Co Ltd     761,373  
    600     Nippon Soda Co Ltd     18,920  
    1,900     Nippon Steel Trading Corp     66,936  
    727,200     Nippon Telegraph & Telephone Corp     18,838,148  
    23,500     Nippon Television Holdings Inc (a)     312,889  
    41,400     Nishi-Nippon Financial Holdings Inc     271,454  
    3,700     Nishio Rent All Co Ltd     91,411  
    7,100     Nisshin Oillio Group Ltd (The)     210,298  
    3,800     Nissin Corp     48,354  
    18,100     Nissin Electric Co Ltd     211,769  
    4,700     Nitto Denko Corp     403,435  
    20,600     Nojima Corp     541,277  
    45,900     Nomura Real Estate Holdings Inc     1,040,694  
    5,600     Obara Group Inc (c)     200,038  
    1,494,600     Obayashi Corp     12,902,561  
    15,100     Okamura Corp     157,595  
    1,500     Okinawa Cellular Telephone Co     69,068  
    1,700     Organo Corp     96,177  
    1,478,200     ORIX Corp     25,222,101  
    9,800     Osaka Soda Co Ltd     236,168  
    7,700     Osaki Electric Co Ltd     42,367  
    297,500     Pacific Industrial Co Ltd     3,239,740  
 

 

       See accompanying notes to the financial statements.   69


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Japan — continued  
    616,800     Penta-Ocean Construction Co Ltd     4,609,899  
    9,100     Prima Meat Packers Ltd     266,497  
    8,000     Proto Corp     84,287  
    180,500     Raiznext Corp     1,940,467  
    67,800     Renesas Electronics Corp *     745,846  
    445,900     Resona Holdings Inc     1,801,762  
    5,900     Rinnai Corp     598,339  
    46,700     Rohm Co Ltd     4,624,285  
    5,700     Ryoden Corp     83,551  
    7,100     Sakata INX Corp     71,624  
    63,500     San-A Co Ltd (c)     2,477,099  
    22,700     San-Ai Oil Co Ltd     227,707  
    23,000     San-In Godo Bank Ltd (The)     104,925  
    35,200     Sanki Engineering Co Ltd     430,324  
    90,500     Sankyu Inc     3,791,278  
    19,000     Sanwa Holdings Corp     236,214  
    109,400     Secom Co Ltd     9,526,007  
    9,100     Seikitokyu Kogyo Co Ltd     75,678  
    92,600     Sekisui Chemical Co Ltd     1,659,494  
    484,500     Sekisui House Ltd     9,141,846  
    7,500     Sekisui Jushi Corp     136,852  
    1,800     Shimamura Co Ltd (c)     179,868  
    1,244,500     Shimizu Corp     9,453,945  
    6,900     Shin-Etsu Polymer Co Ltd     63,376  
    3,800     Shindengen Electric Manufacturing Co Ltd     110,344  
    200     Shinko Electric Industries Co Ltd     5,400  
    7,100     Shinnihon Corp     54,987  
    16,900     Shizuoka Gas Co Ltd     147,324  
    2,000     Sinanen Holdings Co Ltd     57,736  
    16,100     Sinko Industries Ltd     286,289  
    18,900     Sintokogio Ltd     129,757  
    942,600     SKY Perfect JSAT Holdings Inc     3,997,536  
    478,000     Sojitz Corp     1,264,494  
    1,366,100     Sumitomo Chemical Co Ltd     6,650,607  
    737,600     Sumitomo Dainippon Pharma Co Ltd     11,724,274  
    578,200     Sumitomo Forestry Co Ltd     10,421,833  
    103,500     Sumitomo Mitsui Trust Holdings Inc     3,417,307  
    3,400     Sumitomo Seika Chemicals Co Ltd     124,196  
    14,700     Suzuki Motor Corp     641,214  
    174,700     T Hasegawa Co Ltd     3,046,337  
    210,500     Tachi-S Co Ltd     2,102,395  
    161,500     Taisei Corp     5,726,937  
    577,000     Takara Holdings Inc     7,768,204  
    75,800     Takara Leben Co Ltd     245,908  
    2,600     Takasago Thermal Engineering Co Ltd     38,610  
    36,300     Takeuchi Manufacturing Co Ltd (c)     924,389  
    293,000     Takuma Co Ltd     5,763,735  
    20,700     Tamron Co Ltd     374,663  
    662,500     Teijin Ltd (c)     11,429,525  
    345,900     TIS Inc (a)     7,200,751  
         
Shares
    Description   Value ($)  
          Japan — continued  
    249,100     Toho Holdings Co Ltd     4,325,054  
    2,500     Token Corp     196,706  
    3,230,700     Tokyo Electric Power Co Holdings Inc *     10,406,163  
    225,400     Tokyo Seimitsu Co Ltd     9,878,832  
    42,900     Tokyu Construction Co Ltd     214,779  
    9,800     Toli Corp     22,418  
    11,300     Toppan Forms Co Ltd     108,280  
    902,800     Toppan Printing Co Ltd     14,263,882  
    288,300     Tosei Corp     2,719,895  
    766,449     Tosoh Corp     14,089,531  
    9,100     Totetsu Kogyo Co Ltd     220,037  
    5,300     Towa Pharmaceutical Co Ltd     104,718  
    93,000     Toyo Construction Co Ltd     478,621  
    2,500     Toyo Ink SC Holdings Co Ltd     44,606  
    67,800     Toyo Suisan Kaisha Ltd     2,886,326  
    146,100     Toyota Industries Corp     12,552,535  
    2,500     Toyota Tsusho Corp     105,454  
    18,200     TS Tech Co Ltd     509,447  
    203,600     Tsumura & Co     6,408,516  
    600     Ulvac Inc     27,146  
    10,600     Unipres Corp     91,617  
    8,000     Vital KSK Holdings Inc     58,940  
    8,900     Wacoal Holdings Corp     190,776  
    9,100     Warabeya Nichiyo Holdings Co Ltd (c)     134,678  
    33,000     YAMABIKO Corp     346,220  
    64,500     Yamaguchi Financial Group Inc     399,072  
    23,300     Yamazen Corp     208,131  
    26,700     Yellow Hat Ltd     420,927  
    484,200     Yokogawa Electric Corp     9,260,427  
    800     Yondoshi Holdings Inc (c)     13,883  
    7,200     Yuasa Trading Co Ltd     199,413  
    234,100     Zenkoku Hosho Co Ltd     10,807,946  
     

 

 

 
    Total Japan     721,178,210  
     

 

 

 
          Kuwait — 0.2%  
    925     Burgan Bank SAK     679  
    16,615     Gulf Cable & Electrical Industries Co KSCP     47,518  
    34,019     Humansoft Holding Co KSC *     430,033  
    3,007,659     Kuwait Finance House KSCP     7,143,791  
    333,258     Kuwait Projects Co Holding KSCP     187,686  
    99,972     Mobile Telecommunications Co KSCP     206,297  
    1,668,345     National Bank of Kuwait SAKP     4,543,901  
    36,684     Qurain Petrochemical Industries Co     44,646  
     

 

 

 
    Total Kuwait     12,604,551  
     

 

 

 
          Malaysia — 0.0%  
    1,532,700     DRB-Hicom Berhad     687,288  
    10,400     Hartalega Holdings Berhad     25,621  
    233,200     Pharmaniaga Berhad     243,998  
 

 

70   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Malaysia — continued  
    757,100     Top Glove Corp Berhad     977,900  
    258,300     Westports Holdings Berhad     259,854  
     

 

 

 
    Total Malaysia     2,194,661  
     

 

 

 
          Mexico — 1.0%  
    167,700     Arca Continental SAB de CV     762,710  
    282,900     Banco del Bajio SA *     328,321  
    1,182,700     Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico *     1,120,459  
    283,200     Cemex SAB de CV Sponsored ADR *     1,871,952  
    12,600     Concentradora Fibra Danhos SA de CV (REIT)     15,442  
    777,700     Credito Real SAB de CV SOFOM ER *     423,774  
    140,800     El Puerto de Liverpool SAB de CV – Class C1     426,014  
    531,000     Fibra Uno Administracion SA de CV (REIT)     603,057  
    624,000     Fomento Economico Mexicano SAB de CV     4,257,433  
    120,300     Gentera SAB de CV *     60,262  
    108,100     Grupo Aeroportuario del Centro Norte SAB de CV *     623,871  
    291,700     Grupo Bimbo SAB de CV – Series A     546,005  
    3,041,900     Grupo Financiero Banorte SAB de CV – Class O *     15,275,657  
    103,400     Grupo Financiero Inbursa SAB de CV – Class O *     92,917  
    199,613     Grupo Herdez SAB de CV – Series *     399,684  
    3,826,000     Grupo Mexico SAB de CV – Series B     18,137,884  
    3,900     Industrias Bachoco SAB de CV – Series B     12,934  
    110,100     Qualitas Controladora SAB de CV     597,522  
    132,200     Regional SAB de CV *     600,053  
    310,869     Unifin Financiera SAB de CV SOFOM ENR *     368,062  
    3,661,900     Wal-Mart de Mexico SAB de CV     10,421,563  
     

 

 

 
    Total Mexico     56,945,576  
     

 

 

 
          Netherlands — 1.6%  
    168,691     ABN AMRO Bank NV CVA *     1,939,694  
    1,575,005     Aegon NV     7,548,576  
    208,700     AerCap Holdings NV *     10,055,166  
    3,861     ASM International NV     1,041,405  
    208,424     ASR Nederland NV     8,708,043  
    16,510     Evander Gold Mines Ltd * (d)     199  
    44,285     ForFarmers NV     292,501  
    10,929     Heineken Holding NV     940,971  
    717     Hunter Douglas NV *     56,443  
    1,177,243     ING Groep NV (c)     12,894,000  
    496,049     Koninklijke Ahold Delhaize NV     13,098,046  
         
Shares
    Description   Value ($)  
          Netherlands — continued  
    10,573     Koninklijke Vopak NV     504,493  
    37,541     NN Group NV     1,733,407  
    514,736     PostNL NV *     2,188,217  
    219,561     Randstad NV *     14,683,832  
    258,738     Signify NV *     11,274,465  
    536,794     Stellantis NV *     8,694,311  
    7,692     Wolters Kluwer NV     609,740  
     

 

 

 
    Total Netherlands     96,263,509  
     

 

 

 
          New Zealand — 0.1%  
    1,656,827     Meridian Energy Ltd     6,820,705  
     

 

 

 
          Norway — 0.4%  
    107,834     Aker Solutions ASA *     163,901  
    56,139     Austevoll Seafood ASA     643,201  
    27,001     Avance Gas Holding Ltd (c)     100,351  
    390,241     BW LPG Ltd     2,316,999  
    84,190     DNB ASA (c)     1,635,592  
    474,282     Elkem ASA     1,667,690  
    181,190     Europris ASA     1,059,518  
    5,730     Nordic Semiconductor ASA *     108,041  
    627,107     Norsk Hydro ASA     3,471,823  
    152,794     Norwegian Finans Holding ASA *     1,346,366  
    589,289     Orkla ASA *     5,427,717  
    36,490     Sbanken ASA * (c)     348,836  
    41,678     Selvaag Bolig ASA     269,537  
    61,682     SpareBank 1 Nord Norge     546,593  
    48,779     SpareBank 1 SMN     563,175  
    144,841     SpareBank 1 SR-Bank ASA *     1,668,159  
    37,813     Wallenius Wilhelmsen ASA *     103,652  
     

 

 

 
    Total Norway     21,441,151  
     

 

 

 
          Pakistan — 0.1%  
    156,168     Engro Corp Ltd     299,242  
    2,087,651     Engro Fertilizers Ltd     860,547  
    578,386     Fauji Fertilizer Co Ltd     405,059  
    21,639     Hub Power Co Ltd (The)     11,677  
    13,290     Lucky Cement Ltd *     74,355  
    72,500     National Bank of Pakistan *     16,335  
    125,900     Nishat Mills Ltd     87,603  
    1,860,954     Oil & Gas Development Co Ltd     1,231,715  
    281,224     Pakistan Oilfields Ltd     711,262  
    1,124,569     Pakistan Petroleum Ltd     643,584  
    16,673     Pakistan State Oil Co Ltd *     24,951  
    279,446     Searle Co Ltd (The)     478,062  
    355,374     United Bank Ltd     286,695  
     

 

 

 
    Total Pakistan     5,131,087  
     

 

 

 
          Philippines — 0.1%  
    2,010     Globe Telecom Inc     83,989  
    209,360     Manila Electric Co     1,167,860  
 

 

       See accompanying notes to the financial statements.   71


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Philippines — continued  
    16,554,600     Megaworld Corp     1,236,794  
    6,668,000     Metro Pacific Investments Corp     557,951  
    35,730     Security Bank Corp     96,471  
    1,146,125     Semirara Mining & Power Corp     301,285  
     

 

 

 
    Total Philippines     3,444,350  
     

 

 

 
          Poland — 0.4%  
    53,749     Asseco Poland SA     953,926  
    14,931     Budimex SA     1,378,709  
    221,016     Cyfrowy Polsat SA     1,680,576  
    20,445     Lubelski Wegiel Bogdanka SA *     126,944  
    453,443     Polski Koncern Naftowy ORLEN SA     7,113,041  
    2,082,942     Polskie Gornictwo Naftowe i Gazownictwo SA     3,100,160  
    1,135,725     Powszechny Zaklad Ubezpieczen SA *     8,852,317  
     

 

 

 
    Total Poland     23,205,673  
     

 

 

 
          Portugal — 0.4%  
    229,712     Altri SGPS SA     1,667,666  
    15,700,561     Banco Comercial Portugues SA – Class R * (c)     2,211,391  
    262,349     CTT-Correios de Portugal SA * (c)     789,907  
    64,278     EDP Renovaveis SA     1,402,249  
    1,108,686     EDP – Energias de Portugal SA     6,354,662  
    532,379     Galp Energia SGPS SA     5,951,166  
    46,180     Jeronimo Martins SGPS SA     714,752  
    277,317     Mota-Engil SGPS SA * (c)     488,684  
    400,162     Navigator Co SA (The) *     1,353,402  
    298,901     REN – Redes Energeticas Nacionais SGPS SA     818,802  
    26,453     Semapa-Sociedade de Investimento e Gestao     378,591  
    1,206,437     Sonae SGPS SA     984,727  
     

 

 

 
    Total Portugal     23,115,999  
     

 

 

 
          Qatar — 0.1%  
    577,173     Doha Bank QPSC *     349,462  
    264,591     Ooredoo QPSC     557,546  
    104,061     Qatar Electricity & Water Co QSC     496,447  
    1,331,503     Qatar National Bank QPSC     6,257,749  
    444,065     Qatar National Cement Co QSC     496,149  
     

 

 

 
    Total Qatar     8,157,353  
     

 

 

 
          Russia — 3.4%  
    10,716,810     Alrosa PJSC     14,307,652  
    103,500     Detsky Mir PJSC     197,062  
    19,735     Etalon Group Plc GDR (Registered)     34,005  
    302,590,000     Federal Grid Co Unified Energy System PJSC     871,395  
    2,296,470     Gazprom PJSC     6,725,389  
    201,394     Globaltrans Investment Plc Sponsored GDR (Registered)     1,341,272  
         
Shares
    Description   Value ($)  
          Russia — continued  
    122,678,000     Inter RAO UES PJSC     8,430,322  
    40,138     LSR Group PJSC     475,718  
    224,290     LSR Group PJSC GDR (Registered)     495,353  
    154,919     LUKOIL PJSC     11,610,019  
    212,092     LUKOIL PJSC Sponsored ADR     15,803,275  
    100,600     M.Video PJSC     1,107,175  
    9,783     Magnit PJSC     645,571  
    26,869     Magnit PJSC Sponsored GDR (Registered)     365,753  
    769,760     Magnitogorsk Iron & Steel Works PJSC     560,213  
    116,953     Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)     1,104,640  
    477,278     MMC Norilsk Nickel PJSC ADR     15,040,439  
    4,297,890     Moscow Exchange MICEX-RTS PJSC     9,956,892  
    28,347     Novatek PJSC Sponsered GDR (Registered)     4,850,394  
    353,400     Novolipetsk Steel PJSC     1,060,576  
    314,489     Novolipetsk Steel PJSC GDR     9,309,917  
    14,455     PhosAgro PJSC GDR (Registered)     253,407  
    654,610     Polymetal International Plc     12,940,238  
    18,414     Polyus PJSC     3,468,048  
    67,814     Polyus PJSC GDR (Registered)     6,336,736  
    121,792     QIWI Plc Sponsored ADR     1,301,956  
    81,590     Raspadskaya OJSC     198,320  
    139,458     Rosneft Oil Co PJSC GDR (Registered)     965,737  
    90,518,000     ROSSETI PJSC     2,066,015  
    8,066,000     RusHydro PJSC     84,655  
    30,090     Safmar Financial Investment *     196,049  
    2,624,290     Sberbank of Russia PJSC     9,519,705  
    2,011,704     Sberbank of Russia PJSC Sponsored ADR     29,274,194  
    63,864     Severstal PJSC     1,156,734  
    145,040     Severstal PJSC GDR (Registered)     2,591,900  
    871,400     Surgutneftegas PJSC     380,351  
    2,733,683     Surgutneftegas PJSC Sponsored ADR     11,688,840  
    200,759     Tatneft PJSC Sponsored ADR     8,401,474  
    21,774     TCS Group Holding Plc GDR (Registered)     1,138,744  
    14,868,000     Unipro PJSC     560,849  
    376,156     VTB Bank PJSC GDR (Registered)     358,614  
    66,064     X5 Retail Group NV GDR (Registered) (b)     2,151,376  
    60,442     X5 Retail Group NV GDR (Registered) (b)     1,991,954  
    17,000     Yandex NV – Class A *     1,087,745  
     

 

 

 
    Total Russia     202,406,673  
     

 

 

 
          Saudi Arabia — 0.1%  
    125,049     Al Rajhi Bank     3,015,767  
     

 

 

 
 

 

72   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Singapore — 0.5%  
    210,000     AEM Holdings Ltd     627,690  
    648,700     Asian Pay Television Trust     52,956  
    731,073     CapitaLand Ltd     1,730,820  
    1,609,900     ComfortDelGro Corp Ltd     1,934,607  
    434,724     DBS Group Holdings Ltd     8,613,879  
    512,600     First Real Estate Investment Trust (c)     78,516  
    997,100     Golden Agri-Resources Ltd     142,996  
    681,399     Japfa Ltd     457,644  
    144,400     Jardine Cycle & Carriage Ltd     2,268,611  
    385,400     Mapletree North Asia Commercial Trust (REIT)     276,756  
    4,100     Oversea-Chinese Banking Corp Ltd     33,542  
    509,100     Sasseur Real Estate Investment Trust     320,203  
    649,200     Sembcorp Industries Ltd     837,827  
    954,100     Silverlake Axis Ltd     170,346  
    921,300     Singapore Airlines Ltd *     3,414,874  
    194,800     Soilbuild Business Space REIT     77,153  
    350,200     StarHub Ltd     333,300  
    18,700     United Overseas Bank Ltd     343,407  
    76,700     Venture Corp Ltd     1,094,500  
    264,100     Wilmar International Ltd     1,039,790  
    9,023,877     Yangzijiang Shipbuilding Holdings Ltd (c)     7,205,059  
    866,500     Yanlord Land Group Ltd     743,944  
     

 

 

 
    Total Singapore     31,798,420  
     

 

 

 
          South Africa — 1.5%  
    2,183,173     Absa Group Ltd     17,471,266  
    39,768     AECI Ltd     261,851  
    80,651     Aspen Pharmacare Holdings Ltd *     758,334  
    146,206     Astral Foods Ltd     1,306,372  
    283,756     Barloworld Ltd *     1,710,717  
    740,911     Bidvest Group Ltd (The)     8,216,510  
    1,352,911     Blue Label Telecoms Ltd *     426,982  
    315,643     Imperial Logistics Ltd     879,678  
    240,400     Investec Ltd     629,397  
    178,046     Kumba Iron Ore Ltd     7,626,602  
    350,319     Lewis Group Ltd     597,476  
    315,528     Motus Holdings Ltd *     1,638,655  
    98,112     Mr Price Group Ltd     1,130,070  
    121,837     Naspers Ltd – N Shares     28,750,783  
    236,996     Old Mutual Ltd     210,585  
    206,620     Reunert Ltd     624,085  
    2,811,977     RMB Holdings Ltd *     277,768  
    1,288,736     Sanlam Ltd     5,178,034  
    38,934     Santam Ltd     624,328  
    88,670     Sappi Ltd *     259,828  
    1,276,774     Telkom SA SOC Ltd     3,460,844  
    371,976     Truworths International Ltd     1,190,239  
    267,529     Tsogo Sun Gaming Ltd *     110,872  
    142,081     Vodacom Group Ltd     1,170,114  
         
Shares
    Description   Value ($)  
          South Africa — continued  
    238,642     Wilson Bayly Holmes-Ovcon Ltd *     1,520,563  
     

 

 

 
    Total South Africa     86,031,953  
     

 

 

 
          South Korea — 2.2%  
    38,295     Aekyung Petrochemical Co Ltd     372,526  
    114,362     BNK Financial Group Inc     599,097  
    56     CS Wind Corp     3,592  
    6,835     DB HiTek Co Ltd     342,529  
    14,491     DB Insurance Co Ltd     533,250  
    103,920     DGB Financial Group Inc     651,974  
    314,365     Dongwon Development Co Ltd     1,439,104  
    9,536     Doosan Fuel Cell Co Ltd *     423,671  
    13,356     DoubleUGames Co Ltd     656,016  
    16,640     GS Home Shopping Inc     2,009,533  
    598,618     Hana Financial Group Inc     19,662,555  
    66,170     Hankook Tire & Technology Co Ltd     2,798,947  
    2,104     HDC Hyundai Development Co-Engineering & Construction     50,059  
    26,556     Huons Co Ltd     1,309,815  
    30,038     Hyundai Home Shopping Network Corp     2,120,305  
    8,226     Hyundai Mobis Co Ltd     2,213,103  
    978     Hyundai Motor Co     205,737  
    106,499     JB Financial Group Co Ltd     552,133  
    123,612     KB Financial Group Inc     4,784,486  
    2,436     KC Co Ltd     60,064  
    6,608     KCC Glass Corp     259,469  
    422,846     Kia Motors Corp     29,814,106  
    164,321     KT&G Corp     11,437,616  
    81,056     LF Corp     1,112,912  
    136,298     LG Electronics Inc     17,731,653  
    26,546     LOTTE Himart Co Ltd     884,210  
    28,523     Mirae Asset Life Insurance Co Ltd     101,382  
    1,047     NCSoft Corp     869,597  
    15,231     NHN KCP Corp *     628,394  
    2,776     S&T Motiv Co Ltd     154,510  
    51,809     Samjin Pharmaceutical Co Ltd     1,175,234  
    11,944     Samsung Electronics Co Ltd     875,323  
    6,615     Sebang Global Battery Co Ltd     530,188  
    408,500     Shinhan Financial Group Co Ltd *     11,890,284  
    197,841     SK Telecom Co Ltd Sponsored ADR     4,764,011  
    33,965     SL Corp *     714,779  
    180     Taekwang Industrial Co Ltd *     150,783  
    26,575     Woori Financial Capital Co Ltd     245,748  
    124,679     Yuhan Corp     6,870,526  
     

 

 

 
    Total South Korea     130,999,221  
     

 

 

 
          Spain — 1.1%  
    52,729     Acerinox SA     611,206  
    218,488     ACS Actividades de Construccion y Servicios SA     6,675,775  
 

 

       See accompanying notes to the financial statements.   73


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Spain — continued  
    70,849     Amadeus IT Group SA * (a)     4,946,484  
    96,182     Atresmedia Corp de Medios de Comunicacion SA *     399,701  
    2,041,660     Banco Bilbao Vizcaya Argentaria SA     11,353,420  
    701,066     Banco de Sabadell SA     349,832  
    4,999,060     Banco Santander SA *     17,382,203  
    73,033     Bankinter SA (c)     481,358  
    402,823     CaixaBank SA     1,166,669  
    111,546     Cia de Distribucion Integral Logista Holdings SA (c)     2,146,413  
    35,729     Ebro Foods SA (c)     770,471  
    27,069     eDreams ODIGEO SA *     162,327  
    71,861     Endesa SA     1,775,708  
    1,386     Faes Farma SA     6,156  
    21,375     Grupo Catalana Occidente SA     797,888  
    312,090     Iberdrola SA     3,911,085  
    149,451     Industria de Diseno Textil SA     4,927,878  
    705,475     Liberbank SA *     219,828  
    385,130     Mapfre SA     729,248  
    433,480     Mediaset Espana Comunicacion SA *     2,591,906  
    248,222     Red Electrica Corp SA     4,146,873  
    14,054     Repsol SA     176,909  
    1,512,227     Unicaja Banco SA *     1,317,318  
     

 

 

 
    Total Spain     67,046,656  
     

 

 

 
          Sweden — 0.3%  
    173,925     Betsson AB *     1,420,201  
    6,757     Bufab AB *     168,176  
    18,848     Humana AB *     149,070  
    101,445     Inwido AB *     1,539,110  
    5,062     Lindab International AB     110,554  
    12,999     New Wave Group AB – B Shares *     105,626  
    927,552     Nordea Bank Abp     8,400,677  
    15,549     Volvo AB – A Shares *     399,414  
    230,263     Volvo AB – B Shares *     5,894,824  
     

 

 

 
    Total Sweden     18,187,652  
     

 

 

 
          Switzerland — 0.5%  
    136,785     Adecco Group AG (Registered)     8,608,807  
    1,866     ALSO Holding AG (Registered) *     506,522  
    65,065     Banque Cantonale Vaudoise (Registered)     6,819,003  
    10,425     BKW AG     1,153,202  
    1,909     Bobst Group SA (Registered)     128,778  
    2,568     Huber + Suhner AG (Registered)     198,439  
    916     Kardex Holding AG (Registered)     194,195  
    233     Logitech International SA (Registered)     24,771  
    5,037     Mobilezone Holding AG (Registered)     58,783  
    36,700     Novartis AG (Registered)     3,160,840  
    2,972     Roche Holding AG     993,874  
    25,300     Roche Holding AG – Genusschein     8,299,887  
         
Shares
    Description   Value ($)  
          Switzerland — continued  
    18,713     UBS Group AG (Registered)     291,143  
    3,584     Vetropack Holding AG (Registered) *     225,129  
    6,132     Zehnder Group AG – Class RG     466,102  
     

 

 

 
    Total Switzerland     31,129,475  
     

 

 

 
          Taiwan — 5.4%  
    302,000     Ability Enterprise Co Ltd     163,646  
    39,000     Accton Technology Corp     367,269  
    14,788     Acter Group Corp Ltd     105,567  
    15,000     Airtac International Group     522,026  
    238,000     Alchip Technologies Ltd     7,547,432  
    1,874,672     Asustek Computer Inc     20,443,752  
    55,000     Aten International Co Ltd     173,554  
    26,000     Avermedia Technologies     43,485  
    2,659,000     Catcher Technology Co Ltd     18,305,579  
    1,845,000     Cathay Financial Holding Co Ltd     2,776,679  
    888,525     Chailease Holding Co Ltd     5,487,755  
    784,660     Chicony Electronics Co Ltd     2,639,960  
    120,000     Chicony Power Technology Co Ltd     339,990  
    177,000     China Development Financial Holding Corp     59,086  
    150,000     China Life Insurance Co Ltd     122,141  
    226,400     China Motor Corp *     390,415  
    356,000     Chong Hong Construction Co Ltd     1,046,750  
    1,807,000     Coretronic Corp     3,113,468  
    11,706,000     CTBC Financial Holding Co Ltd     8,404,179  
    62,000     Delta Electronics Inc     624,044  
    61,000     Depo Auto Parts Ind Co Ltd     131,557  
    205,000     Elan Microelectronics Corp     1,264,535  
    527,000     Elite Material Co Ltd     3,193,899  
    2,221,000     Evergreen Marine Corp Taiwan Ltd *     3,024,846  
    374,000     Farglory Land Development Co Ltd     719,465  
    8,000     Feng Hsin Steel Co Ltd     20,300  
    1,986,000     FLEXium Interconnect Inc     8,975,344  
    244,000     Formosa Advanced Technologies Co Ltd     332,581  
    121,000     Foxconn Technology Co Ltd     303,809  
    4,853,000     Fubon Financial Holding Co Ltd     8,691,019  
    1,479,000     Gigabyte Technology Co Ltd     4,617,191  
    3,780,000     Grand Pacific Petrochemical *     3,233,826  
    30,580     Great Wall Enterprise Co Ltd     54,909  
    107,000     Holiday Entertainment Co Ltd     247,693  
    14,090,406     Hon Hai Precision Industry Co Ltd     56,604,631  
    404,000     Huaku Development Co Ltd     1,277,905  
    331,980     IEI Integration Corp     624,151  
    243,000     International Games System Co Ltd     7,219,440  
    153,000     Kung Long Batteries Industrial Co Ltd     782,315  
    747,000     Lite-On Technology Corp     1,592,064  
    6,000     Lotes Co Ltd     111,643  
    2,000     MediaTek Inc     64,193  
    1,718,992     Mercuries Life Insurance Co Ltd *     517,319  
 

 

74   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Taiwan — continued  
    91,000     Merry Electronics Co Ltd     447,190  
    695,000     Micro-Star International Co Ltd     3,717,235  
    778,368     Mitac Holdings Corp     863,874  
    19,000     Nan Liu Enterprise Co Ltd     116,142  
    1,053,000     Novatek Microelectronics Corp     17,929,684  
    780,000     Pegatron Corp     2,087,631  
    7,360,566     Pou Chen Corp     7,976,477  
    970,000     Qisda Corp     1,063,677  
    1,124,000     Quanta Computer Inc     3,428,432  
    6,994,020     Radiant Opto-Electronics Corp     29,980,397  
    1,321,000     Ruentex Development Co Ltd     1,978,424  
    58,000     Shin Kong Financial Holding Co Ltd     17,225  
    188,000     Shinkong Insurance Co Ltd     258,234  
    123,000     Simplo Technology Co Ltd     1,652,233  
    139,000     Soft-World International Corp     477,331  
    10,000     Standard Foods Corp     19,723  
    474,000     Syncmold Enterprise Corp     1,420,071  
    18,400     Tah Hsin Industrial Corp     48,389  
    415,000     Taiwan Cement Corp     625,342  
    371,000     Taiwan PCB Techvest Co Ltd     646,695  
    1,721,000     Taiwan Semiconductor Manufacturing Co Ltd     37,598,732  
    113,150     Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR     14,250,111  
    13,000     TCI Co Ltd     98,742  
    582,733     TOPBI International Holdings Ltd     279,765  
    221,064     Topco Scientific Co Ltd     967,507  
    483,000     Transcend Information Inc     1,133,428  
    296,000     Tripod Technology Corp     1,471,298  
    158,681     United Integrated Services Co Ltd     1,348,290  
    4,418,000     United Microelectronics Corp     8,614,057  
    327,000     Universal Inc     966,552  
    8,000     Universal Vision Biotechnology Co Ltd     69,577  
    446,000     Wistron Corp     512,156  
    408,000     Youngtek Electronics Corp     920,686  
    10,000     Yulon Nissan Motor Co Ltd     91,864  
     

 

 

 
    Total Taiwan     319,358,583  
     

 

 

 
          Thailand — 0.2%  
    818,900     AP Thailand Pcl NVDR     197,009  
    350,100     Bangkok Bank Pcl NVDR     1,393,285  
    281,300     Carabao Group Pcl NVDR     1,275,138  
    180,800     Dynasty Ceramic Pcl NVDR     14,209  
    303,300     Kasikornbank Pcl NVDR     1,396,877  
    359,300     KCE Electronics Pcl NVDR     635,073  
    154,900     Land & Houses Pcl NVDR     39,997  
    68,900     Origin Property Pcl NVDR     15,765  
    363,200     Pruksa Holding Pcl (Foreign Registered)     153,083  
    1,409,500     Pruksa Holding Pcl NVDR     594,083  
         
Shares
    Description   Value ($)  
          Thailand — continued  
    173,800     Quality Houses Pcl NVDR     13,468  
    849,700     SC Asset Corp Pcl (Foreign Registered)     81,148  
    90,500     Siam Cement Pcl NVDR (The)     1,089,333  
    426,300     Siam Commercial Bank Pcl NVDR (The)     1,430,315  
    207,800     Somboon Advance Technology Pcl NVDR     126,515  
    91,600     SPCG Pcl NVDR     59,688  
    268,700     Sri Trang Agro-Industry Pcl NVDR     471,951  
    850,225     Supalai Pcl (Foreign Registered)     562,131  
    671,000     Thai Beverage Pcl     369,626  
    18,620,300     TMB Bank Pcl NVDR     687,189  
     

 

 

 
    Total Thailand     10,605,883  
     

 

 

 
          Turkey — 0.4%  
    967,901     Aksa Akrilik Kimya Sanayii AS     2,069,478  
    759,008     Arcelik AS *     3,396,145  
    1     Aselsan Elektronik Sanayi Ve Ticaret AS     2  
    4,796,870     Dogan Sirketler Grubu Holding AS     2,049,550  
    220,674     Dogus Otomotiv Servis ve Ticaret AS *     923,636  
    2,129,701     Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)     645,212  
    1,165,297     Enerjisa Enerji AS     1,801,978  
    1,642,032     Eregli Demir ve Celik Fabrikalari TAS     3,238,682  
    119,954     Goodyear Lastikleri TAS *     147,594  
    609,402     Selcuk Ecza Deposu Ticaret ve Sanayi AS     935,225  
    1,017,823     Turkiye Garanti Bankasi AS *     1,227,701  
    11,041,316     Turkiye Is Bankasi AS – Class C *     8,530,256  
    19,491     Vestel Beyaz Esya Sanayi ve Ticaret AS     136,862  
    564,270     Yapi ve Kredi Bankasi AS *     201,633  
     

 

 

 
    Total Turkey     25,303,954  
     

 

 

 
          United Arab Emirates — 0.1%  
    1,311,038     Aldar Properties PJSC     1,277,002  
    441,124     Dubai Islamic Bank PJSC     560,114  
    3,945,654     Emaar Properties PJSC *     3,655,272  
    10,296     Emirates NBD Bank PJSC     30,945  
    264,229     First Abu Dhabi Bank PJSC     1,039,474  
     

 

 

 
    Total United Arab Emirates     6,562,807  
     

 

 

 
          United Kingdom — 4.3%  
    206,164     3i Group Plc     3,200,488  
    105,452     888 Holdings Plc     436,035  
    99,365     Aggreko Plc     1,117,084  
    68,782     Airtel Africa Plc     76,286  
    36,869     Anglo American Plc     1,430,554  
    12,512     Antofagasta Plc     312,273  
 

 

       See accompanying notes to the financial statements.   75


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          United Kingdom — continued  
    472,187     Aviva Plc     2,392,288  
    8,008     B&M European Value Retail SA     61,257  
    32,351     Bank of Georgia Group Plc *     448,014  
    1,072,365     Barratt Developments Plc *     9,965,857  
    99,073     Bellway Plc     3,883,267  
    259,747     Berkeley Group Holdings Plc (The)     14,716,493  
    42,000     BP Plc Sponsored ADR     1,025,220  
    73,000     British American Tobacco Plc     2,534,936  
    191,400     British American Tobacco Plc Sponsored ADR     6,710,484  
    5,409,370     BT Group Plc *     9,363,180  
    30,780     Bunzl Plc     960,972  
    103,171     Carnival Plc *     2,297,834  
    76,903     Central Asia Metals Plc     258,377  
    219,152     Coca-Cola HBC AG *     6,872,280  
    339,600     Compass Group Plc *     6,896,244  
    42,887     Computacenter Plc (a)     1,250,270  
    3,181     Cranswick Plc     151,463  
    29,293     Daily Mail & General Trust Plc – Class A (a)     369,636  
    33,466     Dunelm Group Plc *     587,868  
    62,544     Electrocomponents Plc     848,510  
    12,098     EMIS Group Plc     179,118  
    86,553     Evraz Plc     694,847  
    98,397     Ferguson Plc     11,641,452  
    786,096     Ferrexpo Plc     3,686,616  
    201,107     Frasers Group Plc *     1,318,452  
    5,322     Fresnillo Plc     67,213  
    1,433     Games Workshop Group Plc     191,023  
    56,840     Go-Ahead Group Plc (The) *     926,744  
    56,500     GW Pharmaceuticals Plc ADR *     12,105,125  
    167,324     Halfords Group Plc *     673,754  
    202,800     HSBC Holdings Plc *     1,214,816  
    267,948     IG Group Holdings Plc     2,922,576  
    52,538     IMI Plc     963,523  
    50,244     Inchcape Plc *     498,300  
    323,262     Indivior Plc *     577,764  
    83,066     International Personal Finance Plc *     93,336  
    219,349     Investec Plc     598,221  
    1,066,653     ITV Plc * (a)     1,638,825  
    612,448     J Sainsbury Plc     1,938,400  
    251,486     JD Sports Fashion Plc *     2,923,021  
    72,267     John Laing Group Plc     304,620  
    250,474     Just Group Plc *     315,439  
    3,022,213     Kingfisher Plc *     11,201,677  
    2,006,104     Legal & General Group Plc     7,294,583  
    3,965,754     M&G Plc     10,214,337  
    1,903,607     Micro Focus International Plc * (a)     11,175,760  
    148,439     Mitchells & Butlers Plc *     626,723  
    24,191     Mondi Plc     583,767  
    8,648     Morgan Advanced Materials Plc     37,464  
         
Shares
    Description   Value ($)  
          United Kingdom — continued  
    50,242     Morgan Sindall Group Plc     1,160,648  
    157,045     National Express Group Plc *     654,098  
    184,502     National Grid Plc     2,074,621  
    26,430     Next Plc *     2,799,590  
    21,125     Numis Corp Plc     97,687  
    164,670     OSB Group Plc *     1,017,699  
    161,678     Paragon Banking Group Plc     1,013,242  
    459,797     Persimmon Plc     16,660,911  
    152,125     Pets at Home Group Plc     838,736  
    225,489     Phoenix Group Holdings Plc     2,237,868  
    148,938     Playtech Plc *     983,530  
    199,238     Plus500 Ltd     3,816,539  
    543,697     Premier Foods Plc *     686,658  
    402,734     QinetiQ Group Plc     1,677,052  
    49,011     Redde Northgate Plc     187,979  
    165,957     Royal Dutch Shell Plc – A Shares     3,424,945  
    416,954     Royal Dutch Shell Plc – B Shares     8,173,687  
    357,453     Royal Dutch Shell Plc – Class B Sponsored ADR     13,897,773  
    141,037     Royal Mail Plc *     894,041  
    741,600     RSA Insurance Group Plc     7,001,402  
    58,279     Smiths Group Plc     1,193,489  
    773     Softcat Plc (a)     15,739  
    289,135     Spirent Communications Plc     949,835  
    103,796     Stock Spirits Group Plc     383,293  
    671,057     Tate & Lyle Plc     6,813,244  
    1,627,830     Taylor Wimpey Plc *     3,591,637  
    42,325     Vesuvius Plc     308,739  
    152,686     WM Morrison Supermarkets Plc     364,630  
    670,261     WPP Plc (a)     8,015,942  
     

 

 

 
    Total United Kingdom     255,709,920  
     

 

 

 
          United States — 18.8%  
    269,200     Aerojet Rocketdyne Holdings, Inc. *     13,801,884  
    146,400     Alexion Pharmaceuticals, Inc. *     22,362,600  
    118,900     Alliance Data Systems Corp. (a)     11,473,850  
    135,300     Ally Financial, Inc.     5,614,950  
    7,300     Alphabet, Inc. – Class A * (a)     14,759,943  
    200     Alphabet, Inc. – Class C * (a)     407,372  
    46,323     American Express Co.     6,265,649  
    5,600     Anthem, Inc. (a)     1,697,864  
    116,830     Apollo Investment Corp.     1,615,759  
    37,940     Ares Capital Corp.     695,440  
    90,900     Arrow Electronics, Inc. *     9,113,634  
    259,400     AT&T, Inc.     7,234,666  
    218,100     Athene Holding Ltd. – Class A *     9,943,179  
    23,420     Bank of America Corp.     812,908  
    75,060     Barings BDC, Inc.     728,082  
    59,100     Bed Bath & Beyond, Inc. *     1,587,426  
    27,900     Biogen, Inc. *     7,613,352  
    2,400     Booking Holdings, Inc. *     5,588,424  
 

 

76   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          United States — continued  
    42,000     Booz Allen Hamilton Holding Corp. (a)     3,239,880  
    235,400     BorgWarner, Inc.     10,593,000  
    78     Bristol-Myers Squibb Co.     4,784  
    123,100     Cantel Medical Corp. * (a)     9,143,868  
    98,300     Capital One Financial Corp.     11,814,677  
    31,400     Capri Holdings Ltd. *     1,465,438  
    257,600     Carnival Corp. *     6,890,800  
    188,900     Carrier Global Corp.     6,900,517  
    158,900     CBRE Group, Inc. – Class A *     12,039,853  
    115,800     Centene Corp. * (a)     6,778,932  
    616,800     Change Healthcare, Inc. *     14,106,216  
    102,884     Charles Schwab Corp. (The)     6,350,000  
    45,100     Chevron Corp.     4,510,000  
    41,600     Cigna Corp. (a)     8,731,840  
    39,900     Cisco Systems, Inc.     1,790,313  
    178,510     Citigroup, Inc.     11,760,239  
    150,140     Citizens Financial Group, Inc.     6,522,082  
    86,624     Coca-Cola Co. (The)     4,243,710  
    88,900     Cognizant Technology Solutions Corp. – Class A (a)     6,532,372  
    172,400     Comcast Corp. – Class A (a)     9,088,928  
    6,700     Consolidated Edison, Inc.     439,855  
    211,000     Corteva, Inc.     9,526,650  
    437,200     Coty Inc. – Class A *     3,353,324  
    123,800     CVS Health Corp. (a)     8,434,494  
    18,400     Discover Financial Services     1,730,888  
    376,384     Discovery, Inc. – Class C * (a)     16,937,280  
    269,600     DISH Network Corp. – Class A* (a)     8,495,096  
    106,900     DR Horton, Inc.     8,217,403  
    41,700     Dropbox, Inc. – Class A * (a)     940,127  
    85,000     Edwards Lifesciences Corp. * (a)     7,063,500  
    102,118     EOG Resources, Inc.     6,592,738  
    1,288,200     ESC NII Holdings, Inc. * (d)     2,576,400  
    170,200     Exelon Corp.     6,569,720  
    72,300     Expedia Group, Inc.     11,640,300  
    205,800     Exxon Mobil Corp.     11,189,346  
    27,200     FleetCor Technologies, Inc. * (a)     7,542,832  
    297,600     FLIR Systems, Inc.     15,891,840  
    924,400     Ford Motor Co. *     10,815,480  
    161,200     Fox Corp. – Class A (a)     5,369,572  
    220,000     Fox Corp. – Class B (a)     7,024,600  
    193,100     General Motors Co. *     9,911,823  
    118,400     Gilead Sciences, Inc.     7,269,760  
    37,600     Goldman Sachs Group, Inc. (The)     12,012,448  
    38,607     Grubhub, Inc. *     2,473,550  
    44,000     Hasbro, Inc.     4,123,240  
    41,372     Hilton Worldwide Holdings, Inc. *     5,116,889  
    21,400     Honeywell International, Inc.     4,330,290  
    285,600     HP, Inc.     8,273,832  
    9,000     Hyatt Hotels Corp. – Class A *     791,550  
    74,450     iHeartMedia, Inc. – Class A * (a)     1,047,512  
         
