UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04347
GMO Trust
(Exact name of the registrant as specified in charter)
40 Rowes Wharf, Boston, MA 02110
(Address of principal executive offices) (Zip Code)
J.B. Kittredge, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110
(Name and address of agent for services)
Registrant’s telephone number, including area code: 617-346-7646
Date of fiscal year end: 02/28/15
Date of reporting period: 08/31/14
Item 1. Reports to Stockholders.
The semiannual reports for each series of the registrant for the period ended August 31, 2014 are filed herewith.
GMO Trust
Semiannual Report
August 31, 2014
Asset Allocation Bond Fund
Core Plus Bond Fund
Currency Hedged International Bond Fund
Debt Opportunities Fund
Emerging Country Debt Fund
Global Bond Fund
International Bond Fund
U.S. Treasury Fund
World Opportunity Overlay Fund
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus or private placement memorandum, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect).
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivative risk.
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Investment Concentration Summary | 24 | |||
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GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Debt Obligations | 29.3 | % | ||
Mutual Funds | 2.9 | |||
Options Purchased | 0.2 | |||
Short-Term Investments | 65.9 | |||
Other | 28.4 | |||
Securities Sold Short | (26.7 | ) | ||
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100.0 | % | |||
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1
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Principal Amount | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 29.3% | ||||||||||
U.S. Government — 29.3% | ||||||||||
1,280,595,266 | U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (a) | 1,315,511,975 | ||||||||
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TOTAL DEBT OBLIGATIONS (COST $1,319,016,939) | 1,315,511,975 | |||||||||
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MUTUAL FUNDS — 2.9% | ||||||||||
United States — 2.9% | ||||||||||
Affiliated Issuers — 2.9% | ||||||||||
5,246,342 | GMO U.S. Treasury Fund | 131,158,549 | ||||||||
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TOTAL MUTUAL FUNDS (COST $131,158,549) | 131,158,549 | |||||||||
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OPTIONS PURCHASED — 0.2% | ||||||||||
Currency Options — 0.1% | ||||||||||
108,000,000 | USD Call/JPY Put, Expires 02/19/15, Strike 106.13, (OTC) (CP-MSCI) | 1,129,680 | ||||||||
115,000,000 | USD Call/JPY Put, Expires 11/20/14, Strike 103.60, (OTC) (CP-DB) | 1,607,585 | ||||||||
108,000,000 | USD Put/JPY Call, Expires 02/19/15, Strike 98.95, (OTC) (CP-MSCI) | 571,428 | ||||||||
115,000,000 | USD Put/JPY Call, Expires 11/20/14, Strike 98.90, (OTC) (CP-DB) | 139,955 | ||||||||
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Total Currency Options | 3,448,648 | |||||||||
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Options on Interest Rate Swaps — 0.1% | ||||||||||
313,600,000 | USD Swaption Call, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 313,600,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.52%, maturing on 10/01/24. (OTC) (CP-GS) | 1,918,291 | ||||||||
114,200,000 | USD Swaption Call, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 114,200,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.69%, maturing on 10/21/24. (OTC) (CP-JPM) | 1,911,480 | ||||||||
313,600,000 | USD Swaption Put, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 313,600,000 USD in which it will pay a rate of 2.52% and will receive 3 month USD LIBOR, maturing on 10/01/24. (OTC) (CP-GS) | 2,193,632 |
Shares / Principal Amount | Description | Value ($) | ||||||||
Options on Interest Rate Swaps — continued | ||||||||||
114,200,000 | USD Swaption Put, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 114,200,000 USD in which it will pay a rate of 2.69% and will receive 3 month USD LIBOR, maturing on 10/21/24. (OTC) (CP-JPM) | 410,777 | ||||||||
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Total Options on Interest Rate Swaps | 6,434,180 | |||||||||
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TOTAL OPTIONS PURCHASED (COST $9,683,740) | 9,882,828 | |||||||||
