NPORT-P false 0000772129 XXXXXXXX S000025199 C000075103 GMO TRUST 811-04347 0000772129 549300Y2Q6TQD4HU5C66 53 State Street, 33rd Floor BOSTON 02109 617-346-7646 GMO Asset Allocation Bond Fund S000025199 XMFQA7127YTH95F0NH19 2026-02-28 2026-02-28 N 106061020.24 103389.18 105957631.06 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N BBG Treasury 20+ Yr Index LTSY_20P Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 671.00000000 NC USD 421211.53000000 0.397528262746 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVM6 Comdty 2026-06-30 73483147.85000000 USD 421211.53000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CNQ0 4855000.00000000 PA USD 4860835.81000000 4.587527827276 Long DBT UST US N 1 2027-07-31 Floating 3.78000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CMX6 4425000.00000000 PA USD 4430268.63000000 4.181169950365 Long DBT UST US N 1 2027-04-30 Floating 3.78000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 121.00000000 NC USD 49967.19000000 0.047157707755 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUM6 Comdty 2026-06-30 25272118.81000000 USD 49967.19000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 289.00000000 NC USD 144447.69000000 0.136325896072 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYM6 Comdty 2026-06-18 32747364.81000000 USD 144447.69000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 242.00000000 NC USD 160910.64000000 0.151863191343 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10 Year U.S. Treasury Notes Futures UXYM6 Comdty 2026-06-18 28088808.11000000 USD 160910.64000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 162.00000000 NC USD 164270.75000000 0.155034373981 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Ultra Long-Term U.S. Treasury Bond Futures WNM6 Comdty 2026-06-18 19533916.75000000 USD 164270.75000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 227.00000000 NC USD 209671.50000000 0.197882396862 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USM6 Comdty 2026-06-18 26682734.75000000 USD 209671.50000000 N N N State Street Global Advisors 549300Q3FHSMZ70NLT76 857492870 1952900.34000000 NS USD 1952900.34000000 1.843095509462 Long STIV RF US N 1 N N N Nomura Securities International, Inc. OXTKY6Q8X53C9ILVV871 000000000 93999193.08000000 PA USD 93999193.08000000 88.71394362032 Long RA CORP US N 2 Repurchase N 3.63000000 2026-03-02 95104000.00000000 USD 95981519.85000000 USD UST N N N 2026-03-26 GMO TRUST Betty Maganzini Betty Maganzini Treasurer