0001752724-20-087123.txt : 20200512
0001752724-20-087123.hdr.sgml : 20200512
20200512144642
ACCESSION NUMBER: 0001752724-20-087123
CONFORMED SUBMISSION TYPE: N-CEN
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20200229
FILED AS OF DATE: 20200512
DATE AS OF CHANGE: 20200512
EFFECTIVENESS DATE: 20200512
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: N-CEN
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04347
FILM NUMBER: 20868654
BUSINESS ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: GMO CORE TRUST
DATE OF NAME CHANGE: 19900927
0000772129
S000004081
GMO U.S. Equity Fund
C000011423
Class III
GMUEX
C000011426
Class VI
GMCQX
0000772129
S000004084
GMO Quality Fund
C000011437
Class III
GQETX
C000011438
Class IV
GQEFX
C000011440
Class VI
GQLOX
C000213356
Class I
GQLIX
C000213357
Class R6
GQESX
0000772129
S000004224
GMO International Equity Fund
C000011880
Class II
GMICX
C000011881
Class III
GMOIX
C000011882
Class IV
GMCFX
0000772129
S000004911
GMO Emerging Markets Fund
C000013268
Class II
GMEMX
C000013269
Class III
GMOEX
C000013271
Class V
GEMVX
C000013272
Class VI
GEMMX
C000213363
Class I
GEMEX
0000772129
S000004913
GMO Tax-Managed International Equities Fund
C000013282
Class III
GTMIX
0000772129
S000004917
GMO Core Plus Bond Fund
C000013294
Class III
GUGAX
C000013295
Class IV
GPBFX
0000772129
S000004922
GMO Emerging Country Debt Fund
C000013327
Class III
GMCDX
C000013328
Class IV
GMDFX
0000772129
S000005485
GMO Benchmark-Free Allocation Fund
C000014927
Class III
GBMFX
C000109350
Class IV
GBMBX
C000110912
Class MF
C000213372
Class I
GBMIX
0000772129
S000005486
GMO International Equity Allocation Fund
C000014930
Class III
GIEAX
C000213374
Class R6
GSXMX
0000772129
S000005487
GMO Global Asset Allocation Fund
C000014933
Class III
GMWAX
C000213376
Class R6
GMWRX
0000772129
S000005488
GMO Global Equity Allocation Fund
C000014936
Class III
GMGEX
0000772129
S000005489
GMO Strategic Opportunities Allocation Fund
C000014937
Class III
GBATX
0000772129
S000005490
GMO Global Developed Equity Allocation Fund
C000014938
Class III
GWOAX
0000772129
S000005494
GMO SGM Major Markets Fund
C000014953
Class III
GSMFX
C000014956
Class VI
GSMHX
0000772129
S000007516
GMO Opportunistic Income Fund
C000020548
Class VI
GMODX
C000213384
Class I
GMOLX
0000772129
S000012211
GMO International Developed Equity Allocation Fund
C000033342
Class III
GIOTX
0000772129
S000025186
GMO U.S. Treasury Fund
C000075084
GMO U.S. Treasury Fund
GUSTX
0000772129
S000025199
GMO Asset Allocation Bond Fund
C000075099
Class III
GMOBX
C000075103
Class VI
GABFX
0000772129
S000029579
GMO Emerging Domestic Opportunities Fund
C000090805
Class II
GEDTX
C000090806
Class III
GEDSX
C000090808
Class V
GEDOX
0000772129
S000033464
GMO Benchmark-Free Fund
C000102896
Class III
GBFFX
0000772129
S000034948
GMO Resources Fund
C000107485
Class III
GOFIX
C000107486
Class IV
GOVIX
0000772129
S000036091
GMO Implementation Fund
C000110451
GMO Implementation Fund
GIMFX
0000772129
S000038360
GMO Risk Premium Fund
C000118360
Class III
GMRPX
C000118363
Class VI
GMOKX
0000772129
S000046112
GMO Special Opportunities Fund
C000144312
Class VI
GSOFX
0000772129
S000056707
GMO Climate Change Fund
C000179795
Class III
GCCHX
C000213398
Class I
GCCLX
C000213399
Class R6
GCCAX
0000772129
S000061716
GMO High Yield Fund
C000199930
Class VI
GHVIX
0000772129
S000065268
GMO Alternative Allocation Fund
C000211299
Class VI
GAAVX
C000213406
Class I
GAAGX
0000772129
S000065871
GMO U.S. Small Cap Value Fund
C000212810
Class VI
GCAVX
N-CEN
1
primary_doc.xml
X0201
N-CEN
LIVE
0000772129
XXXXXXXX
811-04347
false
false
false
N-1A
S000065268
C000213406
C000211299
S000061716
C000199930
S000004917
C000013295
C000013294
S000005490
C000014938
S000005485
C000213372
C000110912
C000014927
C000109350
S000004084
C000213357
C000011438
C000213356
C000011440
C000011437
S000034948
C000107485
C000107486
S000007516
C000213384
C000020548
S000005489
C000014937
S000005487
C000213376
C000014933
S000005486
C000014930
C000213374
S000029579
C000090808
C000090806
C000090805
S000005494
C000014953
C000014956
S000065871
C000212810
S000005488
C000014936
S000004913
C000013282
S000038360
C000118363
C000118360
S000004922
C000013328
C000013327
S000056707
C000213398
C000179795
C000213399
S000025199
C000075099
C000075103
S000033464
C000102896
S000004081
C000011426
C000011423
S000012211
C000033342
S000025186
C000075084
S000046112
C000144312
S000004911
C000013272
C000013268
C000213363
C000013271
C000013269
S000004224
C000011880
C000011882
C000011881
S000036091
C000110451
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
US-MA
US
617-346-7646
State Street Bank and Trust Company
1 Lincoln Street
Boston
02111
617-786-3000
Custody and Accounting Records.