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SHORT-TERM INVESTMENTS — 65.9% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
3,969,753 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (b) | 3,969,753 | ||||||||
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| |||||||||
U.S. Government — 65.8% | ||||||||||
100,000,000 | U.S. Treasury Bill, 0.03%, due 01/15/15 (c) | 99,990,600 | ||||||||
300,000,000 | U.S. Treasury Bill, 0.02%, due 12/11/14 (c) | 299,983,200 | ||||||||
486,000,000 | U.S. Treasury Bill, 0.03%, due 11/28/14 (c) | 485,967,924 | ||||||||
1,290,000,000 | U.S. Treasury Bill, 0.02%, due 12/04/14 (c) | 1,289,949,690 | ||||||||
175,000,000 | U.S. Treasury Bill, 0.03%, due 12/26/14 (c) | 174,983,200 | ||||||||
308,000,000 | U.S. Treasury Bill, 0.03%, due 11/06/14 (c) | 307,986,140 | ||||||||
300,000,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (c) (d) | 299,978,700 | ||||||||
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Total U.S. Government | 2,958,839,454 | |||||||||
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TOTAL SHORT-TERM INVESTMENTS (COST $2,962,623,763) | 2,962,809,207 | |||||||||
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TOTAL INVESTMENTS — 98.3% (Cost $4,422,482,991) | 4,419,362,559 | |||||||||
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2 | See accompanying notes to the financial statements. |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Principal Amount | Description | Value ($) | ||||||||
SECURITIES SOLD SHORT — (26.7)% | ||||||||||
DEBT OBLIGATIONS — (26.7)% | ||||||||||
United States — (26.7)% | ||||||||||
U.S. Government Agency — (26.7)% | ||||||||||
(1,132,300,000 | ) | Federal National Mortgage Assoc., TBA, 4.00%, due 2/01/42 | (1,199,884,156 | ) | ||||||
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TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,192,115,547) | (1,199,884,156 | ) | ||||||||
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Other Assets and Liabilities (net) — 28.4% | 1,277,467,275 | (e) | ||||||||
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TOTAL NET ASSETS — 100.0% | $4,496,945,678 | |||||||||
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A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/28/2014 | BCLY | EUR | 68,875,000 | USD | 91,384,039 | $ | 854,477 | |||||||||||||||
10/28/2014 | BOA | EUR | 51,656,250 | USD | 68,584,416 | 687,245 | ||||||||||||||||
10/28/2014 | DB | EUR | 154,968,750 | USD | 205,826,472 | 2,134,957 | ||||||||||||||||
09/02/2014 | CITI | JPY | 23,900,000,000 | USD | 235,516,953 | 5,808,654 | ||||||||||||||||
09/02/2014 | DB | JPY | 15,700,000,000 | USD | 154,802,128 | 3,905,881 | ||||||||||||||||
09/02/2014 | JPM | JPY | 1,200,000,000 | USD | 11,835,501 | 302,030 | ||||||||||||||||
10/31/2014 | BCLY | JPY | 13,668,000,000 | USD | 131,566,282 | 143,568 | ||||||||||||||||
10/31/2014 | DB | JPY | 13,464,000,000 | USD | 129,748,482 | 287,302 | ||||||||||||||||
10/31/2014 | GS | JPY | 13,668,000,000 | USD | 131,552,352 | 129,639 | ||||||||||||||||
09/09/2014 | BCLY | SEK | 754,000,000 | USD | 110,212,568 | 2,334,555 | ||||||||||||||||
09/02/2014 | BCLY | USD | 131,511,594 | JPY | 13,668,000,000 | (145,359 | ) | |||||||||||||||
09/02/2014 | DB | USD | 129,695,364 | JPY | 13,464,000,000 | (289,819 | ) | |||||||||||||||
09/02/2014 | GS | USD | 131,498,942 | JPY | 13,668,000,000 | (132,706 | ) | |||||||||||||||
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$ | 16,020,424 | |||||||||||||||||||||
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Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
11,159 | 90 Day Sterling | December 2014 | $ | 2,299,492,616 | $ | 3,048,582 | ||||||
12,231 | 90 Day Sterling | June 2015 | 2,511,131,279 | 756,728 | ||||||||
524 | U.S. Long Bond (CBT) | December 2014 | 73,409,125 | 265,854 | ||||||||
4,171 | U.S. Treasury Note 5 Yr. (CBT) | December 2014 | 495,664,697 | 1,021,481 | ||||||||
3,384 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 425,643,750 | 1,211,489 | ||||||||
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|
| |||||||||
$ | 5,805,341,467 | $ | 6,304,134 | |||||||||
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Sales | ||||||||||||
5,692 | Canadian Government Bond 10 Yr. | December 2014 | $ | 718,920,592 | $ | (4,940,455 | ) | |||||