Shares
    Description   Value ($)  
          United States — continued  
    221,300     IHS Markit Ltd.     19,952,408  
    122,900     Inphi Corp.*     20,228,111  
    163,200     Intel Corp.     9,919,296  
    82,500     International Business Machines Corp. (a)     9,811,725  
    379,000     Invesco Ltd.     8,497,180  
    46,600     Jazz Pharmaceuticals Plc *     7,830,664  
    70,000     Jones Lang LaSalle, Inc. *     12,178,600  
    703,500     Kinder Morgan, Inc.     10,341,450  
    160,700     Kohl’s Corp. *     8,878,675  
    189,800     Kraft Heinz Co. (The)     6,904,924  
    219,200     Kroger Co. (The)     7,060,432  
    30,000     Laboratory Corp. of America Holdings * (a)     7,197,300  
    72,804     Las Vegas Sands Corp.     4,557,530  
    58,200     Leidos Holdings, Inc. * (a)     5,147,790  
    98,900     Lennar Corp. – Class A     8,205,733  
    55,583     Liberty Broadband Corp. – Class C * (a)     8,310,214  
    192,200     Lincoln National Corp.     10,930,414  
    48,300     LKQ Corp. *     1,902,537  
    860,300     Lumen Technologies, Inc.     10,573,087  
    131,500     Lyft, Inc. – Class A *     7,324,550  
    108,900     LyondellBasell Industries NV – Class A     11,226,501  
    85,360     Macquarie Infrastructure Corp.     2,675,182  
    4,351     Markel Corp. *     4,737,369  
    29,790     Masonite International Corp. *     3,268,559  
    311,700     Maxim Integrated Products, Inc.     29,041,089  
    192,100     MetLife, Inc.     11,064,960  
    151,570     MGM Growth Properties LLC – Class A (REIT)     5,004,841  
    326,300     Micron Technology, Inc. *     29,866,239  
    22,700     Mohawk Industries, Inc. *     3,972,273  
    208,500     Molson Coors Brewing Co. – Class B *     9,267,825  
    12,521     Murray Energy Corp. * (d)     137,731  
    243,200     Occidental Petroleum Corp.     6,471,552  
    125,600     Oracle Corp. (a)     8,102,456  
    17,800     PACCAR, Inc.     1,619,622  
    222,821     PG&E Corp. *     2,341,849  
    130,100     Phillips 66     10,804,805  
    333,900     PNM Resources, Inc.     16,030,539  
    18,400     PPL Corp.     481,896  
    31,946     PRA Health Sciences, Inc. *     4,709,160  
    20,400     Principal Financial Group, Inc.     1,154,232  
    12,200     Progressive Corp. (The)     1,048,590  
    129,400     Prudential Financial, Inc.     11,221,568  
    143,300     PulteGroup, Inc.     6,464,263  
    436,200     Qurate Retail, Inc. – Series A     5,417,604  
    198,023     Raytheon Technologies Corp.     14,255,676  
    15,300     Regeneron Pharmaceuticals, Inc. *     6,893,721  
    20,840     Royal Caribbean Cruises Ltd.     1,943,747  
 

 

       See accompanying notes to the financial statements.   77


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          United States — continued  
    129,495     Sensata Technologies Holding Plc *     7,418,769  
    18,296     SkillSoft Corp. * (d)     3,110,320  
    312,700     Slack Technologies, Inc. – Class A * (a)     12,798,811  
    165,800     Southeastern Grocers, Inc. * (d)     1,948,150  
    104,900     SS&C Technologies Holdings, Inc. (a)     6,952,772  
    281,100     Synchrony Financial     10,872,948  
    1,507,100     Syncora Holdings Ltd. *     497,343  
    99,930     Tempur Sealy International, Inc.     3,338,661  
    12,388     Tenet Healthcare Corp. *     632,036  
    80,700     Textron, Inc.     4,062,438  
    1,888,723     The Oneida Group * (e)     3,513,025  
    446,524     TRU TAJ * (e)     1,823,157  
    5,869     TRU TAJ Liquidation Unit Trust * (d)     88,035  
    106,100     Tyson Foods, Inc. – Class A     7,179,787  
    20,700     United Rentals, Inc. *     6,155,766  
    117,720     Uniti Group, Inc. (REIT)     1,402,045  
    72,600     Universal Health Services, Inc. – Class B * (a)     9,098,958  
    154,008     US Bancorp     7,700,400  
    129,100     Varian Medical Systems, Inc. * (a)     22,627,357  
    103,071     Verso Corp. – Class A     1,288,387  
    68,501     VF Corp.     5,420,484  
    197,300     ViacomCBS, Inc. – Class B (a)     12,723,877  
    58,120     Viad Corp.     2,431,741  
    382,700     Viatris, Inc. *     5,683,095  
    48,300     VMware, Inc. – Class A * (a)     6,675,543  
    169,900     Walgreens Boots Alliance, Inc.     8,143,307  
    451,173     Wells Fargo & Co.     16,318,927  
    309,700     Western Union Co. (The) (a)     7,191,234  
    176,500     Western Digital Corp. *     12,095,545  
    107,060     Westmoreland Mining Holdings LLC * (e)     570,951  
    4,800     Whirlpool Corp.     912,384  
    196,100     Willis Towers Watson Plc     43,267,504  
    186,100     Xilinx, Inc.     24,248,830  
     

 

 

 
    Total United States     1,122,695,826  
     

 

 

 
          Vietnam — 0.0%  
    906,900     Hoa Phat Group JSC     1,793,925  
    14,500     Petrovietnam Fertilizer & Chemicals JSC     10,603  
    31,600     PetroVietnam Gas JSC     122,778  
    10,700     PetroVietnam Nhon Trach 2 Power JSC     10,426  
    102,000     PetroVietnam Technical Services Corp     99,560  
    42,500     Pha Lai Thermal Power JSC     51,114  
    38,400     Vietnam Dairy Products JSC     174,729  
    96,500     Vinh Hoan Corp     166,419  
     

 

 

 
    Total Vietnam     2,429,554  
     

 

 

 
    TOTAL COMMON STOCKS (COST $4,465,740,549)     4,807,543,142  
     

 

 

 
         
Shares
    Description   Value ($)  
          PREFERRED STOCKS (f) — 1.3%  
          Brazil — 0.3%  
    151,200     Banco Bradesco SA     620,535  
    123,400     Banco do Estado do Rio Grande do Sul SA – Class B     278,323  
    545,251     Bradespar SA     6,115,855  
    8,400     Cia de Transmissao de Energia Eletrica Paulista     35,823  
    280,300     Cia Paranaense de Energia – Class B     2,929,941  
    818,200     Itau Unibanco Holding SA Sponsored ADR     3,706,446  
     

 

 

 
    Total Brazil     13,686,923  
     

 

 

 
          Colombia — 0.0%  
    7,357     Banco Davivienda SA     63,524  
    1,417,796     Grupo Aval Acciones y Valores SA     461,843  
     

 

 

 
    Total Colombia     525,367  
     

 

 

 
          Germany — 0.2%  
    144,935     Bayerische Motoren Werke AG     9,815,029  
    5,664     Draegerwerk AG & Co KGaA     431,877  
    13,608     Henkel AG & Co KGaA     1,340,157  
    4,595     Jungheinrich AG     198,575  
    4,825     Villeroy & Boch AG     87,359  
    24     Volkswagen AG     5,021  
     

 

 

 
    Total Germany     11,878,018  
     

 

 

 
          Russia — 0.3%  
    100,856     Bashneft PJSC     1,557,582  
    79,750     Nizhnekamskneftekhim PJSC     85,033  
    29,922,200     Surgutneftegas PJSC     15,774,571  
    107     Transneft PJSC     205,637  
     

 

 

 
    Total Russia     17,622,823  
     

 

 

 
          South Korea — 0.5%  
    25,988     Hyundai Motor Co Ltd Prf     2,398,218  
    23,154     Hyundai Motor Co Ltd-2nd Prf     2,096,276  
    44,272     LG Electronics Inc     2,804,285  
    277,666     Samsung Electronics Co Ltd     17,959,949  
    2,704     Samsung Electronics Co Ltd GDR (Registered)     4,421,565  
     

 

 

 
    Total South Korea     29,680,293  
     

 

 

 
          Taiwan — 0.0%  
    97,864     Chailease Holding Co Ltd *     349,483  
    216,277     CTBC Financial Holding Co Ltd     495,291  
     

 

 

 
    Total Taiwan     844,774  
     

 

 

 
          United States — 0.0%  
    11,013     Murray Energy Corp. * (d)     881,040  
     

 

 

 
    TOTAL PREFERRED STOCKS (COST $66,874,703)     75,119,238  
     

 

 

 
 

 

78   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares /
Par Value†
    Description   Value ($)  
          RIGHTS/WARRANTS — 0.0%  
          Australia — 0.0%  
    3,184     Bank of Queensland Ltd, Expires 3/5/21 *      
     

 

 

 
          United Kingdom — 0.0%      
    57,727     Mitchells & Butlers Plc, Expires 03/10/21 *      
     

 

 

 
          United States — 0.0%      
    408,963     Bristol-Myers Squibb Co., Expires 03/31/21 * (d)     306,722  
    222,285     Contra Clementia Pharma CVR * (d)     300,085  
    2,616,810     Media General, Inc. CVR * (d)     130,841  
     

 

 

 
    Total United States     737,648  
     

 

 

 
    TOTAL RIGHTS/WARRANTS (COST $1,155,298)     737,648  
     

 

 

 
          INVESTMENT FUNDS — 1.2%  
          United States — 1.2%  
    1,546,000     Altaba, Inc. (d)     22,494,300  
    9,261     iShares Core MSCI Emerging Markets ETF     599,465  
    130,000     iShares Core S&P 500 ETF     49,630,100  
     

 

 

 
    Total United States     72,723,865  
     

 

 

 
    TOTAL INVESTMENT FUNDS (COST $70,005,668)     72,723,865  
     

 

 

 
          DEBT OBLIGATIONS — 11.7%  
          Brazil — 0.1%  
          Corporate Debt — 0.1%  
    7,170,000     Oi SA, 10.00%, due 07/27/25     7,619,021  
     

 

 

 
          Canada — 0.0%  
          Corporate Debt — 0.0%  
    267,769     Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28     267,435  
    1,600,000     Tilray, Inc., 5.00%, due 10/01/23     1,438,908  
     

 

 

 
    Total Canada     1,706,343  
     

 

 

 
          Israel — 0.1%  
          Corporate Debt — 0.1%  
    5,496,000     Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36     6,004,380  
     

 

 

 
          Jamaica — 0.2%  
          Bank Loans — 0.1%  
    6,744,467     Digicel International Finance Ltd, 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 3.51%, due 05/28/24 (d)     6,415,674  
     

 

 

 
         
Par Value†
    Description   Value ($)  
          Jamaica — continued  
          Corporate Debt — 0.1%  
    2,315,278     Digicel Group 0.5 Ltd., 10.00%, due 04/01/24     2,278,113  
     

 

 

 
    Total Jamaica     8,693,787  
     

 

 

 
          Netherlands — 0.0%  
          Corporate Debt — 0.0%  

EUR

    673,757     Evander Gold Mines Ltd, 10.00%, due 04/19/26 (d)     304,846  
     

 

 

 
          Puerto Rico — 0.1%  
          Municipal Obligations — 0.1%  
    6,320,000     Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27     6,320,000  
     

 

 

 
          United States — 11.2%  
          Asset-Backed Securities — 0.3%  
    5,853,375     Alaska Airlines Pass-Through Trust – Class B, 144A, 8.00%, due 02/15/27     6,553,752  
    250,060     Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 07/26/31     250,041  
    19,123     Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.32%, due 04/25/26     19,128  
    693,909     Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 10/25/37     692,850  
    256,706     Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 07/15/31     256,705  
    7,063,382     Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g)     7  
    143,934     Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.79%, due 05/16/31     143,583  
    4,234,500     JetBlue Pass-Through Trust – Class B, Series 20-1, Class B, 7.75%, due 05/15/30     4,848,432  
    155,587     LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/20/31     155,348  
    847,797     Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.40%, due 06/25/37     842,565  
    274,160     Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/19/30     273,784  
 

 

       See accompanying notes to the financial statements.   79


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Par Value†
    Description   Value ($)  
          United States — continued  
          Asset-Backed Securities — continued  
    400,000     Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.45%, due 07/13/29     401,218  
    550,000     Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33     553,093  
    635,733     Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 04/17/28     635,669  
    467,840     Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 01/17/30     465,788  
    87,025     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.38%, due 05/25/47     86,907  
    30,568     Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47     30,578  
     

 

 

 
    Total Asset-Backed Securities     16,209,448  
     

 

 

 
          Bank Loans — 0.6%  
    3,386,923     American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, PIK, 1 mo. LIBOR plus 13.00%, 3.00%, due 09/16/25 (d)     3,302,250  
    1,930,859     Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3.75%, due 10/10/25 (d)     1,660,538  
    3,130,223     Owens & Minor Distribution, Inc., Term Loan B, Variable Rate, 3 mo. LIBOR plus 4.50%, 4.62%, due 04/30/25 (d)     3,140,646  
    4,806,268     Quorum Health Corporation, 2020 Term Loan, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (d)     4,890,378  
    12,297,635     SeaWorld Parks & Entertainment, Inc., Term Loan B5, Variable Rate, 3 mo. LIBOR plus 3.00%, 3.75%, due 03/31/24 (d)     12,092,633  
    521,009     SkillSoft Corp., 2020 DIP Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 12/27/24 (d)     532,299  
    1,953,492     SkillSoft Corp., 2020 Take Back 2nd Out Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 04/27/25(d)     1,946,167  
    2,880,000     West Corporation, 2017 Term Loan, 5.00%, due 10/10/24 (d)     2,838,615  
    10,553,379     Westmoreland Coal Co., PIK Term Loan, Variable Rate, 3 mo. LIBOR plus 12.50%, 15.00%, due 03/15/29 (d)     4,221,352  
     

 

 

 
    Total Bank Loans     34,624,878  
     

 

 

 
         
Par Value†
    Description   Value ($)  
          United States — continued  
          Corporate Debt — 2.4%  
    2,147,000     Ahern Rentals, Inc., 144A, 7.38%, due 05/15/23     1,803,480  
    1,582,119     American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24     1,449,107  
    2,296,373     American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25     2,108,099  
    1,793,243     American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25     1,604,502  
    2,230,400     American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25     2,058,779  
    2,287,190     American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26     2,043,508  
    4,423,628     American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27     4,030,741  
    3,290,803     American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27     2,995,755  
    2,429,111     American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29     2,202,775  
    2,065,000     Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.38%, due 09/15/24     2,080,488  
    1,140,000     Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28     1,149,263  
    944,000     Boeing Co. (The), 5.81%, due 05/01/50     1,217,713  
    5,927,000     Boeing Co. (The), 5.93%, due 05/01/60     7,776,568  
    2,280,000     Bruce Mansfield, 8.88%, due 08/01/23 (g)     57,228  
    8,970,000     Carnival Corp, 144A, 7.63%, due 03/01/26     9,429,712  
    4,280,000     Carnival Corp, 144A, 5.75%, due 03/01/27     4,344,842  
    3,579,000     Carnival Corp, 6.65%, due 01/15/28     3,775,845  
    6,700,000     Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 144A, 6.50%, due 10/01/28     7,085,250  
    1,340,000     CHS/Community Health Systems, Inc., 144A, 6.88%, due 04/01/28     1,189,250  
    768,000     Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26     784,320  
    7,150,000     Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25     7,579,000  
    1,610,000     Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A, 9.50%, due 07/31/27     1,813,263  
    2,010,000     EnLink Midstream Partners LP, 5.60%, due 04/01/44     1,703,475  
    1,818,000     EnLink Midstream Partners LP, 5.05%, due 04/01/45     1,445,310  
    1,340,000     Envision Healthcare Corp., 144A, 8.75%, due 10/15/26     958,100  
    290,000     Ferrellgas LP / Ferrellgas Finance Corp., 144A, 10.00%, due 04/15/25     321,900  
    1,340,000     Ford Motor Credit Co. LLC, 5.58%, due 03/18/24     1,445,525  
 

 

80   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Par Value†
    Description   Value ($)  
          United States — continued  
          Corporate Debt — continued  
    1,780,000     Ford Motor Credit Co. LLC, 4.39%, due 01/08/26     1,879,555  
    290,000     Ford Motor Credit Co. LLC, 4.27%, due 01/09/27     306,675  
    8,040,000     Ford Motor Credit Co. LLC, 5.11%, due 05/03/29     8,803,800  
    1,140,000     Frontier Communications Corp., 10.50%, due 09/15/22 (g)     646,950  
    1,791,000     Frontier Communications Corp., 7.13%, due 01/15/23 (g)     953,708  
    1,894,000     Frontier Communications Corp., 11.00%, due 09/15/25 (g)     1,079,580  
    860,000     Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99     914,825  
    4,040,000     Guitar Center, Inc., 144A, 8.50%, due 01/15/26     4,249,595  
    1,400,000     Gulfport Energy Corp., 6.38%, due 01/15/26 (g)     1,282,750  
    2,378,000     Hawaiian Airlines Pass-Through Certificates – Class A, 144A, 7.38%, due 09/15/27     2,680,803  
    2,400,000     Hyatt Hotels Corp., 5.75%, due 04/23/30     2,854,470  
    2,534,100     JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99     2,520,162  
    4,673,000     Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28     4,706,833  
    14,661,000     Murray Energy Corp., 144A, 11.25%, due 04/15/21 (g)     147  
    1,454,000     Owens & Minor, Inc., 4.38%, due 12/15/24     1,483,080  
    6,996,000     Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27     7,927,342  
    6,020,000     Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28     5,703,950  
    2,967,000     SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25     3,204,360  
    1,380,000     SEG Holding LLC / SEG Finance Corp., 144A, 5.63%, due 10/15/28     1,462,800  
    213,348     Spirit Airlines Pass Through Trust, 4.10%, due 10/01/29     215,149  
    4,597,925     Spirit Airlines Pass Through Trust, 3.65%, due 08/15/31     4,507,607  
    1,070,000     Triumph Group, Inc., 5.25%, due 06/01/22     1,061,975  
    1,620,000     Triumph Group, Inc., 144A, 6.25%, due 09/15/24     1,628,100  
    1,300,000     Uber Technologies, Inc., 144A, 8.00%, due 11/01/26     1,404,455  
    7,689,600     Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.50%, due 02/15/29     7,747,272  
    2,180,000     Wyndham Destinations, Inc., 144A, 6.63%, due 07/31/26     2,460,784  
     

 

 

 
    Total Corporate Debt     146,140,525  
     

 

 

 
     Par Value† /
Shares
    Description   Value ($)  
          United States — continued  
          U.S. Government — 7.9%      
    29,000,000     U.S. Treasury Note, 1.13%, due 02/28/22     29,300,195  
    105,000,000     U.S. Treasury Note, 0.13%, due 09/30/22 (a)     105,008,203  
    91,000,000     U.S. Treasury Note, 0.13%, due 10/31/22 (a)     91,000,000  
    245,000,000     U.S. Treasury Note, 0.13%, due 11/30/22 (a)     245,000,000  
     

 

 

 
    Total U.S. Government     470,308,398  
     

 

 

 
    Total United States     667,283,249  
     

 

 

 
    TOTAL DEBT OBLIGATIONS (COST $703,164,880)     697,931,626  
     

 

 

 
          MUTUAL FUNDS — 0.6%  
          United States — 0.6%  
          Affiliated Issuers — 0.6%  
    6,998,556     GMO U.S. Treasury Fund (h)     35,272,723  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $35,272,723)     35,272,723  
     

 

 

 
          SHORT-TERM INVESTMENTS — 4.2%  
          Foreign Government Obligations — 1.5%  

JPY

    2,400,000,000     Japan Treasury Discount Bill, Zero Coupon, due 03/15/21     22,515,991  

JPY

    5,500,000,000     Japan Treasury Discount Bill, Zero Coupon, due 05/17/21     51,608,708  

JPY

    1,700,000,000     Japan Treasury Discount Bill, Zero Coupon, due 05/25/21     15,952,190  
     

 

 

 
    Total Foreign Government Obligations     90,076,889  
     

 

 

 
          Money Market Funds — 1.0%      
    57,663,781     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i)     57,663,781  
    290,832     State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (j)     290,832  
     

 

 

 
    Total Money Market Funds     57,954,613  
     

 

 

 
          U.S. Government — 1.7%  
    47,450,000     U.S. Treasury Bill, 0.04%, due 07/15/21 (k)     47,441,933  
    45,900,000     U.S. Treasury Bill, 0.05%, due 09/09/21 (j) (k)     45,886,842  
    10,000,000     U.S. Treasury Note, 1.75%,
due 07/31/21 (a) (j)
    10,070,703  
     

 

 

 
    Total U.S. Government     103,399,478  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $252,654,768)     251,430,980  
     

 

 

 
    TOTAL INVESTMENTS — 99.5%
(Cost $5,594,868,589)
    5,940,759,222  
     

 

 

 
 

 

       See accompanying notes to the financial statements.   81


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          SECURITIES SOLD SHORT — (23.9)%  
          Common Stocks — (23.8)%  
          Australia — (0.7)%  
    (91,070   Afterpay Ltd *     (8,318,712
    (1,258,101   APA Group     (9,030,724
    (57,756   ASX Ltd     (3,007,586
    (21,546   Cochlear Ltd     (3,515,392
    (22,967   Ramsay Health Care Ltd     (1,168,791
    (1,521,906   Sydney Airport *     (6,899,183
    (285,285   TPG Telecom Ltd *     (1,509,252
    (926,742   Transurban Group     (9,184,215
     

 

 

 
    Total Australia     (42,633,855
     

 

 

 
          Austria — (0.1)%  
    (99,377   Verbund AG     (7,554,402
     

 

 

 
          Canada — (0.1)%  
    (477,100   AltaGas Ltd     (7,231,855
     

 

 

 
          Denmark — (0.0)%  
    (22,619   Ambu A/S – Class B     (1,042,372
     

 

 

 
          France — (1.1)%  
    (174,678   Edenred     (9,680,982
    (595,369   Getlink SE *     (9,756,724
    (9,711   Hermes International     (10,818,433
    (16,452   Sartorius Stedim Biotech     (7,193,573
    (71,391   Ubisoft Entertainment SA *     (5,820,599
    (308,021   Vivendi SE     (10,661,286
    (82,904   Wendel SE     (9,458,004
     

 

 

 
    Total France     (63,389,601
     

 

 

 
          Germany — (1.1)%  
    (61,203   Delivery Hero SE *     (7,820,492
    (91,415   Puma SE *     (9,734,220
    (85,671   QIAGEN NV *     (4,233,653
    (228,277   RWE AG     (8,621,979
    (89,290   Scout24 AG     (6,735,085
    (3,513,953   Telefonica Deutschland Holding AG     (9,409,508
    (284,601   Uniper SE     (9,947,564
    (87,841   Zalando SE *     (9,030,681
     

 

 

 
    Total Germany     (65,533,182
     

 

 

 
          Ireland — (0.0)%  
    (13,109   ICON Plc *     (2,368,534
     

 

 

 
          Israel — (0.1)%  
    (16,600   Wix.com Ltd *     (5,786,262
     

 

 

 
          Italy — (0.4)%  
    (22,610   Amplifon SPA *     (899,364
         
Shares
    Description   Value ($)  
          Common Stocks — continued  
          Italy — continued  
    (46,801   Atlantia SPA *     (876,196
    (45,137   Ferrari NV     (8,783,895
    (625,857   FinecoBank Banca Fineco SPA *     (10,977,000
    (143,062   Infrastrutture Wireless Italiane SPA     (1,489,359
     

 

 

 
    Total Italy     (23,025,814
     

 

 

 
          Japan — (2.7)%  
    (395,800   Acom Co Ltd     (1,773,625
    (252,400   Asahi Intecc Co Ltd     (7,248,417
    (1,918,900   ENEOS Holdings Inc     (8,485,349
    (6,200   Fast Retailing Co Ltd     (6,147,163
    (68,600   GMO Payment Gateway Inc     (9,079,541
    (200,100   Hitachi Metals Ltd     (3,187,919
    (8,200   Ibiden Co Ltd     (334,985
    (309,200   Idemitsu Kosan Co Ltd     (8,132,963
    (554,400   Isetan Mitsukoshi Holdings Ltd     (4,078,170
    (134,700   Japan Airport Terminal Co Ltd     (6,520,487
    (141,500   Japan Exchange Group Inc     (3,055,921
    (1,640   Japan Real Estate Investment Corp     (10,024,245
    (520,900   JGC Holding Corp     (6,763,542
    (512,600   Keikyu Corp     (8,153,918
    (8,500   Keio Corp     (637,734
    (32,200   Kintetsu Group Holdings Co Ltd     (1,354,583
    (426,900   Kyushu Electric Power Co Inc     (3,668,128
    (22,500   Lasertec Corp     (2,754,881
    (286,400   LIXIL Corp     (8,075,943
    (110,300   M3 Inc     (8,766,410
    (7,500   McDonald’s Holdings Co Japan Ltd     (372,656
    (32,900   Mercari Inc *     (1,582,936
    (45,500   Mitsubishi Materials Corp     (1,077,915
    (171,400   MonotaRO Co Ltd     (9,854,109
    (9,000   Nidec Corp     (1,147,635
    (119,200   Nihon M&A Center Inc     (6,505,369
    (84,000   Nippon Paint Holdings Co Ltd     (6,256,590
    (341,700   Nippon Yusen KK     (9,883,560
    (8,200   Nissin Foods Holdings Co Ltd     (619,651
    (183,100   Odakyu Electric Railway Co Ltd     (5,381,438
    (43,600   ORIENTAL LAND CO LTD     (7,341,507
    (50,800   Yaskawa Electric Corp     (2,555,885
     

 

 

 
    Total Japan     (160,823,175
     

 

 

 
          Netherlands — (0.4)%  
    (4,759   Adyen NV *     (11,104,576
    (104,721   Just Eat Takeaway.com NV *     (10,076,955
     

 

 

 
    Total Netherlands     (21,181,531
     

 

 

 
          New Zealand — (0.1)%  
    (43,497   Xero Ltd *     (3,980,808
     

 

 

 
 

 

82   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Common Stocks — continued  
          Norway — (0.0)%  
    (24,324   Schibsted ASA – B Shares *     (834,106
     

 

 

 
          Peru — (0.2)%  
    (128,800   Southern Copper Corp     (9,187,304
     

 

 

 
          Russia — (0.0)%  
    (69,362   Magnit PJSC Sponsored GDR (Registered)     (944,186
     

 

 

 
          Singapore — (0.2)%  
    (1,368,200   Singapore Exchange Ltd     (10,186,566
     

 

 

 
          Spain — (0.6)%  
    (158,272   Cellnex Telecom SA     (8,611,537
    (343,022   Endesa SA     (8,476,181
    (360,432   Ferrovial SA     (8,945,142
    (231,580   Siemens Gamesa Renewable Energy SA     (8,590,094
     

 

 

 
    Total Spain     (34,622,954
     

 

 

 
          Sweden — (0.2)%  
    (89,673   Evolution Gaming Group AB     (11,181,742
     

 

 

 
          Switzerland — (0.5)%  
    (10   Chocoladefabriken Lindt & Spruengli AG (Registered)     (883,824
    (5,800   Partners Group Holding AG     (6,944,158
    (8,504   Straumann Holding AG (Registered)     (10,269,965
    (109,499   Swiss Re AG     (10,287,215
     

 

 

 
    Total Switzerland     (28,385,162
     

 

 

 
          United Kingdom — (1.9)%  
    (137,231   Admiral Group Plc     (5,938,569
    (241,841   Antofagasta Plc     (6,035,840
    (189,914   AstraZeneca Plc Sponsored ADR     (9,188,039
    (1,249,686   Auto Trader Group Plc *     (9,608,294
    (2,970,732   ConvaTec Group Plc     (7,798,281
    (519,726   Entain Plc *     (10,281,815
    (92,615   Experian Plc     (2,939,954
    (98,345   Halma Plc     (3,113,326
    (457,525   Hargreaves Lansdown Plc     (9,672,837
    (1,333,125   Informa Plc *     (10,227,187
    (217,263   Land Securities Group Plc (REIT)     (2,014,822
    (84,735   London Stock Exchange Group Plc     (11,386,577
    (177,932   Melrose Industries Plc *     (413,508
    (264,875   Ocado Group Plc *     (8,137,863
    (129,684   Prudential Plc     (2,583,341
    (336,152   Royal Dutch Shell Plc – Class A Sponsored ADR     (13,792,317
    (16,935   Spirax-Sarco Engineering Plc     (2,538,029
     

 

 

 
    Total United Kingdom     (115,670,599
     

 

 

 
         
Shares
    Description   Value ($)  
          Common Stocks — continued  
          United States — (13.4)%  
    (408,727   Advanced Micro Devices, Inc. *     (34,541,519
    (221,100   AES Corp. (The)     (5,872,416
    (3,200   Align Technology, Inc. *     (1,814,752
    (41,900   American Tower Corp. (REIT)     (9,055,847
    (196,302   Analog Devices, Inc.     (30,587,778
    (211,713   Aon Plc – Class A     (48,209,167
    (53,600   Aramark     (1,989,632
    (57,800   Arthur J Gallagher & Co.     (6,924,440
    (32,400   Autodesk, Inc. *     (8,942,400
    (46,000   Avalara, Inc. *     (7,219,240
    (38,400   Ball Corp.     (3,278,976
    (36,100   Burlington Stores, Inc. *     (9,343,402
    (24,500   Carvana Co. *     (6,945,750
    (29,800   Catalent, Inc. *     (3,388,558
    (11,500   Ceridian HCM Holding, Inc. *     (1,031,090
    (13,757   Charter Communications, Inc. – Class A *     (8,438,819
    (156,600   Cheniere Energy, Inc. *     (10,553,274
    (6,900   Chipotle Mexican Grill, Inc. *     (9,949,800
    (84,400   Cognex Corp.     (6,970,596
    (3,200   CoStar Group, Inc. *     (2,636,032
    (26,200   Coupa Software, Inc. *     (9,072,012
    (47,600   Crowdstrike Holdings, Inc. – Class A *     (10,281,600
    (44,400   Crown Castle International Corp. (REIT)     (6,915,300
    (78,500   Datadog, Inc. – Class A *     (7,489,685
    (25,700   DexCom, Inc. *     (10,222,946
    (49,100   Digital Realty Trust, Inc. (REIT)     (6,615,243
    (340,318   Discovery, Inc. – Class A*     (18,047,064
    (44,000   DocuSign, Inc. *     (9,973,040
    (34,700   Enphase Energy, Inc. *     (6,109,282
    (40,900   Equifax, Inc.     (6,620,892
    (12,500   Equinix, Inc. (REIT)     (8,104,250
    (155,500   Equity LifeStyle Properties, Inc. (REIT)     (9,586,575
    (4,700   Erie Indemnity Co. – Class A     (1,137,870
    (73,400   Exact Sciences Corp. *     (9,991,208
    (15,700   Extra Space Storage, Inc. (REIT)     (1,973,490
    (27,900   Fastenal Co.     (1,293,723
    (79,300   Guidewire Software, Inc. *     (8,801,507
    (18,600   HubSpot, Inc. *     (9,579,000
    (13,900   IDEXX Laboratories, Inc. *     (7,230,363
    (94,500   Ingersoll Rand, Inc. *     (4,379,130
    (37,500   Insulet Corp. *     (9,716,250
    (48,800   IQVIA Holdings, Inc. *     (9,408,152
    (47,000   Iron Mountain, Inc. (REIT)     (1,635,130
    (4,754   Jazz Pharmaceuticals Plc *     (798,862
    (121,100   Lamb Weston Holdings, Inc.     (9,660,147
    (28,200   Liberty Broadband Corp. – Class A *     (4,099,152
    (38,500   Liberty Broadband Corp. – Class C *     (5,756,135
 

 

       See accompanying notes to the financial statements.   83


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

         
Shares
    Description   Value ($)  
          Common Stocks — continued  
          United States — continued  
    (228,200   Liberty Media Corp-Liberty Formula One – Class C *     (10,017,980
    (20,500   Linde Plc     (5,007,535
    (142,000   Live Nation Entertainment, Inc. *     (12,618,120
    (6,500   Lululemon Athletica, Inc. *     (2,025,920
    (17,400   MarketAxess Holdings, Inc.     (9,673,356
    (285,498   Marvell Technology Group Ltd.     (13,783,843
    (26,000   MongoDB, Inc. *     (10,034,180
    (10,400   Monolithic Power Systems, Inc.     (3,895,008
    (24,400   MSCI, Inc.     (10,114,288
    (5,400   Neurocrine Biosciences, Inc. *     (591,354
    (57,100   NIKE Inc. – Class B     (7,695,938
    (50,000   Novocure Ltd. *     (7,455,000
    (151,300   Nuance Communications, Inc. *     (6,747,980
    (37,600   Okta, Inc. *     (9,830,520
    (20,200   Paycom Software, Inc. *     (7,559,648
    (3,000   Peloton Interactive, Inc. – Class A *     (361,410
    (52,300   Pinterest, Inc. – Class A *     (4,214,334
    (29,900   Public Storage (REIT)     (6,994,806
    (26,200   RingCentral, Inc. – Class A *     (9,907,792
    (12,000   Rockwell Automation, Inc.     (2,919,360
    (24,600   Roku, Inc. *     (9,728,808
    (183,150   Rollins, Inc.     (6,075,086
    (62,807   S&P Global, Inc.     (20,686,114
    (24,268   salesforce.com, Inc. *     (5,254,022
    (26,800   SBA Communications Corp. (REIT)     (6,837,484
    (9,400   Seagen, Inc. *     (1,420,434
    (18,600   ServiceNow, Inc. *     (9,922,356
    (32,700   Simon Property Group, Inc. (REIT)     (3,692,484
    (177,100   Snap, Inc. – Class A *     (11,628,386
    (169,600   Southwestern Energy Co. *     (686,880
    (46,300   Splunk, Inc. *     (6,621,363
    (39,600   Square, Inc. – Class A *     (9,109,188
    (74,500   Starbucks Corp.     (8,048,235
    (41,596   STERIS Plc     (7,270,981
    (20,900   Sun Communities, Inc. (REIT)     (3,175,755
    (72,800   Sunrun, Inc. *     (4,555,824
    (332,500   Targa Resources Corp.     (10,284,225
    (38,600   Teladoc Health, Inc. *     (8,534,074
    (21,411   Teledyne Technologies, Inc. *     (7,943,481
    (13,700   Tesla, Inc. *     (9,254,350
    (26,900   Twilio, Inc. – Class A *     (10,568,472
    (249,400   UDR, Inc. (REIT)     (10,267,798
    (28,200   Vail Resorts, Inc.     (8,718,876
    (18,600   Wayfair, Inc. – Class A *     (5,375,028
    (10,400   West Pharmaceutical Services, Inc.     (2,918,760
    (10,200   Weyerhaeuser Co. (REIT)     (345,474
    (342,400   Williams Cos, Inc. (The)     (7,820,416
    (92,400   Wynn Resorts Ltd. *     (12,171,852
    

Shares /
Par Value†

    Description   Value ($)  
          Common Stocks — continued  
          United States — continued  
    (3,500   XPO Logistics, Inc. *     (408,100
    (50,400   Zendesk, Inc. *     (7,365,456
    (72,949   Zillow Group, Inc. – Class C *     (11,768,862
    (6,200   Zoetis, Inc.     (962,488
    (18,600   Zoom Video Communications, Inc. – Class A *     (6,949,146
    (48,900   Zscaler, Inc. *     (10,025,967
     

 

 

 
    Total United States     (800,036,093
     

 

 

 
    TOTAL COMMON STOCKS (PROCEEDS $1,288,050,696)     (1,415,600,103
     

 

 

 
          PREFERRED STOCKS (f) — (0.1)%  
          Germany — (0.1)%  
    (19,034   Sartorius AG     (9,776,317
     

 

 

 
    TOTAL PREFERRED STOCKS (PROCEEDS $8,330,106)     (9,776,317
     

 

 

 
          DEBT OBLIGATIONS — 0.0%  
          Corporate Debt — 0.0%  
    (2,880,000   Intrado Corp., 144A, 8.50%, due 10/15/25     (2,866,765
     

 

 

 
    TOTAL DEBT OBLIGATIONS (PROCEEDS $2,873,965)     (2,866,765
     

 

 

 
    TOTAL SECURITIES SOLD SHORT
(PROCEEDS $1,299,254,767)
    (1,428,243,185
    Other Assets and Liabilities (net) — 24.4%     1,457,851,184  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $5,970,367,221  
     

 

 

 
 

 

84   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

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   MSCI   AUD     64,805,600       USD       50,205,935       337,902  
03/31/2021   BOA   AUD     11,206,608       USD       8,876,329       252,391  
03/31/2021   SSB   AUD     64,586       USD       50,197       496  
04/16/2021   GS   AUD     2,007,174       USD       1,557,854       13,177  
04/16/2021   MSCI   AUD     2,550,556       USD       2,005,780       42,928  
04/16/2021   UBSA   AUD     45,325,109       USD       35,077,827       196,607  
05/10/2021   MSCI   AUD     151,750,050       USD       115,661,612       (1,127,417
04/05/2021   GS   BRL     8,536,266       USD       1,580,000       58,587  
04/05/2021   JPM   BRL     43,465,804       USD       8,064,456       317,576  
04/05/2021   MSCI   BRL     11,229,088       USD       2,080,000       78,648  
05/03/2021   BCLY   CAD     17,243,174       USD       13,550,000       (628
05/03/2021   JPM   CAD     12,288,097       USD       9,698,074       41,416  
04/13/2021   JPM   CHF     7,715,192       USD       8,600,000       108,507  
04/13/2021   MSCI   CHF     138,452,349       USD       155,872,680       3,489,270  
05/24/2021   JPM   CLP     1,479,975,000       USD       2,100,000       53,385  
05/24/2021   MSCI   CLP     824,453,000       USD       1,164,103       23,991  
03/15/2021   DB   EUR     2,063,475       USD       2,499,663       9,242  
03/15/2021   JPM   EUR     6,823,858       USD       8,234,364       (1,393
03/19/2021   BOA   EUR     139,598,662       USD       168,208,780       (290,063
03/19/2021   MSCI   EUR     138,366,300       USD       166,756,021       (255,332
03/31/2021   BCLY   EUR     6,900,000       USD       8,368,013       37,127  
03/19/2021   MSCI   GBP     65,740,887       USD       91,059,083       (540,093
03/19/2021   SSB   GBP     459,574       USD       648,291       7,950  
04/13/2021   BCLY   GBP     7,590,000       USD       10,492,515       (84,416
04/13/2021   JPM   GBP     22,800,000       USD       31,069,830       (702,770
03/19/2021   JPM   HKD     232,712,400       USD       30,018,424       14,963  
04/13/2021   BCLY   HUF     3,614,420,958       USD       12,160,506       136,526  
04/13/2021   JPM   HUF     905,259,803       USD       3,040,000       28,501  
04/30/2021   GS   ILS     6,539,005       USD       2,010,000       32,504  
04/19/2021   JPM   INR     127,867,250       USD       1,750,000       32,543  
03/09/2021   BCLY   JPY     753,900,000       USD       7,180,000       107,004  
03/09/2021   JPM   JPY     935,438,647       USD       8,880,000       103,831  
03/15/2021   SSB   JPY     2,400,000,000       USD       23,087,601       569,368  
03/19/2021   DB   JPY     5,975,681,200       USD       56,337,152       266,868  
03/19/2021   SSB   JPY     12,849,142,400       USD       121,085,040       520,531  
05/17/2021   SSB   JPY     5,500,000,000       USD       52,205,175       563,446  
05/25/2021   SSB   JPY     1,700,000,000       USD       16,095,251       131,934  
04/21/2021   DB   MXN     32,946,946       USD       1,660,000       93,475  
04/19/2021   JPM   NOK     101,819,485       USD       11,980,000       237,667  
04/16/2021   UBSA   NZD     7,752,858       USD       5,594,962       (6,722
05/05/2021   JPM   NZD     11,600,000       USD       8,460,383       79,444  
05/05/2021   MSCI   NZD     61,665,000       USD       44,430,866       (121,776
04/21/2021   JPM   PHP     329,699,325       USD       6,847,707       146,092  
05/28/2021   BCLY   RON     34,021,374       USD       8,433,469       47,588  
05/05/2021   JPM   SEK     39,694,167       USD       4,800,000       95,854  
04/15/2021   MSCI   SGD     9,419,299       USD       7,110,246       47,075  
04/16/2021   BOA   THB     62,874,947       USD       2,087,211       1,089  
05/03/2021   BCLY   TWD     9,987,024       USD       360,634       (241
05/03/2021   JPM   TWD     36,755,880       USD       1,330,000       1,850  
05/10/2021   JPM   USD     6,611,376       AUD       8,370,000       (169,703
04/05/2021   JPM   USD     1,760,000       BRL       9,502,346       (66,404
03/31/2021   MSCI   USD     9,771,866       CAD       12,538,441       81,578  
05/03/2021   BCLY   USD     11,550,000       CAD       14,569,944       (100,142
05/03/2021   MSCI   USD     132,208,387       CAD       169,674,657       1,131,226  

 

Settlement

Date

  Counter-
party
  Currency
Sold
    Currency
Purchased
    Net
Unrealized
Appreciation
(Depreciation) ($)
 
04/13/2021   JPM   USD     5,840,000       CHF       5,254,917       (56,334
04/13/2021   MSCI   USD     8,920,000       CHF       7,916,411       (207,041
04/30/2021   MSCI   USD     5,867,152       COP       21,033,619,600       (111,283
05/17/2021   MSCI   USD     5,160,262       CZK       109,712,326       (101,362
03/15/2021   DB   USD     6,985,406       EUR       5,745,513       (51,111
03/15/2021   SSB   USD     64,208,914       EUR       52,572,729       (758,560
03/31/2021   MSCI   USD     107,294,681       EUR       88,401,000       (561,541
04/16/2021   UBSA   USD     47,640,357       EUR       39,246,607       (238,067
05/17/2021   BCLY   USD     47,359,143       EUR       39,000,000       (223,386
04/13/2021   MSCI   USD     48,372,750       GBP       35,882,700       1,631,050  
04/13/2021   CITI   USD     1,860,000       HUF       547,303,698       (39,302
05/11/2021   JPM   USD     1,520,000       IDR       21,585,520,000       (36,190
05/11/2021   MSCI   USD     6,646,655       IDR       93,784,301,400       (199,831
04/19/2021   CITI   USD     1,820,000       INR       134,495,088       (13,521
04/19/2021   JPM   USD     8,070,362       INR       597,439,809       (45,811
03/09/2021   MSCI   USD     118,161,922       JPY       12,456,180,843       (1,299,589
04/12/2021   BOA   USD     51,178,888       JPY       5,396,255,932       (530,643
05/10/2021   BCLY   USD     1,626,727       JPY       169,861,610       (31,943
05/10/2021   JPM   USD     4,502,317       JPY       475,558,049       (37,434
05/10/2021   MSCI   USD     47,443,462       JPY       5,000,000,000       (499,852
05/10/2021   UBSA   USD     10,195,452       JPY       1,079,141,085       (63,696
04/19/2021   MSCI   USD     3,282,776       KRW       3,627,040,910       (64,176
04/21/2021   JPM   USD     9,002,635       MXN       178,913,874       (495,838
04/19/2021   BCLY   USD     7,450,000       NOK       63,526,895       (123,760
04/19/2021   JPM   USD     4,469,644       NOK       38,292,590       (53,551
05/05/2021   BOA   USD     2,300,319       NZD       3,201,074       12,440  
05/05/2021   JPM   USD     42,083,386       NZD       58,463,926       156,497  
05/24/2021   MSCI   USD     3,638,851       PEN       13,290,175       3,795  
05/17/2021   CITI   USD     8,120,360       PLN       30,099,740       (83,459
05/12/2021   MSCI   USD     11,043,647       RUB       821,067,551       (136,574
05/05/2021   BCLY   USD     68,736,192       SEK       577,823,928       (258,415
05/05/2021   JPM   USD     33,110,000       SEK       277,472,860       (226,757
04/15/2021   DB   USD     2,720,000       SGD       3,596,311       (23,265
04/15/2021   GS   USD     3,530,000       SGD       4,680,504       (20,269
04/16/2021   MSCI   USD     2,093,459       THB       62,874,947       (7,337
05/17/2021   BCLY   USD     9,229,249       TRY       67,564,562       (438,777
04/30/2021   MSCI   USD     12,960,780       ZAR       200,107,969       167,248  
           

 

 

 
            $ 1,005,412  
           

 

 

 
 

 

       See accompanying notes to the financial statements.   85


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys  
493   Australian Government Bond 10 Yr.   March 2021     51,996,302       (2,934,155
395   CAC40 10 Euro   March 2021     27,189,150       (304,604
278   Canadian Government Bond 10 Yr.   June 2021     30,534,999       (563,909
5   DAX Index   March 2021     2,078,761       (18,374
209   Gold 100 OZ (j)   April 2021     36,131,920       (2,750,777
180   Hang Seng Index   March 2021     33,702,203       (1,677,782
2,465   Mini MSCI Emerging Markets   March 2021     164,920,825       7,681,411  
266   MSCI Singapore   March 2021     6,706,365       101,099  
9   S&P/TSX 60   March 2021     1,515,983       46,674  
72   TOPIX Index   March 2021     12,747,073       (274,126
404   U.S. Treasury Note 10 Yr. (CBT)   June 2021     53,618,375       (570,425
49   WTI Crude (j)   March 2021     3,013,500       164,881  
     

 

 

   

 

 

 
  $ 424,155,456     $ (1,100,087
     

 

 

   

 

 

 
Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Sales  
713   Corn (j)   May 2021     19,518,375       (9,545
311   E-mini Russell 2000 Index   March 2021     34,197,560       (2,402,651
272   Euro Bund   March 2021     56,906,718       967,278  
7,575   Euro STOXX 50   March 2021     332,219,522       (11,626,631
948   FTSE 100 Index   March 2021     85,514,875       267,581  
91   FTSE Taiwan Index   March 2021     5,045,359       153,755  
243   FTSE/JSE TOP 40   March 2021     9,694,655       (866,473
170   Hang Seng Index   March 2021     31,829,858       1,193,242  
2,949   S&P 500 E-Mini   March 2021     561,666,540       (15,017,800
162   SGX Nifty 50   March 2021     4,712,328       52,803  
5   Silver (j)   May 2021     661,000       29,270  
276   Soybean (j)   May 2021     19,378,650       (359,371
427   SPI 200   March 2021     54,506,370       (500,741
977   TOPIX Index   March 2021     172,970,697       (10,992,139
27   U.S. Ultra Bond (CBT)   June 2021     5,104,844       (47,671
     

 

 

   

 

 

 
  $ 1,393,927,351     $ (39,159,093
     

 

 

   

 

 

 

 

+

Buys - Fund is long the futures contract.