N
N
N-1A
28
N
Peter Tufano
000000000
N
Donald W. Glazer
000000000
N
Jonathan Feigelson
000000000
Y
Paul Braverman
000000000
N
Gregory L. Pottle
000000000
40 Rowes Wharf
Boston
02110
XXXXXX
N
N
N
N
N
N
N
PricewaterhouseCoopers LLP
238
5493002GVO7EO8RNNS37
N
N
N
N
N
N
GMO U.S. Small Cap Value Fund
S000065871
549300326MS588AE2709
Y
1
1
0
N/A
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
IDC Securities Corporation
74-1673126
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
7061.72000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
3043.00000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
16008.53000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
13694.95000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
4233.54000000
Pershing LLC
8-17574
000007560
ZI8Q1A8EI8LQFJNM0D94
6051.86000000
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
16723.96000000
Virtu Itg LLC
8-44218
000029299
549300S41SMIODVIT266
6928.79000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
35944.12000000
Weeden & Co. L.P.
8-37267
000016835
549300OYBLKSN8M8EW67
11692.53000000
132117.82000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
17190348.89000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
360876990.62000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
45942306.94000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
28759280.83000000
452768927.28000000
Y
417301299.07000000
N
N
N
N
GMO Benchmark-Free Fund
S000033464
KDEBNS7APXQDZVF7RF26
N
1
0
0
N/A
N
N
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Revenue sharing split
2233917.07000000
22054.00000000
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
IDC Securities Corporation
74-1673126
Tax ID
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Saudi British Bank
558600TQS0WENZUC5190
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB banka
549300YW95G1VBBGGV07
LV
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Stanbic IBTC Bank PLC
549300NIVXF92ZIOVW61
NG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Karachi, Sindh, PK, Branch)
7LTWFZYICNSX8D621K86
PK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Oman S.A.O.G.
213800YRPSOSH9OA2V29
OM
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Zagrebacka Banka Dionicko Drustvo
PRNXTNXHBI0TSY1V8P17
HR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch)
2HI3YI5320L3RW6NJ957
MU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch)
2HI3YI5320L3RW6NJ957
LK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Dhaka, Dhaka, BD, Branch)
RILFO74KP1CM8P6PCT96
BD
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Bank Namibia Limited
254900K6TJFDYKSQWV49
NA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam)
213800H95OG9OHRT4Y78
VN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Botswana Limited
5493007VY27WWF8FF542
BW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Ghana) Limited
549300WFGKTC3MGDCX95
GH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch)
7LTWFZYICNSX8D621K86
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank (China) Company Limited
2CZOJRADNJXBLT55G526
CN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB Pank
549300ND1MQ8SNNYMJ22
EE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s. (Bratislava, Bratislavsky, SK, Branch)
KR6LSKV3BTSJRD41IF75
SK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Manama, Capital, BH, Branch)
549300F99IL9YJDWH369
BH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AB SEB bankas
549300SBPFE9JX7N8J82
LT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bulbank AD
549300Z7V2WOFIMUEK50
BG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch)
N1FBEDJ5J41VKZLO2475
RO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Kenya Limited
549300RBHWW5EJIRG629
KE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
56211.04000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
56653.92000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
68796.94000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
81583.65000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
71431.50000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
43544.43000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
42548.63000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
70148.58000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
54103.89000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
60859.13000000
850987.83000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
9300288886.64000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
46096948.08000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
140383859.86000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
151614705.39000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
21416115849.73000000
Securities Finance Co
N/A
000000000
00000000000000000000
115167378.69000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
32834308.51000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
56578916.59000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
32991491.43000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
837002846.23000000
32225147805.21000000
Y
2886959974.45000000
N
N
N
N
GMO Core Plus Bond Fund
S000004917
BC8D6LTQTCM32RRYZ044
N
2
0
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
IDC Securities Corporation
74-1673126
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
525.00000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
130.00000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
793.75000000
1448.75000000
Citadel Securities LLC
8-53574
000116797
12UUJYTN7D3SW8KCSG25
23475316.40000000
MUFG Securities Americas Inc.