11,273 | 90 Day Sterling | September 2015 | 2,309,883,748 | (765,296 | ) | |||||||
958 | 90 Day Sterling | December 2015 | 195,930,328 | (92,851 | ) | |||||||
1,349 | Japanese Government Bond 10 Yr. (TSE) | September 2014 | 1,895,951,463 | (4,010,157 | ) | |||||||
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$ | 5,120,686,131 | $ | (9,808,759 | ) | ||||||||
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+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
See accompanying notes to the financial statements. | 3 |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
595,000,000 | SEK | 8/5/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | $ | 145,110 | ||||||||||||
1,348,000,000 | SEK | 8/6/2016 | BCI (f) | Receive | 0.62% | 3 Month SEK STIBOR | 289,641 | |||||||||||||
1,587,000,000 | SEK | 8/7/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 395,784 | |||||||||||||
640,000,000 | SEK | 8/11/2016 | BCI (f) | Receive | 0.62% | 3 Month SEK STIBOR | 144,289 | |||||||||||||
350,000,000 | SEK | 8/13/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 87,225 | |||||||||||||
1,000,000,000 | SEK | 8/13/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 238,311 | |||||||||||||
1,129,000,000 | SEK | 8/15/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 257,059 | |||||||||||||
1,919,000,000 | SEK | 8/18/2016 | BCI (f) | Receive | 0.62% | 3 Month SEK STIBOR | 415,399 | |||||||||||||
1,129,000,000 | SEK | 8/19/2016 | BCI (f) | Receive | 0.62% | 3 Month SEK STIBOR | 247,278 | |||||||||||||
1,573,000,000 | SEK | 8/20/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 350,892 | |||||||||||||
1,400,000,000 | SEK | 8/21/2016 | BCI (f) | Receive | 0.61% | 3 Month SEK STIBOR | 250,879 | |||||||||||||
2,689,300,000 | USD | 7/16/2019 | CSS (f) | Receive | 3.09% | 3 Month USD LIBOR | 5,474,463 | |||||||||||||
401,800,000 | USD | 7/24/2021 | CSS (f) | Receive | 3.34% | 3 Month USD LIBOR | 1,454,991 | |||||||||||||
500,000,000 | USD | 7/24/2021 | CSS (f) | Receive | 3.33% | 3 Month USD LIBOR | 1,765,733 | |||||||||||||
499,000,000 | USD | 7/29/2021 | CSS (f) | Receive | 3.32% | 3 Month USD LIBOR | 1,651,966 | |||||||||||||
479,000,000 | USD | 7/29/2021 | CSS (f) | Receive | 3.34% | 3 Month USD LIBOR | 1,778,544 | |||||||||||||
499,000,000 | USD | 7/29/2021 | CSS (f) | Receive | 3.40% | 3 Month USD LIBOR | 2,321,428 | |||||||||||||
506,000,000 | USD | 7/30/2021 | CSS (f) | Receive | 3.32% | 3 Month USD LIBOR | 1,694,160 | |||||||||||||
1,855,000,000 | MXN | 8/11/2021 | BCI (f) | Receive | 5.54% | TIIE | (282,885 | ) | ||||||||||||
927,000,000 | MXN | 8/12/2021 | BCI (f) | Receive | 5.60% | TIIE | 95,853 | |||||||||||||
921,000,000 | MXN | 8/19/2021 | BCI (f) | Receive | 5.61% | TIIE | 132,943 | |||||||||||||
1,147,500,000 | SEK | 9/17/2021 | BCI (f) | Receive | 1.50% | 3 Month SEK STIBOR | 1,881,885 | |||||||||||||
661,600,000 | GBP | 7/16/2024 | BCI (f) | (Pay) | 3.45% | 6 Month GBP LIBOR | (24,084,228 | ) | ||||||||||||
47,000,000 | NZD | 7/21/2024 | BCI (f) | Receive | 5.20% | 6 Month NZD Bank Bill Rate | 541,581 | |||||||||||||
120,500,000 | USD | 8/5/2024 | CSS (f) | Receive | 2.62% | 3 Month USD LIBOR | 1,468,754 | |||||||||||||
120,500,000 | USD | 8/5/2024 | CSS (f) | Receive | 2.64% | 3 Month USD LIBOR | 1,643,503 | |||||||||||||
548,000,000 | USD | 8/5/2021 | CSS (f) | Receive | 3.46% | 3 Month USD LIBOR | 3,155,765 | |||||||||||||
135,000,000 | USD | 8/7/2024 | CSS (f) | Receive | 2.63% | 3 Month USD LIBOR | 1,763,331 | |||||||||||||
69,500,000 | USD | 8/11/2024 | CSS (f) | (Pay) | 2.59% | 3 Month USD LIBOR | (614,152 | ) | ||||||||||||
64,200,000 | USD | 8/12/2024 | CSS (f) | (Pay) | 2.55% | 3 Month USD LIBOR | (349,142 | ) | ||||||||||||
88,100,000 | USD | 8/13/2024 | CSS (f) | Receive | 2.60% | 3 Month USD LIBOR | 829,083 | |||||||||||||
90,000,000 | USD | 8/15/2024 | CSS (f) | (Pay) | 2.57% | 3 Month USD LIBOR | (607,637 | ) | ||||||||||||
81,600,000 | USD | 8/19/2024 | CSS (f) | (Pay) | 2.53% | 3 Month USD LIBOR | (284,611 | ) | ||||||||||||
201,600,000 | USD | 8/20/2024 | CSS (f) | Receive | 2.63% | 3 Month USD LIBOR | 2,558,765 | |||||||||||||
25,100,000 | USD | 8/27/2024 | CSS (f) | (Pay) | 2.53% | 3 Month USD LIBOR | (86,423 | ) | ||||||||||||
