REPO DAIWA

NPORT-P false 0000772129 XXXXXXXX S000025186 C000075084 GMO TRUST 811-04347 0000772129 549300Y2Q6TQD4HU5C66 53 State Street, 33rd Floor BOSTON 02109 617-346-7646 GMO U.S. Treasury Fund S000025186 0NIBQB0NDRTFX04R2J69 2026-02-28 2026-02-28 N 356528839.97 1133030.93 355395809.04 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 Daiwa Capital Markets America, Inc. M67H5PRC0NQKM73ZAS82 REPO DAIWA 000000000 16599460.50000000 PA USD 16599460.50000000 4.670696749305 Long RA CORP US N 2 Repurchase N 3.55000000 2026-03-02 16326000.00000000 USD 16959823.81000000 USD UST N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CMH1 15720000.00000000 PA USD 15801179.03000000 4.446079168092 Long DBT UST US N 1 2027-01-31 Fixed 4.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CLH2 5848000.00000000 PA USD 5850147.32000000 1.646093502284 Long DBT UST US N 1 2026-08-31 Fixed 3.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Inflation-Indexed Notes 91282CCA7 7426376.70000000 PA USD 7433723.69000000 2.091674550152 Long DBT UST US N 2 2026-04-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CEC1 14860000.00000000 PA USD 14620730.81000000 4.113928875383 Long DBT UST US N 1 2027-02-28 Fixed 1.88000000 N N N N N N State Street Global Advisors 549300PNASLVKQG64331 State Street Institutional Treasury Plus Money Market Fund 857492862 145205.56000000 NS USD 145205.56000000 0.040857420460 Long EC RF US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHY0 15743000.00000000 PA USD 15822606.67000000 4.452108400698 Long DBT UST US N 1 2026-09-15 Fixed 4.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CME8 15640000.00000000 PA USD 15728708.06000000 4.425687546087 Long DBT UST US N 1 2026-12-31 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CLY5 15920000.00000000 PA USD 15994998.16000000 4.500615300784 Long DBT UST US N 1 2026-11-30 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Floating Rate Notes 91282CMX6 5578000.00000000 PA USD 5584641.44000000 1.571386408603 Long DBT UST US N 1 2027-04-30 Floating 3.78000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Inflation-Indexed Notes 91282CDC2 7435530.30000000 PA USD 7448697.36000000 2.095887787793 Long DBT UST US N 2 2026-10-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CLB5 10749000.00000000 PA USD 10780575.21000000 3.033399645066 Long DBT UST US N 1 2026-07-31 Fixed 4.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Floating Rate Notes 91282CNQ0 28410000.00000000 PA USD 28444149.39000000 8.003512890833 Long DBT UST US N 1 2027-07-31 Floating 3.78000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Floating Rate Notes 91282CPX3 37570000.00000000 PA USD 37568293.19000000 10.57083179778 Long DBT UST US N 1 2028-01-31 Floating 3.72000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Inflation-Indexed Notes 912828S50 7408466.80000000 PA USD 7447142.33000000 2.095450239021 Long DBT UST US N 2 2026-07-15 Fixed 0.13000000 N N N N N N Daiwa Capital Markets America, Inc. M67H5PRC0NQKM73ZAS82 REPO DAIWA 000000000 150001127.50000000 PA USD 150001127.50000000 42.20678007013 Long RA CORP US N 2 Repurchase N 3.65000000 2026-03-02 147530000.00000000 USD 153257552.80000000 USD UST N N N 2026-03-26 GMO TRUST Betty Maganzini Betty Maganzini Treasurer