U.S. Treasury Notes

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 2027-02-28 2026-05-31 N 420915818.06 1653777.49 419262040.57 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 United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CPL9 19078000.00000000 PA USD 18913303.24000000 4.511093638309 Long DBT UST US N 1 2027-11-30 Fixed 3.38000000 N N N N N N Daiwa Capital Markets America, Inc. M67H5PRC0NQKM73ZAS82 REPO DAIWA 000000000 95000812.90000000 PA USD 95000812.90000000 22.65905417309 Long RA CORP US N 2 Repurchase N 3.62000000 2026-06-01 95507000.00000000 USD 96953953.97000000 USD UST N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CMH1 18941000.00000000 PA USD 18978734.06000000 4.526699825769 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 5350000.00000000 PA USD 5349947.73000000 1.276039138369 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 Floating Rate Notes 91282CNQ0 16610000.00000000 PA USD 16626133.79000000 3.965570974991 Long DBT UST US N 1 2027-07-31 Floating 3.79000000 N N N N N N State Street Global Advisors 549300PNASLVKQG64331 State Street Institutional Treasury Plus Money Market Fund 857492862 111088.86000000 NS USD 111088.86000000 0.026496283767 Long EC RF US N 1 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 Federal Home Loan Bank Discount Notes 313385H74 8700000.00000000 PA USD 8592269.81000000 2.049379380570 Long DBT USGSE US N 1 2026-09-30 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CNE7 18874000.00000000 PA USD 18868249.28000000 4.500347623731 Long DBT UST US N 1 2027-05-31 Fixed 3.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CEC1 19424000.00000000 PA USD 19147056.30000000 4.566847090179 Long DBT UST US N 1 2027-02-28 Fixed 1.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Floating Rate Notes 91282CPX3 50148000.00000000 PA USD 50155990.58000000 11.96292192629 Long DBT UST US N 1 2028-01-31 Floating 3.73000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHY0 19011000.00000000 PA USD 19057537.40000000 4.545495550727 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 Floating Rate Notes 91282CQM6 17036000.00000000 PA USD 17039932.76000000 4.064267954435 Long DBT UST US N 1 2028-04-30 Floating 3.73000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CME8 18855000.00000000 PA USD 18902137.50000000 4.508430449439 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 91282CPS4 19142000.00000000 PA USD 18962543.75000000 4.522838205008 Long DBT UST US N 1 2027-12-31 Fixed 3.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CLY5 18797000.00000000 PA USD 18841202.29000000 4.493896529336 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 Inflation-Indexed Notes 91282CDC2 7574348.10000000 PA USD 7594467.46000000 1.811389232775 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 10760336.85000000 2.566494413701 Long DBT UST US N 1 2026-07-31 Fixed 4.38000000 N N N N N N Daiwa Capital Markets America, Inc. M67H5PRC0NQKM73ZAS82 REPO DAIWA 000000000 6300188.48000000 PA USD 6300188.48000000 1.502685163539 Long RA CORP US N 2 Repurchase N 3.60000000 2026-06-01 6373000.00000000 USD 6427293.44000000 USD UST N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CNV9 19137000.00000000 PA USD 19062246.09000000 4.546618640715 Long DBT UST US N 1 2027-08-31 Fixed 3.63000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 Federal Home Loan Bank Discount Notes 313385G83 2900000.00000000 PA USD 2866117.13000000 0.683609974827 Long DBT USGSE US N 1 2026-09-23 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CNP2 19005000.00000000 PA USD 18990894.68000000 4.529600307764 Long DBT UST US N 1 2027-07-31 Fixed 3.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Inflation-Indexed Notes 912828S50 7546727.20000000 PA USD 7598316.17000000 1.812307205219 Long DBT UST US N 2 2026-07-15 Fixed 0.13000000 N N N N N N 2026-06-29 GMO TRUST Betty Maganzini Betty Maganzini Treasurer XXXX