 

Sales - Fund is short the futures contract.

 

 

Reverse Repurchase Agreements

 

Average balance outstanding

   $ (7,449,132

Average interest rate (net)

     (0.21 )% 

Maximum balance outstanding

   $ (91,591,373

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

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^:

 

Halliburton Co.

  BOA     USD       1,140,000       1.00%       0.64%       N/A       12/20/2024       Quarterly       96,637       (15,432     (112,069

HCA, Inc.

  BCLY     USD       1,140,000       5.00%       0.95%       N/A       12/20/2024       Quarterly       (139,584     (173,550     (33,966

Tenet Healthcare Corp.

  JPM     USD       570,000       5.00%       2.51%       N/A       12/20/2024       Quarterly       14,842       (51,281     (66,123

Tenet Healthcare Corp.

  JPM     USD       1,140,000       5.00%       2.51%       N/A       12/20/2024       Quarterly       142,500       (102,563     (245,063

United Rentals North America, Inc.

  CSI     USD       1,140,000       5.00%       0.93%       N/A       12/20/2024       Quarterly       (96,605     (174,642     (78,037

United Rentals North America, Inc.

  JPM     USD       1,140,000       5.00%       0.93%       N/A       12/20/2024       Quarterly       (51,323     (174,643     (123,320
                 

 

 

   

 

 

   

 

 

 
  $ (33,533   $ (692,111   $ (658,578
 

 

 

   

 

 

   

 

 

 

 

86   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

Swap Contracts — continued

OTC Credit Default Swaps — continued

 

^

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) ($)
 

0.49%

   3 Month CAD LIBOR   CAD      677,250,000        03/13/2023      Semi-Annually      165,041       1,942,804       1,777,763  

3 Month CAD LIBOR

   0.52%   CAD      47,240,000        03/13/2023      Semi-Annually            (113,397     (113,397

6 Month EURIBOR

   (0.55)%   EUR      136,460,000        03/15/2023      Semi-Annually      (64,156     (300,897     (236,741

6 Month GBP LIBOR

   0.10%   GBP      609,420,000        03/15/2023      Semi-Annually      21,161       (2,988,338     (3,009,499

6 Month GBP LIBOR

   0.10%   GBP      50,600,000        03/15/2023      Semi-Annually            (250,930     (250,930

6 Month GBP LIBOR

   0.18%   GBP      23,740,000        03/15/2023      Semi-Annually      421       (63,037     (63,458

0.21%

   3 Month USD LIBOR   USD      60,280,000        03/15/2023      Quarterly      (23,814     51,552       75,366  

0.23%

   3 Month USD LIBOR   USD      132,230,000        03/15/2023      Quarterly      4,608       52,491       47,883  

0.21%

   3 Month USD LIBOR   USD      227,250,000        03/15/2023      Quarterly      (23,782     180,763       204,545  

0.09%

   3 Month AUD BBSW   AUD      65,420,000        03/17/2023      Quarterly            123,016       123,016  

0.12%

   3 Month AUD BBSW   AUD      54,680,000        03/17/2023      Quarterly            75,504       75,504  

0.07%

   3 Month AUD BBSW   AUD      140,340,000        03/17/2023      Quarterly      1,875       294,096       292,221  

3 Month AUD BBSW

   0.10%   AUD      12,560,000        03/17/2023      Quarterly      (1,487     (20,722     (19,235

(0.72)%

   6 Month CHF LIBOR   CHF      22,450,000        03/17/2023      Semi-Annually      (3,289     54,608       57,897  

6 Month CHF LIBOR

   (0.70)%   CHF      30,500,000        03/17/2023      Semi-Annually            (62,667     (62,667

0.39%

   3 Month NZD Bank Bill
Rate
  NZD      575,890,000        03/17/2023      Quarterly      (151,756     876,150       1,027,906  

3 Month SEK STIBOR

   (0.03)%   SEK      3,367,220,000        03/17/2023      Quarterly      97,434       (430,957     (528,391

1.05%

   6 Month AUD BBSW   AUD      2,650,000        03/17/2031      Semi-Annually      (1,244     151,953       153,197  

6 Month AUD BBSW

   1.01%   AUD      11,430,000        03/17/2031      Semi-Annually            (686,162     (686,162

6 Month AUD BBSW

   0.99%   AUD      13,690,000        03/17/2031      Semi-Annually            (847,223     (847,223

6 Month AUD BBSW

   1.95%   AUD      197,040,000        03/17/2031      Semi-Annually      1,344,005       1,598,957       254,952  

6 Month AUD BBSW

   1.26%   AUD      29,410,000        03/17/2031      Semi-Annually      18,377       (1,247,907     (1,266,284

3 Month CAD LIBOR

   1.50%   CAD      284,000,000        03/17/2031      Semi-Annually      29,510       (8,021,879     (8,051,389

3 Month CAD LIBOR

   1.51%   CAD      130,130,000        03/17/2031      Semi-Annually      (119,609     (3,579,855     (3,460,246

3 Month CAD LIBOR

   1.61%   CAD      24,030,000        03/17/2031      Semi-Annually            (484,148     (484,148

3 Month CAD LIBOR

   1.75%   CAD      207,360,000        03/17/2031      Semi-Annually      (254,155     (2,040,539     (1,786,384

(0.23)%

   6 Month CHF LIBOR   CHF      19,410,000        03/17/2031      Semi-Annually            689,361       689,361  

(0.25)%

   6 Month CHF LIBOR   CHF      9,780,000        03/17/2031      Semi-Annually            363,686       363,686  

6 Month CHF LIBOR

   (0.25)%   CHF      88,810,000        03/17/2031      Semi-Annually      (42,837     (3,381,695     (3,338,858

6 Month CHF LIBOR

   (0.27)%   CHF      4,490,000        03/17/2031      Semi-Annually      9,819       (179,472     (189,291

(0.21)%

   6 Month CHF LIBOR   CHF      6,050,000        03/17/2031      Semi-Annually            200,044       200,044  

(0.19)%

   6 Month CHF LIBOR   CHF      9,800,000        03/17/2031      Semi-Annually            304,388       304,388  

(0.12)%

   6 Month CHF LIBOR   CHF      31,580,000        03/17/2031      Semi-Annually      (12,736     724,072       736,808  

0.09%

   6 Month CHF LIBOR   CHF      9,480,000        03/17/2031      Semi-Annually            1,402       1,402  

3 Month NZD Bank Bill Rate

   1.10%   NZD      121,270,000        03/17/2031      Quarterly      (334,403     (7,368,489     (7,034,086

3 Month NZD Bank Bill Rate

   2.15%   NZD      134,160,000        03/17/2031      Quarterly      903,703       1,342,785       439,082  

3 Month NZD Bank Bill Rate

   1.70%   NZD      244,850,000        03/17/2031      Quarterly      (862,162     (4,975,623     (4,113,461

0.41%

   3 Month SEK STIBOR   SEK      568,940,000        03/17/2031      Quarterly      (4,476     2,709,658       2,714,134  

0.54%

   3 Month SEK STIBOR   SEK      177,400,000        03/17/2031      Quarterly      (5,759     581,346       587,105  

0.82%

   3 Month SEK STIBOR   SEK      89,800,000        03/17/2031      Quarterly            4,712       4,712  

 

       See accompanying notes to the financial statements.   87


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

 

 

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

 

Fund Pays

   Fund
Receives
  

Notional
Amount

     Expiration
Date
    

Periodic
Payment
Frequency

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

3 Month SEK STIBOR

   0.49%    SEK      139,560,000        03/17/2031      Quarterly      33,895       (536,097     (569,992

3 Month SEK STIBOR

   0.48%    SEK      67,900,000        03/17/2031      Quarterly            (266,692     (266,692

(0.25)%

   6 Month EURIBOR    EUR      27,000,000        03/19/2031      Semi-Annually      32,046       1,004,972       972,926  

(0.03)%

   6 Month EURIBOR    EUR      10,170,000        03/19/2031      Semi-Annually            105,166       105,166  

0.02%

   6 Month EURIBOR    EUR      415,380,000        03/19/2031      Semi-Annually      (125,914     1,695,185       1,821,099  

0.05%

   6 Month EURIBOR    EUR      7,530,000        03/19/2031      Semi-Annually            (1,156     (1,156

0.48%

   6 Month GBP LIBOR    GBP      117,980,000        03/19/2031      Semi-Annually      96,371       8,467,772       8,371,401  

0.54%

   6 Month GBP LIBOR    GBP      15,000,000        03/19/2031      Semi-Annually      29,851       950,569       920,718  

0.69%

   6 Month GBP LIBOR    GBP      4,830,000        03/19/2031      Semi-Annually      1,121       209,869       208,748  

0.92%

   6 Month GBP LIBOR    GBP      186,860,000        03/19/2031      Semi-Annually      333,637       2,295,305       1,961,668  

1.46%

   3 Month USD LIBOR    USD      209,540,000        03/19/2031      Quarterly      (119,068     1,428,552       1,547,620  

1.51%

   3 Month USD LIBOR    USD      11,170,000        03/19/2031      Quarterly            21,289       21,289  

1.52%

   3 Month USD LIBOR    USD      11,220,000        03/19/2031      Quarterly            9,078       9,078  

1.52%

   3 Month USD LIBOR    USD      11,220,000        03/19/2031      Quarterly            13,358       13,358  

3 Month USD LIBOR

   1.45%    USD      85,320,000        03/19/2031      Quarterly      (33,313     (663,046     (629,733
                 

 

 

   

 

 

   

 

 

 
   $ 938,915     $ (9,986,465   $ (10,925,380
  

 

 

   

 

 

   

 

 

 

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 Alphabet, Inc. Class A

  1 Month Federal Funds Rate plus 0.20%   GS   USD     14,991,499       03/08/2021     At Maturity           233,981       233,981  

Total Return on Jones Lange LaSalle, Inc.

  1 Month Federal Funds Rate plus 0.20%   GS   USD     10,728,900       03/08/2021     At Maturity           (1,447,965     (1,447,965

Total Return on Micron Technology, Inc.

  1 Month Federal Funds Rate plus 0.20%   GS   USD     15,681,250       03/08/2021     At Maturity           (1,981,504     (1,981,504

Total Return on iShares Core S&P 500 ETF

  1 Month Federal Funds Rate plus 0.23%   GS   USD     50,508,900       03/24/2021     At Maturity           879,768       879,768  

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

  Appreciation of Total Return on CSI 500 Index   GS   USD     11,268,057       12/07/2021     Monthly           63,682       63,682  

Total Return on Equity Basket (l)

  1 Month Federal Funds Rate minus 0.75%   GS   USD     3,490,089       05/24/2022     Monthly           224,726       224,726  

Total Return on Equity Basket (l)

  1 Month Federal Funds Rate minus 0.75%   GS   USD     550,691       05/24/2022     Monthly           5,718       5,718  

Total Return on Equity Basket (l)

  1 Month Federal Funds Rate minus 0.50%   GS   USD     2,198,385       05/24/2022     Monthly           67,804       67,804  

Total Return on Equity Basket (m)

  1 Month Federal Funds Rate minus 0.40%   MORD   USD     94,417,472       10/18/2022     Monthly           11,666,048       11,666,048  

Total Return on Equity Basket (l)

  1 Month Federal Funds Rate minus 0.40%   MORD   USD     958,611       10/18/2022     Monthly           (53,307     (53,307

Total Return on Equity Basket (l)

  1 Month Federal Funds Rate minus 1.00%   MORD   USD     5,443,597       10/18/2022     Monthly           411,596       411,596  

Total Return on Equity Basket (l)

  1 Month Federal Funds Rate minus 0.50%   MORD   USD     587,890       10/18/2022     Monthly           29,456       29,456  
             

 

 

   

 

 

   

 

 

 
  $  —     $ 10,100,003     $ 10,100,003  
 

 

 

   

 

 

   

 

 

 

 

88   See accompanying notes to the financial statements.       


GMO Implementation Fund

(A Series of GMO Trust)

Consolidated 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.

*

Non-income producing security.

(a)

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).

(b)

Securities are traded on separate exchanges for the same entity.

(c)

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

(d)

Investment valued using significant unobservable inputs (Note 2).

(e)

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).

(f)

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

(g)

Security is in default.

(h)

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

(i)

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

(j)

All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(k)

The rate shown represents yield-to-maturity.

(l)

Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(m)

The following table represents the individual short positions within the custom equity basket swap as of February 28, 2021:

Shares   Description   % of Equity Basket     Value ($)  

65,210,000

  Alibaba Pictures Group Ltd     11.0     9,071,475  

1,520,000

  China Cosco Holdings Co – Class H     2.0     1,688,770  

14,211,000

  China Molybdenum Co Ltd – Class H     13.2     10,960,816  

708,000

  China Resources Beer Holdings Co Ltd     6.5     5,341,667  

2,078,000

  China Yuhua Education Corp Ltd     2.1     1,717,350  

5,816,000

  Greentown Service Group Co Ltd     7.1     5,897,231  

40,000

  Haidilao International Holding Ltd     0.4     327,819  

157,900

  Hong Kong Exchanges and Clearing Ltd     11.7     9,708,141  

2,300,000

  Kingdee International Software Group Co Ltd     10.0     8,231,721  

234,000

  New World Development Co Ltd     1.4     1,190,122  

600,000

  Sands China Ltd     3.4     2,827,880  

403,000

  SJM Holdings Ltd     0.7     560,534  

2,533,200

  Wynn Resorts Ltd     5.8     4,778,033  

583,000

  Yihai International Holding Ltd.     9.7     7,983,223  

1,815,000

  Zhaojin Mining Industry Co Ltd     2.2     1,827,770  

7,192,000

  Zijin Mining Group Co Ltd – Class H     12.8     10,610,748  
     

 

 

 
  TOTAL COMMON STOCKS     $ 82,723,300  
     

 

 

 

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 118.

 

 

       See accompanying notes to the financial statements.   89


GMO International Developed Equity Allocation 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 International Developed Equity Allocation Fund returned +22.02% (net) for the fiscal year ended February 28, 2021, as compared with +22.46% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s decision to hold a broadly 10% position in emerging markets added to performance relative to the benchmark as the MSCI Emerging Markets Index returned 36.1%. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Although it is a reasonably modest exposure, stock selection in Australia was a notable success with a return of an incredible 126.2%, driven largely by a significant position in a Metals & Mining company, which was the biggest individual contributor to relative return at the total portfolio level.

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.

 

90              


GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

  

 

 

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

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2021

 

LOGO

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

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 and R6 the gross expense ratio of 0.65% and 0.65%, 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 0.63% and 0.63% 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.

 

91


GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    96.6

Short-Term Investments

    3.5  

Preferred Stocks

    1.2  

Investment Funds

    0.1  

Debt Obligations

    0.1  

Futures Contracts

    0.0

Swap Contracts

    0.0

Other

    (1.5
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤   % of Investments  

Japan

    22.6

United Kingdom

    14.7  

Netherlands

    7.2  

France

    6.6  

Germany

    6.3  

Australia

    5.0  

Switzerland

    5.0  

Spain

    4.8  

China

    3.8  

Singapore

    3.7  

Italy

    2.8  

Hong Kong

    2.6  

Portugal

    2.6  

Other Emerging

    2.5 † 

Taiwan

    2.5  

Norway

    2.1  

Sweden

    1.7  

Russia

    1.6  

Belgium

    1.0  

Other Developed

    0.9 ‡ 
 

 

 

 
    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 and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, 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.

 

^

Rounds to 0.0% .

 

 

92         


GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%  
          Affiliated Issuers — 100.0%      
    604,471     GMO Emerging Markets Fund, Class VI     22,008,788  
    8,347,829     GMO International Equity Fund, Class IV     194,337,465  
    381,473     GMO-Usonian Japan Value Creation Fund, Class VI     8,953,179  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $218,928,755)
    225,299,432  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.0%  
          Money Market Funds — 0.0%      
    53,755     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)     53,755  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $53,755)
    53,755  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $218,982,510)
    225,353,187  
    Other Assets and Liabilities (net) — 0.00%     29,757  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $225,382,944  
     

 

 

 

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 118.

 

 

       See accompanying notes to the financial statements.   93


GMO International Equity Allocation 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 International Equity Allocation Fund returned +22.67% (net) for the fiscal year ended February 28, 2021, as compared with +26.18% for the MSCI All Country World Index (“ACWI”) ex-USA Index.

The Fund’s overweight to emerging markets added to performance relative to the benchmark as the MSCI Emerging Markets Index returned 36.1% while MSCI World ex-USA returned 22.1%. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI ACWI Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Although it is a reasonably modest exposure, stock selection in Australia was a notable success with a return of an incredible 126.2%, driven largely by a significant position in a Metals & Mining company, which was the biggest individual contributor to relative return at the total portfolio level.

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.

 

94              


GMO International Equity Allocation Fund

(A Series of GMO Trust)

  

 

 

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

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 28, 2021

 

 

LOGO

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

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 and R6 the gross expense ratio of 0.67% and 0.68%, 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 0.66% and 0.66% 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.

 

95


GMO International Equity Allocation Fund

(A Series of GMO Trust)

 

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    95.6

Short-Term Investments

    2.4  

Preferred Stocks

    1.9  

Investment Funds

    0.3  

Debt Obligations

    0.2  

Futures Contracts

    0.1  

Swap Contracts

    0.0

Other

    (0.5
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤   % of Investments  

Japan

    15.6

China

    15.5  

Taiwan

    10.3  

United Kingdom

    9.4  

Russia

    6.6  

Other Emerging

    4.6 † 

Netherlands

    4.5  

France

    4.1  

Germany

    3.9  

Australia

    3.1  

Switzerland

    3.1  

Spain

    3.0  

Singapore

    2.4  

India

    1.8  

Italy

    1.7  

Hong Kong

    1.6  

Portugal

    1.6  

Korea

    1.6  

Norway

    1.3  

Other Developed

    1.2 ‡ 

Mexico

    1.1  

Indonesia

    1.0  

Sweden

    1.0  
 

 

 

 
    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 and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, 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.

 

^

Rounds to 0.0% .

 

 

96         


GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    MUTUAL FUNDS — 100.0%  
          Affiliated Issuers — 100.0%      
    9,746,665     GMO Emerging Markets Fund, Class VI     354,876,079  
    20,227,031     GMO International Equity Fund, Class IV     470,885,277  
    1,515,885     GMO-Usonian Japan Value Creation Fund, Class VI     35,577,814  
     

 

 

 
    TOTAL MUTUAL FUNDS (COST $797,168,977)     861,339,170  
     

 

 

 
          SHORT-TERM INVESTMENTS — 0.0%  
          Money Market Funds — 0.0%      
    304,576     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)     304,576  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS (COST $304,576)     304,576  
     

 

 

 
    TOTAL INVESTMENTS — 100.0%
(Cost $797,473,553)
    861,643,746  
    Other Assets and Liabilities (net) — (0.0%)     (89,574
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $861,554,172  
     

 

 

 

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 118.

 

 

       See accompanying notes to the financial statements.   97


GMO SGM Major Markets Fund

(A Series of GMO Trust)

  

 

 

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO SGM Major Markets Fund returned +5.48% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

The Fund added value from equity, currency, and commodity positions while bonds detracted value. The period saw a major rotation in risk appetite due to the COVID-19 pandemic, which saw many assets sell off early in the period, only to have them strongly recover. Over this period equities were the major positive contributor, with the timing on equity beta being the strongest component. Other strong gains came through commodities, notably the positions in oil and silver. As with many risk assets, both had significant falls in the early parts of the year, only to strongly recover during the remaining half of the period. Additionally, the Fund’s position of long euro/short U.S. dollar added significantly. Towards the end of the period, the U.S. dollar dropped significantly, with the market showing concerns around the significant levels of increase in U.S. debt and money supply.

Bonds were the major detractor over the course of the fiscal year. The portfolio had a net long position in bonds at the end of the period. The turn of the year saw a rise in inflation concerns, which in turn saw a rapid sell off in global bonds.    

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.

 

98              


GMO SGM Major Markets Fund

(A Series of GMO Trust)

  

 

 

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

GMO SGM Major Markets Fund Class III Shares, the FTSE 3-Month Treasury Bill +++ Index* and the FTSE 3-Month Treasury Bill Index

As of February 28, 2021

 

LOGO

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

 

  *

The FTSE 3-Month Treasury Bill +++ Index is a composite benchmark computed by GMO and comprised of 50% Bloomberg Commodity Total Return Index (formerly the Dow Jones-UBS Commodity Index) and 50% J.P. Morgan U.S. 3 Month Cash Index through October 3, 2011 and the FTSE 3-Month Treasury Bill Index thereafter.

For Class III, VI and I the gross expense ratio of 1.06%, 0.95% and 1.16%, 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 1.01%, 0.91% and 1.11% 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.

 

99


GMO SGM Major Markets Fund

(A Series of GMO Trust)

 

Consolidated Investment Concentration Summary (a)

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Debt Obligations

    87.6

Short-Term Investments

    9.8  

Forward Currency Contracts

    (0.4

Futures Contracts

    (1.1 )# 

Other

    4.1  
 

 

 

 
    100.0 % 
 

 

 

 

 

(a)

GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

 

&

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 exposure the Fund has to futures contracts based on notional amounts is 35.2% of net assets.

 

#

Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

 

 

100         


GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Par Value†     Description   Value ($)  
    DEBT OBLIGATIONS — 87.6%  
          United States — 87.6%      
          U.S. Government — 87.6%      
    25,000,000     U.S. Treasury Note, 1.38%, due 04/30/21     25,053,638  
    16,700,000     U.S. Treasury Note, 2.63%, due 05/15/21 (a)     16,787,669  
    47,000,000     U.S. Treasury Note, 1.38%, due 05/31/21 (b)     47,150,917  
    43,000,000     U.S. Treasury Note, 1.63%, due 06/30/21     43,226,758  
    20,000,000     U.S. Treasury Note, 1.13%, due 08/31/21     20,105,469  
    30,000,000     U.S. Treasury Note, 1.63%, due 12/31/21     30,387,891  
    30,000,000     U.S. Treasury Note, 1.50%, due 01/31/22 (b)     30,389,062  
    14,500,000     U.S. Treasury Note, 0.13%, due 04/30/22     14,502,266  
    20,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22 (b)     20,005,151  
    66,000,000     U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.08%, due 01/31/23 (a)(b)     66,005,213  
     

 

 

 
    Total U.S. Government     313,614,034  
     

 

 

 
    Total United States     313,614,034  
     

 

 

 
    TOTAL DEBT OBLIGATIONS
(COST $313,222,814)
    313,614,034  
     

 

 

 
     Shares     Description   Value ($)  
    SHORT-TERM INVESTMENTS — 9.8%

 

          Money Market Funds — 2.8%      
    7,081,135     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)     7,081,135  
    3,071,714     State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (a)     3,071,714  
     

 

 

 
    Total Money Market Funds     10,152,849  
     

 

 

 
          U.S. Government — 7.0%      
    25,000,000     U.S. Treasury Bill, 0.08%, due 02/24/22 (d)     24,979,583  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $35,135,349)
    35,132,432  
     

 

 

 
    TOTAL INVESTMENTS — 97.4%
(Cost $348,358,163)
    348,746,466  
    Other Assets and Liabilities (net) — 2.6%     9,308,863  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $358,055,329  
     

 

 

 
 

 

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) ($)
 
04/16/2021   GS     AUD       2,280,864       USD       1,770,277       14,973  
04/16/2021   MSCI     AUD       2,315,648       USD       1,821,047       38,974  
04/16/2021   UBSA     AUD       33,753,285       USD       26,122,207       146,412  
03/15/2021   DB     EUR       614,518       USD       744,418       2,753  
03/15/2021   JPM     EUR       3,575,475       USD       4,312,829       (2,434
04/16/2021   UBSA     NZD       5,960,377       USD       4,303,014       (3,546
03/31/2021   MSCI     USD       7,220,960       CAD       9,265,332       60,282  
03/15/2021   DB     USD       6,711,795       EUR       5,526,681       (41,609
03/15/2021   SSB     USD       47,073,374       EUR       38,542,557       (556,122
04/16/2021   UBSA     USD       35,541,615       EUR       29,279,541       (177,608
05/17/2021   BCLY     USD       35,215,773       EUR       29,000,000       (166,108
04/12/2021   BOA     USD       36,274,491       JPY        3,824,749,709       (376,108
05/10/2021   BCLY     USD       1,761,156       JPY        183,898,617       (34,583
05/10/2021   JPM     USD       4,288,643       JPY        452,988,720       (35,658
05/10/2021   MSCI     USD       37,954,769       JPY        4,000,000,000       (399,882
05/10/2021   UBSA     USD       8,093,946       JPY        856,722,765       (50,414
           

 

 

 
  $ (1,580,678
           

 

 

 

Futures Contracts

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Buys  
379   Australian Government Bond 10 Yr.   March 2021     39,972,816       (2,234,514
301   CAC40 10 Euro   March 2021     20,718,821       (232,178
215   Canadian Government Bond 10 Yr.   June 2021     23,615,197       (435,846
4   DAX Index   March 2021     1,663,009       (15,314
158   Gold 100 OZ (a)   April 2021     27,315,040       (2,074,784
139   Hang Seng Index   March 2021     26,025,590       (1,291,323
1,044   Mini MSCI Emerging Markets   March 2021     69,848,820       4,254,133  
201   MSCI Singapore   March 2021     5,067,592       76,507  
6   S&P/TSX 60   March 2021     1,010,656       31,116  
55   TOPIX Index   March 2021     9,737,347       (156,496
312   U.S. Treasury Note 10 Yr. (CBT)   June 2021     41,408,250       (441,112
37   WTI Crude (a)   March 2021     2,275,500       124,673  
     

 

 

   

 

 

 
  $ 268,658,638     $ (2,395,138
     

 

 

   

 

 

 
 

 

       See accompanying notes to the financial statements.   101


GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

February 28, 2021

 

 

Number
of
Contracts +
 

Type

  Expiration
Date
  Notional
Amount ($)
    Value/Net
Unrealized
Appreciation
(Depreciation) ($)
 
Sales  
524   Corn (a)   May 2021     14,344,500       (8,038
239   E-mini Russell 2000 Index   March 2021     26,280,440       (1,773,070
209   Euro Bund   March 2021     43,726,118       709,437  
70   FTSE Taiwan Index   March 2021     3,881,045       118,186  
180   FTSE/JSE TOP 40   March 2021     7,181,226       (641,801
145   S&P 500 E-Mini   March 2021     27,616,700       519,928  
4   Silver (a)   May 2021     528,800       23,416  
212   Soybean (a)   May 2021     14,885,050       (281,961
33   SPI 200   March 2021     4,212,436       (38,699)  
     

 

 

   

 

 

 
  $ 142,656,315     $ (1,372,602
     

 

 

   

 

 

 

 

+

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.

 

Notes to Schedule of Investments:

 

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

 

(a)

All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

 

(b)

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).

 

(c)

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

 

(d)

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 118.

 

 

102   See accompanying notes to the financial statements.       


 

 

 

This page has been left blank intentionally.


GMO Strategic Opportunities Allocation 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 Strategic Opportunities Allocation Fund returned +18.66% (net) for the fiscal year ended February 28, 2021, as compared with +22.30% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Bloomberg Barclays U.S. Aggregate Index).

The Fund’s equity weight was not that different from the benchmark, and as a result had minimal effect on relative performance. Within developed equities, the bias away from the decently performing U.S. market towards markets outside the U.S., which fared less well, was detrimental to performance relative to the benchmark. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. The underweighting to fixed income was additive to performance as the asset class did relatively less well, and this was complemented by good performance within fixed income. The Fund’s exposure to alternative strategies detracted from relative performance, as they did not manage to keep up with the return generated by the Fund’s benchmark.

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.

 

104              


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

  

 

 

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

GMO Strategic Opportunities Allocation Fund Class III Shares, the GMO Strategic Opportunities Allocation Index*, the MSCI World Index and the Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2021

 

LOGO

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

 

  *

The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg Barclays U.S. Aggregate Index.

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 the gross expense ratio of 0.55% 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 0.52% 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.

 

105


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

 

Asset Class Summary&   % of Total Net Assets  

Common Stocks

    90.0

Debt Obligations

    5.3  

Short-Term Investments

    3.1  

Preferred Stocks

    1.2  

Swap Contracts

    0.3  

Investment Funds

    0.2  

Futures Contracts

    0.0

Loan Participations

    0.0

Loan Assignments

    0.0

Rights/Warrants

    0.0

Purchased Options

    0.0

Forward Currency Contracts

    (0.0 )^ 

Written/Credit Linked Options

    (0.0 )^ 

Reverse Repurchase Agreements

    (0.0 )^ 

Securities Sold Short

    (18.1

Other

    18.0  
 

 

 

 
    100.0 % 
 

 

 

 
 
Country/Region Summary¤   % of Total Net Assets  

Other Emerging

    3.1 †% 

Other Developed

    0.4 ‡ 

Euro Region

    0.0 ^# 
 

 

 

 
    3.5 % 
 

 

 

 
 
Country/Region Summary¤   % of Total Net Assets  

United States

    18.8

Japan

    10.1  

China

    9.1  

Taiwan

    5.8  

Other Developed

    5.0 ‡ 

United Kingdom

    4.4  

Other Emerging

    4.3 † 

Russia

    3.9  

Netherlands

    2.0  

France

    1.5  

Germany

    1.4  

Hong Kong

    1.3  

Australia

    1.2  

India

    1.2  

Spain

    1.1  

Canada

    1.0  

Italy

    1.0  

Euro Region

    0.0 ^# 
 

 

 

 
    73.1 % 
 

 

 

 
&

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 the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

 

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

 

“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

 

#

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

 

^

Rounds to 0.0%.

 

 

106              


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
    COMMON STOCKS — 39.8%  
          Australia — 1.2%      
    25,635     Accent Group Ltd     42,823  
    11,314     Ansell Ltd (a)     314,431  
    26,425     Asaleo Care Ltd     28,853  
    5,505     AUB Group Ltd     80,785  
    48,596     Australian Pharmaceutical Industries Ltd     41,608  
    6,924     Bank of Queensland Ltd * (b)     46,872  
    2,073     Bank of Queensland Ltd * (b)     11,724  
    58,529     BlueScope Steel Ltd     747,484  
    10,252     Computershare Ltd (a)     104,894  
    25,239     Coronado Global Resources Inc CDI     21,089  
    5,667     CSR Ltd     23,882  
    91,797     Dexus (REIT)     629,711  
    48,293     Fortescue Metals Group Ltd     891,883  
    34,199     G8 Education Ltd *     28,371  
    31,008     Genworth Mortgage Insurance Australia Ltd     61,669  
    263,023     GPT Group (The) (REIT)     863,918  
    10,503     GWA Group Ltd     24,688  
    10,559     JB Hi-Fi Ltd     354,256  
    13,003     McMillan Shakespeare Ltd     124,666  
    162,536     Mirvac Group (REIT)     280,149  
    7,826     Rio Tinto Ltd     767,887  
    34,636     Sandfire Resources Ltd     161,888  
    421,607     Scentre Group (REIT)     933,580  
    74,325     Stockland (REIT)     237,482  
     

 

 

 
    Total Australia     6,824,593  
     

 

 

 
          Belgium — 0.4%      
    34,701     Ageas SA/NV     1,945,051  
    16,078     bpost SA *     174,150  
    2,090     Etablissements Franz Colruyt NV     125,202  
    1,872     UCB SA     185,621  
     

 

 

 
    Total Belgium     2,430,024  
     

 

 

 
          Canada — 1.0%      
    13,976     Brookfield Asset Management Inc – Class A     563,932  
    6,200     Canadian Apartment Properties (REIT)     248,663  
    1,200     Canadian Tire Corp Ltd – Class A     155,059  
    1,800     Canadian Western Bank     47,313  
    2,000     Canfor Corp *     40,798  
    12,500     Cascades Inc     164,918  
    18,258     Celestica Inc *     151,361  
    6,900     CI Financial Corp     96,620  
    1,500     Cogeco Inc (a)     110,066  
    800     iA Financial Corp Inc     41,106  
    4,800     IGM Financial Inc     130,957  
    14,500     Imperial Oil Ltd     317,779  
    7,100     Intertape Polymer Group Inc     133,732  
    900     Laurentian Bank of Canada     24,653  
     Shares     Description   Value ($)  
          Canada — continued      
    6,200     Linamar Corp     346,442  
    9,500     Magna International Inc     800,177  
    4,700     Martinrea International Inc     54,955  
    2,900     Mullen Group Ltd     22,834  
    10,217     Nutrien Ltd     551,309  
    21,200     Power Corp of Canada     511,092  
    12,100     RioCan Real Estate Investment Trust     180,273  
    34,900     TELUS Corp     699,316  
    400     TFI International Inc     27,940  
    25,700     Tourmaline Oil Corp     467,713  
    8,900     Transcontinental Inc – Class A     152,949  
     

 

 

 
    Total Canada     6,041,957  
     

 

 

 
          China — 1.2%      
    82,000     Agile Group Holdings Ltd     115,806  
    929,000     Bank of Communications Co Ltd – Class H     524,398  
    21,000     Beijing Enterprises Holdings Ltd     72,679  
    276,000     China Communications Services Corp Ltd – Class H     130,548  
    6,123,000     China Huarong Asset Management Co Ltd – Class H     725,295  
    28,000     China Overseas Land & Investment Ltd     70,946  
    1,675,000     China Railway Group Ltd – Class H     884,544  
    786,400     China Zhongwang Holdings Ltd *     231,050  
    756,000     Dongfeng Motor Group Co Ltd – Class H     694,017  
    91,000     Fosun International Ltd     136,518  
    618,400     Guangzhou R&F Properties Co Ltd – Class H     825,334  
    37,500     Kingboard Holdings Ltd     172,759  
    95,000     Legend Holdings Corp – Class H     141,682  
    32,000     Momo Inc Sponsored ADR (a)     506,880  
    84,000     Seazen Group Ltd *     101,434  
    78,400     Shanghai Pharmaceuticals Holding Co Ltd – Class H     143,802  
    163,500     Shimao Group Holdings Ltd     538,397  
    156,400     Sinopharm Group Co Ltd – Class H     366,182  
    600,000     Skyworth Group Ltd *     188,526  
    642,000     Yuzhou Group Holdings Co Ltd     247,451  
     

 

 

 
    Total China     6,818,248  
     

 

 

 
          Denmark — 0.5%      
    52,028     Danske Bank A/S *     956,427  
    18,316     Demant A/S * (a)     752,882  
    1,699     Matas A/S *     22,455  
    8,695     Pandora A/S     844,157  
    7,513     Scandinavian Tobacco Group A/S     139,462  
     

 

 

 
    Total Denmark     2,715,383  
     

 

 

 
          Finland — 0.3%      
    8,939     Kesko Oyj – B Shares     227,445  
    11,433     Neste Oyj     755,151  
    123,614     Nokia Oyj *     492,493  
 

 

       See accompanying notes to the financial statements.   107


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Finland — continued      
    2,184     Uponor Oyj     45,766  
     

 

 

 
    Total Finland     1,520,855  
     

 

 

 
          France — 1.4%      
    7,508     ALD SA     109,916  
    10,399     APERAM SA     435,863  
    8,871     Atos SE * (a)     693,352  
    11,851     Derichebourg SA *     94,232  
    2,325     Eiffage SA *     238,975  
    2,665     IPSOS (a)     103,222  
    731     Kering SA     462,320  
    1,025     LVMH Moet Hennessy Louis Vuitton SE     649,459  
    5,872     Metropole Television SA * (a)     117,147  
    22,675     Publicis Groupe SA (a)     1,333,319  
    3,784     Quadient SA     86,171  
    26,839     Renault SA *     1,205,233  
    5,341     Safran SA *     728,045  
    1,657     Societe BIC SA     93,072  
    29,692     Societe Generale SA *     734,769  
    1,723     Tarkett SA *     26,175  
    16,809     Television Francaise 1 * (a)     146,380  
    2,903     Unibail-Rodamco-Westfield (REIT) *     213,734  
    13,330     Valeo SA     471,109  
    1,504     Vicat SA     72,233  
     

 

 

 
    Total France     8,014,726  
     

 

 

 
          Germany — 1.3%      
    52,977     Aroundtown SA (a)     385,225  
    3,579     Aurubis AG     312,213  
    12,482     Bayer AG (Registered)     758,171  
    2,677     Bayerische Motoren Werke AG     231,317  
    2,829     CropEnergies AG     38,330  
    11,737     Daimler AG (Registered)     940,900  
    29,462     Deutsche Lufthansa AG (Registered) *     439,637  
    39,289     Deutsche Pfandbriefbank AG *     428,485  
    1,843     Deutsche Wohnen SE (a)     86,626  
    15,830     Dialog Semiconductor Plc *     1,230,512  
    387     Draegerwerk AG & Co KGaA (a)     28,781  
    8,071     Fresenius SE & Co KGaA (a)     345,786  
    15,667     HeidelbergCement AG     1,239,152  
    2,041     Hornbach Baumarkt AG     82,972  
    2,348     Hornbach Holding AG & Co KGaA     221,599  
    3,815     ProSiebenSat.1 Media SE *(a)     77,892  
    4,932     SAP SE     610,023  
    4,351     Takkt AG *     61,271  
    4,699     VERBIO Vereinigte BioEnergie AG     187,884  
     