249,000,000 | CHF | 9/17/2024 | BCI (f) | (Pay) | 1.45% | 6 Month CHF LIBOR | (16,987,843 | ) | ||||||||||||
41,500,000 | USD | 7/24/2049 | CSS (f) | (Pay) | 3.66% | 3 Month USD LIBOR | (1,527,796 | ) | ||||||||||||
52,000,000 | USD | 7/24/2049 | CSS (f) | (Pay) | 3.67% | 3 Month USD LIBOR | (1,983,611 | ) | ||||||||||||
52,000,000 | USD | 7/29/2049 | CSS (f) | (Pay) | 3.65% | 3 Month USD LIBOR | (1,809,097 | ) | ||||||||||||
50,000,000 | USD | 7/29/2049 | CSS (f) | (Pay) | 3.66% | 3 Month USD LIBOR | (1,828,304 | ) |
4 | See accompanying notes to the financial statements. |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Interest Rate Swaps (Continued)
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
52,000,000 | USD | 7/29/2049 | CSS (f) | (Pay) | 3.72% | 3 Month USD LIBOR | $ | (2,455,473 | ) | |||||||||||
53,000,000 | USD | 7/30/2049 | CSS (f) | (Pay) | 3.62% | 3 Month USD LIBOR | (1,617,444 | ) | ||||||||||||
58,000,000 | USD | 8/5/2049 | CSS (f) | (Pay) | 3.73% | 3 Month USD LIBOR | (2,871,253 | ) | ||||||||||||
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$ | (24,355,284 | ) | ||||||||||||||||||
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Premiums to (Pay) Receive | $ | 12,037,759 | ||||||||||||||||||
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# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
(a) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(c) | The rate shown represents yield-to-maturity. |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(e) | Amount primarily comprised of collateral related to the Fund’s securities sold short. |
(f) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 5 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Debt Obligations | 88.5 | % | ||
Short-Term Investments | 15.9 | |||
Forward Currency Contracts | 0.3 | |||
Options Purchased | 0.2 | |||
Loan Participations | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | (0.1 | ) | ||
Futures Contracts | (0.2 | ) | ||
Other | (4.7 | ) | ||
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100.0 | % | |||
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Country/Region Summary** | % of Investments | |||
United States | 140.5 | % | ||
Sweden | 11.9 | |||
Emerging*** | 6.6 | |||
Australia | 0.9 | |||
Canada | (8.4 | ) | ||
Switzerland | (10.7 | ) | ||
United Kingdom | (17.7 | ) | ||
Japan | (23.1 | ) | ||
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100.0 | % | |||
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* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on Grantham, Mayo, Van Otterloo & Co. LLC’s (the “Manager”) models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Venezuela, Russia, Brazil, Argentina, Turkey, Indonesia, Philippines, Hungary and South Africa. Additional information about Emerging Country Debt Fund’s emerging country exposure is available in the country/region summary of its financial statements. |
^ | Rounds to 0.0%. |
6
GMO Core Plus Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 72.4% | ||||||||||
Albania — 4.0% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 14,281,227 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) | 9,539,860 | |||||||
|
| |||||||||
United States — 68.4% | ||||||||||
Asset-Backed Securities — 0.5% | ||||||||||
USD | 280,112 | Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.56%, due 05/25/37 ¿ | 20,098 | |||||||
USD | 87,458 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.55%, due 01/25/36 | 77,400 | |||||||
USD | 439,353 | First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.32%, due 04/25/36 ¿ | 348,462 | |||||||
USD | 472,999 | GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.40%, due 11/15/33 | 435,159 | |||||||
USD | 458,710 | Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.39%, due 02/25/37 ¿ | 233,300 | |||||||
USD | 20,854 | Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.45%, due 12/25/32 | 19,577 | |||||||
|
| |||||||||
1,133,996 | ||||||||||
|
| |||||||||
Corporate Debt — 2.1% | ||||||||||
USD | 1,000,000 | Bank of America Corp., 3.30%, due 01/11/23 | 984,000 | |||||||
USD | 1,000,000 | Citigroup, Inc., 3.38%, due 03/01/23 | 1,005,960 | |||||||
USD | 1,000,000 | General Electric Capital Corp., 3.10%, due 01/09/23 | 1,003,510 | |||||||