8-43026
000019685
K5HU16E3LMSVCCJJJ255
120111795.17000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
48253149.69000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
488235953.18000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
1256634199.35000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
65297275.41000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
52066001.95000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
1267001037.09000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
1060463018.36000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
66989029.80000000
4475302021.43000000
Y
626136994.52000000
N
N
N
N
GMO Strategic Opportunities Allocation Fund
S000005489
549300GFBONLYCZNPD85
N
1
0
0
Fund of Funds
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
IDC Securities Corporation
74-1673126
Tax ID
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
N
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Karachi, Sindh, PK, Branch)
7LTWFZYICNSX8D621K86
PK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Botswana Limited
5493007VY27WWF8FF542
BW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AB SEB bankas
549300SBPFE9JX7N8J82
LT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch)
2HI3YI5320L3RW6NJ957
LK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Manama, Capital, BH, Branch)
549300F99IL9YJDWH369
BH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Saudi British Bank
558600TQS0WENZUC5190
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Zagrebacka Banka Dionicko Drustvo
PRNXTNXHBI0TSY1V8P17
HR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch)
2HI3YI5320L3RW6NJ957
MU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch)
N1FBEDJ5J41VKZLO2475
RO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB banka
549300YW95G1VBBGGV07
LV
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Kenya Limited
549300RBHWW5EJIRG629
KE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s. (Bratislava, Bratislavsky, SK, Branch)
KR6LSKV3BTSJRD41IF75
SK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam)
213800H95OG9OHRT4Y78
VN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Stanbic IBTC Bank PLC
549300NIVXF92ZIOVW61
NG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB Pank
549300ND1MQ8SNNYMJ22
EE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Bank Namibia Limited
254900K6TJFDYKSQWV49
NA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch)
7LTWFZYICNSX8D621K86
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Ghana) Limited
549300WFGKTC3MGDCX95
GH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
3930.55000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
6121.78000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
3421.02000000
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
3681.89000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
3203.96000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
4124.99000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
3126.13000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
6804.92000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
3924.63000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
2585.36000000
51775.79000000
RBC Capital Markets, LLC
8-45411
000031194
549300LCO2FLSSVFFR64
1711926.82000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
3449890.80000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
13098828.09000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
99549.92000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
2343328.39000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
10517069.94000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
8292166.95000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
9309461.02000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
12120179.26000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
502555238.06000000
563828030.53000000
Y
851682842.55000000
N
N
N
N
GMO International Equity Allocation Fund
S000005486
YMJ8TYNDMVGK40X3ZO13
N
2
1
0
Fund of Funds
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IDC Securities Corporation
74-1673126
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
177010592.63000000
177010592.63000000
Y
905916511.58000000
N
N
N
N
GMO Emerging Markets Fund
S000004911
DOSKAMXF8YE41HIDZR39
N
5
2
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
IDC Securities Corporation
74-1673126
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Saudi British Bank
558600TQS0WENZUC5190
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank (China) Company Limited
2CZOJRADNJXBLT55G526
CN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Manama, Capital, BH, Branch)
549300F99IL9YJDWH369
BH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB banka
549300YW95G1VBBGGV07
LV
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Oman S.A.O.G.
213800YRPSOSH9OA2V29
OM
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch)
N1FBEDJ5J41VKZLO2475
RO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Karachi, Sindh, PK, Branch)
7LTWFZYICNSX8D621K86
PK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Bank Namibia Limited
254900K6TJFDYKSQWV49
NA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch)
7LTWFZYICNSX8D621K86
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Privredna Banka Zagreb - Dionicko Drustvo
549300ZHFZ4CSK7VS460
HR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch)
2HI3YI5320L3RW6NJ957
LK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Zagrebacka Banka Dionicko Drustvo
PRNXTNXHBI0TSY1V8P17
HR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Ghana) Limited
549300WFGKTC3MGDCX95
GH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Dhaka, Dhaka, BD, Branch)
RILFO74KP1CM8P6PCT96
BD
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bulbank AD
549300Z7V2WOFIMUEK50
BG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam)
213800H95OG9OHRT4Y78
VN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch)
2HI3YI5320L3RW6NJ957
MU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Kenya Limited
549300RBHWW5EJIRG629
KE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Stanbic IBTC Bank PLC
549300NIVXF92ZIOVW61
NG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AB SEB bankas
549300SBPFE9JX7N8J82
LT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB Pank
549300ND1MQ8SNNYMJ22
EE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Mumbai, Maharashtra, IN, Branch)
E57ODZWZ7FF32TWEFA76
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Kuwait City, Al Asimah, KW, Branch)
549300F99IL9YJDWH369
KW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
141137.33000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
198207.43000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
282728.35000000
Macquarie Capital (USA) Inc.
8-47198
000036368
549300670K07JRB5UQ40
146655.34000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
128608.25000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
188305.04000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
773252.05000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
236804.85000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
280315.96000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
211860.76000000
3626216.67000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
54969530.16000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
3490900519.69000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
11975502.78000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
1.16000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
43.75000000
3562635905.16000000
Y
3299403173.76000000
N
N
N
N
GMO SGM Major Markets Fund
S000005494
MNQ6D2305GB58HFPL064
N
2
0
0
N/A
Y
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
IDC Securities Corporation
74-1673126
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
2375822411.53000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
277500628.51000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
360685134.63000000
RBC Capital Markets, LLC
8-45411
000031194
549300LCO2FLSSVFFR64
125525253.92000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
558568181.32000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
56062666.21000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
288387855.55000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
135506697.83000000
Citadel Securities LLC
8-53574
000116797
12UUJYTN7D3SW8KCSG25
63244785.16000000
MUFG Securities Americas Inc.