 

 

 
    Total Germany     7,706,776  
     

 

 

 
          Greece — 0.0%      
    1,072     JUMBO SA     17,653  
     

 

 

 
     Shares     Description   Value ($)  
          Hong Kong — 0.8%      
    19,000     Chow Sang Sang Holdings International Ltd     25,726  
    260,000     CITIC Telecom International Holdings Ltd     84,152  
    125,500     CK Hutchison Holdings Ltd     947,069  
    21,200     Dah Sing Financial Holdings Ltd     68,528  
    1,640,000     First Pacific Co Ltd     538,042  
    11,000     Hang Lung Group Ltd     27,565  
    106,000     Hongkong Land Holdings Ltd     509,247  
    78,500     Johnson Electric Holdings Ltd     226,535  
    102,000     K Wah International Holdings Ltd     52,436  
    130,000     Kerry Properties Ltd     418,816  
    32,000     NWS Holdings Ltd     36,137  
    191,000     Pacific Textiles Holdings Ltd     122,302  
    1,255,000     PCCW Ltd     719,759  
    298,000     Shun Tak Holdings Ltd     100,962  
    60,000     Sun Hung Kai & Co Ltd     25,739  
    15,500     Swire Pacific Ltd – Class A     113,602  
    138,000     VSTECS Holdings Ltd     123,748  
    64,900     VTech Holdings Ltd     543,848  
    128,000     Yue Yuen Industrial Holdings Ltd     272,602  
     

 

 

 
    Total Hong Kong     4,956,815  
     

 

 

 
          India — 0.4%      
    138,544     Indiabulls Housing Finance Ltd *     411,763  
    57,083     NTPC Ltd     83,141  
    674,570     Oil & Natural Gas Corp Ltd     1,022,295  
    428,030     REC Ltd     788,108  
     

 

 

 
    Total India     2,305,307  
     

 

 

 
          Indonesia — 0.0%      
    54,200     Indah Kiat Pulp & Paper Corp Tbk PT     49,933  
     

 

 

 
          Ireland — 0.3%      
    73,883     AIB Group Plc *     164,920  
    67,187     Bank of Ireland Group Plc *     271,409  
    2,237     Glanbia Plc     28,897  
    71,600     Hibernia REIT Plc     96,825  
    9,692     Origin Enterprises Plc     40,955  
    34,140     Ryanair Holdings Plc *     681,086  
    9,904     Smurfit Kappa Group Plc     466,817  
     

 

 

 
    Total Ireland     1,750,909  
     

 

 

 
          Israel — 0.2%      
    1,400     Check Point Software Technologies Ltd *     154,336  
    11,916     Isracard Ltd     40,673  
    71,200     Teva Pharmaceutical Industries Ltd Sponsored ADR *     766,112  
     

 

 

 
    Total Israel     961,121  
     

 

 

 
          Italy — 1.0%      
    132,444     A2A SPA     222,178  
 

 

108   See accompanying notes to the financial statements.       


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Italy — continued      
    16,772     Anima Holding SPA     80,345  
    3,839     Ascopiave SPA     16,582  
    10,009     Banca Mediolanum SPA *     87,001  
    31,757     Banca Popolare di Sondrio SCPA *     91,295  
    1,474     Biesse SPA *     38,856  
    29,391     Buzzi Unicem SPA     740,928  
    3,639     Cementir Holding NV     34,873  
    24,971     EXOR NV     2,001,646  
    9,108     Italgas SPA     53,544  
    1,690     La Doria SPA     28,651  
    42,329     Leonardo SPA     337,617  
    4,447     Poste Italiane SPA     50,382  
    348     Sesa SPA *     47,232  
    1,090,532     Telecom Italia SPA     517,800  
    1,578,884     Telecom Italia SPA – RSP     846,441  
    96,154     Unipol Gruppo SPA *     498,495  
     

 

 

 
    Total Italy     5,693,866  
     

 

 

 
          Japan — 10.1%      
    1,700     77 Bank Ltd (The)     22,458  
    4,100     ADEKA Corp     69,073  
    2,500     Aeon Delight Co Ltd     74,738  
    39,500     Aeon Mall Co Ltd     668,477  
    73,300     Amada Co Ltd     895,580  
    9,800     Amano Corp     220,926  
    600     Arata Corp     25,285  
    6,400     Arcland Sakamoto Co Ltd     91,968  
    21,400     Arcs Co Ltd     442,632  
    76,000     Asahi Kasei Corp     824,495  
    39,100     Asics Corp     644,617  
    22,000     Astellas Pharma Inc     347,846  
    2,900     Belluna Co Ltd     28,273  
    23,300     Brother Industries Ltd     461,685  
    6,000     Central Japan Railway Co     988,646  
    39,100     Chugoku Marine Paints Ltd     332,783  
    2,100     Credit Saison Co Ltd     26,418  
    200     Dai Nippon Toryo Co Ltd     1,698  
    10,900     Daihen Corp     465,279  
    400     Daiichi Jitsugyo Co Ltd     15,508  
    900     Daishi Hokuetsu Financial Group Inc     19,963  
    10,900     Daiwa House Industry Co Ltd (a)     309,190  
    13,800     Daiwabo Holdings Co Ltd     1,032,411  
    23,100     Denka Co Ltd     872,981  
    3,100     Dexerials Corp     45,202  
    5,900     Doshisha Co Ltd     98,101  
    21,100     Ebara Corp     795,074  
    800     Eizo Corp     27,793  
    9,800     Electric Power Development Co Ltd     160,275  
    1,000     ESPEC Corp     17,062  
    14,400     Fuji Corp     340,488  
    2,500     Fuji Media Holdings Inc (a)     30,370  
     Shares     Description   Value ($)  
          Japan — continued      
    1,900     Fujimi Inc     70,394  
    2,700     Geo Holdings Corp     30,380  
    15,200     GungHo Online Entertainment Inc (a)     311,295  
    22,900     Gunma Bank Ltd (The)     73,763  
    6,500     Hachijuni Bank Ltd (The)     21,498  
    2,100     Hanwa Co Ltd     54,954  
    69,400     Haseko Corp     863,152  
    94,600     Hazama Ando Corp     710,620  
    2,100     Heiwado Co Ltd     38,543  
    5,600     Hirogin Holdings Inc     33,041  
    2,200     Hisamitsu Pharmaceutical Co Inc     137,872  
    8,400     Hitachi Ltd     387,431  
    12,900     Hogy Medical Co Ltd (a)     369,408  
    5,400     Hokuhoku Financial Group Inc     48,909  
    31,100     Honda Motor Co Ltd     859,644  
    13,800     Horiba Ltd     828,774  
    1,400     Iida Group Holdings Co Ltd     31,850  
    3,300     Inaba Denki Sangyo Co Ltd     78,596  
    25,500     Inabata & Co Ltd     360,638  
    146,600     Inpex Corp     1,090,057  
    32,300     ITOCHU Corp     964,737  
    3,000     Itochu Enex Co Ltd     28,929  
    4,200     Iyo Bank Ltd (The)     24,372  
    3,000     Jaccs Co Ltd     57,784  
    18,100     JAFCO Group Co Ltd     1,110,198  
    27,700     Japan Post Insurance Co Ltd     569,571  
    1,100     Juroku Bank Ltd (The)     20,441  
    40,400     JVCKenwood Corp     70,499  
    69,300     K’s Holdings Corp     929,579  
    24,300     Kadokawa Corp (a)     894,609  
    23,200     Kajima Corp     297,742  
    15,700     Kanamoto Co Ltd     350,049  
    43,700     Kanematsu Corp     557,870  
    700     Kanematsu Electronics Ltd (a)     23,313  
    35,800     KDDI Corp     1,116,010  
    7,800     Kinden Corp     127,824  
    1,800     Kissei Pharmaceutical Co Ltd     35,987  
    5,000     Kohnan Shoji Co Ltd     136,372  
    5,900     Kokuyo Co Ltd     84,487  
    5,900     Komeri Co Ltd     159,054  
    105,600     Konica Minolta Inc     539,542  
    30,600     Konoike Transport Co Ltd     298,095  
    1,100     Kureha Corp     72,924  
    28,200     Kyowa Exeo Corp     722,683  
    20,200     Kyudenko Corp     668,477  
    30,300     Macromill Inc     242,853  
    22,500     Mandom Corp     384,621  
    28,500     Maruichi Steel Tube Ltd     653,890  
    500     Maruzen Showa Unyu Co Ltd     14,397  
    36,100     Maxell Holdings Ltd *     473,193  
    4,900     Meidensha Corp     105,684  
 

 

       See accompanying notes to the financial statements.   109


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Japan — continued      
    25,100     Mitsubishi Gas Chemical Co Inc     587,912  
    208,100     Mitsubishi UFJ Financial Group Inc     1,094,543  
    1,000     Mitsuboshi Belting Ltd     15,508  
    7,000     Mitsui Chemicals Inc     216,845  
    1,200     Mitsui Sugar Co Ltd     21,223  
    14,600     Mixi Inc (a)     367,991  
    1,200     Mizuho Leasing Co Ltd     37,473  
    9,300     Morinaga & Co Ltd     335,891  
    26,400     MS&AD Insurance Group Holdings Inc     749,357  
    4,200     NEC Networks & System Integration Corp (a)     69,788  
    20,800     NH Foods Ltd     880,007  
    1,500     Nichiha Corp     42,367  
    10,100     Nikkon Holdings Co Ltd     194,606  
    5,000     Nippo Corp     130,883  
    7,550     Nippon Light Metal Holdings Co Ltd     149,775  
    2,200     Nippon Soda Co Ltd     69,373  
    900     Nippon Steel Trading Corp     31,706  
    34,700     Nippon Telegraph & Telephone Corp     898,905  
    4,600     Nippon Television Holdings Inc (a)     61,246  
    7,700     Nishi-Nippon Financial Holdings Inc     50,488  
    1,300     Nishio Rent All Co Ltd     32,117  
    1,200     Nisshin Oillio Group Ltd (The)     35,543  
    3,700     Nissin Electric Co Ltd     43,290  
    500     Nitto Denko Corp     42,919  
    2,600     Nojima Corp     68,317  
    4,100     Nomura Real Estate Holdings Inc     92,960  
    800     Obara Group Inc     28,577  
    159,700     Obayashi Corp     1,378,656  
    118,600     ORIX Corp     2,023,638  
    600     Osaka Soda Co Ltd     14,459  
    30,300     Pacific Industrial Co Ltd     329,963  
    33,700     Penta-Ocean Construction Co Ltd     251,870  
    1,600     Pressance Corp     22,280  
    2,000     Proto Corp     21,072  
    21,200     Raiznext Corp     227,911  
    85,000     Resona Holdings Inc     343,462  
    1,100     Rinnai Corp     111,555  
    2,400     Rohm Co Ltd     237,651  
    7,600     San-A Co Ltd     296,472  
    2,200     San-Ai Oil Co Ltd     22,069  
    6,100     Sanki Engineering Co Ltd     74,573  
    6,700     Sankyu Inc     280,680  
    4,000     Sanwa Holdings Corp     49,729  
    1,000     Sanyo Chemical Industries Ltd     47,501  
    7,900     Secom Co Ltd     687,893  
    6,600     Sekisui Chemical Co Ltd     118,279  
    43,400     Sekisui House Ltd     818,898  
    600     Sekisui Jushi Corp     10,948  
    800     Shimamura Co Ltd     79,941  
    127,200     Shimizu Corp     966,285  
    4,700     Shizuoka Bank Ltd (The)     34,495  
     Shares     Description   Value ($)  
          Japan — continued      
    1,600     Shizuoka Gas Co Ltd     13,948  
    1,500     Sinko Industries Ltd     26,673  
    93,500     SKY Perfect JSAT Holdings Inc (a)     396,530  
    111,600     Sumitomo Chemical Co Ltd     543,304  
    66,400     Sumitomo Dainippon Pharma Co Ltd     1,055,439  
    44,400     Sumitomo Forestry Co Ltd     800,293  
    8,000     Sumitomo Mitsui Trust Holdings Inc     264,140  
    500     Sumitomo Seika Chemicals Co Ltd     18,264  
    1,400     Suzuki Motor Corp     61,068  
    18,200     T Hasegawa Co Ltd     317,363  
    1,500     T&D Holdings Inc     20,431  
    23,000     Tachi-S Co Ltd     229,715  
    17,300     Taisei Corp     613,474  
    30,500     Takara Holdings Inc     410,624  
    7,900     Takara Leben Co Ltd     25,629  
    4,100     Takasago Thermal Engineering Co Ltd     60,886  
    5,300     Takeuchi Manufacturing Co Ltd     134,966  
    24,800     Takuma Co Ltd     487,852  
    2,600     Tamron Co Ltd     47,059  
    49,600     Teijin Ltd     855,705  
    31,000     TIS Inc (a)     645,341  
    27,700     Toho Holdings Co Ltd (a)     480,947  
    311,500     Tokyo Electric Power Co Holdings Inc *     1,003,349  
    16,300     Tokyo Seimitsu Co Ltd     714,396  
    3,500     Toppan Forms Co Ltd     33,538  
    69,500     Toppan Printing Co Ltd     1,098,072  
    13,700     Toray Industries Inc     90,377  
    31,200     Tosei Corp     294,349  
    66,000     Tosoh Corp     1,213,269  
    800     Totetsu Kogyo Co Ltd     19,344  
    11,800     Toyo Suisan Kaisha Ltd     502,340  
    10,800     Toyota Industries Corp     927,908  
    1,700     TS Tech Co Ltd     47,586  
    11,100     Tsumura & Co     349,384  
    2,800     YAMABIKO Corp     29,376  
    7,500     Yamaguchi Financial Group Inc     46,404  
    2,800     Yamazen Corp     25,012  
    3,100     Yellow Hat Ltd     48,872  
    37,200     Yokogawa Electric Corp     711,458  
    900     Yuasa Trading Co Ltd     24,927  
    16,400     Zenkoku Hosho Co Ltd     757,156  
     

 

 

 
    Total Japan     58,780,558  
     

 

 

 
          Malta — 0.0%      
    125,500     BGP Holdings Plc (c)      
     

 

 

 
          Mexico — 0.3%      
    73,341     Fomento Economico Mexicano SAB de CV     500,392  
    213,200     Grupo Mexico SAB de CV – Series B     1,010,715  
     

 

 

 
    Total Mexico     1,511,107  
     

 

 

 
 

 

110   See accompanying notes to the financial statements.       


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Netherlands — 1.3%      
    10,281     ABN AMRO Bank NV CVA *     118,216  
    140,858     Aegon NV     675,095  
    18,100     AerCap Holdings NV *     872,058  
    17,805     ASR Nederland NV     743,900  
    91,183     ING Groep NV     998,701  
    23,694     Koninklijke Ahold Delhaize NV     625,634  
    3,346     NN Group NV     154,497  
    123,961     PostNL NV *     526,976  
    23,651     Randstad NV *     1,581,735  
    24,896     Signify NV *     1,084,839  
    560     TomTom NV *     5,256  
     

 

 

 
    Total Netherlands     7,386,907  
     

 

 

 
          New Zealand — 0.1%      
    139,528     Meridian Energy Ltd     574,399  
     

 

 

 
          Norway — 0.4%      
    9,153     Austevoll Seafood ASA     104,869  
    46,695     BW LPG Ltd     277,245  
    52,704     Elkem ASA     185,320  
    3,128     Entra ASA     64,925  
    25,472     Europris ASA     148,949  
    1,208     Kongsberg Gruppen ASA     24,630  
    87,106     Norsk Hydro ASA     482,241  
    15,100     Norwegian Finans Holding ASA *     133,056  
    72,231     Orkla ASA     665,292  
    2,664     SpareBank 1 Nord Norge     23,607  
    4,533     SpareBank 1 SMN     52,335  
    11,251     SpareBank 1 SR-Bank ASA *     129,580  
     

 

 

 
    Total Norway     2,292,049  
     

 

 

 
          Portugal — 0.2%      
    25,316     Altri SGPS SA     183,789  
    1,956,817     Banco Comercial Portugues SA – Class R *     275,614  
    26,397     CTT-Correios de Portugal SA *     79,479  
    47,611     Galp Energia SGPS SA     532,217  
    49,113     Mota-Engil SGPS SA *     86,546  
    40,264     Navigator Co SA (The) *     136,178  
    32,571     REN – Redes Energeticas Nacionais SGPS SA     89,224  
    110,844     Sonae SGPS SA     90,474  
     

 

 

 
    Total Portugal     1,473,521  
     

 

 

 
          Russia — 0.2%      
    6,685     LUKOIL PJSC Sponsored ADR     498,109  
    3,203     Novatek PJSC Sponsered GDR (Registered)     548,058  
     

 

 

 
    Total Russia     1,046,167  
     

 

 

 
          Singapore — 0.4%      
    140,800     CapitaLand Ltd     333,345  
    18,200     City Developments Ltd     99,656  
     Shares     Description   Value ($)  
          Singapore — continued      
    265,000     ComfortDelGro Corp Ltd     318,449  
    21,500     Jardine Cycle & Carriage Ltd     337,778  
    136,500     Sembcorp Industries Ltd     176,160  
    150,400     Singapore Airlines Ltd *     557,470  
    77,100     SPH (REIT)     47,592  
    68,000     StarHub Ltd     64,718  
    736,400     Yangzijiang Shipbuilding Holdings Ltd     587,974  
    58,400     Yanlord Land Group Ltd     50,140  
     

 

 

 
    Total Singapore     2,573,282  
     

 

 

 
          South Africa — 0.1%      
    63,746     Bidvest Group Ltd (The)     706,927  
     

 

 

 
          South Korea — 0.0%      
    2,600     Yuhan Corp     143,275  
     

 

 

 
          Spain — 1.0%  
    15,146     Acerinox SA     175,564  
    28,750     ACS Actividades de Construccion y Servicios SA     878,440  
    8,329     Amadeus IT Group SA * (a)     581,508  
    18,094     Atresmedia Corp de Medios de Comunicacion SA * (a)     75,193  
    127,551     Banco Bilbao Vizcaya Argentaria SA     709,295  
    98,448     Banco de Sabadell SA     49,126  
    281,882     Banco Santander SA *     980,130  
    5,728     Bankinter SA     37,753  
    11,235     Cia de Distribucion Integral Logista Holdings SA     216,188  
    6,423     Ebro Foods SA     138,508  
    3,655     Grupo Catalana Occidente SA     136,434  
    17,569     Industria de Diseno Textil SA     579,306  
    130,329     Liberbank SA *     40,611  
    36,347     Mapfre SA     68,823  
    40,863     Mediaset Espana Comunicacion SA * (a)     244,332  
    110     Prosegur Cia de Seguridad SA     338  
    41,479     Red Electrica Corp SA     692,961  
    175,523     Unicaja Banco SA *     152,900  
     

 

 

 
    Total Spain     5,757,410  
     

 

 

 
          Sweden — 0.2%  
    18,202     Betsson AB *     148,630  
    11,030     Inwido AB *     167,346  
    74,646     Nordea Bank Abp     676,056  
     

 

 

 
    Total Sweden     992,032  
     

 

 

 
          Switzerland — 0.3%  
    11,878     Adecco Group AG (Registered)     747,563  
    5,827     Banque Cantonale Vaudoise (Registered)     610,687  
    1,336     BKW AG     147,787  
     

 

 

 
    Total Switzerland     1,506,037  
     

 

 

 
 

 

       See accompanying notes to the financial statements.   111


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Taiwan — 0.1%  
    59,000     Hon Hai Precision Industry Co Ltd     237,017  
    33,000     Pou Chen Corp     35,761  
    120,000     Ruentex Development Co Ltd     179,721  
     

 

 

 
    Total Taiwan     452,499  
     

 

 

 
          United Kingdom — 3.4%  
    13,929     Aggreko Plc     156,593  
    3,454     Antofagasta Plc     86,205  
    28,983     Aviva Plc     146,839  
    3,420     Bank of Georgia Group Plc *     47,362  
    89,018     Barratt Developments Plc *     827,275  
    6,164     Bellway Plc     241,604  
    22,933     Berkeley Group Holdings Plc (The)     1,299,316  
    475,588     BT Group Plc *     823,204  
    13,167     Bunzl Plc     411,083  
    9,199     Carnival Plc *     204,881  
    7,431     Central Asia Metals Plc     24,967  
    3,974     CMC Markets Plc     22,567  
    16,646     Coca-Cola HBC AG *     521,994  
    39,922     Compass Group Plc *     810,694  
    2,345     Computacenter Plc (a)     68,363  
    2,268     Daily Mail & General Trust Plc – Class A (a)     28,619  
    27,087     Diversified Gas & Oil Plc     47,319  
    15,281     Evraz Plc     122,676  
    10,660     Ferguson Plc     1,261,196  
    70,067     Ferrexpo Plc     328,599  
    26,408     Frasers Group Plc *     173,130  
    4,488     Go-Ahead Group Plc (The) *     73,174  
    26,858     Halfords Group Plc *     108,148  
    25,459     Hays Plc *     54,159  
    38,906     IG Group Holdings Plc     424,357  
    13,671     IMI Plc     250,720  
    29,866     Indivior Plc *     53,379  
    28,860     Investec Plc     78,709  
    187,403     ITV Plc * (a)     287,929  
    57,099     J Sainsbury Plc     180,719  
    16,958     Jupiter Fund Management Plc     69,887  
    37,651     Just Group Plc *     47,417  
    334,138     Kingfisher Plc *     1,238,465  
    478,570     M&G Plc     1,232,622  
    185,278     Micro Focus International Plc * (a)     1,087,736  
    12,455     Mitchells & Butlers Plc *     52,586  
    9,278     Mondi Plc     223,893  
    6,115     Morgan Advanced Materials Plc     26,491  
    4,384     Morgan Sindall Group Plc     101,275  
    15,836     National Express Group Plc *     65,958  
    16,453     National Grid Plc     185,005  
    4,545     Numis Corp Plc     21,017  
    26,353     OSB Group Plc *     162,868  
    16,757     Paragon Banking Group Plc     105,017  
     Shares     Description   Value ($)  
          United Kingdom — continued  
    44,625     Persimmon Plc     1,617,003  
    18,455     Pets at Home Group Plc     101,751  
    51,523     Phoenix Group Holdings Plc     511,341  
    35,626     Playtech Plc *     235,260  
    17,484     Plus500 Ltd     334,918  
    84,671     Premier Foods Plc *     106,935  
    26,685     QinetiQ Group Plc     111,121  
    3,659     Redde Northgate Plc     14,034  
    4,144     Redrow Plc     31,551  
    578     RHI Magnesita NV     31,664  
    40,541     Royal Dutch Shell Plc – B Shares     794,739  
    6,575     Royal Mail Plc *     41,679  
    3,697     Smiths Group Plc     75,710  
    23,843     Spirent Communications Plc     78,326  
    7,940     Stock Spirits Group Plc     29,320  
    57,145     Tate & Lyle Plc     580,193  
    201,271     Taylor Wimpey Plc *     444,083  
    5,131     Vistry Group Plc *     60,341  
    70,655     WPP Plc (a)     844,994  
     

 

 

 
    Total United Kingdom     19,830,980  
     

 

 

 
          United States — 11.7%  
    4,900     Alexion Pharmaceuticals, Inc.*     748,475  
    10,600     Alliance Data Systems Corp. (a)     1,022,900  
    12,200     Ally Financial, Inc.     506,300  
    5,475     American Express Co.     740,548  
    200     Anthem, Inc. (a)     60,638  
    8,200     Arrow Electronics, Inc. *     822,132  
    23,100     AT&T, Inc.     644,259  
    19,500     Athene Holding Ltd. – Class A *     889,005  
    5,200     Bed Bath & Beyond, Inc. *     139,672  
    2,500     Biogen, Inc. *     682,200  
    300     Booking Holdings, Inc. *     698,553  
    3,300     Booz Allen Hamilton Holding Corp. (a)     254,562  
    24,200     BorgWarner, Inc.     1,089,000  
    8,600     Capital One Financial Corp.     1,033,634  
    19,100     Carnival Corp. *     510,925  
    16,900     Carrier Global Corp.     617,357  
    13,500     CBRE Group, Inc. – Class A *(a)     1,022,895  
    10,100     Centene Corp. * (a)     591,254  
    12,073     Charles Schwab Corp. (The)     745,146  
    5,300     Chevron Corp.     530,000  
    3,600     Cigna Corp. (a)     755,640  
    2,500     Cisco Systems, Inc.     112,175  
    14,700     Citigroup, Inc.     968,436  
    12,000     Citizens Financial Group, Inc.     521,280  
    10,155     Coca-Cola Co. (The)     497,493  
    7,900     Cognizant Technology Solutions Corp. – Class A (a)     580,492  
    15,600     Comcast Corp. – Class A (a)     822,432  
    18,900     Corteva, Inc.     853,335  
    36,800     Coty Inc. – Class A *     282,256  
 

 

112   See accompanying notes to the financial statements.       


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          United States — continued  
    11,300     CVS Health Corp. (a)     769,869  
    400     Discover Financial Services     37,628  
    24,100     DISH Network Corp. – Class A * (a)     759,391  
    9,600     DR Horton, Inc.     737,952  
    3,700     Dropbox, Inc. – Class A * (a)     83,417  
    7,600     Edwards Lifesciences Corp. * (a)     631,560  
    11,957     EOG Resources, Inc.     771,944  
    15,200     Exelon Corp.     586,720  
    6,400     Expedia Group, Inc. *     1,030,400  
    18,400     Exxon Mobil Corp.     1,000,408  
    2,400     FleetCor Technologies, Inc. * (a)     665,544  
    80,500     Ford Motor Co.*     941,850  
    14,300     Fox Corp. – Class A (a)     476,333  
    19,800     Fox Corp. – Class B (a)     632,214  
    16,800     General Motors Co. *     862,344  
    10,400     Gilead Sciences, Inc.     638,560  
    3,200     Goldman Sachs Group, Inc. (The)     1,022,336  
    5,200     Hasbro, Inc.     487,292  
    4,901     Hilton Worldwide Holdings, Inc. *     606,156  
    2,551     Honeywell International, Inc.     516,195  
    25,100     HP, Inc.     727,147  
    14,400     Intel Corp.     875,232  
    7,300     International Business Machines Corp. (a)     868,189  
    34,000     Invesco Ltd.     762,280  
    4,200     Jazz Pharmaceuticals Plc *     705,768  
    62,800     Kinder Morgan, Inc.     923,160  
    13,700     Kohl’s Corp. *     756,925  
    14,400     Kraft Heinz Co. (The)     523,872  
    17,100     Kroger Co. (The)     550,791  
    2,400     Laboratory Corp. of America Holdings * (a)     575,784  
    8,595     Las Vegas Sands Corp.     538,047  
    4,900     Leidos Holdings, Inc. * (a)     433,405  
    8,900     Lennar Corp. – Class A     738,433  
    17,200     Lincoln National Corp.     978,164  
    4,200     LKQ Corp. *     165,438  
    74,900     Lumen Technologies, Inc.     920,521  
    15,500     Lyft, Inc. – Class A *     863,350  
    9,600     LyondellBasell Industries NV – Class A     989,664  
    516     Markel Corp. *     561,821  
    17,100     MetLife, Inc.     984,960  
    11,600     Micron Technology, Inc. *     1,061,748  
    2,000     Mohawk Industries, Inc. *     349,980  
    18,300     Molson Coors Brewing Co. – Class B *     813,435  
    21,800     Occidental Petroleum Corp.     580,098  
    11,300     Oracle Corp. (a)     728,963  
    900     PACCAR, Inc.     81,891  
    11,600     Phillips 66     963,380  
    2,000     Principal Financial Group, Inc.     113,160  
    11,200     Prudential Financial, Inc.     971,264  
    11,800     PulteGroup, Inc.     532,298  
    36,200     Qurate Retail, Inc. – Series A     449,604  
    19,845     Raytheon Technologies Corp.     1,428,642  
     Shares     Description   Value ($)  
          United States — continued  
    1,300     Regeneron Pharmaceuticals, Inc. *     585,741  
    15,266     Sensata Technologies Holding Plc *     874,589  
    8,700     SS&C Technologies Holdings, Inc. (a)     576,636  
    24,700     Synchrony Financial     955,396  
    7,300     Textron, Inc.     367,482  
    9,600     Tyson Foods, Inc. – Class A     649,632  
    2,000     United Rentals, Inc. *     594,760  
    6,400     Universal Health Services, Inc. – Class B (a)     802,112  
    18,060     US Bancorp     903,000  
    12,147     Verso Corp. – Class A     151,837  
    8,048     VF Corp.     636,838  
    17,200     ViacomCBS, Inc. – Class B (a)     1,109,228  
    32,700     Viatris, Inc. *     485,595  
    4,400     VMware, Inc. – Class A * (a)     608,124  
    15,100     Walgreens Boots Alliance, Inc.     723,743  
    42,124     Wells Fargo & Co.     1,523,625  
    25,800     Western Union Co. (The) (a)     599,076  
    15,000     Western Digital Corp. *     1,027,950  
    200     Whirlpool Corp.     38,016  
     

 

 

 
    Total United States     67,731,901  
     

 

 

 
    TOTAL COMMON STOCKS (COST $199,694,678)     230,567,217  
     

 

 

 
          PREFERRED STOCKS (d) — 0.3%  
          Brazil — 0.1%  
    64,132     Bradespar SA     719,342  
     

 

 

 
          Germany — 0.2%  
    12,656     Bayerische Motoren Werke AG     857,067  
    1,922     Draegerwerk AG & Co KGaA (a)     146,552  
    1,106     Henkel AG & Co KGaA     108,922  
     

 

 

 
    Total Germany     1,112,541  
     

 

 

 
    TOTAL PREFERRED STOCKS
(COST $1,537,660)
    1,831,883  
     

 

 

 
          RIGHTS/WARRANTS — 0.0%  
          United Kingdom — 0.0%  
    4,844     Mitchells & Butlers Plc, Expires 03/10/21 *      
     

 

 

 
    Total United Kingdom      
     

 

 

 
    TOTAL RIGHTS/WARRANTS
(COST $—)
     
     

 

 

 
    MUTUAL FUNDS — 58.8%  
          United States — 58.8%      
          Affiliated Issuers — 58.8%      
    749,476     GMO Emerging Country Debt Fund, Class IV     19,111,645  
    3,636,717     GMO Emerging Markets Fund, Class VI     132,412,873  
    2,957,122     GMO International Equity Fund, Class IV     68,841,799  
 

 

       See accompanying notes to the financial statements.   113


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          United States — continued      
          Affiliated Issuers — continued      
    628,288     GMO Opportunistic Income Fund, Class VI     16,234,952  
    1,209,272     GMO Quality Fund, Class VI     31,416,895  
    2,057,499     GMO U.S. Equity Fund, Class VI     29,319,352  
    1,646,447     GMO U.S. Small Cap Value Fund, Class VI     41,144,715  
    496,066     GMO U.S. Treasury Fund     2,500,173  
     

 

 

 
    TOTAL MUTUAL FUNDS
(COST $305,641,138)
    340,982,404  
     

 

 

 
          SHORT-TERM INVESTMENTS — 1.3%  
          Money Market Funds — 1.3%  
    7,288,304     State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)     7,288,304  
     

 

 

 
    TOTAL SHORT-TERM INVESTMENTS
(COST $7,288,304)
    7,288,304  
     

 

 

 
    TOTAL INVESTMENTS — 100.2%
(Cost $514,161,780)
    580,669,808  
     

 

 

 
          SECURITIES SOLD SHORT — (18.0)%  
          Common Stocks — (18.1)%      
          Australia — (0.7)%      
    (8,188   Afterpay Ltd *     (747,926
    (113,117   APA Group     (811,961
    (5,175   ASX Ltd     (269,483
    (1,928   Cochlear Ltd     (314,568
    (2,503   Ramsay Health Care Ltd     (127,378
    (136,840   Sydney Airport *     (620,330
    (29,330   TPG Telecom Ltd *     (155,165
    (83,640   Transurban Group     (828,890
     

 

 

 
    Total Australia     (3,875,701
     

 

 

 
          Austria — (0.1)%      
    (8,927   Verbund AG     (678,609
     

 

 

 
          Canada — (0.1)%      
    (42,900   AltaGas Ltd     (650,276
     

 

 

 
          Denmark — (0.0)%      
    (1,929   Ambu A/S – Class B     (88,896
     

 

 

 
          France — (1.0)%      
    (15,622   Edenred     (865,800
    (53,686   Getlink SE *     (879,790
    (843   Hermes International     (939,135
    (1,472   Sartorius Stedim Biotech     (643,626
    (6,124   Ubisoft Entertainment SA *     (499,298
    (27,669   Vivendi SE     (957,685
    (7,311   Wendel SE     (834,067
     

 

 

 
    Total France     (5,619,401
     

 

 

 
     Shares     Description   Value ($)  
          Common Stocks — continued  
          Germany — (1.0)%      
    (5,397   Delivery Hero SE *     (689,626
    (7,511   Puma SE *     (799,800
    (7,817   QIAGEN NV *     (386,297
    (19,105   RWE AG     (721,592
    (8,052   Scout24 AG     (607,357
    (310,666   Telefonica Deutschland Holding AG     (831,888
    (24,365   Uniper SE     (851,622
    (7,747   Zalando SE *     (796,447
     

 

 

 
    Total Germany     (5,684,629
     

 

 

 
          Israel — (0.1)%      
    (1,200   Wix.com Ltd *     (418,284
     

 

 

 
          Italy — (0.3)%      
    (1,676   Amplifon SPA *     (66,667
    (3,627   Atlantia SPA *     (67,904
    (4,055   Ferrari NV     (789,124
    (54,177   FinecoBank Banca Fineco SPA*     (950,218
    (9,450   Infrastrutture Wireless Italiane SPA     (98,380
     

 

 

 
    Total Italy     (1,972,293
     

 

 

 
          Japan — (2.4)%      
    (35,400   Acom Co Ltd     (158,631
    (22,800   Asahi Intecc Co Ltd     (654,770
    (173,200   ENEOS Holdings Inc     (765,888
    (400   Fast Retailing Co Ltd     (396,591
    (6,000   GMO Payment Gateway Inc     (794,129
    (16,500   Hitachi Metals Ltd     (262,872
    (600   Ibiden Co Ltd     (24,511
    (27,900   Idemitsu Kosan Co Ltd     (733,860
    (45,300   Isetan Mitsukoshi Holdings Ltd     (333,227
    (12,000   Japan Airport Terminal Co Ltd     (580,890
    (13,800   Japan Exchange Group Inc     (298,033
    (148   Japan Real Estate Investment Corp     (904,627
    (46,000   JGC Holding Corp     (597,280
    (46,400   Keikyu Corp     (738,084
    (700   Keio Corp     (52,519
    (2,900   Kintetsu Group Holdings Co Ltd     (121,997
    (42,300   Kyushu Electric Power Co Inc     (363,462
    (1,800   Lasertec Corp     (220,390
    (25,800   LIXIL Corp     (727,512
    (9,700   M3 Inc     (770,935
    (1,100   McDonald’s Holdings Co Japan Ltd     (54,656
    (2,700   Mercari Inc *     (129,907
    (4,100   Mitsubishi Materials Corp     (97,131
    (15,000   MonotaRO Co Ltd     (862,378
    (500   Nidec Corp     (63,758
    (10,300   Nihon M&A Center Inc     (562,125
    (7,500   Nippon Paint Holdings Co Ltd     (558,624
 

 

114   See accompanying notes to the financial statements.       


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Common Stocks — continued  
          Japan — continued      
    (30,200   Nippon Yusen KK     (873,525
    (700   Nissin Foods Holdings Co Ltd     (52,897
    (13,900   Odakyu Electric Railway Co Ltd     (408,531
    (3,800   ORIENTAL LAND CO LTD     (639,856
    (4,200   Yaskawa Electric Corp     (211,313
     

 

 

 
    Total Japan     (14,014,909
     

 

 

 
          Netherlands — (0.3)%      
    (413   Adyen NV *     (963,688
    (7,082   Just Eat Takeaway.com NV *     (681,477
     

 

 

 
    Total Netherlands     (1,645,165
     

 

 

 
          New Zealand — (0.0)%      
    (2,802   Xero Ltd*     (256,437
     

 

 

 
          Norway — (0.0)%      
    (2,180   Schibsted ASA – B Shares *     (74,755
     

 

 

 
          Peru — (0.1)%      
    (11,800   Southern Copper Corp     (841,694
     

 

 

 
          Russia — (0.0)%      
    (6,625   Magnit PJSC Sponsored GDR (Registered)     (90,182
     

 

 

 
          Singapore — (0.2)%      
    (118,800   Singapore Exchange Ltd     (884,494
     

 

 

 
          Spain — (0.6)%      
    (14,219   Cellnex Telecom SA     (773,652
    (30,816   Endesa SA     (761,473
    (32,491   Ferrovial SA     (806,356
    (20,423   Siemens Gamesa Renewable Energy SA     (757,559
     

 

 

 
    Total Spain     (3,099,040
     

 

 

 
          Sweden — (0.2)%      
    (8,094   Evolution Gaming Group AB     (1,009,278
     

 

 

 
          Switzerland — (0.4)%      
    (504   Partners Group Holding AG     (603,424
    (767   Straumann Holding AG (Registered)     (926,277
    (9,510   Swiss Re AG     (893,446
     

 

 

 
    Total Switzerland     (2,423,147
     

 

 

 
          United Kingdom — (1.4)%      
    (12,355   Admiral Group Plc     (534,654
    (21,773   Antofagasta Plc     (543,408
    (112,516   Auto Trader Group Plc *     (865,087
    (265,994   ConvaTec Group Plc     (698,244
    (45,938   Entain Plc *     (908,798
    (6,983   Experian Plc     (221,667
     Shares     Description   Value ($)  
          Common Stocks — continued  
          United Kingdom — continued      
    (8,269   Halma Plc     (261,773
    (39,731   Hargreaves Lansdown Plc     (839,979
    (120,483   Informa Plc *     (924,296
    (14,623   Land Securities Group Plc (REIT)     (135,609
    (7,171   London Stock Exchange Group Plc     (963,629
    (23,002   Ocado Group Plc *     (706,700
    (10,168   Prudential Plc     (202,549
    (1,435   Spirax-Sarco Engineering Plc     (215,062
     

 

 

 
    Total United Kingdom     (8,021,455
     

 

 

 
          United States — (9.1)%      
    (8,000   Advanced Micro Devices, Inc. *     (676,080
    (18,100   AES Corp. (The)     (480,736
    (200   Align Technology, Inc. *     (113,422
    (3,800   American Tower Corp. (REIT)     (821,294
    (3,600   Aramark     (133,632
    (5,100   Arthur J Gallagher & Co.     (610,980
    (3,100   Autodesk, Inc. *     (855,600
    (4,200   Avalara, Inc. *     (659,148
    (3,100   Ball Corp.     (264,709
    (3,100   Burlington Stores, Inc. *     (802,342
    (2,100   Carvana Co. *     (595,350
    (2,400   Catalent, Inc. *     (272,904
    (13,600   Cheniere Energy, Inc. *     (916,504
    (600   Chipotle Mexican Grill, Inc. *     (865,200
    (7,500   Cognex Corp.     (619,425
    (400   CoStar Group, Inc. *     (329,504
    (2,400   Coupa Software, Inc. *     (831,024
    (4,100   Crowdstrike Holdings, Inc. – Class A *     (885,600
    (3,900   Crown Castle International Corp. (REIT)     (607,425
    (7,100   Datadog, Inc. – Class A *     (677,411
    (2,300   DexCom, Inc. *     (914,894
    (4,200   Digital Realty Trust, Inc. (REIT)     (565,866
    (3,800   DocuSign, Inc. *     (861,308
    (3,300   Enphase Energy, Inc. *     (580,998
    (3,800   Equifax, Inc.     (615,144
    (1,100   Equinix, Inc. (REIT)     (713,174
    (14,000   Equity LifeStyle Properties, Inc. (REIT)     (863,100
    (400   Erie Indemnity Co. – Class A     (96,840
    (6,400   Exact Sciences Corp. *     (871,168
    (900   Extra Space Storage, Inc. (REIT)     (113,130
    (2,200   Fastenal Co.     (102,014
    (7,100   Guidewire Software, Inc. *     (788,029
    (1,600   HubSpot, Inc. *     (824,000
    (1,000   IDEXX Laboratories, Inc. *     (520,170
    (9,300   Ingersoll Rand, Inc. *     (430,962
    (3,300   Insulet Corp. *     (855,030
    (4,400   IQVIA Holdings, Inc. *     (848,276
    (3,700   Iron Mountain, Inc. (REIT)     (128,723
    (10,900   Lamb Weston Holdings, Inc.     (869,493
 

 

       See accompanying notes to the financial statements.   115


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

 

     Shares     Description   Value ($)  
          Common Stocks — continued  
          United States — continued      
    (2,400   Liberty Broadband Corp. – Class A *     (348,864
    (3,500   Liberty Broadband Corp. – Class C *     (523,285
    (20,500   Liberty Media Corp-Liberty Formula One – Class C *     (899,950
    (1,400   Linde Plc     (341,978
    (12,700   Live Nation Entertainment, Inc. *     (1,128,522
    (400   Lululemon Athletica, Inc. *     (124,672
    (1,600   MarketAxess Holdings, Inc.     (889,504
    (2,300   MongoDB, Inc. *     (887,639
    (800   Monolithic Power Systems, Inc.     (299,616
    (2,100   MSCI, Inc.     (870,492
    (400   Neurocrine Biosciences, Inc. *     (43,804
    (4,900   NIKE Inc. – Class B     (660,422
    (4,500   Novocure Ltd. *     (670,950
    (13,400   Nuance Communications, Inc. *     (597,640
    (3,300   Okta, Inc. *     (862,785
    (1,800   Paycom Software, Inc. *     (673,632
    (4,000   Pinterest, Inc. – Class A *     (322,320
    (2,700   Public Storage (REIT)     (631,638
    (2,300   RingCentral, Inc. – Class A *     (869,768
    (600   Rockwell Automation, Inc.     (145,968
    (2,100   Roku, Inc. *     (830,508
    (16,300   Rollins, Inc.     (540,671
    (2,400   SBA Communications Corp. (REIT)     (612,312
    (700   Seagen, Inc. *     (105,777
    (1,600   ServiceNow, Inc. *     (853,536
    (1,600   Simon Property Group, Inc. (REIT)     (180,672
    (15,400   Snap, Inc. – Class A *     (1,011,164
    (12,900   Southwestern Energy Co. *     (52,245
    (4,200   Splunk, Inc. *     (600,642
    (3,300   Square, Inc. – Class A *     (759,099
    (6,700   Starbucks Corp.     (723,801
    (1,800   Sun Communities, Inc. (REIT)     (273,510
    (4,900   Sunrun, Inc. *     (306,642
     Shares     Description   Value ($)  
          Common Stocks — continued  
          United States — continued      
    (28,900   Targa Resources Corp.     (893,877
    (3,300   Teladoc Health, Inc. *     (729,597
    (1,200   Tesla, Inc. *     (810,600
    (2,300   Twilio, Inc. – Class A *     (903,624
    (22,500   UDR, Inc. (REIT)     (926,325
    (2,400   Vail Resorts, Inc.     (742,032
    (1,500   Wayfair, Inc. – Class A *     (433,470
    (900   West Pharmaceutical Services, Inc.     (252,585
    (30,900   Williams Cos, Inc. (The)     (705,756
    (8,300   Wynn Resorts Ltd. *     (1,093,359
    (4,500   Zendesk, Inc. *     (657,630
    (6,342   Zillow Group, Inc. – Class C *     (1,023,155
    (1,600   Zoom Video Communications, Inc. – Class A *     (597,776
    (4,200   Zscaler, Inc. *     (861,127
     

 

 

 
    Total United States     (52,855,550
     

 

 

 
    TOTAL COMMON STOCKS
(PROCEEDS $96,766,385)
    (104,204,195
     

 

 

 
          PREFERRED STOCKS (d) — (0.1)%      
          Germany — (0.1)%      
    (1,653   Sartorius AG     (849,020
     

 

 

 
   

TOTAL PREFERRED STOCKS

(PROCEEDS $725,579)

    (849,020
     

 

 

 
    TOTAL SECURITIES SOLD SHORT
(PROCEEDS $97,491,964)
    (105,053,215
    Other Assets and Liabilities (net) —17.9%     104,179,711  
     

 

 

 
    TOTAL NET ASSETS — 100.0%     $579,796,304  
     

 

 

 
 

 

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

Reverse Repurchase Agreements

 

Average balance outstanding

   $ (4,560,000

Average interest rate (net)

     (0.09 )% 

Maximum balance outstanding

   $ (4,560,000

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.