USD | 1,000,000 | Goldman Sachs Group, Inc. (The), 3.63%, due 01/22/23 | 1,013,780 | |||||||
USD | 1,000,000 | JPMorgan Chase & Co., 3.20%, due 01/25/23 | 990,000 | |||||||
|
| |||||||||
4,997,250 | ||||||||||
|
| |||||||||
U.S. Government — 59.5% | ||||||||||
USD | 10,000,000 | U.S. Treasury Bond, 3.13%, due 02/15/43 | 10,104,690 | |||||||
USD | 46,683,168 | U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (b) | 47,956,031 | |||||||
USD | 50,000,000 | U.S. Treasury Note, 0.75%, due 02/28/18 | 49,214,850 | |||||||
USD | 35,000,000 | U.S. Treasury Note, 1.63%, due 11/15/22 (c) | 33,501,580 | |||||||
|
| |||||||||
140,777,151 | ||||||||||
|
|
Par Value ($) / Shares / Principal Amount | Description | Value ($) | ||||||||
U.S. Government Agency — 6.3% | ||||||||||
USD | 15,000,000 | Federal National Mortgage Assoc., TBA, 3.00%, due 09/01/42 | 14,929,688 | |||||||
|
| |||||||||
Total United States | 161,838,085 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $169,199,842) | 171,377,945 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 31.7% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
347,371 | GMO Debt Opportunities Fund, Class VI | 8,666,898 | ||||||||
1,115,104 | GMO Emerging Country Debt Fund, Class IV | 11,675,144 | ||||||||
78,774 | GMO U.S. Treasury Fund | 1,969,357 | ||||||||
1,989,874 | GMO World Opportunity Overlay Fund | 52,791,367 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $65,299,709) | 75,102,766 | |||||||||
|
| |||||||||
OPTIONS PURCHASED — 0.1% | ||||||||||
Currency Options | ||||||||||
EUR | 3,600,000 | USD Call/EUR Put, Expires 11/12/14, Strike 1.35, (OTC) (CP-CITI) | 136,448 | |||||||
USD | 7,500,000 | USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB) | 89,160 | |||||||
USD | 7,500,000 | USD Put/JPY Call, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB) | 20,445 | |||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $164,618) | 246,053 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
413,077 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (d) | 413,077 | ||||||||
|
| |||||||||
U.S. Government — 0.6% | ||||||||||
1,300,000 | U.S. Treasury Bill, 0.05%, due 06/25/15 (e) | 1,299,439 | ||||||||
250,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (e) | 249,982 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,962,168) | 1,962,498 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 105.0% (Cost $236,626,337) | 248,689,262 | |||||||||
Other Assets and Liabilities (net) — (5.0%) | (11,939,940 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $236,749,322 | |||||||||
|
|
See accompanying notes to the financial statements. | 7 |
GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/21/2014 | JPM | CAD | 700,000 | USD | 640,562 | $ | (2,507 | ) | ||||||||||||||
10/28/2014 | BCLY | EUR | 2,700,000 | USD | 3,582,387 | 33,497 | ||||||||||||||||
10/28/2014 | BOA | EUR | 2,025,000 | USD | 2,688,609 | 26,941 | ||||||||||||||||
10/28/2014 | DB | EUR | 6,075,000 | USD | 8,068,697 | 83,694 | ||||||||||||||||
09/02/2014 | DB | JPY | 1,830,000,000 | USD | 17,994,100 | 405,557 | ||||||||||||||||
10/31/2014 | BCLY | JPY | 613,050,000 | USD | 5,901,135 | 6,439 | ||||||||||||||||
10/31/2014 | DB | JPY | 603,900,000 | USD | 5,819,601 | 12,886 | ||||||||||||||||
10/31/2014 | GS | JPY | 613,050,000 | USD | 5,900,510 | 5,815 | ||||||||||||||||
09/09/2014 | BCLY | SEK | 64,550,000 | USD | 9,435,307 | 199,861 | ||||||||||||||||
09/02/2014 | BCLY | USD | 5,898,682 | JPY | 613,050,000 | (6,520 | ) | |||||||||||||||
09/02/2014 | DB | USD | 5,817,219 | JPY | 603,900,000 | (12,999 | ) | |||||||||||||||
09/02/2014 | GS | USD | 5,898,114 | JPY | 613,050,000 | (5,952 | ) | |||||||||||||||
10/21/2014 | BCLY | USD | 650,522 | CAD | 700,000 | (7,453 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 739,259 | |||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
14 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | $ | 1,760,938 | $ | 5,966 | ||||||
7 | UK Gilt Long Bond | December 2014 | 1,319,454 | (125 | ) | |||||||
|
|
|
| |||||||||
$ | 3,080,392 | $ | 5,841 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
101 | Canadian Government Bond 10 Yr. | December 2014 | $ | 12,756,672 | $ | (88,526 | ) | |||||
36 | Japanese Government Bond 10 Yr. (OSE) | September 2014 | 50,596,184 | (425,661 | ) | |||||||