8-43026
000019685
K5HU16E3LMSVCCJJJ255
333205246.34000000
4627281712.57000000
Y
1051811395.05000000
N
N
N
N
GMO Global Asset Allocation Fund
S000005487
SOY8WGQFE5GBWE78U387
N
2
1
0
Fund of Funds
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
IDC Securities Corporation
74-1673126
Tax ID
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
N
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
1302056898.10000000
1302056898.10000000
Y
1741137465.16000000
N
N
N
N
GMO Global Developed Equity Allocation Fund
S000005490
CYFP4WXDYCN2ASDSM441
N
1
0
0
Fund of Funds
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
IDC Securities Corporation
74-1673126
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
508501226.94000000
508501226.94000000
Y
296309223.43000000
N
N
N
N
GMO Implementation Fund
S000036091
EJTCG40ZNRD9J2UWZ659
N
1
0
0
N/A
Y
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Revenue sharing split
7139028.70692308
95156.00000000
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
IDC Securities Corporation
74-1673126
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
N
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam)
213800H95OG9OHRT4Y78
VN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Ghana) Limited
549300WFGKTC3MGDCX95
GH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch)
2HI3YI5320L3RW6NJ957
MU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch)
7LTWFZYICNSX8D621K86
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Zagrebacka Banka Dionicko Drustvo
PRNXTNXHBI0TSY1V8P17
HR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Oman S.A.O.G.
213800YRPSOSH9OA2V29
OM
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB Pank
549300ND1MQ8SNNYMJ22
EE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch)
N1FBEDJ5J41VKZLO2475
RO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Botswana Limited
5493007VY27WWF8FF542
BW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Manama, Capital, BH, Branch)
549300F99IL9YJDWH369
BH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Karachi, Sindh, PK, Branch)
7LTWFZYICNSX8D621K86
PK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch)
2HI3YI5320L3RW6NJ957
LK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank (China) Company Limited
2CZOJRADNJXBLT55G526
CN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Dhaka, Dhaka, BD, Branch)
RILFO74KP1CM8P6PCT96
BD
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Stanbic IBTC Bank PLC
549300NIVXF92ZIOVW61
NG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Bank Namibia Limited
254900K6TJFDYKSQWV49
NA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Kenya Limited
549300RBHWW5EJIRG629
KE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s. (Bratislava, Bratislavsky, SK, Branch)
KR6LSKV3BTSJRD41IF75
SK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Saudi British Bank
558600TQS0WENZUC5190
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AB SEB bankas
549300SBPFE9JX7N8J82
LT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB banka
549300YW95G1VBBGGV07
LV
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bulbank AD
549300Z7V2WOFIMUEK50
BG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
250760.15000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
264313.45000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
413947.06000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
385716.97000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
400867.00000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
383841.76000000
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
421421.87000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
331774.65000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
267187.69000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
349087.72000000
4905160.30000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
1915597633.59000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
30610363792.00000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
892594031.44000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
335010602.04000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
4236955560.01000000
Securities Finance Co
N/A
000000000
00000000000000000000
331575584.74000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
681863573.42000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
357958278.10000000
MUFG Securities Americas Inc.
8-43026
000019685
K5HU16E3LMSVCCJJJ255
417330673.82000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
714618014.89000000
41616339816.77000000
Y
8086799213.04000000
N
N
N
N
GMO Asset Allocation Bond Fund
S000025199
XMFQA7127YTH95F0NH19
N
2
0
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
IDC Securities Corporation
74-1673126
Tax ID
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
N
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
47006586.79000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
227108228.82000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
62971439.54000000
TD Securities (USA) LLC
8-36747
000018476
SUVUFHICNZMP2WKHG940
1115458.08000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
26785245.26000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
29808944.22000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
13497659.97000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
30329174.03000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
5230163.75000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
35792810.90000000
479645711.36000000
Y
319843092.85000000
N
N
N
N
GMO Tax-Managed International Equities Fund
S000004913
549300KLH1QUHZ9NXR88
N
1
0
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
IDC Securities Corporation
74-1673126
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
N
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Karachi, Sindh, PK, Branch)
7LTWFZYICNSX8D621K86
PK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch)
2HI3YI5320L3RW6NJ957
LK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Saudi British Bank
558600TQS0WENZUC5190
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank (China) Company Limited
2CZOJRADNJXBLT55G526
CN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
1284.16000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
979.20000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
1245.04000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
2347.08000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
1945.12000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
932.61000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
1937.15000000
Macquarie Capital (USA) Inc.
8-47198
000036368
549300670K07JRB5UQ40
1135.31000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
1315.58000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
1859.98000000
17609.36000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
17088.15000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
4.20000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
28840365.79000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
20.67000000
28857478.81000000
Y
43510929.17000000
N
N
N
N
GMO International Equity Fund
S000004224
549300GUNRPC30EDRZ54
N
3
0
0
N/A
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
IDC Securities Corporation
74-1673126
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
N
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
213734.38000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
85695.41000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
129844.83000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
98499.22000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
63220.04000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
60024.07000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
63799.95000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
135345.99000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
83545.44000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
70018.91000000
1189054.40000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
2042249358.58000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
3970303.33000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
91062863.89000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
3.64000000
2140941929.70000000
Y
3463216709.07000000
N
N
N
N
GMO Global Equity Allocation Fund
S000005488
JRNL37IR41Z4BPODHW20
N
1
0
0
Fund of Funds
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
IDC Securities Corporation
74-1673126
Tax ID
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
804090475.36000000
804090475.36000000
Y
1612183961.21000000
N
N
N
N
GMO Benchmark-Free Allocation Fund
S000005485
JROIJZODPR8PSX12FZ19
N
4
1
0
Fund of Funds
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IDC Securities Corporation
74-1673126
Tax ID
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
4584890602.60000000
4584890602.60000000
Y
10239390102.06000000
N
N
N
N
GMO Quality Fund
S000004084
549300AFPJUDV7V43T32
N
5
2
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
IDC Securities Corporation
74-1673126
Tax ID
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
N
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Fidelity Capital Markets, Inc.