 

116   See accompanying notes to the financial statements.       


GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

 

 

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) ($)
 

Total Return on Equity Basket (f)

  1 Month Federal Funds Rate minus 0.75%   GS   USD     293,323       05/24/2022       Monthly             18,780       18,780  

Total Return on Equity Basket (f)

  1 Month Federal Funds Rate minus 0.75%   GS   USD     54,397       05/24/2022       Monthly             565       565  

Total Return on Equity Basket (f)

  1 Month Federal Funds Rate minus 0.50%   GS   USD     188,062       05/24/2022       Monthly             5,763       5,763  

Total Return on Equity Basket (f)

  1 Month Federal Funds Rate minus 1.00%   MORD   USD     457,172       10/18/2022       Monthly             33,719       33,719  

Total Return on Equity Basket (f)

  1 Month Federal Funds Rate minus 0.50%   MORD   USD     67,910       10/18/2022       Monthly             3,731       3,731  

Total Return on Equity Basket (f)

  1 Month Federal Funds Rate minus 0.40%   MORD   USD     87,594       10/18/2022       Monthly             (4,871     (4,871

Total Return on Equity Basket (g)

  1 Month Federal Funds Rate minus 0.40%   MORD   USD     8,222,016       10/18/2022       Monthly             1,024,296       1,024,296  
             

 

 

   

 

 

   

 

 

 
  $     $ 1,081,983     $ 1,081,983  
 

 

 

   

 

 

   

 

 

 

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:

 

*

Non-income producing security.

 

(a)

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).

 

(b)

Securities are traded on separate exchanges for the same entity.

 

(c)

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).

(d)

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

 

(e)

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

 

(f)

Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

 

(g)

The following table represents the individual short positions within the custom equity basket swap as of February 28, 2021:

 

 

Shares

  Description   % of Equity Basket     Value ($)  
  5,870,000   Alibaba Pictures Group Ltd     11.4     816,586  
  138,000   China Cosco Holdings Co – Class H     2.1     153,323  
  1,206,000   China Molybdenum Co Ltd – Class H     12.9     930,177  
  62,000   China Resources Beer Holdings Co Ltd     6.5     467,773  
  186,000   China Yuhua Education Corp Ltd     2.1     153,718  
  516,000   Greentown Service Group Co Ltd     7.3     523,207  
  3,000   Haidilao International Holding Ltd     0.3     24,586  
  13,700   Hong Kong Exchanges and Clearing Ltd     11.7     842,315  

Shares

  Description   % of Equity Basket     Value ($)  
  200,000   Kingdee International Software Group Co Ltd     10.0     715,802  
  20,000   New World Development Co Ltd     1.4     101,720  
  53,200   Sands China Ltd     3.5     250,739  
  32,000   SJM Holdings Ltd     0.6     44,509  
  189,600   Wynn Resorts Ltd     5.0     357,617  
  51,000   Yihai International Holding Ltd.     9.7     698,361  
  163,500   Zhaojin Mining Industry Co Ltd     2.3     164,650  
  644,000   Zijin Mining Group Co Ltd – Class H     13.2     950,128  
       

 

 

 
    TOTAL COMMON STOCKS     $ 7,195,211  
       

 

 

 
 

 

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 118.

 

 

       See accompanying notes to the financial statements.   117


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.

ADR - American Depositary Receipt

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.

CLO - Collateralized Loan Obligation

CMT - Constant Maturity Treasury

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

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

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OJSC - Open Joint-Stock Company

PIK - Payment In Kind

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

SOFR - Secured Overnight Financing Rate

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

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars

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.

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

UBSA - UBS AG

 

 

Currency Abbreviations:

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

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

 
 

 

118   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Assets and Liabilities — February 28, 2021

 

 

    Consolidated
Alternative
Allocation Fund
    Benchmark-Free
Allocation Fund
    Benchmark-Free
Fund
    Global Asset
Allocation Fund
 

Assets:

 

Investments in affiliated issuers, at value (Notes 2 and 10)(a)

  $ 29,192,704     $ 6,543,622,545     $ 305,597,417     $ 895,696,311  

Investments in unaffiliated issuers, at value (Note 2)(b)(c)

    474,130,077       6,316,225       1,862,245,722       623,777  

Foreign currency, at value (Note 2)(d)

    22,528             4,605,561        

Receivable for investments sold

    9,578,367       14,853,299       16,360,253        

Collateral on investments sold short (Note 2)

    165,000,000             426,000,000        

Receivable for Fund shares sold

    437,194       2,004,206             384,570  

Receivable for closed swap contracts (Note 4)

    232,499             70,336        

Dividends and interest receivable

    322,844       35       2,993,932       1,323  

Dividend withholding tax receivable

    1,629             394,169        

Unrealized appreciation on open forward currency contracts (Note 4)

    3,652,827             1,545,886        

Receivable for variation margin on open cleared swap contracts (Note 4)

    1,776,299             514,800        

Due from broker (Note 2)

    20,540,808             4,647,885        

Receivable for variation margin on open futures contracts (Note 4)

                7,190,016        

Receivable for open OTC swap contracts (Note 4)

    3,725,329             4,846,267        

Interest receivable for open OTC swap contracts (Note 4)

    162,873                    

Receivable for expenses reimbursed and/or waived by GMO (Note 5)

    72,056       327,819       119,232       12,257  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    708,848,034       6,567,124,129       2,637,131,476       896,718,238  
 

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

 

Investments sold short, at value (Note 2)(e)

    181,635,713             423,733,655        

Due to custodian

    2,605,341             1,772,022        

Due to broker (Note 2)

                274,577        

Payable for cash collateral from securities loaned (Note 2)

                15,591,824        

Payable for investments purchased

    8,849,209             16,906,269       1,309  

Payable for Fund shares repurchased

    2,004       17,678,821       15,799,142       511,083  

Payable to affiliate for (Note 5):

 

Management fee

    298,677       3,548,611              

Supplemental support fee – Class MF

          144,626              

Shareholder service fee

    58,464       521,630              

Payable to agents unaffiliated with GMO

    20       4,244       1,382       580  

Payable for variation margin on open futures contracts (Note 4)

    1,250,338                    

Payable for closed swap contracts (Note 4)

    9,101,935             1,680,980        

Unrealized depreciation on open forward currency contracts (Note 4)

    3,795,482             1,354,468        

Interest payable for open OTC swap contracts (Note 4)

    38,972                    

Interest and dividend payable for short sales

    322,530             230,661        

Payable for open OTC swap contracts (Note 4)

    471,084             498,098        

Payable to Trustees and related expenses

    434       41,837       11,287       5,226  

Written options outstanding, at value (Note 4)(f)

    884,211                    

Accrued expenses

    196,613       186,525       781,069       70,431  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    209,511,027       22,126,294       478,635,434       588,629  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 499,337,007     $ 6,544,997,835     $ 2,158,496,042     $ 896,129,609  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)  Cost of investments – affiliated issuers:

  $ 25,967,584     $ 6,757,132,953     $ 299,444,887     $ 867,843,418  

(b)  Cost of investments – unaffiliated issuers:

  $ 453,042,555     $ 6,316,225     $ 1,640,862,347     $ 627,405  

(c)  Includes securities on loan at value (Note 2):

  $     $     $ 34,172,201     $  

(d)  Cost of foreign currency:

  $     $     $ 4,616,745     $  

(e)  Proceeds from securities sold short:

  $ 164,124,719     $     $ 392,980,751     $  

(f)   Premiums on written options:

  $ 677,642     $     $     $  

 

       See accompanying notes to the financial statements.   119


GMO Trust Funds

 

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

 

 

    Consolidated
Alternative
Allocation Fund
    Benchmark-Free
Allocation Fund
    Benchmark-Free
Fund
    Global Asset
Allocation Fund
 

Net assets consist of:

 

Paid-in capital

  $ 522,588,691     $ 6,947,943,953     $ 2,403,713,259     $ 1,091,551,302  

Distributable earnings (accumulated loss)

    (23,251,684     (402,946,118     (245,217,217     (195,421,693
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 499,337,007     $ 6,544,997,835     $ 2,158,496,042     $ 896,129,609  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets attributable to:

 

Class III

  $     $ 2,227,711,974     $ 2,158,496,042     $ 692,579,777  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class IV

  $     $ 1,965,528,316     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

  $ 230,385,590     $     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class MF

  $     $ 1,716,252,172     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $ 478,175     $ 310,686,683     $     $ 183,052,476  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $ 268,473,242     $ 324,818,690     $     $ 20,497,356  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding:

 

Class III

          85,788,857       110,822,518       19,831,231  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class IV

          75,705,714              
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

    12,133,448                    
 

 

 

   

 

 

   

 

 

   

 

 

 

Class MF

          66,036,112              
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

    25,233       11,972,933             5,240,687  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

    14,156,354       12,517,710             586,943  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per share:

 

Class III

  $     $ 25.97     $ 19.48     $ 34.92  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class IV

  $     $ 25.96     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class VI

  $ 18.99     $     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class MF

  $     $ 25.99     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $ 18.95     $ 25.95     $     $ 34.93  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $ 18.96     $ 25.95     $     $ 34.92  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

120   See accompanying notes to the financial statements.       


GMO Trust Funds

 

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

 

 

    Global
Developed Equity
Allocation Fund
    Global Equity
Allocation Fund
    Consolidated
Implementation
Fund
    International
Developed Equity
Allocation Fund
 

Assets:

 

Investments in affiliated issuers, at value (Notes 2 and 10)(a)

  $ 88,129,979     $ 1,647,334,119     $ 35,272,723     $ 225,299,432  

Investments in unaffiliated issuers, at value (Note 2)(b)(c)

    47,867       607,265       5,905,486,499       53,755  

Foreign currency, at value (Note 2)(d)

                13,070,078        

Receivable for investments sold

                69,169,758        

Collateral on investments sold short (Note 2)

                1,221,000,000        

Receivable for Fund shares sold

          2,453             155,219  

Receivable for closed swap contracts (Note 4)

                533,707        

Dividends and interest receivable

          5       11,653,102        

Dividend withholding tax receivable

                804,032        

Unrealized appreciation on open forward currency contracts (Note 4)

                11,511,187        

Receivable for variation margin on open cleared swap contracts (Note 4)

                4,024,923        

Due from broker (Note 2)

                264,359,044        

Receivable for variation margin on open futures contracts (Note 4)

                14,582,481        

Receivable for open OTC swap contracts (Note 4)

                13,582,779        

Receivable for expenses reimbursed and/or waived by GMO (Note 5)

    3,947       20,518       203,784       10,365  

Miscellaneous receivable

                5,121        
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    88,181,793       1,647,964,360       7,565,259,218       225,518,771  
 

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

 

Investments sold short, at value (Note 2)(e)

                1,428,243,185        

Due to custodian

                12,498,134        

Due to broker (Note 2)

                20,855        

Payable for cash collateral from securities loaned (Note 2)

                35,190,901        

Payable for investments purchased

                70,153,637       60,000  

Payable for Fund shares repurchased

                14,853,299       41,562  

Accrued foreign capital gains tax payable (Note 2)

                431,444        

Payable to agents unaffiliated with GMO

    52       1,021       3,839       133  

Payable for variation margin on open futures contracts (Note 4)

                1,635,053        

Payable for closed swap contracts (Note 4)

                13,972,782        

Unrealized depreciation on open forward currency contracts (Note 4)

                10,505,775        

Interest payable for open OTC swap contracts (Note 4)

                52,092        

Interest and dividend payable for short sales

                1,287,939        

Payable for open OTC swap contracts (Note 4)

                4,174,887        

Payable to Trustees and related expenses

    313       6,125       33,849       1,570  

Accrued expenses

    27,905       76,104       1,834,326       32,562  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    28,270       83,250       1,594,891,997       135,827  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 88,153,523     $ 1,647,881,110     $ 5,970,367,221     $ 225,382,944  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)  Cost of investments – affiliated issuers:

  $ 74,078,175     $ 1,496,772,738     $ 35,272,723     $ 218,928,755  

(b)  Cost of investments – unaffiliated issuers:

  $ 47,867     $ 607,265     $ 5,559,595,866     $ 53,755  

(c)  Includes securities on loan at value (Note 2):

  $     $     $ 90,419,386     $  

(d)  Cost of foreign currency:

  $     $     $ 13,071,803     $  

(e)  Proceeds from securities sold short:

  $     $     $ 1,299,254,767     $  

 

       See accompanying notes to the financial statements.   121


GMO Trust Funds

 

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

 

 

    Global
Developed Equity
Allocation Fund
    Global Equity
Allocation Fund
    Consolidated
Implementation
Fund
    International
Developed Equity
Allocation Fund
 

Net assets consist of:

 

Paid-in capital

  $ 77,887,824     $ 1,605,150,523     $ 7,007,270,811     $ 384,802,274  

Distributable earnings (accumulated loss)

    10,265,699       42,730,587       (1,036,903,590     (159,419,330
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 88,153,523     $ 1,647,881,110     $ 5,970,367,221     $ 225,382,944  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net assets attributable to:

 

Core Class

  $     $     $ 5,970,367,221     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

  $ 88,153,523     $ 1,638,867,615     $     $ 217,128,990  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $     $ 6,780,894     $     $ 8,253,954  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $     $ 2,232,601     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding:

 

Core Class

                469,934,492        
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

    3,418,088       54,786,903             12,810,981  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

          226,675             487,046  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

          74,655              
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per share:

 

Core Class

  $     $     $ 12.70     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class III

  $ 25.79     $ 29.91     $     $ 16.95  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  $     $ 29.91     $     $ 16.95  
 

 

 

   

 

 

   

 

 

   

 

 

 

Class I

  $     $ 29.91     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

122   See accompanying notes to the financial statements.       


GMO Trust Funds

 

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

 

 

    International
Equity Allocation
Fund
    Consolidated
SGM Major
Markets Fund
    Strategic
Opportunities
Allocation Fund
 

Assets:

 

Investments in affiliated issuers, at value (Notes 2 and 10)(a)

  $ 861,339,170     $     $ 340,982,404  

Investments in unaffiliated issuers, at value (Note 2)(b)

    304,576       348,746,466       239,687,404  

Foreign currency, at value (Note 2)(c)

          40       114,585  

Cash

          13,636,914       34,479  

Receivable for investments sold

                5,825,236  

Collateral on investments sold short (Note 2)

                105,000,001  

Receivable for Fund shares sold

          515,228        

Dividends and interest receivable

    3       786,171       303,522  

Dividend withholding tax receivable

                21,289  

Unrealized appreciation on open forward currency contracts (Note 4)

          263,394        

Due from broker (Note 2)

          1,527,484       310,085  

Receivable for open OTC swap contracts (Note 4)

                1,086,854  

Receivable for expenses reimbursed and/or waived by GMO (Note 5)

    9,732       20,749       61,841  
 

 

 

   

 

 

   

 

 

 

Total assets

    861,653,481       365,496,446       693,427,700  
 

 

 

   

 

 

   

 

 

 

Liabilities:

 

Investments sold short, at value (Note 2)(d)

                105,053,215  

Payable for investments purchased

                760,310  

Payable for Fund shares repurchased

    40,380       1,887,977       7,454,742  

Accrued foreign capital gains tax payable (Note 2)

                102,148  

Payable to affiliate for (Note 5):

 

Management fee

          253,857        

Shareholder service fee

          19,709        

Payable to agents unaffiliated with GMO

    547       241       376  

Payable for variation margin on open futures contracts (Note 4)

          3,259,334        

Unrealized depreciation on open forward currency contracts (Note 4)

          1,844,072        

Interest and dividend payable for short sales

                57,196  

Payable for open OTC swap contracts (Note 4)

                4,871  

Payable to Trustees and related expenses

    3,718       4,030       3,170  

Accrued expenses

    54,664       171,897       195,368  
 

 

 

   

 

 

   

 

 

 

Total liabilities

    99,309       7,441,117       113,631,396  
 

 

 

   

 

 

   

 

 

 

Net assets

  $ 861,554,172     $ 358,055,329     $ 579,796,304  
 

 

 

   

 

 

   

 

 

 

(a)  Cost of investments – affiliated issuers:

  $ 797,168,977     $     $ 305,641,138  

(b)  Cost of investments – unaffiliated issuers:

  $ 304,576     $ 348,358,163     $ 208,520,642  

(c)  Cost of foreign currency:

  $     $ 40     $ 114,911  

(d)  Proceeds from securities sold short:

  $     $     $ 97,491,964  

 

       See accompanying notes to the financial statements.   123


GMO Trust Funds

 

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

 

 

    International
Equity Allocation
Fund
    Consolidated
SGM Major
Markets Fund
    Strategic
Opportunities
Allocation Fund
 

Net assets consist of:

     

Paid-in capital

  $ 946,096,674     $ 393,212,681     $ 526,487,628  

Distributable earnings (accumulated loss)

    (84,542,502     (35,157,352     53,308,676  
 

 

 

   

 

 

   

 

 

 
  $ 861,554,172     $ 358,055,329     $ 579,796,304  
 

 

 

   

 

 

   

 

 

 

Net assets attributable to:

 

Class III

  $ 598,700,904     $ 30,126,187     $ 579,796,304  
 

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 314,086,996     $  
 

 

 

   

 

 

   

 

 

 

Class R6

  $ 262,853,268     $     $  
 

 

 

   

 

 

   

 

 

 

Class I

  $     $ 13,842,146     $  
 

 

 

   

 

 

   

 

 

 

Shares outstanding:

 

Class III

    18,530,838       939,466       26,886,524  
 

 

 

   

 

 

   

 

 

 

Class VI

          9,805,564        
 

 

 

   

 

 

   

 

 

 

Class R6

    8,138,028              
 

 

 

   

 

 

   

 

 

 

Class I

          431,817        
 

 

 

   

 

 

   

 

 

 

Net asset value per share:

 

Class III

  $ 32.31     $ 32.07     $ 21.56  
 

 

 

   

 

 

   

 

 

 

Class VI

  $     $ 32.03     $  
 

 

 

   

 

 

   

 

 

 

Class R6

  $ 32.30     $     $  
 

 

 

   

 

 

   

 

 

 

Class I

  $     $ 32.06     $  
 

 

 

   

 

 

   

 

 

 

 

124   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Operations — Year Ended February 28, 2021

 

 

    Consolidated
Alternative
Allocation Fund
    Benchmark-Free
Allocation Fund
    Benchmark-Free
Fund
    Global Asset
Allocation Fund
 

Investment Income:

       

Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)

  $ 1,997,780     $ 6,643     $ 50,945,468     $ 1,826  

Dividends from affiliated issuers (Note 10)

    1,258,007       162,406,292       15,435,510       33,093,299  

Interest

    796,564       203       1,052,831       4,154  

Securities lending income from affiliated issuers (net)

                63,923        

Securities lending income (net)

                80,546        
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    4,052,351       162,413,138       67,578,278       33,099,279  
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

 

Management fee (Note 5)

    2,650,899       46,231,517              

Shareholder service fee – Class III (Note 5)

          4,429,531              

Shareholder service fee – Class IV (Note 5)

          1,932,090              

Shareholder service fee – Class VI (Note 5)

    97,593                    

Shareholder service fee – Class R6 (Note 5)

    599     79,500 **             

Shareholder service fee – Class I (Note 5)

    407,922       212,899              

Supplemental support fee – Class MF (Note 5)

          2,032,498              

Audit and tax fees

    106,681       28,231       130,008       29,890  

Custodian, fund accounting agent and transfer agent fees

    371,048       250,742       1,486,669       75,853  

Dividend expense on short sales

    1,272,906             1,258,307        

Legal fees

    29,863       159,898       74,860       23,652  

Registration fees

    18,407       31,430       952       24,364  

Trustees’ fees and related expenses (Note 5)

    11,772       273,527       84,977       44,640  

Interest expense and borrowing costs for investments sold short (Note 2)

    544,765             623,711        

Miscellaneous

    87,642       61,820       147,712 ***      14,322 **** 
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    5,600,097       55,723,683       3,807,196       212,721  

Fees and expenses reimbursed and/or waived by GMO (Note 5)

    (282,042     (360,375     (1,120,136     (160,685

Indirectly incurred management fees waived or borne by GMO (Note 5)

    (246,555     (6,414,571            

Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)

    (24,504     (678,196            
 

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

    5,046,996       48,270,541       2,687,060       52,036  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    (994,645     114,142,597       64,891,218       33,047,243  
 

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss):

       

Net realized gain (loss) on:

       

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)

    19,914,573             42,681,645       52  

Investments in affiliated issuers

    6,983,786       (91,850,980     63,044,555       35,730,813  

Investments in securities sold short

    (17,028,725           (18,869,740      

Realized gain distributions from affiliated issuers (Note 10)

    219,588       151,899,286       63,312,100       22,630,022  

Futures contracts

    (63,975           (273,976,347     (19,930,068

Written options

    (3,688,744           (2,599,801      

Swap contracts

    (15,031,920           (840,063      

Forward currency contracts

    1,901,858             (49,485,818     (41,917

Foreign currency and foreign currency related transactions

    (350,029           2,390,235       (75,057
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    (7,143,588     60,048,306       (174,343,234     38,313,845  
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation (depreciation) on:

 

Investments in unaffiliated issuers

    23,467,611             294,658,092       (4,499

Investments in affiliated issuers

    5,964,054       80,415,746       2,472,611       72,480,320  

Investments in securities sold short

    (18,593,164           (32,190,767      

Futures contracts

    (4,583,416           (25,033,346      

Written options

    4,140,368             (27,359      

Swap contracts

    (7,156,691           (1,716,620      

Forward currency contracts

    787,184             1,524,124        

Foreign currency and foreign currency related transactions

    90,063             29,940        
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

    4,116,009       80,415,746       239,716,675       72,475,821  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    (3,027,579     140,464,052       65,373,441       110,789,666  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

  $ (4,022,224   $ 254,606,649     $ 130,264,659     $ 143,836,909  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)   Withholding tax:

  $ 17,105     $     $ 5,218,544     $  

(b)   Foreign capital gains tax on net realized gain (loss):

  $     $     $ (2,535   $  
*

Period from July 31, 2020 (commencement of operations) through February 28, 2021.

**

Period from May 1, 2020 (commencement of operations) through February 28, 2021.

***

Includes $130,183 of pricing expenses.

****

Includes $5,393 of printing expenses.

 

       See accompanying notes to the financial statements.   125


GMO Trust Funds

 

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

 

 

     Global
Developed Equity
Allocation Fund
    Global Equity
Allocation Fund
    Consolidated
Implementation
Fund
    International
Developed Equity
Allocation Fund
 

Investment Income:

        

Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)

   $ 87     $ 664     $ 159,964,601     $ 162  

Dividends from affiliated issuers (Note 10)

     2,468,498       51,274,097             9,606,514  

Interest

           12       24,475,552       5  

Securities lending income from affiliated issuers (net)

                 224,128        

Securities lending income (net)

                 237,456        
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     2,468,585       51,274,773       184,901,737       9,606,681  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

 

Audit and tax fees

     26,143       23,445       263,500       30,196  

Custodian, fund accounting agent and transfer agent fees

     4,760       63,462       3,059,991       32,519  

Dividend expense on short sales

                 6,795,814        

Legal fees

     1,002       34,535       244,381       4,793  

Registration fees

     2,286       5,680       952       544  

Trustees’ fees and related expenses (Note 5)

     2,602       53,430       230,280       9,216  

Interest expense and borrowing costs for investments sold short (Note 2)

                 2,229,358        

Miscellaneous

     6,205     14,477 **      218,609 ***      8,316 **** 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     42,998       195,029       13,042,885       85,584  

Fees and expenses reimbursed and/or waived by GMO (Note 5)

     (40,002     (134,720     (3,488,423     (75,217

Indirectly incurred management fees waived or borne by GMO (Note 5)

                 (20,773      
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     2,996       60,309       9,533,689       10,367  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     2,465,589       51,214,464       175,368,048       9,596,314  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss):

        

Net realized gain (loss) on:

        

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)

                 250,848,038        

Investments in affiliated issuers

     (887,471     41,840,201       121,961       1,577,299  

Investments in securities sold short

                 (69,812,793      

Realized gain distributions from affiliated issuers (Note 10)

     2,151,244       35,444,714             2,968  

Futures contracts

                 (692,577,400      

Written options

                 (19,128,316      

Swap contracts

                 (6,530,772      

Forward currency contracts

                 (121,475,116      

Foreign currency and foreign currency related transactions

                 4,731,409        
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     1,263,773       77,284,915       (653,822,989     1,580,267  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation (depreciation) on:

        

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)

                 739,575,871        

Investments in affiliated issuers

     14,596,077       249,758,702       (11,987     30,626,653  

Investments in securities sold short

                 (145,246,599      

Futures contracts

                 (66,070,192      

Written options

                 11,496,837        

Swap contracts

                 (35,016,085      

Forward currency contracts

                 7,195,840        

Foreign currency and foreign currency related transactions

                 15,354        
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

     14,596,077       249,758,702       511,939,039       30,626,653  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     15,859,850       327,043,617       (141,883,950     32,206,920  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

   $ 18,325,439     $ 378,258,081     $ 33,484,098     $ 41,803,234  
  

 

 

   

 

 

   

 

 

   

 

 

 

(a)   Withholding tax:

   $     $     $ 15,668,115     $  

(b)   Foreign capital gains tax on net realized gain (loss):

   $     $     $ (1,143   $  

(c)   Foreign capital gains tax on change in net unrealized appreciation (depreciation):

   $     $     $ 431,051     $  
*

Includes $5,194 of printing expenses.

**

Includes $6,042 of printing expenses.

***

Includes $147,554 of pricing expenses.

****

Includes $5,476 of printing expenses.

 

126   See accompanying notes to the financial statements.       


GMO Trust Funds

 

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

 

 

    International
Equity Allocation
Fund
    Consolidated
SGM Major
Markets Fund
    Strategic
Opportunities
Allocation Fund
 

Investment Income:

     

Dividends from affiliated issuers (Note 10)

  $ 34,018,042     $     $ 14,773,060  

Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)

    462       28,166       4,081,671  

Interest

          2,952,240       429,654  
 

 

 

   

 

 

   

 

 

 

Total investment income

    34,018,504       2,980,406       19,284,385  
 

 

 

   

 

 

   

 

 

 

Expenses:

 

Management fee (Note 5)

          3,421,309        

Shareholder service fee – Class III (Note 5)

          33,573        

Shareholder service fee – Class VI (Note 5)

          207,274        

Shareholder service fee – Class I (Note 5)

          4,894 **       

Audit and tax fees

    23,445       77,446       48,151  

Custodian, fund accounting agent and transfer agent fees

    63,376       117,511       332,560  

Dividend expense on short sales

                307,534  

Legal fees

    17,573       18,249       18,166  

Registration fees

    25,290       17,360       3,142  

Trustees’ fees and related expenses (Note 5)

    27,786       16,709       24,785  

Interest expense and borrowing costs for investments sold short (Note 2)

                175,166  

Miscellaneous

    7,290     69,659       69,998 *** 
 

 

 

   

 

 

   

 

 

 

Total expenses

    164,760       3,983,984       979,502  

Fees and expenses reimbursed and/or waived by GMO (Note 5)

    (133,674     (285,653     (449,859
 

 

 

   

 

 

   

 

 

 

Net expenses

    31,086       3,698,331       529,643  
 

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    33,987,418       (717,925     18,754,742  
 

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss):

     

Net realized gain (loss) on:

     

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(d)

          4,162,792       15,327,136  

Investments in affiliated issuers

    (20,372,196           17,141,623  

Investments in securities sold short

                (6,081,780

Realized gain distributions from affiliated issuers (Note 10)

    11,379             9,560,242  

Futures contracts

          46,553,870       (17,103,196

Written options

                (547,350

Swap contracts

                (3,124,212

Forward currency contracts

          3,549,647       (647,889

Foreign currency and foreign currency related transactions

          (876,870     63,596  
 

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    (20,360,817     53,389,439       14,588,170  
 

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation (depreciation) on:

     

Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)

          (3,946,489     34,400,309  

Investments in affiliated issuers

    133,302,879             40,259,614  

Investments in securities sold short

                (9,077,914

Futures contracts

          (17,494,044      

Written options

                (5,760

Swap contracts

                894,201  

Forward currency contracts

          1,324,237        

Foreign currency and foreign currency related transactions

          137,130       18,953  
 

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

    133,302,879       (19,979,166     66,489,403  
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    112,942,062       33,410,273       81,077,573  
 

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

  $ 146,929,480     $ 32,692,348     $ 99,832,315  
 

 

 

   

 

 

   

 

 

 

(a)  Withholding tax:

  $     $     $ 334,161  

(b)  Foreign capital gains tax on net realized gain (loss):

  $     $     $ 21,938  

(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):

  $     $     $ 103,329  
*

Includes $3,029 of printing expenses.

**

Period from September 23, 2020 (commencement of operations) through February 28, 2021.

***

Includes $60,649 of pricing expenses.

 

       See accompanying notes to the financial statements.   127


GMO Trust Funds

 

Statements of Changes in Net Assets

 

 

       Consolidated Alternative
Allocation Fund
    Benchmark-Free
Allocation Fund(a)
 
       Year Ended
February 28, 2021
    Period from
May 1, 2019
(commencement
of operations)
through
February 29,
2020
    Year Ended February 28/29,  
    2021     2020  

Increase (decrease) in net assets:

 

Operations:

 

Net investment income (loss)

     $ (994,645   $ 1,415,144     $ 114,142,597     $ 322,250,716  

Net realized gain (loss)

       (7,143,588     35,517       60,048,306       82,640,517  

Change in net unrealized appreciation (depreciation)

       4,116,009       (2,674,806     80,415,746       (341,926,780
    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       (4,022,224     (1,224,145     254,606,649       62,964,453  
    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

                   (104,307,810     (131,407,420

Class IV

                   (71,760,959     (82,564,617

Class VI

       (5,356,980     (4,899,582            

Class MF

                   (69,378,466     (108,452,767

Class R6

       (9,953 )*            (1,488,297 )***       

Class I

       (4,350,593     (443,533 )**      (4,256,750     (2,367,100 )**** 
    

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

       (9,717,526     (5,343,115     (251,192,282     (324,791,904
    

 

 

   

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

          

Class III

                   (1,549,777,251     (753,562,440

Class IV

                   (144,019,491     (579,993,431

Class VI

       37,929,124       206,323,583              

Class MF

                   (1,092,603,160     (1,017,495,098

Class R6

       487,583           308,687,885 ***       

Class I

       239,618,890       35,284,837 **      222,508,366       103,318,200 **** 
    

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       278,035,597       241,608,420       (2,255,203,651     (2,247,732,769
    

 

 

   

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       264,295,847       235,041,160       (2,251,789,284     (2,509,560,220
Net assets:

 

Beginning of period

       235,041,160             8,796,787,119       11,306,347,339  
    

 

 

   

 

 

   

 

 

   

 

 

 

End of period

     $ 499,337,007     $ 235,041,160     $ 6,544,997,835     $ 8,796,787,119  
    

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

See Note 11 for discussion of reorganization.

*

Period from July 31, 2020 (commencement of operations) through February 28, 2021.

**

Period from September 4, 2019 (commencement of operations) through February 29, 2020.

***

Period from May 1, 2020 (commencement of operations) through February 28, 2021

****

Period from August 8, 2019 (commencement of operations) through February 29, 2020.

 

128   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       Benchmark-Free Fund     Global Asset Allocation Fund(a)  
       Year Ended February 28/29,     Year Ended February 28/29,  
       2021     2020     2021     2020  

Increase (decrease) in net assets:

 

Operations:

 

Net investment income (loss)

     $ 64,891,218     $ 104,531,054     $ 33,047,243     $ 58,404,101  

Net realized gain (loss)

       (174,343,234     (9,059,878     38,313,845       21,602,440  

Change in net unrealized appreciation (depreciation)

       239,716,675       (74,483,051     72,475,821       (918,266
    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       130,264,659       20,988,125       143,836,909       79,088,275  
    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

       (71,248,951     (110,241,387     (38,839,616     (67,351,522

Class R6

                   (1,148,742     (527,446 )* 
    

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

       (71,248,951     (110,241,387     (39,988,358     (67,878,968
    

 

 

   

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

          

Class III

       (484,449,320     (492,548,074     (950,346,978     (382,139,553

Class R6

                   164,512,376       18,611,818

Class I

                   20,705,602 **       
    

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (484,449,320     (492,548,074     (765,129,000     (363,527,735
    

 

 

   

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       (425,433,612     (581,801,336     (661,280,449     (352,318,428
Net assets:

 

Beginning of period

       2,583,929,654       3,165,730,990       1,557,410,058       1,909,728,486  
    

 

 

   

 

 

   

 

 

   

 

 

 

End of period

     $ 2,158,496,042     $ 2,583,929,654     $ 896,129,609     $ 1,557,410,058  
    

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

See Note 11 for discussion of reorganization.

*

Period from September 30, 2019 (commencement of operations) through February 29, 2020.

**

Period from January 6, 2021 (commencement of operations) through February 28, 2021.

 

       See accompanying notes to the financial statements.   129


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       Global Developed Equity
Allocation Fund
    Global Equity Allocation 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)

     $ 2,465,589     $ 3,330,041     $ 51,214,464     $ 53,039,452  

Net realized gain (loss)

       1,263,773       (4,933,557     77,284,915       5,760,054  

Change in net unrealized appreciation (depreciation)

       14,596,077       9,472,867       249,758,702       (13,790,931
    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       18,325,439       7,869,351       378,258,081       45,008,575  
    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

       (2,967,463     (10,153,738     (58,232,912     (55,610,130

Class R6

                   (227,894 )*       

Class I

                   (64,254 )**       
    

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

       (2,967,463     (10,153,738     (58,525,060     (55,610,130
    

 

 

   

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

          

Class III

       (587,343     (372,206,442     (135,640,442     (171,078,291

Class R6

                   5,755,476      

Class I

                   1,969,305 **       
    

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (587,343     (372,206,442     (127,915,661     (171,078,291
    

 

 

   

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       14,770,633       (374,490,829     191,817,360       (181,679,846
Net assets:

 

Beginning of period

       73,382,890       447,873,719       1,456,063,750       1,637,743,596  
    

 

 

   

 

 

   

 

 

   

 

 

 

End of period

     $ 88,153,523     $ 73,382,890     $ 1,647,881,110     $ 1,456,063,750  
    

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Period from July 15, 2020 (commencement of operations) through February 28, 2021.

**

Period from August 17, 2020 (commencement of operations) through February 28, 2021.

 

130   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       Consolidated Implementation
Fund
    International Developed
Equity Allocation Fund(a)
 
       Year Ended February 28/29,     Year Ended February 28/29,  
       2021     2020     2021     2020  

Increase (decrease) in net assets:

 

Operations:

 

Net investment income (loss)

     $ 175,368,048     $ 296,754,906     $ 9,596,314     $ 15,661,862  

Net realized gain (loss)

       (653,822,989     (17,401,093     1,580,267       (22,509,794

Change in net unrealized appreciation (depreciation)

       511,939,039       (225,262,025     30,626,653       29,860,875  
    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       33,484,098       54,091,788       41,803,234       23,012,943  
    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Core Class

       (132,218,180     (310,939,020            

Class III

                   (9,649,537     (15,687,875
    

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

       (132,218,180     (310,939,020     (9,649,537     (15,687,875
    

 

 

   

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

 

Core Class

       (1,045,204,818     (1,594,424,900            

Class III

                   (112,552,246     (282,691,634

Class R6

                   8,318,148      
    

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (1,045,204,818     (1,594,424,900     (104,234,098     (282,691,634
    

 

 

   

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       (1,143,938,900     (1,851,272,132     (72,080,401     (275,366,566
Net assets:

 

Beginning of period

       7,114,306,121       8,965,578,253       297,463,345       572,829,911  
    

 

 

   

 

 

   

 

 

   

 

 

 

End of period

     $ 5,970,367,221     $ 7,114,306,121     $ 225,382,944     $ 297,463,345  
    

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

See Note 11 for discussion of reorganization.

*

Period from January 22, 2021 (commencement of operations) through February 28, 2021.

 

       See accompanying notes to the financial statements.   131


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       International Equity
Allocation Fund(a)
    Consolidated SGM Major
Markets 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)

     $ 33,987,418     $ 37,246,109     $ (717,925   $ 8,392,098  

Net realized gain (loss)

       (20,360,817     (9,324,801     53,389,439       (29,279,985

Change in net unrealized appreciation (depreciation)

       133,302,879       (10,853,560     (19,979,166     4,727,112  
    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       146,929,480       17,067,748       32,692,348       (16,160,775
    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

       (23,516,204     (28,289,670     (605,875     (496,259

Class IV

                         (167,985 )** 

Class VI

                   (7,340,475     (15,675,471

Class R6

       (10,144,475     (8,867,347 )*             

Class I

                   (170,853 )***       
    

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

       (33,660,679     (37,157,017     (8,117,203     (16,339,715
    

 

 

   

 

 

   

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class III

       (121,597,130     (259,098,085     11,338,628       (25,234,742

Class IV

                         (22,837,965 )** 

Class VI

                   (542,443,992     (298,663,476

Class R6

       13,037,294       206,065,739            

Class I

                   14,188,676 ***       
    

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (108,559,836     (53,032,346     (516,916,688     (346,736,183
    

 

 

   

 

 

   

 

 

   

 

 

 

Total increase (decrease) in net assets

       4,708,965       (73,121,615     (492,341,543     (379,236,673
Net assets:

 

Beginning of period

       856,845,207       929,966,822       850,396,872       1,229,633,545  
    

 

 

   

 

 

   

 

 

   

 

 

 

End of period

     $ 861,554,172     $ 856,845,207     $ 358,055,329     $ 850,396,872  
    

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

See Note 11 for discussion of reorganization.

*

Period from August 30, 2019 (commencement of operations) through February 29, 2020.

**

For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders.

***

Period from September 23, 2020 (commencement of operations) through February 28, 2021.