134 | U.S. Long Bond (CBT) | December 2014 | 18,772,563 | (77,217 | ) | |||||||
24 | U.S. Treasury Note 5 Yr. (CBT) | December 2014 | 2,852,063 | (6,408 | ) | |||||||
|
|
|
| |||||||||
$ | 84,977,482 | $ | (597,812 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
Swap Contracts
Credit Default Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Annual Premium | Implied Credit Spread (1) | Reference Entity | Maximum Potential Amount of Future | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
40,000,000 | USD | 12/20/2015 | BCLY | (Pay) | 1.00% | 0.14% | CDX.NA.IG.19 | N/A | $ | (530,246 | ) | |||||||||||||||||
25,000,000 | USD | 12/20/2022 | BCLY | Receive | 1.00% | 0.90% | CDX.NA.IG.19 | 25,000,000 | USD | 241,267 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (288,979 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Premiums to (Pay) Receive | $ | 1,238,548 | ||||||||||||||||||||||||||
|
|
^ | Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(Pay) - Fund pays premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(1) | As of August 31, 2014, implied credit spreads in absolute terms and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
8 | See accompanying notes to the financial statements. |
GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
9,600,000 | CHF | 9/17/2024 | BCI (f) | (Pay) | 1.45% | 6 Month CHF LIBOR | $ | (654,953 | ) | |||||||||||
38,000,000 | SEK | 8/5/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 9,268 | |||||||||||||
85,000,000 | SEK | 8/6/2016 | BCI (f) | Receive | 0.62% | 3 Month SEK STIBOR | 18,264 | |||||||||||||
101,000,000 | SEK | 8/7/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 25,189 | |||||||||||||
43,000,000 | SEK | 8/11/2016 | BCI (f) | Receive | 0.62% | 3 Month SEK STIBOR | 9,694 | |||||||||||||
23,000,000 | SEK | 8/13/2016 | BCI (f) | Receive | 0.63% | 3 Month SEK STIBOR | 5,732 | |||||||||||||
51,900,000 | SEK | 9/17/2024 | BCI (f) | Receive | 2.61% | 3 Month SEK STIBOR | 659,302 | |||||||||||||
18,600,000 | USD | 6/13/2021 | CSS (f) | Receive | 3.65% | 3 Month USD LIBOR | 178,768 | |||||||||||||
2,700,000 | USD | 8/5/2024 | CSS (f) | Receive | 2.62% | 3 Month USD LIBOR | 32,910 | |||||||||||||
2,700,000 | USD | 8/5/2024 | CSS (f) | Receive | 2.64% | 3 Month USD LIBOR | 36,825 | |||||||||||||
|
| |||||||||||||||||||
$ | 320,999 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (242 | ) | |||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
Total Return Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund (Pays)/Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
120,000,000 | USD | 9/30/2014 | BCLY | 1 Month USD LIBOR BBA | Barclays Aggregate Total Return Index | $ | — | |||||||||||
|
| |||||||||||||||||
— | ||||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
|
|
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
¿ | These securities are primarily backed by subprime mortgages. |
(a) | Security is backed by U.S. Treasury Bonds. |
(b) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(e) | The rate shown represents yield-to-maturity. |
(f) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 9 |
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Debt Obligations | 68.9 | % | ||
Short-Term Investments | 29.4 | |||
Forward Currency Contracts | 0.6 | |||
Futures Contracts | 0.2 | |||
Options Purchased | 0.2 | |||
Loan Participations | 0.1 | |||
Loan Assignments | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Written/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.3 | ) | ||
Other | 0.9 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
Euro Region*** | 95.4 | % | ||
Sweden | 11.3 | |||
United Kingdom | 9.2 | |||
United States | 8.0 | |||
Emerging**** | 5.9 | |||
Australia | 4.6 | |||
Canada | (3.5 | ) | ||
Switzerland | (9.7 | ) | ||
Japan | (21.2 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain. |
**** | The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of, Mexico, Venezuela, Russia, Brazil, Argentina, Turkey, Indonesia, Philippines, Hungry and South Africa. Additional information about Emerging Country Debt Fund’s emerging country exposure is available in the country/region summary of its financial statements. |
^ | Rounds to 0.0%. |
10
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 48.2% | ||||||||||