8-35108
000176245
00000000000000000000
21859.49000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
22107.17000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
15624.36000000
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
22598.49000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
11502.47000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
41395.60000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
16443.49000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
40123.30000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
47024.76000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
17612.35000000
283630.06000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
318474808.52000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
433232381.03000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
215579431.68000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
162077085.86000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
44808984.38000000
BMO Capital Markets Corp.
8-34344
000016686
RUC0QBLBRPRCU4W1NE59
44598181.25000000
Citadel Securities LLC
8-53574
000116797
12UUJYTN7D3SW8KCSG25
78363847.67000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
73796720.50000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
2238795646.77000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
194508138.49000000
3873331163.66000000
Y
6575407562.90000000
N
N
N
N
GMO Emerging Domestic Opportunities Fund
S000029579
P7PR6FEYSJAS7WW8KL14
N
3
0
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
IDC Securities Corporation
74-1673126
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam)
213800H95OG9OHRT4Y78
VN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Saudi British Bank
558600TQS0WENZUC5190
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Dhaka, Dhaka, BD, Branch)
RILFO74KP1CM8P6PCT96
BD
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank (China) Company Limited
2CZOJRADNJXBLT55G526
CN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Ghana) Limited
549300WFGKTC3MGDCX95
GH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Stanbic IBTC Bank PLC
549300NIVXF92ZIOVW61
NG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch)
7LTWFZYICNSX8D621K86
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Kenya Limited
549300RBHWW5EJIRG629
KE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Kuwait City, Al Asimah, KW, Branch)
549300F99IL9YJDWH369
KW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch)
2HI3YI5320L3RW6NJ957
LK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
217683.03000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
211211.27000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
199470.65000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
299566.34000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
233852.09000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
333299.42000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
319044.99000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
137470.66000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
322948.35000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
275755.01000000
3542833.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
2747295848.92000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
270000.00000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
5983552.00000000
2762471804.21000000
Y
1204373168.01000000
N
N
N
N
GMO Risk Premium Fund
S000038360
5493004YKLQTZQL9WU27
N
2
0
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IDC Securities Corporation
74-1673126
Tax ID
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
9916015.63000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
120999113.02000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
16215959.00000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
2789400.84000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
286617140.41000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
52021450.26000000
RBC Capital Markets, LLC
8-45411
000031194
549300LCO2FLSSVFFR64
108044238.29000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
27302367.48000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
255687670.47000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
192620596.76000000
1073213119.47000000
Y
284235210.22000000
N
N
N
N
GMO Special Opportunities Fund
S000046112
549300YUKN4ZQP5XRX84
N
1
0
0
N/A
Y
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
Y
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
IDC Securities Corporation
74-1673126
Tax ID
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
Standard Chartered Bank (Dhaka, Dhaka, BD, Branch)
RILFO74KP1CM8P6PCT96
BD
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AB SEB bankas
549300SBPFE9JX7N8J82
LT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Union Internationale de Banques
549300WKCW12LEPUMV07
TN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Stanbic IBTC Bank PLC
549300NIVXF92ZIOVW61
NG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch)
2HI3YI5320L3RW6NJ957
MU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Ghana) Limited
549300WFGKTC3MGDCX95
GH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Oman S.A.O.G.
213800YRPSOSH9OA2V29
OM
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Bank Namibia Limited
254900K6TJFDYKSQWV49
NA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s. (Bratislava, Bratislavsky, SK, Branch)
KR6LSKV3BTSJRD41IF75
SK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Zagrebacka Banka Dionicko Drustvo
PRNXTNXHBI0TSY1V8P17
HR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Limassol, Limassol, CY, Branch)
549300WCGB70D06XZS54
CY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB banka
549300YW95G1VBBGGV07
LV
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Landsbankinn hf.
549300TLZPT6JELDWM92
IS
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Standard Bank of South Africa Limited
QFC8ZCW3Q5PRXU1XTM60
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam)
213800H95OG9OHRT4Y78
VN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank (China) Company Limited
2CZOJRADNJXBLT55G526
CN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch)
2HI3YI5320L3RW6NJ957
LK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Kenya Limited
549300RBHWW5EJIRG629
KE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bulbank AD
549300Z7V2WOFIMUEK50
BG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Standard Chartered Bank Botswana Limited
5493007VY27WWF8FF542
BW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
AS SEB Pank
549300ND1MQ8SNNYMJ22
EE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Manama, Capital, BH, Branch)
549300F99IL9YJDWH369
BH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch)
N1FBEDJ5J41VKZLO2475
RO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
8824.00000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
2225.00000000
Virtu Itg LLC
8-44218
000029299
549300S41SMIODVIT266
3866.77000000
Liquidnet, Inc.
8-52461
000103987
213800HSKBBO1GCVRG79
1953.40000000
Fidelity Capital Markets, Inc.