 

132   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Statements of Changes in Net Assets — (Continued)

 

 

       Strategic Opportunities
Allocation Fund
 
       Year Ended February 28/29,  
       2021     2020  

Increase (decrease) in net assets:

 

Operations:

 

Net investment income (loss)

     $ 18,754,742     $ 28,472,605  

Net realized gain (loss)

       14,588,170       12,372,066  

Change in net unrealized appreciation (depreciation)

       66,489,403       (16,305,103
    

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

       99,832,315       24,539,568  
    

 

 

   

 

 

 

Distributions to shareholders:

 

Class III

       (26,956,390     (42,379,462
    

 

 

   

 

 

 

Total distributions

       (26,956,390     (42,379,462
    

 

 

   

 

 

 

Net share transactions (Note 9):

 

Class III

       (266,517,298     (123,870,724
    

 

 

   

 

 

 

Increase (decrease) in net assets resulting from net share transactions

       (266,517,298     (123,870,724
    

 

 

   

 

 

 

Total increase (decrease) in net assets

       (193,641,373     (141,710,618
Net assets:

 

Beginning of period

       773,437,677       915,148,295  
    

 

 

   

 

 

 

End of period

     $ 579,796,304     $ 773,437,677  
    

 

 

   

 

 

 

 

       See accompanying notes to the financial statements.   133


GMO Trust Funds

 

Statement of Cash Flows — Year Ended February 28, 2021

 

 

     Consolidated
Alternative
Allocation Fund
 

Cash flows from operating activities

 

Net increase (decrease) in net assets resulting from operations

   $ (4,022,224
  

 

 

 

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:

  

Net change in unrealized (appreciation) depreciation

     (4,116,009

Net realized (gain) loss

     7,143,588  

Cost of purchased investments held long

     (1,184,126,750

Cost of purchased investments held short

     (160,410,843

Proceeds from sale of investments held long

     934,655,518  

Proceeds of sales to securities sold short

     283,364,967  

Net amortization of discount and accretion of premium

     795,207  

Short-term investments, net

     56,913,460  

Gain (loss) from derivatives:

  

Futures contracts

     (3,523,885

Written option contracts

     (5,085,311

Swap contracts

     (25,423,364

Forward currency contracts

     1,901,858  

Foreign currency and foreign currency related transactions

     (259,966

Change in assets and liabilities:

  

(Increase) decrease in due from broker

     (15,615,282

(Increase) decrease in dividends and interest receivable

     (101,592

(Increase) decrease in dividend tax withholding

     (1,629

(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO

     (12,731

(Increase) decrease in interest receivable for open OTC swap contracts

     (162,873

(Increase) decrease in receivable for closed swap contracts

     278,828  

(Increase) decrease in collateral on investments sold short

     (165,000,000

Increase (decrease) in payable to affiliate for:

  

Management fee

     168,676  

Shareholder service fee

     44,283  

Increase (decrease) in foreign currency due to custodian

     (829

Increase (decrease) in due to custodian

     2,605,341  

Increase (decrease) in dividends and interest payable

     322,530  

Increase (decrease) in payable to agents unaffiliated with GMO

     (13

Increase (decrease) in payable for closed swap contracts

     9,045,268  

Increase (decrease) in payable to Trustees and related expenses

     (211

Increase (decrease) in payable for interest on OTC swap contracts

     38,972  

Increase (decrease) in accrued expenses

     25,435  
  

 

 

 

Net Cash Provided by Operating Activities

     (270,559,581
  

 

 

 

Cash flows from financing activities:

 

Proceeds from shares sold

     419,390,255  

Shares repurchased

     (148,772,234

Cash distributions paid

     (2,790,560
  

 

 

 

Net cash provided by (used in) financing activities

     267,827,461  
  

 

 

 

Net increase (decrease) in cash

     (2,732,120

Cash, beginning of year

     2,754,648  
  

 

 

 

Cash, end of year

   $ 22,528  
  

 

 

 

 

134   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

CONSOLIDATED ALTERNATIVE ALLOCATION FUND

 

     Class VI Shares   Class R6 Shares   Class I Shares
     Year Ended
February 28,
2021
  Period from
May 1, 2019
(commencement
of operations)
through
February 29,
2020
  Period from
July 31, 2020
(commencement
of operations)
through
February 28,
2021
  Year Ended
February 28,
2021
  Period from
September 4, 2019
(commencement
of operations)
through
February 29,
2020

Net asset value, beginning of period

     $ 19.45     $ 20.00     $ 19.33     $ 19.44     $ 20.18
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                    

Net investment income (loss)(a)

       (0.02 )       0.15       (0.03 )       (0.09 )       0.10

Net realized and unrealized gain (loss)

       0.03 (b)        (0.18 )       0.07 (b)        0.04 (b)        (0.33 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       0.01       (0.03 )       0.04       (0.05 )       (0.23 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                    

From net investment income

       (0.47 )       (0.06 )       (0.42 )       (0.43 )       (0.05 )

From net realized gains

             (0.46 )                   (0.46 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.47 )       (0.52 )       (0.42 )       (0.43 )       (0.51 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 18.99     $ 19.45     $ 18.95     $ 18.96     $ 19.44
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       0.01 %       (0.21 )%**       0.16 %**       (0.30 )%       (1.20 )%**

Ratios/Supplemental Data:

                    

Net assets, end of period (000’s)

     $ 230,386     $ 200,812     $ 478     $ 268,473     $ 34,229

Net operating expenses to average daily net assets(d)

       0.76 %       0.77 %*       0.93 %*       1.02 %       1.02 %*

Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)

       0.49 %       0.29 %*       0.53 %*       0.51 %       0.23 %*

Total net expenses to average daily net assets(d)

       1.25 %       1.05 %*       1.46 %*       1.53 %       1.25 %*

Net investment income (loss) to average daily net assets(a)

       (0.10 )%       0.88 %*       (0.26 )%*       (0.44 )%       0.98 %*

Portfolio turnover rate(f)

       410 %       243 %**       410 %**       410 %       243 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)

       0.15 %       0.27 %*       0.16 %*       0.15 %       0.24 %*

 

(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 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.

(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) 

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

(e) 

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.

(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 and February 29, 2020, including transactions in USTF, was 411% and 250%, 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.

 

       See accompanying notes to the financial statements.   135


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

BENCHMARK-FREE ALLOCATION FUND

 

    Class III Shares   Class IV 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

    $ 25.53     $ 26.36     $ 27.76     $ 25.78     $ 23.46     $ 25.53     $ 26.35     $ 27.75     $ 25.78     $ 23.46
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                       

Net investment income (loss)(a)

      0.40       0.83       0.82       0.52       0.37       0.43       0.83       0.88       0.58       0.40

Net realized and unrealized gain (loss)

      0.98       (0.75 )       (1.30 )       2.12       2.35       0.96       (0.73 )       (1.35 )       2.06       2.33
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      1.38       0.08       (0.48 )       2.64       2.72       1.39       0.10       (0.47 )       2.64       2.73
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                       

From net investment income

      (0.78 )       (0.90 )       (0.90 )       (0.66 )       (0.40 )       (0.80 )       (0.91 )       (0.91 )       (0.67 )       (0.41 )

From net realized gains

      (0.16 )       (0.01 )       (0.02 )                   (0.16 )       (0.01 )       (0.02 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.94 )       (0.91 )       (0.92 )       (0.66 )       (0.40 )       (0.96 )       (0.92 )       (0.93 )       (0.67 )       (0.41 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

    $ 25.97     $ 25.53     $ 26.36     $ 27.76     $ 25.78     $ 25.96     $ 25.53     $ 26.35     $ 27.75     $ 25.78
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

      5.60 %       0.11 %       (1.55 )%       10.28 %       11.66 %       5.61 %       0.21 %       (1.50 )%       10.30 %       11.71 %

Ratios/Supplemental Data:

                                       

Net assets, end of period (000’s)

    $ 2,227,712     $ 3,785,568     $ 4,642,211     $ 5,162,084     $ 5,248,863     $ 1,965,528     $ 2,085,324     $ 2,737,619     $ 2,756,005     $ 2,663,418

Net operating expenses to average daily net assets(c)

      0.70 %       0.66 %       0.65 %       0.65 %       0.65 %       0.66 %       0.61 %       0.60 %       0.60 %       0.60 %

Net investment income (loss) to average daily net assets(a)

      1.59 %       3.12 %       3.07 %       1.93 %       1.46 %       1.73 %       3.12 %       3.29 %       2.13 %       1.61 %

Portfolio turnover rate

      20 %       10 %       18 %       9 %       7 %       20 %       10 %       18 %       9 %       7 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e)

      0.11 %       0.15 %       0.15 %       0.16 %       0.15 %       0.10 %       0.15 %       0.15 %       0.16 %       0.15 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

    $     $     $ 0.00 (e)      $ 0.01     $ 0.02     $     $     $ 0.00 (e)      $ 0.01     $ 0.02

 

    Class MF Shares
    Year Ended February 28/29,
    2021   2020   2019   2018   2017

Net asset value, beginning of period

    $ 25.55     $ 26.38     $ 27.77     $ 25.80     $ 23.47
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                   

Net investment income (loss)(a)

      0.38       0.83       0.77       0.56       0.35

Net realized and unrealized gain (loss)

      1.01       (0.74 )       (1.23 )       2.08       2.39
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      1.39       0.09       (0.46 )       2.64       2.74
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

 

From net investment income

      (0.79 )       (0.91 )       (0.91 )       (0.67 )       (0.41 )

From net realized gains

      (0.16 )       (0.01 )       (0.02 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.95 )       (0.92 )       (0.93 )       (0.67 )       (0.41 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

    $ 25.99     $ 25.55     $ 26.38     $ 27.77     $ 25.80
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

      5.64 %       0.16 %       (1.47 )%       10.29 %       11.76 %

Ratios/Supplemental Data:

 

Net assets, end of period (000’s)

    $ 1,716,252     $ 2,827,442     $ 3,926,518     $ 5,622,091     $ 5,858,177

Net operating expenses to average daily net assets(c)

      0.65 %       0.61 %       0.60 %       0.60 %       0.60 %(d)

Net investment income (loss) to average daily net assets(a)

      1.54 %       3.12 %       2.88 %       2.06 %       1.38 %

Portfolio turnover rate

      20 %       10 %       18 %       9 %       7 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e)

      0.11 %       0.15 %       0.15 %       0.16 %       0.16 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

    $     $     $ 0.00 (f)      $ 0.01     $ 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) 

Class MF net expenses include a supplemental support fee reduction (Note 5).

(e) 

Ratios include indirect fees waived or borne by GMO.

(f) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

 

 

136   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

BENCHMARK-FREE ALLOCATION FUND (continued)

 

     Class R6 Shares   Class I Shares
     Period from
May 1, 2020
(commencement
of operations)
through
February 28,
2021
  Year Ended
February 28,
2021
  Period from
August 8, 2019
(commencement
of operations)
through
February 29,
2020

Net asset value, beginning of period

     $ 23.95     $ 25.52     $ 26.24
    

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

 

       

Net investment income (loss)(a)

       0.24       0.33       1.10

Net realized and unrealized gain (loss)

       2.72       1.02       (0.93 )
    

 

 

     

 

 

     

 

 

 

Total from investment operations

       2.96       1.35       0.17
    

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

 

       

From net investment income

       (0.80 )       (0.76 )       (0.89 )

From net realized gains

       (0.16 )       (0.16 )      
    

 

 

     

 

 

     

 

 

 

Total distributions

       (0.96 )       (0.92 )       (0.89 )
    

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 25.95     $ 25.95     $ 25.52
    

 

 

     

 

 

     

 

 

 

Total Return(b)

       12.55 %**       5.47 %       0.48 %**

Ratios/Supplemental Data:

 

       

Net assets, end of period (000’s)

     $ 310,687     $ 324,819     $ 98,453

Net expenses to average daily net assets(c)

       0.74 %*       0.81 %       0.74 %*

Net investment income (loss) to average daily net assets(a)

       1.16 %*       1.30 %       7.22 %*

Portfolio turnover rate

       20 %**       20 %       10 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)

       0.08 %*       0.10 %       0.15 %*

 

(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) 

Ratio includes indirect fees waived or borne by GMO.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

       See accompanying notes to the financial statements.   137


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

BENCHMARK-FREE FUND

 

     Class III Shares
     Year Ended February 28/29,
     2021   2020   2019   2018   2017

Net asset value, beginning of period

     $ 18.88     $ 19.56     $ 20.91     $ 18.95     $ 17.00
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                    

Net investment income (loss)(a)

       0.52       0.72       0.58       0.46       0.43

Net realized and unrealized gain (loss)

       0.71       (0.59 )       (1.21 )       2.10       2.01
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       1.23       0.13       (0.63 )       2.56       2.44
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                    

From net investment income

       (0.63 )       (0.81 )       (0.72 )       (0.60 )       (0.49 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.63 )       (0.81 )       (0.72 )       (0.60 )       (0.49 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 19.48     $ 18.88     $ 19.56     $ 20.91     $ 18.95
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       6.64 %       0.41 %       (2.80 )%       13.59 %       14.52 %

Ratios/Supplemental Data:

                    

Net assets, end of period (000’s)

     $ 2,158,496     $ 2,583,930     $ 3,165,731     $ 4,486,489     $ 4,394,260

Net operating expenses to average daily net assets(c)

       0.04 %       0.02 %       0.02 %       0.02 %       0.01 %

Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)

       0.08 %       0.03 %       0.04 %       0.00 %(d)       0.00 %(d)

Total net expenses to average daily net assets(c)

       0.12 %       0.05 %       0.06 %       0.02 %       0.01 %

Net investment income (loss) to average daily net assets(a)

       2.86 %       3.64 %       2.92 %       2.29 %       2.37 %

Portfolio turnover rate(f)

       145 %       50 %       59 %       78 %       83 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.05 %       0.04 %       0.03 %       0.03 %       0.04 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $     $ 0.00 (g)      $ 0.01     $ 0.00 (g) 

 

(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 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.

(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 151%, 52%, 59%, 81% and 86%, respectively, of the average value of its portfolio.

(g) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

 

138   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

GLOBAL ASSET ALLOCATION FUND

 

     Class III Shares   Class R6 Shares   Class I Shares
     Year Ended February 28/29,   Year Ended
February 28,
2021
  Period from
September 30, 2019
(commencement
of operations)
through
February 29,

2020
  Period from
January 6, 2021
(commencement
of operations)
through
February 28,
2021
     2021   2020   2019   2018   2017(a)

Net asset value, beginning of period

     $ 31.50     $ 31.47     $ 33.31     $ 30.48     $ 27.60     $ 31.50     $ 32.56     $ 34.71
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                

Net investment income (loss)(b)

       0.88       1.08       1.02       0.73       0.61       0.93       0.86       (0.01 )

Net realized and unrealized gain (loss)

       3.91       0.29       (1.74 )       2.93       3.00       3.87       (0.71 )       0.22
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       4.79       1.37       (0.72 )       3.66       3.61       4.80       0.15       0.21
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                

From net investment income

       (1.37 )       (1.34 )       (1.12 )       (0.83 )       (0.73 )       (1.37 )       (1.21 )      

From net realized gains

                                                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.37 )       (1.34 )       (1.12 )       (0.83 )       (0.73 )       (1.37 )       (1.21 )      
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 34.92     $ 31.50     $ 31.47     $ 33.31     $ 30.48     $ 34.93     $ 31.50     $ 34.92
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       15.39 %       4.12 %       (1.96 )%       12.04 %       13.21 %       15.42 %       0.22 %**       0.61 %**

Ratios/Supplemental Data:

                                

Net assets, end of period (000’s)

     $ 692,580     $ 1,539,522     $ 1,909,728     $ 2,475,605     $ 2,423,945     $ 183,052     $ 17,888     $ 20,497

Net operating expenses to average daily net assets(d)

       0.00 %(e)       0.00 %(e)       0.00 %(e)       0.00 %(e)       0.00 %(e)       0.01 %       0.00 %(e)       0.11 %

Net investment income (loss) to average daily net assets(b)

       2.78 %       3.32 %       3.17 %       2.24 %       2.06 %       2.78 %       6.23 %*       (0.10 )%*

Portfolio turnover rate

       30 %(f)       27 %(f)       21 %(f)       20 %(f)       19 %(f)       30 %(f)       27 %(f)**       30 %(f)**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.01 %       0.01 %       0.01 %       0.01 %       0.01 %       0.02 %       0.01 %*       0.02 %*

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $     $ 0.00 (g)      $ 0.01     $ 0.02     $     $     $

 

(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 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) 

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

(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, February 28, 2018 and February 28, 2017, including transactions in USTF, was 41%, 28%, 24%, 22% and 18%, respectively, of the average value of its portfolio.

(g) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

       See accompanying notes to the financial statements.   139


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

 

     Class III Shares
     Year Ended February 28/29,
     2021   2020   2019   2018   2017

Net asset value, beginning of period

     $ 20.87     $ 21.20     $ 22.88     $ 19.60     $ 17.40
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                    

Net investment income (loss)(a)

       0.75       0.25       0.57       0.42       0.52

Net realized and unrealized gain (loss)

       5.12       0.42       (1.67 )       3.55       2.87
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       5.87       0.67       (1.10 )       3.97       3.39
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                    

From net investment income

       (0.95 )       (0.74 )       (0.58 )       (0.69 )       (0.55 )

From net realized gains

             (0.26 )                   (0.64 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.95 )       (1.00 )       (0.58 )       (0.69 )       (1.19 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 25.79     $ 20.87     $ 21.20     $ 22.88     $ 19.60
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       28.41 %       2.87 %       (4.58 )%       20.39 %       20.03 %

Ratios/Supplemental Data:

                    

Net assets, end of period (000’s)

     $ 88,154     $ 73,383     $ 447,874     $ 469,283     $ 992,260

Net expenses to average daily net assets(c)(d)

       0.00 %       0.00 %       0.00 %       0.00 %       0.00 %

Net investment income (loss) to average daily net assets(a)

       3.39 %       1.16 %       2.62 %       1.99 %       2.78 %

Portfolio turnover rate

       25 %       21 %       6 %       5 %       29 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.06 %       0.03 %       0.02 %       0.01 %       0.01 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $     $ 0.00 (e)      $ 0.02     $ 0.01

 

(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) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

 

140   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

GLOBAL EQUITY ALLOCATION FUND

 

     Class III Shares   Class R6 Shares   Class I Shares
     Year Ended February 28/29,   Period from
July 15, 2020
(commencement
of operations)
through
February 28,
2021
  Period from
August, 17 2020
(commencement
of operations)
through
February 28,
2021
(Unaudited)
     2021   2020   2019   2018   2017(a)

Net asset value, beginning of period

     $ 24.37     $ 24.63     $ 26.86     $ 22.84     $ 19.71     $ 25.19     $ 26.14
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                            

Net investment income (loss)(b)

       0.88       0.83       0.65       0.68       0.57       0.81       0.90

Net realized and unrealized gain (loss)

       5.75       (0.16 )       (2.18 )       4.11       3.67       4.96       3.91
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       6.63       0.67       (1.53 )       4.79       4.24       5.77       4.81
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                            

From net investment income

       (1.09 )       (0.93 )       (0.70 )       (0.77 )       (0.70 )       (1.05 )       (1.04 )

From net realized gains

                               (0.41 )            
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.09 )       (0.93 )       (0.70 )       (0.77 )       (1.11 )       (1.05 )       (1.04 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 29.91     $ 24.37     $ 24.63     $ 26.86     $ 22.84     $ 29.91     $ 29.91
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       27.51 %       2.36 %       (5.43 )%       21.06 %       21.93 %       23.14 %**       18.64 %**

Ratios/Supplemental Data:

                            

Net assets, end of period (000’s)

     $ 1,638,868     $ 1,456,064     $ 1,637,744     $ 2,328,921     $ 2,206,818     $ 6,781     $ 2,233

Net expenses to average daily net assets(d)

       0.00 %(e)       0.00 %(e)       0.00 %(e)       0.00 %(e)       0.00 %(e)       0.00 %(e)*       0.10 %*

Net investment income (loss) to average daily net assets(b)

       3.44 %       3.26 %       2.56 %       2.67 %       2.63 %       4.70 %*       5.95 %*

Portfolio turnover rate

       20 %       20 %       11 %       14 %       27 %       20 %**       20 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.01 %       0.01 %       0.01 %       0.01 %       0.01 %       0.01 %*       0.01 %*

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $     $ 0.00 (f)      $ 0.01     $ 0.02 (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) 

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) 

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

(e) 

Rounds to less than 0.01%.

(f) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

       See accompanying notes to the financial statements.   141


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

CONSOLIDATED IMPLEMENTATION FUND

 

     Core Shares  
     Year Ended February 28/29,  
     2021     2020     2019     2018     2017  

Net asset value, beginning of period

   $ 12.74     $ 13.22     $ 14.09     $ 13.06     $ 11.80  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income (loss) from investment operations:

          

Net investment income (loss)†

     0.35 (a)      0.49 (a)      0.40       0.33       0.27  

Net realized and unrealized gain (loss)

     (0.11     (0.43     (0.69     1.11       1.24  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

     0.24       0.06       (0.29     1.44       1.51  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions to shareholders:(b)

          

From net investment income

     (0.28     (0.54     (0.58     (0.41     (0.25
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (0.28     (0.54     (0.58     (0.41     (0.25
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

   $ 12.70     $ 12.74     $ 13.22     $ 14.09     $ 13.06  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

     1.95     0.25     (1.88 )%      11.12     12.88

Ratios/Supplemental Data:

          

Net assets, end of period (000’s)

   $ 5,970,367     $ 7,114,306     $ 8,965,578     $ 11,505,699     $ 11,226,684  

Net operating expenses to average daily net assets

     0.01 %(e)      0.00 %(d)(e)      0.00 %(d)      0.00 %(d)      0.00 %(d) 

Interest and/or dividend expenses to average daily net assets(f)

     0.15     0.06     0.10     0.04     0.05

Total net expenses to average daily net assets

     0.16 %(e)      0.06 %(e)      0.10     0.04     0.05

Net investment income (loss) to average daily net assets

     2.89 %(a)      3.65 %(a)      2.95     2.44     2.11

Portfolio turnover rate

     189 %(g)      97 %(g)      112     146     142

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

     0.06 %(h)      0.05 %(h)      0.04     0.04     0.05

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

   $     $     $ 0.00 (i)    $ 0.01     $ 0.01  

 

(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) 

Distributions to shareholders were not required to be made for periods prior to July 1, 2015, the date on which the Fund elected to be treated as a corporation for U.S. federal income purposes.

(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) 

Ratio is less than 0.01%.

(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 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) 

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 and February 29, 2020, including transactions in USTF, was 196% and 100%, respectively, of the average value of its portfolio.

(h) 

Ratio includes indirect fees waived or borne by GMO.

(i) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

 

142   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

 

     Class III Shares   Class R6 Shares
     Year Ended February 28/29,   Period from
January 22, 2021
(commencement
of operations)
through
February 28,
2021
     2021   2020   2019   2018   2017

Net asset value, beginning of period

     $ 14.52     $ 14.75     $ 17.32     $ 14.72     $ 13.05     $ 17.08
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                        

Net investment income (loss)(a)

       0.61       0.49       0.51       0.53       0.45       (0.00 )(e)

Net realized and unrealized gain (loss)

       2.56       (0.12 )       (2.56 )       2.61       1.79       (0.13 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       3.17       0.37       (2.05 )       3.14       2.24       (0.13 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                        

From net investment income

       (0.74 )       (0.60 )       (0.52 )       (0.54 )       (0.57 )      

From net realized gains

                                    
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.74 )       (0.60 )       (0.52 )       (0.54 )       (0.57 )      
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 16.95     $ 14.52     $ 14.75     $ 17.32     $ 14.72     $ 16.95
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       22.02 %       2.14 %       (11.57 )%       21.41 %       17.37 %       (0.76 )%**

Ratios/Supplemental Data:

                        

Net assets, end of period (000’s)

     $ 217,129     $ 297,463     $ 572,830     $ 664,867     $ 601,792     $ 8,254

Net expenses to average daily net assets(c)(d)

       0.00 %       0.00 %       0.00 %       0.00 %       0.00 %       0.01 %*

Net investment income (loss) to average daily net assets(a)

       4.20 %       3.25 %       3.25 %       3.20 %       3.14 %       (0.01 )%*

Portfolio turnover rate

       17 %       11 %       8 %       5 %       10 %       17 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.03 %       0.02 %       0.02 %       0.01 %       0.01 %       0.05 %*

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $     $ 0.00 (e)      $ 0.00 (e)      $ 0.01     $

 

(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) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

       See accompanying notes to the financial statements.   143


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

INTERNATIONAL EQUITY ALLOCATION FUND

 

     Class III Shares   Class R6 Shares
     Year Ended February 28/29,   Year Ended
February 28,
2021
  Period from
August 30, 2019
(commencement
of operations)
through
February 29,
2020
     2021   2020   2019   2018   2017(a)

Net asset value, beginning of period

     $ 27.45     $ 28.09     $ 32.62     $ 27.49     $ 23.40     $ 27.44     $ 27.07
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                            

Net investment income (loss)(b)

       1.24       1.02       0.91       0.93       0.84       1.29       1.14

Net realized and unrealized gain (loss)

       4.91       (0.46 )       (4.47 )       5.19       4.15       4.86       0.33
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       6.15       0.56       (3.56 )       6.12       4.99       6.15       1.47
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                            

From net investment income

       (1.29 )       (1.20 )       (0.97 )       (0.99 )       (0.90 )       (1.29 )       (1.10 )

From net realized gains

                                          
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (1.29 )       (1.20 )       (0.97 )       (0.99 )       (0.90 )       (1.29 )       (1.10 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 32.31     $ 27.45     $ 28.09     $ 32.62     $ 27.49     $ 32.30     $ 27.44
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       22.67 %       1.62 %       (10.69 )%       22.38 %       21.57 %    

 

22.68

%

   

 

5.04

%**

Ratios/Supplemental Data:

                            

Net assets, end of period (000’s)

     $ 598,701     $ 646,622     $ 929,967     $ 1,151,327     $ 1,085,803     $ 262,853     $ 210,223

Net expenses to average daily net assets(d)(e)

       0.00 %       0.00 %       0.00 %       0.00 %       0.00 %       0.00 %       0.00 %*

Net investment income (loss) to average daily net assets(b)

       4.40 %       3.55 %       3.09 %       3.00 %       3.20 %       4.56 %       7.83 %*

Portfolio turnover rate

       16 %       7 %       8 %       12 %       7 %       16 %       7 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.02 %       0.01 %       0.01 %       0.01 %       0.01 %       0.02 %       0.02 %*

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $     $ 0.00 (f)      $ 0.02     $ 0.02     $     $

 

(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 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) 

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

(e) 

Rounds to less than 0.01%.

(f) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

 

144   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

CONSOLIDATED SGM MAJOR MARKETS 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

     $ 31.13     $ 32.17     $ 31.87     $ 32.68     $ 33.25     $ 31.07     $ 32.11     $ 31.78     $ 32.57     $ 33.26
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                                        

Net investment income (loss)(a)

       (0.09 )       0.27       0.31       0.24       (0.21 )       (0.06 )       0.25       0.33       0.05       (0.16 )

Net realized and unrealized gain (loss)

       1.81       (0.83 )       0.11 (b)        0.23       1.87       1.80       (0.77 )       0.13 (b)        0.44       1.85
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       1.72       (0.56 )       0.42       0.47       1.66       1.74       (0.52 )       0.46       0.49       1.69
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                                        

From net investment income

       (0.03 )       (0.48 )       (0.12 )             (1.01 )       (0.03 )       (0.52 )       (0.13 )             (1.16 )

From net realized gains

       (0.75 )                   (1.28 )       (1.22 )       (0.75 )                   (1.28 )       (1.22 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.78 )       (0.48 )       (0.12 )       (1.28 )       (2.23 )       (0.78 )       (0.52 )       (0.13 )       (1.28 )       (2.38 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 32.07     $ 31.13     $ 32.17     $ 31.87     $ 32.68     $ 32.03     $ 31.07     $ 32.11     $ 31.78     $ 32.57
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       5.48 %       (1.74 )%       1.32 %       1.44 %       5.12 %       5.56 %       (1.65 )%       1.47 %       1.50 %       5.22 %

Ratios/Supplemental Data:

                                        

Net assets, end of period (000’s)

     $ 30,126     $ 18,527     $ 45,409     $ 26,630     $ 6,117     $ 314,087     $ 831,870     $ 1,161,238     $ 1,843,748     $ 1,446,445

Net expenses to average daily net assets(d)

       1.01 %       1.01 %       1.00 %       1.00 %       1.00 %       0.91 %       0.91 %       0.91 %       0.91 %       0.91 %

Net investment income (loss) to average daily net assets(a)

       (0.27 )%       0.85 %       0.97 %       0.75 %       (0.61 )%       (0.17 )%       0.79 %       1.04 %       0.16 %       (0.47 )%

Portfolio turnover rate

       76 %       46 %       49 %(e)       106 %(e)       15 %(e)       76 %       46 %       49 %(e)       106 %(e)       15 %(e)

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.07 %       0.05 %       0.04 %       0.03 %       0.04 %       0.07 %       0.04 %       0.04 %       0.03 %       0.04 %

 

     Class I Shares
     Period from
September 23, 2020
(commencement of
operations)
through
February 28,

2021

Net asset value, beginning of period

     $ 32.37
    

 

 

 

Income (loss) from investment operations:

    

Net investment income (loss)(a)

       (0.04 )

Net realized and unrealized gain (loss)

       0.48
    

 

 

 

Total from investment operations

       0.44
    

 

 

 

Less distributions to shareholders:

    

From net investment income

      

From net realized gains

       (0.75 )
    

 

 

 

Total distributions

       (0.75 )
    

 

 

 

Net asset value, end of period

     $ 32.06
    

 

 

 

Total Return(c)

       1.30 %**

Ratios/Supplemental Data:

    

Net assets, end of period (000’s)

     $ 13,842

Net expenses to average daily net assets(d)

       1.11 %*

Net investment income (loss) to average daily net assets(a)

       (0.28 )%*

Portfolio turnover rate

       76 %**

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.14 %*
(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 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 Fund shares in relation to fluctuating market values of the investments of the Fund.

(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) 

Net expenses exclude expenses incurred indirectly through investment in the Institutional Fund and underlying funds , if any (Note 5).

(e) 

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, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 75%, 51% and 47%, respectively, of the average value of its portfolio.

Calculated using average shares outstanding throughout the period.

*

Annualized.

**

Not annualized.

 

 

       See accompanying notes to the financial statements.   145


GMO Trust Funds

 

Financial Highlights

(For a share outstanding throughout each period)

 

 

STRATEGIC OPPORTUNITIES ALLOCATION FUND

 

     Class III Shares
     Year Ended February 28/29,
     2021   2020   2019   2018   2017

Net asset value, beginning of period

     $ 18.98     $ 19.48     $ 22.08     $ 19.76     $ 17.43
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income (loss) from investment operations:

                    

Net investment income (loss)(a)

       0.54       0.67       0.62       0.58       0.51

Net realized and unrealized gain (loss)

       2.93       (0.11 )       (1.45 )       2.39       2.36
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       3.47       0.56       (0.83 )       2.97       2.87
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                    

From net investment income

       (0.71 )       (0.77 )       (0.67 )       (0.63 )       (0.53 )

From net realized gains

       (0.18 )       (0.29 )       (1.10 )       (0.02 )       (0.01 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.89 )       (1.06 )       (1.77 )       (0.65 )       (0.54 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

     $ 21.56     $ 18.98     $ 19.48     $ 22.08     $ 19.76
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       18.66 %       2.57 %       (3.45 )%       15.10 %       16.60 %

Ratios/Supplemental Data:

                    

Net assets, end of period (000’s)

     $ 579,796     $ 773,438     $ 915,148     $ 1,302,441     $ 2,016,999

Net operating expenses to average daily net assets(c)

       0.01 %       0.01 %       0.01 %       0.00 %(d)       0.00 %(d)

Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)

       0.07 %       0.03 %       0.03 %            

Total net expenses to average daily net assets(c)

       0.08 %       0.04 %       0.04 %       0.00 %(d)       0.00 %(d)

Net investment income (loss) to average daily net assets(a)

       2.85 %       3.35 %       3.01 %       2.73 %       2.69 %

Portfolio turnover rate(f)

       61 %       36 %       35 %       20 %       28 %

Fees and expenses reimbursed and/or waived by GMO to average daily net assets:

       0.07 %       0.03 %       0.03 %       0.01 %       0.01 %

Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†

     $     $     $ 0.00 (g)      $ 0.02     $ 0.00 (g) 

 

(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 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.

(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 80%, 41%, 38%, 25% and 39%, respectively, of the average value of its portfolio.

(g) 

Rounds to less than $0.01.

Calculated using average shares outstanding throughout the period.

 

146   See accompanying notes to the financial statements.       


GMO Trust Funds

 

Notes to Financial Statements

February 28, 2021

 

 

1.

Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation 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 primarily in other GMO Funds and Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd. and GMO Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds”. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. 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 Securities and Exchange Commission’s (“SEC”) 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
Alternative Allocation Fund   Not Applicable   Positive total return
Benchmark-Free Allocation Fund   Not Applicable   Positive total return
Benchmark-Free Fund   Not Applicable   Positive total return
Global Asset Allocation Fund  

GMO Global Asset Allocation Index

(65% MSCI ACWI, 35% Bloomberg Barclays U.S. Aggregate Index)

  Total return greater than benchmark
Global Developed Equity Allocation Fund   MSCI World Index   Total return greater than benchmark
Global Equity Allocation Fund   MSCI ACWI   Total return greater than benchmark
Implementation Fund   Not Applicable   Positive total return, not relative return
International Developed Equity Allocation Fund   MSCI EAFE Index   Total return greater than benchmark
International Equity Allocation Fund   MSCI ACWI ex USA   Total return greater than benchmark
SGM Major Markets Fund   Not Applicable   Long-term total return
Strategic Opportunities Allocation Fund  

GMO Strategic Opportunities Allocation

Index (75% MSCI World Index (MSCI

Standard Index Series), 25% Bloomberg Barclays U.S. Aggregate Index)

  Total return greater than benchmark

Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund currently limit 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.

 

              147


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: 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 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.

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) and are described in the disclosures of the underlying funds.

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.

“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.

 

148              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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 securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign 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; 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; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

 

              149


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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  
Consolidated Alternative Allocation Fund                        
Asset Valuation Inputs                        

Common Stocks

         

Australia

  $     $ 7,012,471     $     $ 7,012,471  

Belgium

          435,400             435,400  

Canada

    1,352,490                   1,352,490  

China

    285,120       2,754,795             3,039,915  

Denmark

          936,762             936,762  

Finland

          209,047             209,047  

France

          1,558,059             1,558,059  

Germany

          1,377,355             1,377,355  

Hong Kong

          1,208,355             1,208,355  

Israel

    439,496                   439,496  

Italy

          855,105             855,105  

Japan

          5,448,760             5,448,760  

Netherlands

    269,808       1,387,881             1,657,689  

New Zealand

          224,642             224,642  

South Africa

          344,138             344,138  

Spain

          682,361             682,361  

Sweden

          348,099             348,099  

Switzerland

          574,974             574,974  

United Kingdom

    14,570,173       6,274,975             20,845,148  

United States

    201,392,118                   201,392,118  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    218,309,205       31,633,179             249,942,384  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Germany

          376,160             376,160  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          376,160             376,160  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

United States

                146,362       146,362  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

                146,362       146,362  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

United States

    41,040,275             10,681,155       51,721,430  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    41,040,275             10,681,155       51,721,430  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    80,006,810       63,008,496             143,015,306  

United States Virgin Islands

          3,377,266             3,377,266  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    80,006,810       66,385,762             146,392,572  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    29,192,704                   29,192,704  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    29,192,704                   29,192,704  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    25,386,986       156,168             25,543,154  

Purchased Options

          8,015             8,015  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    393,935,980       98,559,284       10,827,517       503,322,781  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          3,652,827             3,652,827  

Futures Contracts

         

Equity Risk

    2,057,148       105,981             2,163,129  

Interest Rate Risk

    435,260                   435,260  

Swap Contracts

         

Credit Risk

          2,594,506             2,594,506  

Equity Risk

          1,130,823             1,130,823  

Interest Rate Risk

          12,136,034             12,136,034  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 396,428,388     $ 118,179,455     $ 10,827,517     $ 525,435,360  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

150              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Consolidated Alternative Allocation Fund (continued)                        
Liability Valuation Inputs                        

Common Stocks

         

Australia

  $     $ (1,477,017   $     $ (1,477,017

Austria

          (275,944           (275,944

Canada

    (263,748                 (263,748

Denmark

          (54,425           (54,425

France

          (2,167,405           (2,167,405

Germany

          (2,154,112           (2,154,112

Ireland

    (1,335,045                 (1,335,045

Israel

    (313,713                 (313,713

Italy

          (843,448           (843,448

Japan

          (5,839,938           (5,839,938

Netherlands

          (2,067,267           (2,067,267

New Zealand

          (240,512           (240,512

Norway

          (30,725           (30,725

Peru

    (342,384                 (342,384

Singapore

          (349,181           (349,181

Spain

          (1,192,345           (1,192,345

Sweden

          (299,018           (299,018

Switzerland

          (927,075           (927,075

United Kingdom

    (12,882,622     (3,315,225           (16,197,847

United States

    (144,894,755                 (144,894,755
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (160,032,267     (21,233,637           (181,265,904
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Germany

          (369,809           (369,809
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          (369,809           (369,809
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          (3,795,482           (3,795,482

Futures Contracts

         

Equity Risk

    (876,007     (1,244,743           (2,120,750

Interest Rate Risk

    (1,674,457                 (1,674,457

Written Options

         

Credit Risk

          (156,106           (156,106

Equity Risk

    (537,880     (190,225           (728,105

Swap Contracts

         

Credit Risk

          (1,585,192           (1,585,192

Equity Risk

          (406,438           (406,438

Interest Rate Risk

          (16,246,035           (16,246,035
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (163,120,611   $ (45,227,667   $     $ (208,348,278
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Benchmark-Free Allocation Fund                        
Asset Valuation Inputs                        

Mutual Funds

  $ 6,543,622,545     $     $     $ 6,543,622,545  

Short-Term Investments

    6,316,225                   6,316,225  

Total Investments

    6,549,938,770                   6,549,938,770  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 6,549,938,770     $     $     $ 6,549,938,770  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Benchmark-Free Fund                        
Asset Valuation Inputs                        

Common Stocks

         

Argentina

  $ 1,112,334     $     $     $ 1,112,334  

Australia

          33,438,076             33,438,076  
                                 

 

              151


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Benchmark-Free Fund (continued)                        
Asset Valuation Inputs (continued)                        

Common Stocks (continued)

         

Austria

  $     $ 123,767     $     $ 123,767  

Belgium

          9,612,997             9,612,997  

Brazil

    2,125,565       10,288,078             12,413,643  

Canada

    30,098,798                   30,098,798  

Chile

          38,058             38,058  

China

    38,527,460       237,405,614       11,049       275,944,123  

Czech Republic

          581,472             581,472  

Denmark

          10,642,827             10,642,827  

Egypt

          63,852             63,852  

Finland

          5,366,909             5,366,909  

France

    112,577       36,285,461             36,398,038  

Germany

          33,638,179             33,638,179  

Greece

          113,924       0 §      113,924  

Hong Kong

          24,045,987             24,045,987  

Hungary

          608,775             608,775  

India

    4,955,807       35,189,403             40,145,210  

Indonesia

          7,508,640             7,508,640  

Ireland

    747,009       7,335,907             8,082,916  

Israel

    3,673,204       351,769             4,024,973  

Italy

          21,833,449             21,833,449  

Japan

          276,559,209             276,559,209  

Kuwait

          4,170,113             4,170,113  

Malaysia

          583,771             583,771  

Mexico

    21,884,972                   21,884,972  

Netherlands

    3,531,594       32,198,520             35,730,114  

New Zealand

          2,362,013             2,362,013  

Norway

          10,070,332             10,070,332  

Pakistan

          1,075,306             1,075,306  

Philippines

          645,346             645,346  

Poland

          8,274,983             8,274,983  

Portugal

          9,404,269             9,404,269  

Qatar

          1,366,897             1,366,897  

Russia

    1,441,154       71,506,186             72,947,340  

Saudi Arabia

          934,087             934,087  

Singapore

          12,707,729             12,707,729  

South Africa

          34,798,395             34,798,395  

South Korea

    1,846,672       51,239,197             53,085,869  

Spain

          26,711,946             26,711,946  

Sweden

          6,025,803             6,025,803  

Switzerland

          11,789,526             11,789,526  

Taiwan

    2,504,317       105,497,723             108,002,040  

Thailand

          5,593,748             5,593,748  

Turkey

          12,293,931             12,293,931  

United Arab Emirates

          3,004,584             3,004,584  

United Kingdom

    2,562,832       84,270,529             86,833,361  

United States

    290,137,781                   290,137,781  

Vietnam

          561,857             561,857  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    405,262,076       1,248,119,144       11,049       1,653,392,269  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

    1,553,439       4,286,820             5,840,259  

Colombia

    133,500                   133,500  

Germany

          4,237,466             4,237,466  

Russia

          4,786,844             4,786,844  

South Korea

          7,583,295             7,583,295  
                                 

 

152              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Benchmark-Free Fund (continued)                        
Asset Valuation Inputs (continued)                        

Preferred Stocks (continued)

         

Taiwan

  $     $ 95,390     $     $ 95,390  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    1,686,939       20,989,815             22,676,754  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

United Kingdom

          0 §            0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

          0 §            0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

United States

    25,635,179                   25,635,179  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    25,635,179                   25,635,179  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

    127,000,195       1,578,469             128,578,664  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    127,000,195       1,578,469             128,578,664  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    305,597,417                   305,597,417  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    305,597,417                   305,597,417  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    31,962,856                   31,962,856  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    897,144,662       1,270,687,428       11,049       2,167,843,139  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ 1,545,886     $     $ 1,545,886  

Futures Contracts

         

Equity Risk

    273,943       625,589             899,532  

Swap Contracts

         

Equity Risk

          4,846,267             4,846,267  

Interest Rate Risk

          3,730,310             3,730,310  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 897,418,605     $ 1,281,435,480     $ 11,049     $ 2,178,865,134  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

         

Common Stocks

         

Australia

  $     $ (15,172,889   $     $ (15,172,889

Austria

          (2,679,013           (2,679,013

Canada

    (2,567,756                 (2,567,756

Denmark

          (370,008           (370,008

France

          (22,427,875           (22,427,875

Germany

          (22,771,052           (22,771,052

Israel

    (1,847,421                 (1,847,421

Italy

          (8,186,982           (8,186,982

Japan

          (56,622,317           (56,622,317

Netherlands

          (6,574,140           (6,574,140

New Zealand

          (1,239,261           (1,239,261

Norway

          (294,838           (294,838

Peru

    (3,259,781                 (3,259,781

Russia

          (366,733           (366,733

Singapore

          (3,657,098           (3,657,098

Spain

          (12,236,357           (12,236,357

Sweden

          (3,975,639           (3,975,639

Switzerland

          (9,780,350           (9,780,350

United Kingdom

          (32,321,294           (32,321,294

United States

    (213,963,143                 (213,963,143
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (221,638,101     (198,675,846           (420,313,947
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              153


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Benchmark-Free Fund (continued)                        
Liability Valuation Inputs (continued)                        

Preferred Stocks

         

Germany

  $     $ (3,419,708   $     $ (3,419,708
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          (3,419,708           (3,419,708
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          (1,354,468           (1,354,468

Futures Contracts

         

Equity Risk

    (7,498,661     (9,664,671           (17,163,332

Swap Contracts

         

Equity Risk

          (498,098           (498,098

Interest Rate Risk

          (4,897,574           (4,897,574
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (229,136,762   $ (218,510,365   $     $ (447,647,127
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Global Asset Allocation Fund

 

Asset Valuation Inputs

         

Mutual Funds

  $ 895,696,311     $     $     $ 895,696,311  

Debt Obligations

         

Asset-Backed Securities

          23,348             23,348  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

          23,348             23,348  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    600,429                   600,429  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    896,296,740       23,348             896,320,088  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 896,296,740     $ 23,348     $     $ 896,320,088  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Global Developed Equity Allocation Fund