France — 7.6% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 3,300,000 | Government of France, 4.00%, due 10/25/38 | 5,880,531 | |||||||
|
| |||||||||
Germany — 3.9% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,500,000 | Republic of Deutschland, 4.75%, due 07/04/34 (a) | 3,022,612 | |||||||
|
| |||||||||
Italy — 8.7% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 4,100,000 | Italy Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34 | 6,709,212 | |||||||
|
| |||||||||
Netherlands — 1.2% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 500,000 | Netherlands Government Bond, 3.75%, due 01/15/42 | 945,019 | |||||||
|
| |||||||||
Spain — 4.0% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,900,000 | Government of Spain, 4.70%, due 07/30/41 | 3,102,681 | |||||||
|
| |||||||||
United Kingdom — 1.9% | ||||||||||
Foreign Government Obligations | ||||||||||
GBP | 700,000 | United Kingdom Gilt, 4.75%, due 12/07/30 | 1,474,828 | |||||||
|
| |||||||||
United States — 20.9% | ||||||||||
U.S. Government | ||||||||||
USD | 15,708,090 | U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (b) | 16,136,386 | |||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $31,961,406) | 37,271,269 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 48.5% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
293,832 | GMO Debt Opportunities Fund, Class VI | 7,331,096 | ||||||||
330,847 | GMO Emerging Country Debt Fund, Class IV | 3,463,972 | ||||||||
433,489 | GMO U.S. Treasury Fund | 10,837,231 | ||||||||
599,715 | GMO World Opportunity Overlay Fund | 15,910,451 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $33,478,048) | 37,542,750 | |||||||||
|
|
Principal Amount / Shares / | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.1% | ||||||||||
Currency Options | ||||||||||
EUR | 1,100,000 | USD Call/EUR Put, Expires 11/12/14, Strike 1.35, (OTC) (CP-CITI) | 41,692 | |||||||
USD | 2,200,000 | USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB) | 26,154 | |||||||
USD | 2,200,000 | USD Put/JPY Call, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB) | 5,997 | |||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $48,970) | 73,843 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||||
Money Market Funds — 1.0% | ||||||||||
762,618 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (c) | 762,618 | ||||||||
|
| |||||||||
U.S. Government — 0.7% | ||||||||||
100,000 | U.S. Treasury Bill, 0.05%, due 10/09/14 (d) | 99,994 | ||||||||
400,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (a)(d) | 399,972 | ||||||||
|
| |||||||||
Total U.S. Government | 499,966 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,262,530) | 1,262,584 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.5% (Cost $66,750,954) | 76,150,446 | |||||||||
Other Assets and Liabilities (net) — 1.5% | 1,191,211 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $77,341,657 | |||||||||
|
|
See accompanying notes to the financial statements. | 11 |
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/21/2014 | JPM | CAD | 200,000 | USD | 183,018 | $ | (716 | ) | ||||||||||||||
10/28/2014 | BCLY | EUR | 4,425,000 | USD | 5,871,134 | 54,897 | ||||||||||||||||
10/28/2014 | BOA | EUR | 3,318,750 | USD | 4,406,331 | 44,153 | ||||||||||||||||
10/28/2014 | DB | EUR | 9,956,250 | USD | 13,223,697 | 137,164 | ||||||||||||||||
09/30/2014 | DB | GBP | 900,000 | USD | 1,518,345 | 24,525 | ||||||||||||||||
09/02/2014 | DB | JPY | 550,000,000 | USD | 5,408,063 | 121,889 | ||||||||||||||||
10/31/2014 | BCLY | JPY | 184,250,000 | USD | 1,773,565 | 1,935 | ||||||||||||||||
10/31/2014 | DB | JPY | 181,500,000 | USD | 1,749,060 | 3,873 | ||||||||||||||||
10/31/2014 | GS | JPY | 184,250,000 | USD | 1,773,377 | 1,748 | ||||||||||||||||
09/09/2014 | BCLY | SEK | 19,400,000 | USD | 2,835,708 | 60,067 | ||||||||||||||||
09/02/2014 | BCLY | USD | 1,772,828 | JPY | 184,250,000 | (1,959 | ) | |||||||||||||||
09/02/2014 | DB | USD | 1,748,344 | JPY | 181,500,000 | (3,907 | ) | |||||||||||||||
09/02/2014 | GS | USD | 1,772,657 | JPY | 184,250,000 | (1,789 | ) | |||||||||||||||
10/21/2014 | BCLY | USD | 185,863 | CAD | 200,000 | (2,129 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 439,751 | |||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