8-35108
000176245
00000000000000000000
15716.73000000
Investec Bank PLC
N/A
000000000
84S0VF8TSMH0T6D4K848
GB
5744.97000000
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
8592.98000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
1680.20000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
4350.04000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
9688.95000000
66820.78000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
17961603.98000000
Citadel Securities LLC
8-53574
000116797
12UUJYTN7D3SW8KCSG25
18968437.50000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
348942560.46000000
RBC Capital Markets, LLC
8-45411
000031194
549300LCO2FLSSVFFR64
4997265.63000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
49285125.43000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
7972137.78000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
20802304.69000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
51941875.44000000
520871310.91000000
Y
356985259.88000000
N
N
N
N
GMO Resources Fund
S000034948
549300RZ6MOU726M7F60
N
2
0
0
N/A
Y
N
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Revenue sharing split
17707479.48615380
339838.00000000
N/A
Y
N
Y
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
IDC Securities Corporation
74-1673126
Tax ID
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
N
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Cititrust Colombia S A Sociedad Fiduciaria
549300242J3IJCOSGI49
CO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch)
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank (China) Company Limited
2CZOJRADNJXBLT55G526
CN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Standard Bank of South Africa Limited
QFC8ZCW3Q5PRXU1XTM60
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank del Peru S.A.
MYTK5NHHP1G8TVFGT193
PE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Maghreb S.A
5493003FVWLMBFTISI11
MA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Stanbic IBTC Bank PLC
549300NIVXF92ZIOVW61
NG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Karachi, Sindh, PK, Branch)
7LTWFZYICNSX8D621K86
PK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch)
7LTWFZYICNSX8D621K86
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
16192.87000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
17434.55000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
30818.93000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
37761.96000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
15396.14000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
29807.01000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
37829.29000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
15138.88000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
9955.31000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
27424.53000000
296376.32000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
14888637.50000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
4962768.54000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
272739386.71000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
4962928.33000000
Securities Finance Co
N/A
000000000
00000000000000000000
551165982.00000000
848719703.08000000
Y
520200236.83000000
N
N
N
N
GMO Climate Change Fund
S000056707
549300YHGBL4FWUNIF94
N
3
2
0
N/A
Y
N
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Revenue sharing split
5856625.19769231
120340.00000000
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
IDC Securities Corporation
74-1673126
Tax ID
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
N
Deutsche Bank Aktiengesellschaft (Karachi, Sindh, PK, Branch)
7LTWFZYICNSX8D621K86
PK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Cairo, Cairo, EG, Branch)
E57ODZWZ7FF32TWEFA76
EG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch)
N1FBEDJ5J41VKZLO2475
RO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Itau CorpBanca
549300DDPTTIZ06NIV06
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Kenya Limited
549300RBHWW5EJIRG629
KE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam)
213800H95OG9OHRT4Y78
VN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Standard Bank of South Africa Limited
QFC8ZCW3Q5PRXU1XTM60
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch)
7LTWFZYICNSX8D621K86
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch)
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Oman S.A.O.G.
213800YRPSOSH9OA2V29
OM
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Amman, Amman, JO, Branch)
RILFO74KP1CM8P6PCT96
JO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch)
E57ODZWZ7FF32TWEFA76
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Jongno-gu, Seoul, KR, Branch)
7LTWFZYICNSX8D621K86
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Macquarie Capital (USA) Inc.
8-47198
000036368
549300670K07JRB5UQ40
4012.58000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
10167.46000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
3875.81000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
8780.90000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
5903.50000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
7004.89000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
5817.31000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
4735.36000000
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
3218.77000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
6479.73000000
76797.25000000
Securities Finance Co
N/A
000000000
00000000000000000000
203806136.80000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
107758658.00000000
311564794.80000000
Y
117612559.76000000
N
N
N
N
GMO Opportunistic Income Fund
S000007516
5493000NQRD0885G4P95
N
2
1
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IDC Securities Corporation
74-1673126
Tax ID
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
6000.00000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
500.00000000
6500.00000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
3161906481.44000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
941850527.22000000
Robert W. Baird & Co. Incorporated
8-497
000008158
549300772UJAHRD6LO53
37857240.79000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
249299470.70000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
106640444.35000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
49476145.04000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
225962980.00000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
34596183.12000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
71302269.05000000
Pershing LLC
8-17574
000007560
ZI8Q1A8EI8LQFJNM0D94
29528924.95000000
5078281465.30000000
Y
942095724.13000000
N
N
N
N
GMO U.S. Treasury Fund
S000025186
0NIBQB0NDRTFX04R2J69
N
1
0
0
N/A
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
IDC Securities Corporation
74-1673126
Tax ID
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
7322821738.18000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
580540976.45000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
32357031.25000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
81694175.80000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
2450544842.99000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
251422691.94000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
96886497.42000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
178484310.53000000
RBC Capital Markets, LLC
8-45411
000031194
549300LCO2FLSSVFFR64
140441601.58000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
375732721.60000000
11577671090.48000000
Y
483708889.04000000
N
N
N
N
GMO Alternative Allocation Fund
S000065268
549300NEZ72NVUM4S865
Y
2
2
0
N/A
Y
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
IDC Securities Corporation
74-1673126
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
N
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Societa per Azioni
529900SS7ZWCX82U3W60
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
4261.09000000
Fidelity Capital Markets, Inc.