 

Asset Valuation Inputs

         

Mutual Funds

  $ 88,129,979     $     $     $ 88,129,979  

Short-Term Investments

    47,867                   47,867  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    88,177,846                   88,177,846  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 88,177,846     $     $     $ 88,177,846  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Global Equity Allocation Fund

 

Asset Valuation Inputs

         

Mutual Funds

  $ 1,647,334,119     $     $     $ 1,647,334,119  

Short-Term Investments

    607,265                   607,265  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    1,647,941,384                   1,647,941,384  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,647,941,384     $     $     $ 1,647,941,384  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Consolidated Implementation Fund  
Asset Valuation Inputs                        

Common Stocks

         

Argentina

  $ 3,582,346     $     $     $ 3,582,346  

Australia

          97,591,684             97,591,684  

Austria

          169,646             169,646  

Belgium

          25,336,673             25,336,673  

Brazil

    8,206,367       28,878,242             37,084,609  

Canada

    77,266,014                   77,266,014  

Chile

          68,261             68,261  

China

    98,511,836       642,364,758       38,211       740,914,805  

Colombia

    13,202                   13,202  
                                 

 

154              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Consolidated Implementation Fund (continued)  
Asset Valuation Inputs (continued)                        

Common Stocks (continued)

         

Czech Republic

  $     $ 1,428,793     $     $ 1,428,793  

Denmark

          30,031,195             30,031,195  

Egypt

          207,837             207,837  

Finland

          13,845,558             13,845,558  

France

          94,845,291             94,845,291  

Germany

          89,800,385             89,800,385  

Greece

          289,156             289,156  

Hong Kong

          60,039,985             60,039,985  

Hungary

          1,896,772             1,896,772  

India

    12,437,784       109,651,988             122,089,772  

Indonesia

          25,909,161             25,909,161  

Ireland

    1,785,196       17,276,273             19,061,469  

Israel

    10,881,724       424,543             11,306,267  

Italy

          60,979,092             60,979,092  

Japan

          721,178,210             721,178,210  

Kuwait

          12,604,551             12,604,551  

Malaysia

          2,194,661             2,194,661  

Mexico

    56,945,576                   56,945,576  

Netherlands

    10,055,166       86,208,144       199       96,263,509  

New Zealand

          6,820,705             6,820,705  

Norway

          21,441,151             21,441,151  

Pakistan

          5,131,087             5,131,087  

Philippines

          3,444,350             3,444,350  

Poland

          23,205,673             23,205,673  

Portugal

          23,115,999             23,115,999  

Qatar

          8,157,353             8,157,353  

Russia

    2,389,701       200,016,972             202,406,673  

Saudi Arabia

          3,015,767             3,015,767  

Singapore

          31,798,420             31,798,420  

South Africa

          86,031,953             86,031,953  

South Korea

    4,764,011       126,235,210             130,999,221  

Spain

          67,046,656             67,046,656  

Sweden

          18,187,652             18,187,652  

Switzerland

          31,129,475             31,129,475  

Taiwan

    14,250,111       305,108,472             319,358,583  

Thailand

          10,605,883             10,605,883  

Turkey

          25,303,954             25,303,954  

United Arab Emirates

          6,562,807             6,562,807  

United Kingdom

    33,738,602       221,971,318             255,709,920  

United States

    1,108,928,057             13,767,769       1,122,695,826  

Vietnam

          2,429,554             2,429,554  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    1,443,755,693       3,349,981,270       13,806,179       4,807,543,142  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

    3,706,446       9,980,477             13,686,923  

Colombia

    525,367                   525,367  

Germany

          11,878,018             11,878,018  

Russia

          17,622,823             17,622,823  

South Korea

          29,680,293             29,680,293  

Taiwan

          844,774             844,774  

United States

                881,040       881,040  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

    4,231,813       70,006,385       881,040       75,119,238  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              155


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Consolidated Implementation Fund (continued)  
Asset Valuation Inputs (continued)                        

Rights/Warrants

         

Australia

  $     $ 0 §    $     $ 0 § 

United Kingdom

          0 §            0 § 

United States

                737,648       737,648  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

          0 §      737,648       737,648  
   

 

 

   

 

 

   

 

 

   

 

 

 

Investment Funds

         

United States

    50,229,565             22,494,300       72,723,865  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENT FUNDS

    50,229,565             22,494,300       72,723,865  
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

Brazil

          7,619,021             7,619,021  

Canada

          1,706,343             1,706,343  

Israel

          6,004,380             6,004,380  

Jamaica

          2,278,113       6,415,674       8,693,787  

Netherlands

                304,846       304,846  

Puerto Rico

          6,320,000             6,320,000  

United States

    470,308,398       162,349,973       34,624,878       667,283,249  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    470,308,398       186,277,830       41,345,398       697,931,626  
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    35,272,723                   35,272,723  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    35,272,723                   35,272,723  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    161,063,259       90,367,721             251,430,980  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    2,164,861,451       3,696,633,206       79,264,565       5,940,759,222  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

 

Forward Currency Contracts

         

Foreign Currency Risk

          11,511,187             11,511,187  

Futures Contracts

         

Equity Risk

    7,728,085       1,768,480             9,496,565  

Interest Rate Risk

    967,278                   967,278  

Physical Commodity Contract Risk

    194,151                   194,151  

Swap Contracts

         

Equity Risk

          13,582,779             13,582,779  

Interest Rate Risk

          28,524,463             28,524,463  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 2,173,750,965     $ 3,752,020,115     $ 79,264,565     $ 6,005,035,645  
   

 

 

   

 

 

   

 

 

   

 

 

 
Liability Valuation Inputs                        

Common Stocks

 

Australia

  $     $ (42,633,855   $     $ (42,633,855

Austria

          (7,554,402           (7,554,402

Canada

    (7,231,855                 (7,231,855

Denmark

          (1,042,372           (1,042,372

France

          (63,389,601           (63,389,601

Germany

          (65,533,182           (65,533,182

Ireland

    (2,368,534                 (2,368,534

Israel

    (5,786,262                 (5,786,262

Italy

          (23,025,814           (23,025,814

Japan

          (160,823,175           (160,823,175

Netherlands

          (21,181,531           (21,181,531

New Zealand

          (3,980,808           (3,980,808

Norway

          (834,106           (834,106

Peru

    (9,187,304                 (9,187,304

Russia

          (944,186           (944,186
                                 

 

156              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Consolidated Implementation Fund (continued)  
Liability Valuation Inputs (continued)                        

Common Stocks (continued)

         

Singapore

  $     $ (10,186,566   $     $ (10,186,566

Spain

          (34,622,954           (34,622,954

Sweden

          (11,181,742           (11,181,742

Switzerland

          (28,385,162           (28,385,162

United Kingdom

    (22,980,356     (92,690,243           (115,670,599

United States

    (800,036,093                 (800,036,093
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (847,590,404     (568,009,699           (1,415,600,103
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Germany

          (9,776,317           (9,776,317
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          (9,776,317           (9,776,317
   

 

 

   

 

 

   

 

 

   

 

 

 

Debt Obligations

         

United States

          (2,866,765           (2,866,765
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

          (2,866,765           (2,866,765
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

          (10,505,775           (10,505,775

Futures Contracts

         

Equity Risk

    (17,420,451     (26,260,870           (43,681,321

Interest Rate Risk

    (4,116,160                 (4,116,160

Physical Commodity Contract Risk

    (3,119,693                 (3,119,693

Swap Contracts

         

Credit Risk

          (692,111           (692,111

Equity Risk

          (3,482,776           (3,482,776

Interest Rate Risk

          (38,510,928           (38,510,928
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (872,246,708   $ (660,105,241   $     $ (1,532,351,949
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

International Developed Equity Allocation Fund

 

Asset Valuation Inputs

         

Mutual Funds

  $ 225,299,432     $     $     $ 225,299,432  

Short-Term Investments

    53,755                   53,755  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    225,353,187                   225,353,187  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 225,353,187     $     $     $ 225,353,187  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

International Equity Allocation Fund

 

Asset Valuation Inputs

         

Mutual Funds

  $ 861,339,170     $     $     $ 861,339,170  

Short-Term Investments

    304,576                   304,576  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    861,643,746                   861,643,746  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 861,643,746     $     $     $ 861,643,746  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Consolidated SGM Major Markets Fund  
Asset Valuation Inputs                        

Debt Obligations

         

U.S. Government

  $ 313,614,034     $     $     $ 313,614,034  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL DEBT OBLIGATIONS

    313,614,034                   313,614,034  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    32,060,718       3,071,714             35,132,432  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    345,674,752       3,071,714             348,746,466  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              157


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Consolidated SGM Major Markets Fund (continued)  
Asset Valuation Inputs (continued)                        

Derivatives^

         

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ 263,394     $     $ 263,394  

Futures Contracts

         

Equity Risk

    4,805,177       194,693             4,999,870  

Interest Rate Risk

    709,437                   709,437  

Physical Commodity Contract Risk

    148,089                   148,089  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 351,337,455     $ 3,529,801     $     $ 354,867,256  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

         

Derivatives^

 

Forward Currency Contracts

         

Foreign Currency Risk

  $     $ (1,844,072   $     $ (1,844,072

Futures Contracts

         

Equity Risk

    (1,773,070     (2,375,811           (4,148,881

Interest Rate Risk

    (3,111,472                 (3,111,472

Physical Commodity Contract Risk

    (2,364,783                 (2,364,783
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (7,249,325   $ (4,219,883   $     $ (11,469,208
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
Strategic Opportunities Allocation Fund  
Asset Valuation Inputs                        

Common Stocks

         

Australia

  $     $ 6,824,593     $     $ 6,824,593  

Belgium

          2,430,024             2,430,024  

Canada

    6,041,957                   6,041,957  

China

    506,880       6,311,368             6,818,248  

Denmark

          2,715,383             2,715,383  

Finland

          1,520,855             1,520,855  

France

          8,014,726             8,014,726  

Germany

          7,706,776             7,706,776  

Greece

          17,653             17,653  

Hong Kong

          4,956,815             4,956,815  

India

          2,305,307             2,305,307  

Indonesia

          49,933             49,933  

Ireland

          1,750,909             1,750,909  

Israel

    920,448       40,673             961,121  

Italy

          5,693,866             5,693,866  

Japan

          58,780,558             58,780,558  

Malta

                0 §      0 § 

Mexico

    1,511,107                   1,511,107  

Netherlands

    872,058       6,514,849             7,386,907  

New Zealand

          574,399             574,399  

Norway

          2,292,049             2,292,049  

Portugal

          1,473,521             1,473,521  

Russia

          1,046,167             1,046,167  

Singapore

          2,573,282             2,573,282  

South Africa

          706,927             706,927  

South Korea

          143,275             143,275  

Spain

          5,757,410             5,757,410  

Sweden

          992,032             992,032  

Switzerland

          1,506,037             1,506,037  

Taiwan

          452,499             452,499  
                                 

 

158              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

         
Description   Level 1     Level 2     Level 3     Total  
Strategic Opportunities Allocation Fund (continued)  
Asset Valuation Inputs (continued)                        

Common Stocks (continued)

         

United Kingdom

  $     $ 19,830,980     $     $ 19,830,980  

United States

    67,731,901                   67,731,901  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    77,584,351       152,982,866       0 §      230,567,217  
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Brazil

          719,342             719,342  

Germany

          1,112,541             1,112,541  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          1,831,883             1,831,883  
   

 

 

   

 

 

   

 

 

   

 

 

 

Rights/Warrants

         

United Kingdom

          0 §            0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL RIGHTS/WARRANTS

          0 §            0 § 
   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual Funds

         

United States

    340,982,404                   340,982,404  
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL MUTUAL FUNDS

    340,982,404                   340,982,404  
   

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

    7,288,304                   7,288,304  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    425,855,059       154,814,749       0 §      580,669,808  
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Swap Contracts

         

Equity Risk

          1,086,854             1,086,854  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 425,855,059     $ 155,901,603     $ 0 §    $ 581,756,662  
   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

 

Common Stocks

         

Australia

  $     $ (3,875,701   $     $ (3,875,701

Austria

          (678,609           (678,609

Canada

    (650,276                 (650,276

Denmark

          (88,896           (88,896

France

          (5,619,401           (5,619,401

Germany

          (5,684,629           (5,684,629

Israel

    (418,284                 (418,284

Italy

          (1,972,293           (1,972,293

Japan

          (14,014,909           (14,014,909

Netherlands

          (1,645,165           (1,645,165

New Zealand

          (256,437           (256,437

Norway

          (74,755           (74,755

Peru

    (841,694                 (841,694

Russia

          (90,182           (90,182

Singapore

          (884,494           (884,494

Spain

          (3,099,040           (3,099,040

Sweden

          (1,009,278           (1,009,278

Switzerland

          (2,423,147           (2,423,147

United Kingdom

          (8,021,455           (8,021,455

United States

    (52,855,550                 (52,855,550
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL COMMON STOCKS

    (54,765,804     (49,438,391           (104,204,195
   

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks

         

Germany

          (849,020           (849,020
   

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL PREFERRED STOCKS

          (849,020           (849,020
   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives^

         

Swap Contracts

         

Equity Risk

          (4,871           (4,871
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (54,765,804   $ (50,292,282   $     $ (105,058,086
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              159


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

  §

Represents the interest in securities that were determined to have a value of zero at February 28, 2021.

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). Implementation Fund’s Level 3 holdings also include two common stocks which are priced at the average of broker bids and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at 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
 
Consolidated Alternative Allocation Fund                                                            
Investment Funds                      

United States

  $ 2,667,600     $ 11,756,181     $ (4,424,896   $     $     $ 682,270     $     $     $ 10,681,155     $ 682,270  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Rights/Warrants                      

United States

                                        146,362 ‡            146,362        
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 2,667,600     $ 11,756,181     $ (4,424,896   $     $     $ 682,270     $ 146,362     $     $ 10,827,517     $ 682,270  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 
Consolidated Implementation Fund                                                            
Common Stocks                      

China

  $     $     $     $     $     $     $ 38,211 ‡    $     $ 38,211     $  

Netherlands

          867       (7           (666     5                   199       5  

United States

    9,521,813       5,041,255       (302,137           (10     (493,152                 13,767,769       (493,152
Preferred Stocks                      

United States

          110,130                         770,910                   881,040       770,910  
Rights/Warrants                      

United States

    430,926                                     306,722 ‡            737,648        
Investment Funds                      

United States

    29,566,080       7,679,409       (16,120,764           1,495,949       (126,374                 22,494,300       (126,374
                                                                                 

 

160              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

                     
     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
 
Consolidated Implementation Fund (continued)                                                            
Debt Obligations                      

Bank Loans

                     

Luxembourg

  $ 7,763,747     $     $ (6,906,643   $ 43,520     $ (2,263,375   $ 1,362,751     $     $     $     $  

Jamaica

    1,925,000       4,914,950       (938,033     130,700       33,568       349,489                   6,415,674       349,489  

United States

    67,533,991       37,041,706       (57,585,809     1,335,172       (19,581,384     5,881,202                   34,624,878       (1,213,791

Corporate Debt

                     

Netherlands

          2,293,349       (1,188,521     46,830       (623,432     (223,380                 304,846       (223,380
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 116,741,557     $ 57,081,666     $ (83,041,914 )#    $ 1,556,222     $ (20,939,350   $ 7,521,451     $ 344,933     $     $ 79,264,565     $ (936,293
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                                 

 

 

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

  #

Includes $13,034,522 of proceeds received from partial calls and/or principal paydowns as applicable.

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.

Quantitative information about Level 3 Fair Value Measurements*

 

         
Investment Type   Total Fair
Value ($)
    Valuation Methodology     Unobservable Inputs     Range (Weighted
Average)
 

Consolidated Alternative Allocation Fund

         

N/A

          N/A       N/A       N/A  

Consolidated Implementation Fund

         

Common Stock

    3,513,025       Fair Value       Discount Rate       30% (N/A)  

Common Stock

    2,394,108       Fair Value       Most Relevant Broker Quote       $4.083-$5.333 ($4.38)  

 

  *

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 Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $10,827,517 and $73,357,432, 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.

 

              161


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

Loan assignments and participations

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

Inflation-indexed bonds

Certain 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

 

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Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities with a value equal to at least 100% of the market value of the loaned securities (marked to market daily). Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

Funds that lend their portfolio securities bear the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. Such Funds also bear the risk that the value of investments made with collateral may decline and bear the risk of total loss with respect to the investment of collateral.

At February 28, 2021, securities on loan at value and collateral from securities on loan are listed below:

 

         
Fund Name  

Value of securities

on loan ($)

   

Cash

collateral ($)

    Non-cash
collateral ($)*
    Total
collateral ($)
 

Benchmark-Free Fund

    34,172,201       15,591,824       21,485,593       37,077,417  

Consolidated Implementation Fund

    90,419,386       35,190,901       63,116,695       98,307,596  

 

  *

Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.

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. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many

 

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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the year, 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.

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd. and Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund and Implementation Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

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. 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 and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.

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.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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.

 

164              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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

 

                       
Differences related to:   Consolidated
Alternative
Allocation
Fund
  Benchmark-Free
Allocation
Fund
  Benchmark-Free
Fund
  Global
Asset
Allocation
Fund
  Global
Developed
Equity
Allocation
Fund
  Global
Equity
Allocation
Fund
  Consolidated
Implementation
Fund
  International
Developed
Equity
Allocation
Fund
  International
Equity
Allocation
Fund
  Consolidated
SGM
Major
Markets
Fund
  Strategic
Opportunities
Allocation
Fund
Capital loss carryforwards       X   X   X       X   X   X   X   X    
Constructive sale gains   X                                        
Contribution of assets to wholly-owned subsidiary                                           X
Controlled foreign corporation transactions   X                                   X    
Defaulted bonds                           X                
Derivative contract transactions   X       X               X           X   X
Foreign currency transactions   X       X               X           X   X
Gain/losses on underlying fund shares       X       X                            
Late year ordinary losses   X   X   X               X                
Losses on wash sale transactions   X   X   X   X   X   X   X   X   X       X
Mutual fund distributions received       X   X   X   X   X                   X
Passive foreign investment company transactions           X               X               X
Post-October capital losses   X       X                       X   X    
Securities sold short                           X                
Straddle loss deferrals   X                                        

 

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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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 ($)
    Total
Distributions ($)
 
Consolidated Alternative Allocation Fund     9,717,526             9,717,526       5,343,115             5,343,115  
Benchmark-Free Allocation Fund     203,031,960       48,160,322       251,192,282       321,864,645       2,927,259       324,791,904  
Benchmark-Free Fund     71,248,951             71,248,951       110,241,387             110,241,387  
Global Asset Allocation Fund     39,988,358             39,988,358       67,878,968             67,878,968  
Global Developed Equity Allocation Fund     2,967,463             2,967,463       4,977,127       5,176,611       10,153,738  
Global Equity Allocation Fund     58,525,060             58,525,060       55,610,130             55,610,130  
Consolidated Implementation Fund     132,218,180             132,218,180       310,939,020             310,939,020  
International Developed Equity Allocation Fund     9,649,537             9,649,537       15,687,875             15,687,875  
International Equity Allocation Fund     33,660,679             33,660,679       37,157,017             37,157,017  
Consolidated SGM Major Markets Fund     346,979       7,770,224       8,117,203       16,339,715             16,339,715  
Strategic Opportunities Allocation Fund     20,110,114       6,846,276       26,956,390       29,003,367       13,376,095       42,379,462  

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.

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 Losses
Deferral ($)
 

Consolidated Alternative Allocation Fund

    10,426,596               —       (21,162,317)               —               —  

Benchmark-Free Allocation Fund

                (4,557,293)       (53,554,099)       (565,098)  

Benchmark-Free Fund

                (3,085,266)       (339,773,043)       (55,466,289)  

Global Asset Allocation Fund

    3,032,254             (125,045)       (209,118,913)        

Global Developed Equity Allocation Fund

    321,845       640,681       (662)              

Global Equity Allocation Fund

    1,082,124             (14,626)       (48,705,418)        

Consolidated Implementation Fund

                (30,905,794)       (1,110,992,458)        

International Developed Equity Allocation Fund

    272,216       113,848       (1,759)       (136,147,272)        

International Equity Allocation Fund

    1,997,017             (7,154)       (119,898,416)       (780,593)  

Consolidated SGM Major Markets Fund

    9,212,727       15,071,976                    

Strategic Opportunities Allocation Fund

    1,093,274       6,645,634                    

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

 

166              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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 ($)     Long-Term ($)  

Consolidated Alternative Allocation Fund

            —               —  

Benchmark-Free Allocation Fund

    (996,401)       (52,557,698)  

Benchmark-Free Fund

    (140,587,068)       (199,185,975)  

Global Asset Allocation Fund

    (3,820,536)       (205,298,377)  

Global Developed Equity Allocation Fund

           

Global Equity Allocation Fund

          (48,705,418)  

Consolidated Implementation Fund

    (697,632,617)       (413,359,841)  

International Developed Equity Allocation Fund

          (136,147,272)  

International Equity Allocation Fund

          (119,898,416)  

Consolidated SGM Major Markets Fund

           

Strategic Opportunities Allocation 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) ($)
 
Consolidated Alternative Allocation Fund     327,441,635       16,325,574       (22,080,141)       (5,754,567)       (6,840,703)  
Benchmark-Free Allocation Fund     6,866,114,672             (316,175,902)       (316,175,902)        
Benchmark-Free Fund     1,584,186,878       250,949,791       (91,027,185)       159,922,606       (5,744,890)  
Global Asset Allocation Fund     885,447,676       29,109,300       (18,236,888)       10,872,412        
Global Developed Equity Allocation Fund     78,874,011       9,303,835             9,303,835        
Global Equity Allocation Fund     1,557,572,877       94,320,147       (3,951,640)       90,368,507        
Consolidated Implementation Fund     4,364,815,395       607,920,246       (460,219,604)       147,700,642       (34,526,588)  
International Developed Equity Allocation Fund     249,009,552             (23,656,365)       (23,656,365)        
International Equity Allocation Fund     827,497,101       34,146,645             34,146,645        
Consolidated SGM Major Markets Fund     401,198,885       381,175       (52,833,594)       (52,452,419)       (7,021,761)  
Strategic Opportunities Allocation Fund     429,902,184       59,801,570       (14,087,161)       45,714,409        

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

 

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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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 and supplemental support 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 through investments in underlying funds or a wholly-owned subsidiary) 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).

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).

 

168              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.

As of February 28, 2021, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

 

Benchmark-Free Allocation Fund

  For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.20% and 0.18%, respectively, of the amount invested or redeemed.

Benchmark-Free Fund

  For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.25% and 0.18%, respectively, of the amount invested or redeemed.

Global Asset Allocation Fund

  For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.15% and 0.14%, respectively, of the amount invested or redeemed.

Global Developed Equity Allocation Fund

  For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.

Global Equity Allocation Fund

  For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.18% and 0.19%, respectively, of the amount invested or redeemed.

Implementation Fund

  For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.

International Developed Equity Allocation Fund

  For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.

International Equity Allocation Fund

  For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.25% and 0.27%, respectively, of the amount invested or redeemed.

Strategic Opportunities Allocation Fund

  For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.20% and 0.14%, respectively, of the amount invested or redeemed.

 

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GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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.

 

                       
     Alternative
Allocation
Fund
  Benchmark-Free
Allocation
Fund
  Benchmark-Free
Fund
  Global
Asset
Allocation
Fund
  Global
Developed
Equity
Allocation
Fund
  Global
Equity
Allocation
Fund
  Implementation
Fund
  International
Developed
Equity
Allocation
Fund
  International
Equity
Allocation
Fund
  SGM
Major
Markets
Fund
  Strategic
Opportunities
Allocation
Fund

Commodities Risk

  X   X   X   X           X           X   X

Counterparty Risk

  X   X   X   X   X   X   X   X   X   X   X

Credit Risk

  X   X   X   X   X   X   X   X   X   X   X

Currency Risk

  X   X   X   X   X   X   X   X   X   X   X

Derivatives and Short Sales Risk

  X   X   X   X   X   X   X   X   X   X   X

Focused Investment Risk

  X   X   X   X   X   X   X   X   X   X   X

Fund of Funds Risk

  X   X   X   X   X   X   X   X   X   X   X

Futures Contracts Risk

  X   X   X   X                       X   X

Illiquidity Risk

  X   X   X   X   X   X   X   X   X   X   X

Large Shareholder Risk

  X   X   X   X   X   X   X   X   X   X   X

Leveraging Risk

  X   X   X   X   X   X   X   X   X   X   X

Management and Operational Risk

  X   X   X   X   X   X   X   X   X   X   X

Market Disruption and Geopolitical Risk

  X   X   X   X   X   X   X   X   X   X   X

Market Risk – Asset-Backed Securities

      X   X   X           X           X   X

Market Risk – Equities

  X   X   X   X   X   X   X   X   X   X   X

Market Risk – Fixed Income

  X   X   X   X   X   X   X   X   X   X   X

Merger Arbitrage Risk

      X                   X               X

Non-Diversified Funds

  X   X   X   X   X   X   X   X   X   X   X

Non-U.S. Investment Risk

  X   X   X   X   X   X   X   X   X   X   X

Smaller Company Risk

  X   X   X   X   X   X   X   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.

Each Fund that invests in other GMO Funds, other investment companies or in a wholly-owned subsidiary (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

 

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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 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,

 

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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.

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

 

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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.

Some Funds may lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of a Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline.

 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 counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may

 

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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 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

 

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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 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

 

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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 or its wholly-owned subsidiary) is exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. A Fund also is indirectly exposed to all of the risks to which the Underlying Funds or its wholly-owned subsidiary 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) and the expenses of a wholly-owned subsidiary of an underlying fund, the Fund will incur additional expenses when investing in an Underlying Fund or wholly-owned subsidiary. 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.

Because some underlying GMO Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other mutual fund groups and therefore are subject to greater fund of funds risk. 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 or a wholly-owned subsidiary 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

 

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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 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

 

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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 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

 

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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.

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

 

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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 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.

 

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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 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.

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

 

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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.

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.

 

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February 28, 2021

 

 

 MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.

 NON-DIVERSIFIED FUNDS. Some of the Funds 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.

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

 

   

Alternative Allocation Fund

   

Implementation Fund

   

SGM Major Markets Fund

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not “diversified” investment companies under the 1940 Act. Each of the Funds may invest without limitation in GMO Funds that are not “diversified”.

 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,

 

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February 28, 2021

 

 

Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Australian and Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of 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 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.

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.

 

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February 28, 2021

 

 

4.

Derivative financial instruments

During the year ended February 28, 2021, only Alternative Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Implementation Fund, SGM Major Markets Fund, and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

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.

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by Benchmark-Free Fund, Global Asset Allocation Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund

The Funds may use derivatives to gain long or short investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and 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 such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). 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 Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index(to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

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, the Funds may have gross investment exposures in excess of their net assets (i.e. the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s 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.

Use of Derivatives by Consolidated SGM Major Markets Fund

The Fund may use derivatives to gain long and/or short investment exposure to securities, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

 

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February 28, 2021

 

 

The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The 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 Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, 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 exposure, the 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 currencies in which their equities are traded.

The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e. the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s 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, 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.

 

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February 28, 2021

 

 

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   Consolidated
Alternative
Allocation
Fund*
    Benchmark-
Free Fund
    Global Asset
Allocation Fund
    Consolidated
Implementation
Fund*
    Consolidated
SGM Major
Markets
Fund*
    Strategic
Opportunities
Allocation
Fund
 
Forward currency contracts                                                

Adjust currency exchange rate risk

                                    X          

Adjust exposure to foreign currencies

    X       X       X       X       X       X  

Manage against anticipated currency exchange rate changes

    X                       X                  
Futures contracts                                                

Adjust exposure to certain securities markets

    X       X       X       X       X       X  

Substitute for direct investment

                                    X          

Adjust interest rate exposure

    X                               X          

Maintain the diversity and liquidity of the portfolio

    X       X       X       X       X       X  
Options (Purchased)                                                

Substitute for direct equity investment

    X                       X                  

Adjust exposure to foreign currencies

    X                                          
Options (Written)                                                

Substitute for direct equity investment

    X       X               X               X  
Swap contracts                                                

Adjust interest rate exposure

    X       X               X                  

Substitute for direct investment in securities

    X       X               X               X  

Achieve exposure to a reference entity’s credit

    X       X               X                  

 

  *

Certain derivatives may be held by the Fund’s wholly-owned subsidiary.

Forward currency contracts

The Funds 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

 

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February 28, 2021

 

 

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.

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

 

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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.

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.

 

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Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

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.

 

              191


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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
    Commodity
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Total  
Consolidated Alternative Allocation Fund                                    
Asset Derivatives                                    

Investments, at value (purchased options)

  $ 8,015     $     $     $     $     $ 8,015  

Unrealized Appreciation on Forward Currency Contracts

                      3,652,827             3,652,827  

Unrealized Appreciation on Futures Contracts¤

                2,163,129             435,260       2,598,389  

Swap Contracts, at value¤

    2,594,506             1,130,823             12,136,034       15,861,363  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 2,602,521     $     $ 3,293,952     $ 3,652,827     $ 12,571,294     $ 22,120,594  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (3,795,482   $     $ (3,795,482

Unrealized Depreciation on Futures Contracts¤

                (2,120,750           (1,674,457     (3,795,207

Written Options, at value

    (156,106           (728,105                 (884,211

Swap Contracts, at value¤

    (1,585,192           (406,438           (16,246,035     (18,237,665
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (1,741,298   $     $ (3,255,293   $ (3,795,482   $ (17,920,492   $ (26,712,565
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Investments (purchased options)

  $     $     $ 493,736     $ 1,445     $ (71,025   $ 424,156  

Forward Currency Contracts

                      1,901,858             1,901,858  

Futures Contracts

                890,345             (954,320     (63,975

Written Options

    97,248             (3,785,992                 (3,688,744

Swap Contracts

    493,527       910,788       (6,745,105           (9,691,130     (15,031,920
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 590,775     $ 910,788     $ (9,147,016   $ 1,903,303     $ (10,716,475   $ (16,458,625
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

             

Investments (purchased options)

  $     $     $ (669,519   $ 4,129     $ (18,880   $ (684,270

Forward Currency Contracts

                      787,184             787,184  

Futures Contracts

                (3,344,219           (1,239,197     (4,583,416

Written Options

                4,086,667             53,701       4,140,368  

Swap Contracts

    (14,960     (1,222,636     (199,135           (5,719,960     (7,156,691
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (14,960   $ (1,222,636   $ (126,206   $ 791,313     $ (6,924,336   $ (7,496,825
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 
Benchmark-Free Fund  
Asset Derivatives  

Unrealized Appreciation on Forward Currency Contracts

  $     $     $     $ 1,545,886     $     $ 1,545,886  

Unrealized Appreciation on Futures Contracts¤

                899,532                   899,532  

Swap Contracts, at value¤

                4,846,267             3,730,310       8,576,577  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ 5,745,799     $ 1,545,886     $ 3,730,310     $ 11,021,995  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Liability Derivatives  

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (1,354,468   $     $ (1,354,468

Unrealized Depreciation on Futures Contracts¤

                (17,163,332                 (17,163,332

Swap Contracts, at value¤

                (498,098           (4,897,574     (5,395,672
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (17,661,430   $ (1,354,468   $ (4,897,574   $ (23,913,472
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                 

 

192              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

               
     Credit
Contracts
    Commodity
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  
Benchmark-Free Fund (continued)  

Net Realized Gain (Loss) on

 

Futures Contracts

  $     $     $ (273,976,347   $     $     $     $ (273,976,347

Written Options

                (2,599,801                       (2,599,801

Forward Currency Contracts

                      (49,485,818                 (49,485,818

Swap Contracts

    (409,821           (6,470,526           6,040,284             (840,063
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (409,821   $     $ (283,046,674   $ (49,485,818   $ 6,040,284     $     $ (326,902,029
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Forward Currency Contracts

  $     $     $     $ 1,524,124     $     $     $ 1,524,124  

Futures Contracts

                (25,033,346                       (25,033,346

Written Options

                (27,359                       (27,359

Swap Contracts

                (478,953           (1,237,667           (1,716,620
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (25,539,658   $ 1,524,124     $ (1,237,667   $     $ (25,253,201
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         
Global Asset Allocation Fund  
Net Realized Gain (Loss) on  

Forward Currency Contracts

  $     $     $     $ (41,917   $     $     $ (41,917

Futures Contracts

                (19,538,883     (391,185                 (19,930,068
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (19,538,883   $ (433,102   $     $     $ (19,971,985
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

Consolidated Implementation Fund

 

Asset Derivatives  

Unrealized Appreciation on Forward Currency Contracts

  $     $     $     $ 11,511,187     $     $     $ 11,511,187  

Unrealized Appreciation on Futures Contracts¤

          194,151       9,496,565             967,278             10,657,994  

Swap Contracts, at value¤

                13,582,779             28,524,463             42,107,242  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 194,151     $ 23,079,344     $ 11,511,187     $ 29,491,741     $     $ 64,276,423  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (10,505,775   $     $     $ (10,505,775

Unrealized Depreciation on Futures Contracts¤

          (3,119,693     (43,681,321           (4,116,160           (50,917,174

Swap Contracts, at value¤

    (692,111           (3,482,776           (38,510,928           (42,685,815
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (692,111   $ (3,119,693   $ (47,164,097   $ (10,505,775   $ (42,627,088   $     $ (104,108,764
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Investments (purchased options)

  $     $     $ 4,684,865     $ 7,483     $     $     $ 4,692,348  

Forward Currency Contracts

                      (121,475,116                 (121,475,116

Futures Contracts

          (354,275     (690,514,464           (1,708,661           (692,577,400

Written Options

                (19,128,316                       (19,128,316

Swap Contracts

    4,188,409             8,672,464             (19,391,645           (6,530,772
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 4,188,409     $ (354,275   $ (696,285,451   $ (121,467,633   $ (21,100,306   $     $ (835,019,256
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Investments (purchased options)

  $     $     $ (4,807,981   $ 21,383     $     $     $ (4,786,598

Forward Currency Contracts

                      7,195,840                   7,195,840  

Futures Contracts

          (2,925,542     (59,995,768           (3,148,882           (66,070,192

Written Options

                11,496,837                         11,496,837  

Swap Contracts

    (1,059,400           (18,303,891           (15,652,794           (35,016,085
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (1,059,400   $ (2,925,542   $ (71,610,803   $ 7,217,223     $ (18,801,676   $     $ (87,180,198
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

 

              193


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

               
     Credit
Contracts
    Commodity
Contracts
    Equity
Contracts
    Foreign
Currency
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  
Consolidated SGM Major Markets Fund  

Asset Derivatives

 

Unrealized Appreciation on Forward Currency Contracts

  $     $     $     $ 263,394     $     $     $ 263,394  

Unrealized Appreciation on Futures Contracts¤

          148,089       4,999,870             709,437             5,857,396  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 148,089     $ 4,999,870     $ 263,394     $ 709,437     $     $ 6,120,790  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Unrealized Depreciation on Forward Currency Contracts

  $     $     $     $ (1,844,072   $     $     $ (1,844,072

Unrealized Depreciation on Futures Contracts¤

          (2,364,783     (4,148,881           (3,111,472           (9,625,136
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (2,364,783   $ (4,148,881     (1,844,072   $ (3,111,472   $     $ (11,469,208
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Forward Currency Contracts

  $     $     $     $ 3,549,647     $     $     $ 3,549,647  

Futures Contracts

          16,527,785       31,892,106             (1,866,021           46,553,870  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 16,527,785     $ 31,892,106     $ 3,549,647     $ (1,866,021   $     $ 50,103,517  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Forward Currency Contracts

  $     $     $     $ 1,324,237     $     $     $ 1,324,237  

Futures Contracts

          (5,157,459     (9,934,550           (2,402,035           (17,494,044
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ (5,157,459   $ (9,934,550   $ 1,324,237     $ (2,402,035   $     $ (16,169,807
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         
Strategic Opportunities Allocation Fund  

Asset Derivatives

 

Swap Contracts, at value¤

  $     $     $ 1,086,854     $     $     $     $ 1,086,854  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ 1,086,854     $     $     $     $ 1,086,854  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liability Derivatives

 

Swap Contracts, at value¤

  $     $     $ (4,871   $     $     $     $ (4,871
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (4,871   $     $     $     $ (4,871
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss) on

 

Forward Currency Contracts

  $     $     $     $ (647,889   $     $     $ (647,889

Futures Contracts

                (17,103,196                       (17,103,196

Written Options

                (547,350                       (547,350

Swap Contracts

                (3,124,212                       (3,124,212
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (20,774,758   $ (647,889   $     $     $ (21,422,647
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Appreciation (Depreciation) on

 

Written Options

  $     $     $ (5,760   $     $     $     $ (5,760

Swap Contracts

                894,201                         894,201  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ 888,441     $     $     $     $ 888,441  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                         

 

  ^

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, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or

 

194              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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, reverse repurchase agreements and securities loans 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:

Consolidated Alternative Allocation 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.

  $ 946,320     $ (636,165   $ (247,427   $ 62,728  

Barclays Bank PLC

    108,710             108,710        

Citibank N.A.

    1,275,857       (1,110,000     (117,567     48,290  

Deutsche Bank AG

    40,052       (13,470     (26,582    

Goldman Sachs International

    769,340             (413,124     356,216  

JPMorgan Chase Bank, N.A.

    1,113,581       (291,414     (822,167    

Morgan Stanley & Co. International PLC

    2,610,337             (1,879,632     730,705  

Morgan Stanley Capital Services LLC

    419,154       (39,000           380,154  

State Street Bank and Trust Company

    27,098             27,098        

UBS AG

    75,722             75,722        
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 7,386,171     $ (2,090,049   $ (3,294,969   $ 1,578,093  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              195


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

Consolidated Alternative Allocation 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.

  $ 247,427     $     $ 247,427     $  

Barclays Bank PLC

    566,802             (108,710     458,092  

Citibank N.A.

    117,567             117,567        

Deutsche Bank AG

    26,582             26,582        

Goldman Sachs International

    413,124             413,124        

JPMorgan Chase Bank, N.A.

    822,167             822,167        

Morgan Stanley & Co. International PLC

    1,879,632             1,879,632        

Morgan Stanley & Co. LLC

    728,105                   728,105  

State Street Bank and Trust Company

    222,555       (25,002     (27,098     170,455  

UBS AG

    126,816       (51,094     (75,722    
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 5,150,777     $ (76,096   $ 3,294,969     $ 1,356,652  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Benchmark-Free 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.

  $ 1,781     $     $ 1,781     $  

Barclays Bank PLC

    42,968             42,968        

Deutsche Bank AG

    120,386             (3,079     117,307  

Goldman Sachs International

    569,877             (481,799     88,078  

JPMorgan Chase Bank, N.A.

    170,953             170,953        

Morgan Stanley & Co. International PLC

    1,001,557             (838,968     162,589  

Morgan Stanley Capital Services LLC

    4,288,172       (1,959,000     (18,936     2,310,236  

State Street Bank and Trust Company

    196,459                   196,459  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 6,392,153     $ (1,959,000   $ (1,127,080   $ 2,874,669  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
   
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.

  $ 116,102     $ (114,321   $ (1,781   $

Barclays Bank PLC

    132,501             (42,968     89,533  

Citibank N.A.

    17,794                   17,794  

Deutsche Bank AG

    3,079             3,079        

Goldman Sachs International

    481,799             481,799        

JPMorgan Chase Bank, N.A.

    243,387             (170,953     72,434  

Morgan Stanley & Co. International PLC

    838,968             838,968        

Morgan Stanley Capital Services LLC

    18,936             18,936        
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,852,566     $ (114,321   $ 1,127,080     $ 179,761  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

196              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

Consolidated Implementation 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.

  $ 265,920     $     $ 265,920     $  

Barclays Bank PLC

    328,245             328,245        

Deutsche Bank AG

    369,585       (295,209     (74,376    

Goldman Sachs International

    1,579,947             1,579,947        

JPMorgan Chase Bank, N.A.

    1,418,126             1,418,126        

Morgan Stanley & Co. International PLC

    7,034,711             (5,233,204     1,801,507  

Morgan Stanley Capital Services LLC

    12,107,100       (5,468,000     (53,307     6,585,793  

State Street Bank and Trust Company

    1,793,725       (920,000     (758,560     115,165  

UBS AG

    196,607             196,607        
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 25,093,966     $ (6,683,209   $ (2,330,602   $ 8,502,465  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
   
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.

  $ 836,138     $ (570,218   $ (265,920   $ *   

Barclays Bank PLC

    1,435,258             (328,245     1,107,013  

Citibank N.A.

    136,282       (136,282          

Credit Suisse International

    174,642                   174,642  

Deutsche Bank AG

    74,376             74,376        

Goldman Sachs International

    3,449,738       (1,869,791     (1,579,947    

JPMorgan Chase Bank, N.A.

    2,220,672       (154,952     (1,418,126     647,594  

Morgan Stanley & Co. International PLC

    5,233,204             5,233,204        

Morgan Stanley Capital Services LLC

    53,307             53,307        

State Street Bank and Trust Company

    758,560             758,560        

UBS AG

    308,485       (111,878     (196,607    
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 14,680,662     $ (2,843,121   $ 2,330,602     $ 1,929,249  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Consolidated SGM Major Markets Fund

 

   
   
Counterparty   Gross Derivative
Assets Subject to
Master Agreements
    Collateral
Received
    Derivative
Assets/(Liabilities)
Available for
Offset
    Net Amount
of Derivative
Assets
 

Deutsche Bank AG

  $ 2,753     $     $ 2,753     $  

Goldman Sachs International

    14,973                   14,973  

Morgan Stanley & Co. International PLC

    99,256             99,256        

UBS AG

    146,412             146,412        
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 263,394     $     $ 248,421     $ 14,973  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

              197


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

Consolidated SGM Major Markets 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.

  $ 376,108     $     $     $ 376,108  

Barclays Bank PLC

    200,691                   200,691  

Deutsche Bank AG

    41,609       (32,410     (2,753     6,446  

JPMorgan Chase Bank, N.A.

