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 2027-02-28 2026-05-31 N 121037384.70 3311426.09 117725958.61 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 2986960.74000000 EUR USD N BBG Treasury 20+ Yr Index LTSY_20P United States Treasury 254900HROIFWPRGM1V77 91282CNQ0 4855000.00000000 PA USD 4859715.81000000 4.127990009492 Long DBT UST US N 1 2027-07-31 Floating 3.79000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 183.00000000 NC USD 337137.24000000 0.286374597396 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Ultra Long-Term U.S. Treasury Bond Futures WNU6 Comdty 2026-09-21 20599206.51000000 USD 337137.24000000 N N N State Street Global Advisors 549300Q3FHSMZ70NLT76 857492870 2543089.10000000 NS USD 2543089.10000000 2.160177016204 Long STIV RF US N 1 N N N Nomura Fixed Income Securities Private Ltd. OXTKY6Q8X53C9ILVV871 000000000 105999999.97000000 PA USD 105999999.97000000 90.03961507007 Long RA CORP US N 2 Repurchase N 3.61000000 2026-06-01 108576000.00000000 USD 108208763.40000000 USD UST N N N United States Treasury 254900HROIFWPRGM1V77 91282CPX3 4425000.00000000 PA USD 4425705.08000000 3.759328131411 Long DBT UST US N 1 2028-01-31 Floating 3.73000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 325.00000000 NC USD 74451.00000000 0.063240937579 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYU6 Comdty 2026-09-21 35619689.63000000 USD 74451.00000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 249.00000000 NC USD 365372.64000000 0.310358602566 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USU6 Comdty 2026-09-21 27577096.11000000 USD 365372.64000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 732.00000000 NC USD 94933.08000000 0.080639037575 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVU6 Comdty 2026-09-30 78383473.54000000 USD 94933.08000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 273.00000000 NC USD 119077.14000000 0.101147734455 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10 Year U.S. Treasury Notes Futures UXYU6 Comdty 2026-09-21 30478250.99000000 USD 119077.14000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 706.00000000 NC USD 328456.62000000 0.279001015475 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUU6 Comdty 2026-09-30 145504668.38000000 USD 328456.62000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 154700000.00000000 OU Notional Amount -4384102.78000000 -3.72398987594 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe S45 2I666VDN2 Y buy protection 2031-06-20 0.00000000 EUR -2369536.25000000 EUR 154700000.00000000 EUR -1635887.65000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 6740.57000000 0.005725644606 N/A DFE XX N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2794900.52000000 USD 2393000.00000000 EUR 2026-08-31 6740.57000000 N N N 2026-06-29 GMO TRUST Betty Maganzini Betty Maganzini Treasurer XXXX