8-35108
000176245
00000000000000000000
11624.24000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
8308.13000000
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
27758.99000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
9481.55000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
9652.19000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
3340.66000000
Virtu Itg LLC
8-44218
000029299
549300S41SMIODVIT266
11193.71000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
13715.75000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
5492.71000000
118071.98000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
450921732.75000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
25517689.71000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
3916821953.39000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
60383454.23000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
15235755.05000000
Pershing LLC
8-17574
000007560
ZI8Q1A8EI8LQFJNM0D94
20182842.20000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
52672949.26000000
MUFG Securities Americas Inc.
8-43026
000019685
K5HU16E3LMSVCCJJJ255
39063842.89000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
89513357.27000000
TD Securities (USA) LLC
8-36747
000018476
SUVUFHICNZMP2WKHG940
57317264.88000000
4786673655.11000000
Y
194969042.04000000
N
N
N
N
GMO Emerging Country Debt Fund
S000004922
YNMTZW424II1WNE1YT44
N
2
0
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
IDC Securities Corporation
74-1673126
Tax ID
N
N
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Hong Kong) Limited
X5AV1MBDXGRPX5UGMX13
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Vienna, Vienna, AT, Branch)
7LTWFZYICNSX8D621K86
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Madrid, Madrid, ES, Branch)
7LTWFZYICNSX8D621K86
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Schweiz) AG
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Joint Stock Company Commercial Bank Citibank
CHSQDSVI1UI96Y2SW097
RU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Anonim Sirketi
789000N5SE3LWDK7OI11
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch)
579100KKDGKCFFKKF005
AR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
109781320.25000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
736439941.54000000
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
143199743.17000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
99073263.21000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
643414308.33000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
630578083.00000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
1868803566.32000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
208740956.98000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
1540611002.09000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
136024706.66000000
6927729380.17000000
Y
4238110364.22000000
N
N
N
N
GMO U.S. Equity Fund
S000004081
549300L8PB3KTHT20L36
N
2
0
0
N/A
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
IDC Securities Corporation
74-1673126
Tax ID
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Clearstream Banking S.A.
549300OL514RA0SXJJ44
LU
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Societe Generale
N/A
000000000
O2RNE8IBXP4R0TD8PU41
FR
9056.38000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
17231.42000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
11881.71000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
23499.25000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
6112.47000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
2556.25000000
Virtu Itg LLC
8-44218
000029299
549300S41SMIODVIT266
4098.29000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
15378.71000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
9513.81000000
Pershing LLC
8-17574
000007560
ZI8Q1A8EI8LQFJNM0D94
4352.22000000
112078.99000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
351453809.78000000
351453809.78000000
Y
682900597.33000000
N
N
N
N
GMO International Developed Equity Allocation Fund
S000012211
549300ZESUBDOT99FS22
N
1
0
0
Fund of Funds
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
N
N
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
IDC Securities Corporation
74-1673126
Tax ID
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
0.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
396407643.16000000
396407643.16000000
Y
473452718.95000000
N
N
N
N
GMO High Yield Fund
S000061716
5493003UZ8Q1SLUPQX65
N
1
0
0
N/A
Y
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
N/A
Y
Y
Y
Y
Grantham, Mayo, Van Otterloo & Co. LLC
801-15028
000106220
KG0ECHUB6SFORDPJZK65
N
State Street Bank and Trust Company
85-05003
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
IDC Securities Corporation
74-1673126
Tax ID
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
LCH Group Holdings Limited
549300TXTCI7WVVJS380
GB
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
N
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
2HI3YI5320L3RW6NJ957
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
42.96000000
Instinet, LLC
8-23669
000007897
549300MGMN3RKMU8FT57
192.65000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
642.90000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
660.55000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
566.34000000
2105.40000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
17989600.93000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
20899266.44000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
65643597.16000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
86090563.17000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
403600837.40000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
124551199.49000000
RBC Capital Markets, LLC
8-45411
000031194
549300LCO2FLSSVFFR64
17044521.48000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
153199998.06000000
Daiwa Capital Markets America Inc.
8-12242
000001576
M67H5PRC0NQKM73ZAS82
63819862.83000000
MUFG Securities Americas Inc.
8-43026
000019685
K5HU16E3LMSVCCJJJ255
60589771.95000000
1067315033.88000000
Y
211131449.21000000
N
N
N
N
true
INTERNAL CONTROL RPT
2
gmotrust_2.29.20-2.txt
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of GMO Trust and Shareholders
of GMO Alternative Allocation Fund, GMO Asset
Allocation Bond Fund, GMO Benchmark-Free Allocation
Fund, GMO Benchmark-Free Fund, GMO Climate
Change Fund, GMO Core Plus Bond Fund, GMO
Emerging Country Debt Fund, GMO Emerging Domestic
Opportunities Fund, GMO Emerging Markets Fund,
GMO Global Asset Allocation Fund, GMO Global
Developed Equity Allocation Fund, GMO Global Equity
Allocation Fund, GMO High Yield Fund, GMO
Implementation Fund, GMO International Developed
Equity Allocation Fund, GMO International Equity
Allocation Fund, GMO International Equity Fund, GMO
Opportunistic Income Fund, GMO Quality Fund, GMO
Resources Fund, GMO Risk Premium Fund, GMO SGM
Major Markets Fund, GMO Special Opportunities Fund,
GMO Strategic Opportunities Allocation Fund, GMO
Tax-Managed International Equities Fund, GMO U.S.