    38,092                   38,092  

Morgan Stanley & Co. International PLC

    399,882             (99,256     300,626  

State Street Bank and Trust Company

    556,122       (100,268           455,854  

UBS AG

    231,568       (85,156     (146,412    
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,844,072     $ (217,834   $ (248,421   $ 1,377,817  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Strategic Opportunities Allocation Fund

 

         
Counterparty   Gross Derivative
Assets Subject to
Master Agreements
    Collateral
Received
    Derivative
Assets/(Liabilities)
Available for
Offset
    Net Amount
of Derivative
Assets
 

Goldman Sachs International

  $ 25,108     $     $     $ 25,108  

Morgan Stanley Capital Services LLC

    1,061,746       (570,000     (4,871     486,875  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,086,854     $ (570,000   $ (4,871   $ 511,983  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 
   
Counterparty   Gross Derivative
Liabilities Subject to
Master Agreements
    Collateral
Pledged
    Derivative
(Assets)/Liabilities
Available for
Offset
    Net Amount
of Derivative
Liabilities
 

Morgan Stanley Capital Services LLC

  $ 4,871     $     $ 4,871     $  
   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 4,871     $     $ 4,871     $  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

  *

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 or number of contracts (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)
    Options
(Contracts)
    Swap
Contracts ($)
 

Consolidated Alternative Allocation Fund

    629,959,426       115,700,740       32,754,428       2,903       1,314,487,235  

Benchmark-Free Fund

    702,557,640       732,861,652             57     495,588,151  

Global Asset Allocation Fund

    12,861,856       52,342,923                    

Consolidated Implementation Fund

    3,267,743,767       2,297,646,140       4,122,087       9,832       3,369,967,661  

Consolidated SGM Major Markets Fund

    268,895,378       261,911,128                    

Strategic Opportunities Allocation Fund

    21,718,800       35,338,035             12     4,442,680  

 

  *

During the year ended February 28, 2021, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

 

198              


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 certain Funds. 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:

 

                       
     Alternative
Allocation
Fund
    Benchmark-
Free
Allocation
Fund
    Benchmark-
Free Fund
    Global
Asset
Allocation
Fund
    Global
Developed
Equity
Allocation
Fund
    Global
Equity
Allocation
Fund
    Implementation
Fund
    International
Developed
Equity
Allocation
Fund
    International
Equity
Allocation
Fund
    SGM
Major
Markets
Fund
    Strategic
Opportunities
Allocation
Fund
 

Management Fee

    0.73%       0.65%                                                 0.85%        

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO 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. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support 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 II     Class III     Class IV     Class V     Class VI     Class MF     Class R6     Class I  

Alternative Allocation Fund

    0.22%*       0.15%*       0.105%*       0.085%*       0.055%               0.22%       0.22%  

Benchmark-Free Allocation Fund

            0.15%       0.10%                       0.10%       0.15%       0.15%  

SGM Major Markets Fund

            0.15%       0.10%*               0.055%               0.15%*       0.15%  

 

  *

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

For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.

For each Fund, other than Alternative Allocation Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below).

Subject to the exclusions noted below, “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. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

For Alternative Allocation Fund (the “Fund), GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense

 

              199


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund, other than Benchmark-Free Allocation Fund, that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

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.

For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fees paid to GMO. This reduction will continue through at least June 30, 2021, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

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 II, III, IV, V, VI, MF 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 II, III, IV, V, VI, MF 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.

 

200              


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 ($)
    Agent unaffiliated
with GMO ($)
 

Consolidated Alternative Allocation Fund

    11,772       953  

Benchmark-Free Allocation Fund

    273,527       29,277  

Benchmark-Free Fund

    84,977       9,219  

Global Asset Allocation Fund

    44,640       5,025  

Global Developed Equity Allocation Fund

    2,602       303  

Global Equity Allocation Fund

    53,430       5,592  

Consolidated Implementation Fund

    230,280       24,370  

International Developed Equity Allocation Fund

    9,216       1,015  

International Equity Allocation Fund

    27,786       3,024  

Consolidated SGM Major Markets Fund

    16,709       2,184  

Strategic Opportunities Allocation Fund

    24,785       2,610  

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  

Consolidated Alternative Allocation Fund

    0.081%  

Benchmark-Free Allocation Fund

    0.236%

Benchmark-Free Fund

    0.162%  

Global Asset Allocation Fund

    0.605%

Global Developed Equity Allocation Fund

    0.519%  

Global Equity Allocation Fund

    0.563%  

International Developed Equity Allocation Fund

    0.611%  

International Equity Allocation Fund

    0.651%  

Strategic Opportunities Allocation Fund

    0.413%  

 

  *

Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

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.

 

              201


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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)
 

Consolidated Alternative Allocation Fund

    261,563,693       795,742,112       231,328,061       674,528,968  

Benchmark-Free Allocation Fund

          1,418,676,027             3,660,078,336  

Benchmark-Free Fund

    1,012,178,022       2,148,257,673       1,107,364,486       3,055,757,059  

Global Asset Allocation Fund

          479,559,221             1,249,372,197  

Global Developed Equity Allocation Fund

          19,399,521             18,324,766  

Global Equity Allocation Fund

          293,557,636             393,457,784  

Consolidated Implementation Fund

    2,874,821,211       7,392,384,542       3,294,380,791       9,589,215,079  

International Developed Equity Allocation Fund

          37,989,387             142,271,614  

International Equity Allocation Fund

          124,899,432             233,058,434  

Consolidated SGM Major Markets Fund

    284,236,401             608,258,373        

Strategic Opportunities Allocation Fund

    9,234,973       480,441,722       54,068,078       824,555,657  

 

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.

 

202              


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
 

Alternative Allocation Fund

    3 ‡      84.98%       0.12%       46.20%  

Benchmark-Free Allocation Fund

    1       26.20%       1.54%       3.14%  

Benchmark-Free Fund

    1       11.00%             100.00%  

Global Asset Allocation Fund

    2       26.70%       0.10%        

Global Developed Equity Allocation Fund

    2       82.84%       0.02%        

Global Equity Allocation Fund

    3       62.85%       0.01%        

Implementation Fund

    1 ‡      100.00%             100.00%  

International Developed Equity Allocation Fund

    2       95.13%       0.01%        

International Equity Allocation Fund

    4     74.08%       0.01%        

SGM Major Markets Fund

    3     78.30%       0.37%       80.28%  

Strategic Opportunities Allocation Fund

    4       59.79%       0.01%       99.90%  

 

 

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  

Consolidated Alternative Allocation Fund

         

Class VI:(a)

         

Shares sold

    6,069,438     $ 120,301,372       10,854,051     $ 216,921,996  

Shares issued to shareholders in reinvestment of distributions

    277,343       5,356,980       244,857       4,899,582  

Shares repurchased

    (4,536,437     (87,729,228     (775,804     (15,497,995
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    1,810,344     $ 37,929,124       10,323,104     $ 206,323,583  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(b)

 

Shares sold

    26,831     $ 519,188        

Shares issued to shareholders in reinvestment of distributions

    516       9,953        

Shares repurchased

    (2,114     (41,558      
   

 

 

   

 

 

       

Net increase (decrease)

    25,233     $ 487,583        
   

 

 

   

 

 

       
                                 

 

              203


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  

Consolidated Alternative Allocation Fund (continued)

         

Class I:(c)

 

Shares sold

    15,492,543     $ 298,991,109       1,756,057     $ 35,182,098  

Shares issued to shareholders in reinvestment of distributions

    80,844       1,560,033       22,166       443,534  

Shares repurchased

    (3,178,089     (60,932,252     (17,167     (340,795
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    12,395,298     $ 239,618,890       1,761,056     $ 35,284,837  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Benchmark-Free Allocation Fund

         

Class III:

         

Shares sold

    3,785,990     $ 92,615,446       24,257,167     $ 640,075,459  

Shares issued to shareholders in reinvestment of distributions

    4,019,280       100,605,473       4,613,259       124,178,972  

Shares repurchased

    (52,416,850     (1,279,526,091     (56,749,593     (1,517,816,871

Shares repurchased in connection with reorganization(d)

    (17,852,866     (463,472,079            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (62,464,446   $ (1,549,777,251     (27,879,167   $ (753,562,440
   

 

 

   

 

 

   

 

 

   

 

 

 

Class IV:

 

Shares sold

    4,395,247     $ 107,395,880       7,923,022     $ 212,654,200  

Shares issued to shareholders in reinvestment of distributions

    2,254,813       56,425,045       2,512,433       67,603,590  

Shares repurchased

    (12,628,848     (307,840,416     (32,635,505     (860,251,221
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (5,978,788   $ (144,019,491     (22,200,050   $ (579,993,431
   

 

 

   

 

 

   

 

 

   

 

 

 

Class MF:

 

Shares sold

    863,586     $ 22,063,346       803,494     $ 21,189,670  

Shares issued to shareholders in reinvestment of distributions

    2,769,815       69,378,466       4,026,104       108,452,767  

Shares repurchased

    (48,245,572     (1,184,044,972     (43,051,526     (1,147,137,535
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (44,612,171   $ (1,092,603,160     (38,221,928   $ (1,017,495,098
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(e)

         

Shares sold

    2,363,878     $ 59,336,390        

Shares issued to shareholders in reinvestment of distributions

    59,411       1,488,297        

Shares issued to shareholders in connection with reorganization(d)

    9,884,492       256,421,515        

Shares repurchased

    (334,848     (8,558,317      
   

 

 

   

 

 

       

Net increase (decrease)

    11,972,933     $ 308,687,885        
   

 

 

   

 

 

       

Class I:(f)

         

Shares sold

    3,200,275     $ 79,569,402       3,946,657     $ 105,678,811  

Shares issued to shareholders in reinvestment of distributions

    159,203       3,981,436       77,829       2,094,391  

Shares issued to shareholders in connection with reorganization(d)

    8,138,329       211,141,897              

Shares repurchased

    (2,838,085     (72,184,369     (166,498     (4,455,002
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    8,659,722     $ 222,508,366       3,857,988     $ 103,318,200  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Benchmark-Free Fund

         

Class III:

 

Shares sold

    3,380,765     $ 56,376,837       1,317,983     $ 25,892,943  

Shares issued to shareholders in reinvestment of distributions

    3,731,306       69,942,505       5,386,720       108,505,171  

Shares repurchased

    (33,134,537     (610,768,662     (31,708,368     (626,946,188
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (26,022,466   $ (484,449,320     (25,003,665   $ (492,548,074
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

204              


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  

Global Asset Allocation Fund

         

Class III:

         

Shares sold

    1,216,073     $ 38,212,261       1,000,287     $ 32,203,398  

Shares issued to shareholders in reinvestment of distributions

    976,697       32,629,383       1,786,325       59,695,328  

Shares repurchased

    (26,333,561     (848,073,134     (14,588,483     (474,038,279

Shares repurchased in connection with reorganization(d)

    (4,904,836     (173,115,488            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (29,045,627   $ (950,346,978     (11,801,871   $ (382,139,553
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(g)

         

Shares sold

    609,510     $ 20,452,550       607,847     $ 19,935,268  

Shares issued to shareholders in reinvestment of distributions

    15,573       521,472       15,735       527,446  

Shares issued to shareholders in connection with reorganization(d)

    4,380,291       154,608,023              

Shares repurchased

    (332,593     (11,069,669     (55,676     (1,850,896
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    4,672,781     $ 164,512,376       567,906     $ 18,611,818  
   

 

 

   

 

 

   

 

 

   

 

 

 

Class I:(h)

         

Shares sold

    75,778     $ 2,667,247        

Shares issued to shareholders in connection with reorganization(d)

    554,741       19,578,025        

Shares repurchased

    (43,576     (1,539,670      
   

 

 

   

 

 

       

Net increase (decrease)

    586,943     $ 20,705,602        
   

 

 

   

 

 

       
                                 

Global Developed Equity Allocation Fund

         

Class III:

         

Shares sold

    219,276     $ 5,622,223       1,268     $ 27,967  

Shares issued to shareholders in reinvestment of distributions

    85,417       2,073,187       446,904       9,818,537  

Shares repurchased

    (403,077     (8,282,753     (18,054,457     (382,052,946
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (98,384   $ (587,343     (17,606,285   $ (372,206,442
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Global Equity Allocation Fund

         

Class III:

         

Shares sold

    1,378,390     $ 33,559,963       2,875,035     $ 74,723,516  

Shares issued to shareholders in reinvestment of distributions

    1,927,822       54,272,843       1,937,148       52,274,016  

Shares repurchased

    (8,268,761     (223,473,248     (11,553,457     (298,075,823
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (4,962,549   $ (135,640,442     (6,741,274   $ (171,078,291
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(i)

         

Shares sold

    246,021     $ 6,259,686        

Shares issued to shareholders in reinvestment of distributions

    8,041       227,894        

Shares repurchased

    (27,387     (732,104      
   

 

 

   

 

 

       

Net increase (decrease)

    226,675     $ 5,755,476        
   

 

 

   

 

 

       

Class I:(j)

         

Shares sold

    72,846     $ 1,917,462        

Shares issued to shareholders in reinvestment of distributions

    2,267       64,254        

Shares repurchased

    (458     (12,411      
   

 

 

   

 

 

       

Net increase (decrease)

    74,655     $ 1,969,305        
   

 

 

   

 

 

       
                                 

 

              205


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  

Consolidated Implementation Fund

         

Core Class:

         

Shares sold

    86,220,208     $ 1,048,235,578       45,504,277     $ 615,547,348  

Shares issued to shareholders in reinvestment of distributions

    10,748,813       132,218,180       22,932,913       310,939,020  

Shares repurchased

    (185,451,038     (2,225,658,576     (188,088,082     (2,520,911,268
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (88,482,017   $ (1,045,204,818     (119,650,892   $ (1,594,424,900
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

International Developed Equity Allocation Fund

         

Class III:

         

Shares sold

    2,334,558     $ 33,800,999       2,432,306     $ 36,078,936  

Shares issued to shareholders in reinvestment of distributions

    386,519       6,277,230       803,039       12,819,179  

Shares repurchased

    (9,909,526     (144,296,950     (21,571,600     (331,589,749

Shares repurchased in connection with reorganization(d)

    (487,958     (8,333,525            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (7,676,407   $ (112,552,246     (18,336,255   $ (282,691,634
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(k)

         

Shares sold

    6,577     $ 112,468        

Shares issued to shareholders in connection with reorganization(d)

    492,914       8,418,168        

Shares repurchased

    (12,445     (212,488      
   

 

 

   

 

 

       

Net increase (decrease)

    487,046     $ 8,318,148        
   

 

 

   

 

 

       
                                 

International Equity Allocation Fund

         

Class III:

         

Shares sold

    165,164     $ 4,658,164       247,154     $ 7,467,402  

Shares issued to shareholders in reinvestment of distributions

    767,681       23,461,457       931,484       28,142,608  

Shares repurchased

    (5,584,470     (137,383,719     (10,725,589     (294,708,095

Shares repurchased in connection with reorganization(d)

    (376,439     (12,333,032            
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (5,028,064   $ (121,597,130     (9,546,951   $ (259,098,085
   

 

 

   

 

 

   

 

 

   

 

 

 

Class R6:(l)

         

Shares sold

    315,758     $ 7,840,712       8,056,830       218,098,392  

Shares issued to shareholders in reinvestment of distributions

    331,970       10,144,475       291,593       8,867,347  

Shares issued to shareholders in connection with reorganization(d)

    380,466       12,461,474              

Shares repurchased

    (551,315     (17,409,367     (687,274     (20,900,000
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    476,879     $ 13,037,294       7,661,149     $ 206,065,739  
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

Consolidated SGM Major Markets Fund

         

Class III:

         

Shares sold

    384,363     $ 12,641,912       525,054     $ 16,975,147  

Shares issued to shareholders in reinvestment of distributions

    515       16,796       7,014       225,366  

Shares repurchased

    (40,476     (1,320,080     (1,348,349     (42,435,255
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    344,402     $ 11,338,628       (816,281   $ (25,234,742
   

 

 

   

 

 

   

 

 

   

 

 

 

Class IV:(m)

         

Shares sold

            $  

Shares issued to shareholders in reinvestment of distributions

        5,236       167,985  

Shares repurchased

        (721,896     (23,005,950
       

 

 

   

 

 

 

Net increase (decrease)

        (716,660   $ (22,837,965
       

 

 

   

 

 

 
                                 

 

206              


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  

Consolidated SGM Major Markets Fund (continued)

         

Class VI:

 

Shares sold

    3,231,526     $ 104,242,857       1,257,758     $ 40,323,424  

Shares issued to shareholders in reinvestment of distributions

    200,949       6,549,429       477,353       15,034,172  

Shares repurchased

    (20,403,300     (653,236,278     (11,128,347     (354,021,072
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (16,970,825   $ (542,443,992     (9,393,236   $ (298,663,476
   

 

 

   

 

 

   

 

 

   

 

 

 

Class I:(n)

 

Shares sold

    438,717       14,414,202        

Shares issued to shareholders in reinvestment of distributions

    2,797       91,322        

Shares repurchased

    (9,697     (316,848      
   

 

 

   

 

 

       

Net increase (decrease)

    431,817     $ 14,188,676        
   

 

 

   

 

 

       
                                 

Strategic Opportunities Allocation Fund

         

Class III:

         

Shares sold

    1,900,987     $ 32,587,762       2,855,111     $ 54,190,000  

Shares issued to shareholders in reinvestment of distributions

    1,193,465       23,704,892       1,875,730       38,161,859  

Shares repurchased

    (16,950,871     (322,809,952     (10,966,560     (216,222,583
   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease)

    (13,856,419   $ (266,517,298     (6,235,719   $ (123,870,724
   

 

 

   

 

 

   

 

 

   

 

 

 
                                 

 

  (a) 

The period under the heading “Year Ended February 29, 2020” represents the period from May 1, 2019 (commencement of operations) through February 29, 2020.

  (b) 

The period under the heading “Year Ended February 28, 2021” represents the period from July 31, 2020 (commencement of operations) through February 28, 2021.

  (c) 

The period under the heading “Year Ended February 29, 2020” represents the period from September 4, 2019 (commencement of operations) through February 29, 2020.

  (d) 

See Note 11 for discussion of reorganization.

  (e) 

The period under the heading “Year Ended February 28, 2021” represents the period from May 1, 2020 (commencement of operations) through February 28, 2021.

  (f) 

The period under the heading “Year Ended February 29, 2020” represents the period from August 8, 2019 (commencement of operations) through February 29, 2020.

  (g) 

The period under the heading “Year Ended February 28, 2021” represents the period from September 30, 2020 (commencement of operations) through February 29, 2020.

  (h) 

The period under the heading “Year Ended February 28, 2021” represents the period from January 6, 2021 (commencement of operations) through February 28, 2021.

  (i) 

The period under the heading “Year Ended February 28, 2021 “represents the period from July 15, 2020 (commencement of operations) through February 28, 2021.

  (j) 

The period under the heading “Year Ended February 28, 2021 “represents the period from August 17, 2020 (commencement of operations) through February 28, 2021.

  (k) 

The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

  (l) 

The period under the heading “Year Ended February 29, 2020” represents the period from August 30, 2019 (commencement of operations) through February 29, 2020.

  (m) 

For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders.

  (n) 

The period under the heading “Year Ended February 28, 2021” represents the period from September 23, 2020 (commencement of operations) through February 28, 2021.

 

              207


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

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
 

Consolidated Alternative Allocation Fund

 

GMO Emerging Markets Fund, Class VI

  $ 13,595,699     $ 16,270,000     $ 4,855,000     $ 977,269     $     $ 52,584     $ 4,129,421     $ 29,192,704  

GMO International Equity Fund, Class IV

    9,097,096       6,110,000       15,842,055       40,733             (267,945     902,904        

GMO Resources Fund, Class IV

    6,568,271       5,483,583       20,182,730       239,659       219,588       7,199,147       931,729        

GMO U.S. Treasury Fund

          3,000,000       3,000,000       346                          
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 29,261,066     $ 30,863,583     $ 43,879,785     $ 1,258,007     $ 219,588     $ 6,983,786     $ 5,964,054     $ 29,192,704  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Benchmark-Free Allocation Fund

 

GMO Emerging Country Debt Fund, Class IV

  $ 264,983,913     $ 20,824,563     $ 108,499,003     $ 15,593,369     $ 5,231,194     $ (4,221,531   $ (11,721,854   $ 161,366,088  

GMO High Yield Fund, Class VI

    110,184,438       1,725,718       114,198,177       1,529,627       196,091       1,973,413       314,608        

GMO Implementation Fund

    7,114,226,325       1,180,453,758       2,225,658,576       132,218,180             (107,328,596     6,475,140       5,968,168,051  

GMO Opportunistic Income Fund, Class VI

    446,590,600       18,991,995       221,331,504       12,857,125             7,476,550       (14,032,531     237,695,110  

GMO SGM Major Markets Fund, Class VI

    664,643,917       4,375,074       510,600,542       207,991       4,167,083       (44,187,322     62,162,169       176,393,296  

GMO Special Opportunities Fund, Class VI

    195,830,895       192,304,919       479,790,534             142,304,918       54,436,506       37,218,214        
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 8,796,460,088     $ 1,418,676,027     $ 3,660,078,336     $ 162,406,292     $ 151,899,286     $ (91,850,980   $ 80,415,746     $ 6,543,622,545  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Benchmark-Free Fund

 

GMO Emerging Country Debt Fund, Class IV

  $ 88,839,361     $ 6,944,640     $ 22,240,602     $ 5,170,505     $ 1,774,135     $ (644,583   $ (4,819,606   $ 68,079,210  

GMO Emerging Markets Fund, Class VI

    277,719,859       4,932,191       237,415,000       4,932,191             36,901,143       (8,675,630     73,462,563  

GMO Opportunistic Income Fund, Class VI

    174,387,661       5,270,466       81,700,000       5,270,466             2,660,044       (5,467,530     95,150,641  

GMO SGM Major Markets Fund, Class VI

    119,656,426       60,274,475       131,599,922       62,348       1,212,126       3,726,904       1,217,988       53,275,871  

GMO Special Opportunities Fund, Class VI

    81,623,064       72,425,839       194,624,243             60,325,839       20,354,278       20,221,062        

GMO U.S. Treasury Fund

    1,849,041       136,903,630       123,166,635                 46,769       (3,673     15,629,132  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 744,075,412     $ 286,751,241     $ 790,746,402     $ 15,435,510     $ 63,312,100     $ 63,044,555     $ 2,472,611     $ 305,597,417  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Global Asset Allocation Fund

 

GMO Alternative Allocation Fund, Class VI

  $ 162,822,665     $ 105,413,481     $ 82,925,730     $ 4,148,546     $     $ (2,113,629   $ (4,624,910   $ 178,571,877  

GMO Asset Allocation Bond Fund, Class VI

    122,351,825       6,479,865       73,650,257       801,812             2,481,217       926,312       58,588,962  

GMO Cyclical Focus Fund Class IV

          40,651,086       27,400,000       691,201       1,099,885       5,684,720       7,885,526       26,821,332  
                                                                 

 

208              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

                 
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
 

Global Asset Allocation Fund (continued)

 

GMO Emerging Country Debt Fund, Class IV

  $ 57,278,855     $ 4,758,371     $ 32,751,559     $ 2,628,040     $ 951,311     $ 356,950     $ (3,006,184   $ 26,636,433  

GMO Emerging Markets Fund, Class VI

    306,807,240       14,972,127       185,116,851       7,846,437             26,061,925       12,320,095       175,044,536  

GMO International Equity Fund, Class IV

    375,344,309       66,659,956       326,384,867       7,100,870             315,572       27,798,684       143,733,654  

GMO-Usonian Japan Value Creation Fund, Class VI

          50,465,888       21,500,000       500,055       13,785       1,755,082       4,997,471       35,718,441  

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

    234,253,275       24,477,991       199,399,884       5,434,524       9,348,249       5,514,440       (15,407,905     49,437,917  

GMO Opportunistic Income Fund, Class VI

    33,470,164       9,089,231       15,472,935       1,089,231             599,745       (980,130     26,706,075  

GMO Quality Fund, Class VI

    29,476,103       2,811,705       17,725,714       293,796       2,517,909       2,616,554       912,696       18,091,344  

GMO Risk Premium Fund, Class VI

    31,514,461       653,725       29,689,096       105,039       548,686       (3,996,112     1,517,022        

GMO U.S. Equity Fund, Class VI

    116,800,239       16,228,116       75,827,349       1,453,535       8,150,008       (3,093,221     19,381,249       73,489,034  

GMO U.S. Small Cap Value Fund, Class VI

    86,440,407       10,162,118       58,716,238       984,875             (499,971     20,763,211       58,149,527  

GMO U.S. Treasury Fund

    725,851       126,735,562       102,798,958       15,338       189       47,541       (2,817     24,707,179  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 1,557,285,394     $ 479,559,222     $ 1,249,359,438     $ 33,093,299     $ 22,630,022     $ 35,730,813     $ 72,480,320     $ 895,696,311  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Global Developed Equity Allocation Fund

 

GMO Cyclical Focus Fund, Class IV

  $     $ 3,827,833     $ 642,006     $ 92,942     $ 147,896     $ 170,809     $ 1,233,173     $ 4,589,809  

GMO Emerging Markets Fund, Class VI

    7,608,658       707,652       1,034,894       295,399             155,974       1,061,623       8,499,013  

GMO International Equity Fund, Class IV

    36,181,574       4,617,203       8,165,054       1,568,833             (162,457     4,640,151       37,111,417  

GMO-Usonian Japan Value Creation Fund, Class VI

          3,229,038       222,387       40,002       1,102       25,845       462,014       3,494,510  

GMO Quality Fund, Class VI

    9,214,489       2,475,511       1,773,320       135,934       1,127,089       39,840       968,904       10,925,424  

GMO U.S. Equity Fund, Class VI

    13,571,810       3,054,135       4,528,207       205,191       875,157       (1,113,128     3,182,095       14,166,705  

GMO U.S. Small Cap Value Fund, Class VI

    6,770,087       1,488,149       1,958,898       130,197             (4,354     3,048,117       9,343,101  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 73,346,618     $ 19,399,521     $ 18,324,766     $ 2,468,498     $ 2,151,244     $ (887,471   $ 14,596,077     $ 88,129,979  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Global Equity Allocation Fund

 

GMO Cyclical Focus Fund, Class VI

  $     $ 71,613,002     $ 19,670,000     $ 1,774,999     $ 2,824,498     $ 5,241,513     $ 23,948,962     $ 81,133,477  

GMO Emerging Markets Fund, Class VI

    405,390,168       38,823,850       64,119,187       16,143,553             15,563,604       55,810,369       451,468,804  

GMO International Equity Fund, Class IV

    608,303,007       49,520,571       188,382,713       25,267,014             7,228,404       70,161,752       546,831,021  

GMO-Usonian Japan Value Creation Fund, Class VI

          59,723,436       4,720,000       810,640       22,346       625,467       9,382,915       65,011,818  

GMO Quality Fund, Class VI

    197,661,153       32,874,763       35,660,477       3,033,166       25,239,285       3,274,043       22,451,964       220,601,446  

GMO U.S. Equity Fund, Class VI

    107,094,199       12,458,445       33,020,769       1,636,008       7,358,585       (172,997     18,048,987       104,407,865  
                                                                 

 

              209


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

                 
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
 

Global Equity Allocation Fund (continued)

 

GMO U.S. Small Cap Value Fund, Class VI

  $ 137,186,837     $ 28,543,569     $ 47,884,638     $ 2,608,717     $     $ 10,080,167     $ 49,953,753     $ 177,879,688  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 1,455,635,364     $ 293,557,636     $ 393,457,784     $ 51,274,097     $ 35,444,714     $ 41,840,201     $ 249,758,702     $ 1,647,334,119  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Consolidated Implementation Fund

 

GMO U.S. Treasury Fund

  $ 6,103,201     $ 378,173,015     $ 349,113,467     $   $     $ 121,961     $ (11,987   $ 35,272,723  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

International Developed Equity Allocation Fund

 

GMO Emerging Markets Fund, Class VI

  $ 30,679,613     $ 3,054,163     $ 15,434,831     $ 876,588     $     $ 1,428,494     $ 2,281,349     $ 22,008,788  

GMO International Equity Fund, Class IV

    266,698,094       26,990,509       126,505,055       8,622,250             96,505       27,057,412       194,337,465  

GMO-Usonian Japan Value Creation Fund, Class VI

          7,944,715       331,728       107,676       2,968       52,300       1,287,892       8,953,179  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 297,377,707     $ 37,989,387     $ 142,271,614     $ 9,606,514     $ 2,968     $ 1,577,299     $ 30,626,653     $ 225,299,432  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

International Equity Allocation Fund

 

GMO Emerging Markets Fund, Class VI

  $ 306,462,975     $ 64,192,637     $ 64,521,318     $ 12,690,054     $     $ 6,968,880     $ 41,772,905     $ 354,876,079  

GMO International Equity Fund, Class IV

    550,104,514       30,282,396       168,537,116       20,915,226             (27,341,076     86,376,559       470,885,277  

GMO-Usonian Japan Value Creation Fund, Class VI

          30,424,399             412,762       11,379             5,153,415       35,577,814  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 856,567,489     $ 124,899,432     $ 233,058,434     $ 34,018,042     $ 11,379     $ (20,372,196   $ 133,302,879     $ 861,339,170  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

Strategic Opportunities Allocation Fund

 

GMO Emerging Country Debt Fund, Class IV

  $ 27,054,909     $ 2,139,431     $ 8,411,557     $ 1,595,122     $ 544,309     $ (240,910   $ (1,430,228   $ 19,111,645  

GMO Emerging Markets Fund, Class VI

    182,753,835       5,512,629       81,300,000       5,512,629             14,116,480       11,329,929       132,412,873  

GMO International Equity Fund, Class IV

    198,303,123       20,398,884       164,304,771       3,607,233             4,425,976       10,018,587       68,841,799  

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

    67,321,337       4,545,702       68,968,913       1,749,006       2,796,696       330,964       (3,229,090      

GMO Opportunistic Income Fund, Class VI

    21,226,892       670,967       5,453,377       670,967             255,542       (465,072     16,234,952  

GMO Quality Fund, Class VI

    57,387,212       4,583,870       34,045,000       481,083       4,102,787       491,073       2,999,740       31,416,895  

GMO U.S. Equity Fund, Class VI

    28,351,515       6,559,751       10,675,000       446,971       2,112,779       (2,082,384     7,165,470       29,319,352  

GMO U.S. Small Cap Value Fund, Class VI

    53,392,571       6,005,575       31,930,000       685,522             (205,260     13,881,829       41,144,715  

GMO U.S. Treasury Fund

    5,804,477       122,124,266       125,467,161       24,527       3,671       50,142       (11,551     2,500,173  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 641,595,871     $ 172,541,075     $ 530,555,779     $ 14,773,060     $ 9,560,242     $ 17,141,623     $ 40,259,614     $ 340,982,404  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                                                                 

 

  *

Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $63,923 and $224,128 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

 

210              


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

11.

Reorganization

Under a plan of reorganization completed at the close of business on January 22, 2021, GMO Benchmark-Free Allocation Series Fund, GMO Global Asset Allocation Series Fund, GMO International Developed Equity Allocation Series Fund and GMO International Equity Allocation Series Fund (each, a “Selling Fund”) transferred all of their assets and liabilities to GMO Benchmark-Free Allocation Fund, GMO Global Asset Allocation Fund, GMO International Developed Equity Allocation Fund, and GMO International Equity Allocation Fund (each, an “Acquiring Fund”), respectively, in a reorganization that was approved by the shareholders and that was tax-free from a U.S. federal tax perspective. Prior to the reorganization, each Selling Fund invested all or substantially all of its assets in the corresponding Acquiring Fund and thus had the same investment program as the Acquiring Fund. The purpose of the reorganization was to provide exposure to a more efficient portfolio with substantially similar investment strategies.

The following is a summary of net assets and shares outstanding of the Acquiring Funds immediately before and after the reorganization.

 

     
     Before
Reorganization
    After
Reorganization
 
GMO Benchmark-Free Allocation Fund                

Net assets

    $6,750,470,965       $6,754,518,332  

Shares outstanding

               

Class III

    108,377,822       90,524,956  

Class R6

    2,002,627       11,887,119  

Class I

    4,368,781       12,507,110  

Net asset value per share

               

Class III

    $25.96       $25.96  

Class R6

    $25.94       $25.94  

Class I

    $25.94       $25.94  
GMO Global Asset Allocation Fund                

Net assets

    $899,153,309       $900,223,875  

Shares outstanding

               

Class III

    24,565,546       19,660,710  

Class R6

    898,368       5,278,659  

Class I

    11,524       566,265  

Net asset value per share

               

Class III

    $35.29       $35.29  

Class R6

    $35.30       $35.30  

Class I

    $35.29       $35.29  
GMO International Developed Equity Allocation Fund                

Net assets

    $218,964,235       $219,048,878  

Shares outstanding

               

Class III

    12,821,136       12,333,178  

Class R6

    0       492,914  

Net asset value per share

               

Class III

    $17.08       $17.08  

Class R6

    $0.00       $17.08  

 

              211


GMO Trust Funds

 

Notes to Financial Statements — (Continued)

February 28, 2021

 

 

     
     Before
Reorganization
    After
Reorganization
 
GMO International Equity Allocation Fund                

Net assets

    $875,647,463       $875,775,905  

Shares outstanding

               

Class III

    18,927,199       18,550,760  

Class R6

    7,802,216       8,182,682  

Net asset value per share

               

Class III

    $32.76       $32.76  

Class R6

    $32.75       $32.75  

Because each Selling Fund was invested in the corresponding Acquiring Fund and no investments were transferred to the Acquiring Fund as part of the reorganization, the Acquiring Funds’ market value of investments, cost of investments and net unrealized appreciation/(depreciation) were unchanged as a result of the reorganization. Since the reorganization did not result in transfers of investments, its impact to the Statement of Operations were not material to the Acquiring Funds. Therefore, pro forma financial statements showing the effect of the reorganization are not presented.

 

12.

Subsequent events

Subsequent to February 28, 2021, GMO Global Asset Allocation Fund received redemption requests in the amount of $114,763,684. GMO also received notification from a shareholder of their intent to redeem approximately 17% of the Fund at the end of April.

Subsequent to February 28, 2021, GMO Strategic Opportunities Allocation Fund received redemption requests in the amount of $172,419,189.

 

212              


Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, and GMO Strategic Opportunities Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, and GMO Strategic Opportunities Allocation Fund (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2021, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, the statement of cash flows for GMO Alternative Allocation Fund for the year 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 and the changes in each of their net assets for each of the periods indicated in the table below, the cash flows of GMO Alternative Allocation Fund for the year 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.

 

GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Strategic Opportunities Allocation Fund   Statements of operations for the year ended February 28, 2021 and the statements of changes in net assets for each of the two years in the period ended February 28, 2021
GMO Alternative Allocation Fund   Statements of operations for the year ended February 28, 2021 and changes in net assets for the year ended February 28, 2021 and for the period May 1, 2019 (commencement of operations) through February 29, 2020

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.

 

              213


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; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and supplemental support fees to Class MF 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. 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
 
   

Alternative Allocation Fund

 

       

Class VI

    $1,000.00       $1,000.60       $6.60       $1,000.00       $1,018.20       $6.66       1.33%  

Class R6

    $1,000.00       $1,000.00       $7.39       $1,000.00       $1,017.41       $7.45       1.49%  

Class I

    $1,000.00       $999.60       $7.93       $1,000.00       $1,016.86       $8.00       1.60%  
   

Benchmark-Free Allocation Fund

 

       

Class III

    $1,000.00       $1,068.50       $5.08       $1,000.00       $1,019.89       $4.96       0.99%  

Class IV

    $1,000.00       $1,068.50       $4.82       $1,000.00       $1,020.13       $4.71       0.94%  

Class MF

    $1,000.00       $1,068.80       $4.82       $1,000.00       $1,020.13       $4.71       0.94%  

Class R6

    $1,000.00       $1,068.50       $5.18       $1,000.00       $1,019.79       $5.06       1.01%  

Class I

    $1,000.00       $1,068.20       $5.59       $1,000.00       $1,019.39       $5.46       1.09%  
   

Benchmark-Free Fund

 

       

Class III

    $1,000.00       $1,085.70       $1.71       $1,000.00       $1,023.16       $1.66       0.33%  
   

Global Asset Allocation Fund

 

       

Class III

    $1,000.00       $1,110.40       $3.24       $1,000.00       $1,021.72       $3.11       0.62%  

Class R6

    $1,000.00       $1,110.70       $3.30       $1,000.00       $1,021.67       $3.16       0.63%  

Class I(a)

    $1,000.00       $1,006.10       $1.06       $1,000.00       $1,021.18       $3.66       0.73%  
   

Global Developed Equity Allocation Fund

 

       

Class III

    $1,000.00       $1,193.50       $2.77       $1,000.00       $1,022.27       $2.56       0.51%  

 

214              


GMO Trust Funds

 

Fund Expenses — (Continued)

February 28, 2021 (Unaudited)

 

 

    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
 
   

Global Equity Allocation Fund

 

       

Class III

    $1,000.00       $1,194.00       $3.05       $1,000.00       $1,022.02       $2.81       0.56%  

Class R6

    $1,000.00       $1,194.00       $3.05       $1,000.00       $1,022.02       $2.81       0.56%  

Class I

    $1,000.00       $1,193.70       $3.59       $1,000.00       $1,021.52       $3.31       0.66%  
   

Implementation Fund

 

       

Core Class

    $1,000.00       $1,074.30       $1.08       $1,000.00       $1,023.75       $1.05       0.21%  
   

International Developed Equity Allocation Fund

 

       

Class III

    $1,000.00       $1,169.20       $3.28       $1,000.00       $1,021.77       $3.06       0.61%  

Class R6(b)

    $1,000.00       $992.40       $0.63       $1,000.00       $1,021.72       $3.11       0.62%  
   

International Equity Allocation Fund

 

       

Class III

    $1,000.00       $1,172.80       $3.50       $1,000.00       $1,021.57       $3.26       0.65%  

Class R6

    $1,000.00       $1,172.90       $3.50       $1,000.00       $1,021.57       $3.26       0.65%  
   

SGM Major Markets Fund

 

       

Class III

    $1,000.00       $986.50       $4.93       $1,000.00       $1,019.84       $5.01       1.00%  

Class VI

    $1,000.00       $986.80       $4.48       $1,000.00       $1,020.28       $4.56       0.91%  

Class I(c)

    $1,000.00       $1,013.00       $4.84       $1,000.00       $1,019.29       $5.56       1.11%  
   

Strategic Opportunities Allocation Fund

 

       

Class III

    $1,000.00       $1,144.40       $2.71       $1,000.00       $1,022.27       $2.56       0.51%  

 

  *

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.

  (a) 

For the period January 6, 2021 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2021, multiplied by the average account value over the period, multiplied by 53 days in the period, divided by 365 days in the year.

  (b) 

For the period January 22, 2021 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2021, multiplied by the average account value over the period, multiplied by 37 days in the period, divided by 365 days in the year.

  (c) 

For the period September 23, 2020 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 2021, multiplied by the average account value over the period, multiplied by 158 days in the period, divided by 365 days in the year.

 

              215


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   Dividend
Received
Deduction
(corporate
shareholders)(1)
   

Qualified
Dividend
Income

(non-corporate
shareholders)(1)

   

U.S.

Government
Obligation

Income(1)(2)

    Interest-
Related
Dividend
Income(3)
($)
    Long-Term
Capital Gain
Distributions
($)
    Foreign
Taxes
Paid(4) ($)
    Foreign
Source
Income(4)
($)
   

Section 199A
Dividend
Income

(non-corporate
shareholders)

($)(5)

 

Consolidated Alternative Allocation Fund

    3.84%       15.07%       5.93%                                

Benchmark-Free Allocation Fund

    4.91%       57.80%       2.15%       23,804,713       48,160,322       14,826,072       147,053,060       668,007  

Benchmark-Free Fund

    3.11%       56.37%       1.67%       6,763,265                         205,310  

Global Asset Allocation Fund

    8.87%       35.24%       3.79%       3,974,087             901,093       7,100,327       91,695  

Global Developed Equity Allocation Fund

    17.03%       62.01%             30,134             35,652       283,001       12,123  

Global Equity Allocation Fund

    13.54%       61.85%                         1,834,758       14,446,797       242,657  

Consolidated Implementation Fund

    7.34%       88.50%       2.99%       21,030,072             14,392,276       146,610,456       668,007  

International Developed Equity Allocation Fund

          65.93%                         104,482       831,626        

International Equity Allocation Fund

          64.00%                         1,426,178       11,189,950        

Consolidated SGM Major Markets Fund

                100.00%       244,999       7,770,224                    

Strategic Opportunities Allocation Fund

    11.77%       52.29%       2.95%       1,796,648       6,846,276       909,592       7,966,519       79,916  

 

  (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 may include short-term capital gain distributions received from underlying funds.

  (4) 

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

  (5) 

The Funds hereby designate the above qualified business income under Section 199A of the Code.

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

 

216    


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        
 

Name and
Year of Birth

 

Position(s)
Held with 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

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.

 

              217


Officers
 

Name and
Year of Birth

 

Position(s)

Held with Trust

 

Length of

Time Served

 

Principal Occupation(s)

During Past Five 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.

 

218              


AR-022821-AA


Item 2. Code of Ethics.

As of February 28, 2021, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 28, 2021 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

 

  (a)

AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2021 and 2020 were $1,379,851 and $1,564,726, respectively.

 

  (b)

AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2021 and 2020 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $107,695 and $37,173, respectively. The aggregate fees billed in 2021 and 2020 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $394,551 and $443,735, respectively.

 

  (c)

TAX FEES: The aggregate fees billed to the registrant in 2021 and 2020 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $517,625 and $505,503, respectively. The aggregate fees billed in 2021 and 2020 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

 

  (d)

ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2021 or 2020.

 

  (e)

(1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

 

  (e)

(2) None.

 

  (f)

Not applicable.


  (g)

NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2021 and 2020 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $1,054,871 and $1,021,411, respectively. For the fiscal year ended February 28, 2021, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 29, 2020, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

 

  (h)

The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

 

*

Includes information regarding all series of GMO Trust.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

 

  (a)

The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.


  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

 

  (a)(1)

Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

 

  (a)(2)

Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

 

  (a)(3)

Not applicable to this registrant.

 

  (b)

Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)   GMO Trust
By (Signature and Title):   /s/ Tara Pari
  Tara Pari, Chief Executive Officer                
  Date: April 30, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title):   /s/ Tara Pari
  Tara Pari, Principal Executive Officer            
  Date: April 30, 2021

 

By (Signature and Title):   /s/ Betty Maganzini
  Betty Maganzini, Principal Financial Officer 
  Date: April 30, 2021