Equity Fund, GMO U.S. Small Cap Value Fund, and GMO
U.S. Treasury Fund
In planning and performing our audit of the financial
statements of GMO Alternative Allocation Fund, GMO
Asset Allocation Bond Fund, GMO Benchmark-Free
Allocation Fund, GMO Benchmark-Free Fund, GMO
Climate Change Fund, GMO Core Plus Bond Fund, GMO
Emerging Country Debt Fund, GMO Emerging Domestic
Opportunities Fund, GMO Emerging Markets Fund,
GMO Global Asset Allocation Fund, GMO Global
Developed Equity Allocation Fund, GMO Global Equity
Allocation Fund, GMO High Yield Fund, GMO
Implementation Fund, GMO International Developed
Equity Allocation Fund, GMO International Equity
Allocation Fund, GMO International Equity Fund, GMO
Opportunistic Income Fund, GMO Quality Fund, GMO
Resources Fund, GMO Risk Premium Fund, GMO SGM
Major Markets Fund, GMO Special Opportunities Fund,
GMO Strategic Opportunities Allocation Fund, GMO
Tax-Managed International Equities Fund, GMO U.S.
Equity Fund, GMO U.S. Small Cap Value Fund, and GMO
U.S. Treasury Fund (constituting GMO Trust, hereafter
collectively referred to as the "Funds") as of February 28,
2019 and for each of the periods indicated in the table
below, in accordance with the standards of the Public
Company Accounting Oversight Board (United States)
(PCAOB), we considered the Funds' internal control over
financial reporting, including controls over safeguarding
securities, as a basis for designing our auditing
procedures for the purpose of expressing our opinion on
the financial statements and to comply with the
requirements of Form N-CEN, but not for the purpose of
expressing an opinion on the effectiveness of the Funds'
internal control over financial reporting. Accordingly, we
do not express an opinion on the effectiveness of the
Funds' internal control over financial reporting.
For the year ended February 29, 2020
GMO Asset Allocation Bond Fund, GMO Benchmark-
Free Allocation Fund, GMO Benchmark-Free Fund, GMO
Climate Change Fund, GMO Core Plus Bond Fund, GMO
Emerging Country Debt Fund, GMO Emerging Domestic
Opportunities Fund, GMO Emerging Markets Fund,
GMO Global Asset Allocation Fund, GMO Global
Developed Equity Allocation Fund, GMO Global Equity
Allocation Fund, GMO High Yield Fund, GMO
Implementation Fund, GMO International Developed
Equity Allocation Fund, GMO International Equity
Allocation Fund, GMO International Equity Fund, GMO
Opportunistic Income Fund, GMO Quality Fund, GMO
Resources Fund, GMO Risk Premium Fund, GMO SGM
Major Markets Fund, GMO Special Opportunities Fund,
GMO Strategic Opportunities Allocation Fund, GMO
Tax-Managed International Equities Fund, GMO U.S.
Equity Fund, and GMO U.S. Treasury Fund
For the period May 1, 2019 (commencement of
operations) through February 29, 2020
GMO Alternative Allocation Fund
For the period July 2, 2019 (commencement of
operations) through February 29, 2020
GMO U.S. Small Cap Value Fund
The management of the Funds is responsible for
establishing and maintaining effective internal control
over financial reporting. In fulfilling this responsibility,
estimates and judgments by management are required to
assess the expected benefits and related costs of controls.
A company's internal control over financial reporting is a
process designed to provide reasonable assurance
regarding the reliability of financial reporting and the
preparation of financial statements for external purposes
in accordance with generally accepted accounting
principles. A company's internal control over financial
reporting includes those policies and procedures that (1)
pertain to the maintenance of records that, in reasonable
detail, accurately and fairly reflect the transactions and
dispositions of the assets of the company; (2) provide
reasonable assurance that transactions are recorded as
necessary to permit preparation of financial statements
in accordance with generally accepted accounting
principles, and that receipts and expenditures of the
company are being made only in accordance with
authorizations of management and directors of the
company; and (3) provide reasonable assurance
regarding prevention or timely detection of unauthorized
acquisition, use or disposition of a company's assets that
could have a material effect on the financial statements.
Because of its inherent limitations, internal control over
financial reporting may not prevent or detect
misstatements. Also, projections of any evaluation of
effectiveness to future periods are subject to the risk that
controls may become inadequate because of changes in
conditions, or that the degree of compliance with the
policies or procedures may deteriorate.
A deficiency in internal control over financial reporting
exists when the design or operation of a control does not
allow management or employees, in the normal course of
performing their assigned functions, to prevent or detect
misstatements on a timely basis. A material weakness is a
deficiency, or a combination of deficiencies, in internal
control over financial reporting, such that there is a
reasonable possibility that a material misstatement of the
company's annual or interim financial statements will
not be prevented or detected on a timely basis.
Our consideration of the Funds' internal control over
financial reporting was for the limited purpose described
in the first paragraph and would not necessarily disclose
all deficiencies in internal control over financial reporting
that might be material weaknesses under standards
established by the PCAOB. However, we noted no
deficiencies in the Funds' internal control over financial
reporting and its operation, including controls over
safeguarding securities, that we consider to be material
weaknesses as defined above as of February 29,2020
This report is intended solely for the information and use
of the Board of Trustees of GMO Trust and the Securities
and Exchange Commission and is not intended to be and
should not be used by anyone other than these specified
parties.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
April 24, 2020