13 | Australian Government Bond 3 Yr. | September 2014 | $ | 1,331,427 | $ | 9,370 | ||||||
9 | Australian Government Bond 10 Yr. | September 2014 | 1,033,734 | 39,725 | ||||||||
141 | Euro BOBL | September 2014 | 23,942,047 | 340,657 | ||||||||
16 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 2,012,500 | 6,819 | ||||||||
80 | UK Gilt Long Bond | December 2014 | 15,079,480 | (1,425 | ) | |||||||
|
|
|
| |||||||||
$ | 43,399,188 | $ | 395,146 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
14 | Canadian Government Bond 10 Yr. | December 2014 | $ | 1,768,252 | $ | (12,151 | ) | |||||
13 | Euro Bund | September 2014 | 2,588,508 | (101,643 | ) | |||||||
11 | Japanese Government Bond 10 Yr. (OSE) | September 2014 | 15,459,945 | (130,063 | ) | |||||||
8 | U.S. Long Bond (CBT) | December 2014 | 1,120,750 | (3,086 | ) | |||||||
|
|
|
| |||||||||
$ | 20,937,455 | $ | (246,943 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
12 | See accompanying notes to the financial statements. |
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
2,900,000 | CHF | 9/17/2024 | BCI (e) | (Pay) | 1.45% | 6 Month CHF LIBOR | $ | (197,850 | ) | |||||||||||
12,000,000 | SEK | 8/5/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 2,927 | |||||||||||||
27,000,000 | SEK | 8/6/2016 | BCI (e) | Receive | 0.62% | 3 Month SEK STIBOR | 5,947 | |||||||||||||
31,000,000 | SEK | 8/7/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 7,731 | |||||||||||||
13,000,000 | SEK | 8/11/2016 | BCI (e) | Receive | 0.62% | 3 Month SEK STIBOR | 2,931 | |||||||||||||
7,000,000 | SEK | 8/13/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 1,744 | |||||||||||||
16,800,000 | SEK | 9/17/2024 | BCI (e) | Receive | 2.61% | 3 Month SEK STIBOR | 213,416 | |||||||||||||
5,600,000 | USD | 6/13/2021 | CSS (e) | Receive | 3.65% | 3 Month USD LIBOR | 53,823 | |||||||||||||
850,000 | USD | 8/5/2024 | CSS (e) | Receive | 2.62% | 3 Month USD LIBOR | 10,360 | |||||||||||||
850,000 | USD | 8/5/2024 | CSS (e) | Receive | 2.64% | 3 Month USD LIBOR | 11,593 | |||||||||||||
|
| |||||||||||||||||||
$ | 112,622 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (56 | ) | |||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
(a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(b) | Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2). |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(d) | The rate shown represents yield-to-maturity. |
(e) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 13 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Debt Obligations | 95.6 | % | ||
Short-Term Investments | 2.7 | |||
Mutual Funds | 1.6 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.0 | )^ | ||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Sector Summary | % of Debt Obligations | |||
Residential Asset-Backed Securities (United States) | 27.3 | % | ||
Auto Retail Subprime | 14.3 | |||
Student Loans | 10.6 | |||
Business Loans | 9.7 | |||
Other | 7.9 | |||
CMBS | 6.2 | |||
Time Share | 5.4 | |||
Residential Mortgage-Backed Securities (United States) | 5.1 | |||
Whole Business Loans | 3.4 | |||
U.S. Government Agency | 1.5 | |||
Insured Other | 1.2 | |||
Auto Floor Plan | 1.2 | |||
Auto Other | 1.0 | |||
Auto Retail Prime | 1.0 | |||
Residential Mortgage-Backed Securities (European) | 0.9 | |||
CMBS Collateralized Debt Obligations | 0.7 | |||
Insured Residential Mortgage-Backed Securities (United States) | 0.5 | |||
Auto Rental | 0.5 | |||
Credit Cards | 0.5 | |||
Residential Mortgage-Backed Securities (Australian) | 0.4 | |||
Insured Residential Asset-Backed Securities (United States) | 0.3 | |||
Collateralized Debt Obligations | 0.2 | |||
CDO Residential Mortgage-Backed (United States) | 0.1 | |||
Insured Business Loans | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
14
GMO Debt Opportunities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 95.6% | ||||||||||
Asset-Backed Securities — 94.2% | ||||||||||
Auto Floor Plan — 1.1% | ||||||||||
5,000,000 | Ally Master Owner Trust, Series 12-1, Class D, 144A, 3.12%, due 02/15/17 | 5,041,650 | ||||||||
5,500,000 | Ally Master Owner Trust, Series 12-3, Class D, 144A, 1 mo. LIBOR + 2.35%, 2.51%, due 06/15/17 | 5,551,563 | ||||||||
5,490,000 | Ford Credit Floorplan Master Owner Trust, Series 12-5, Class D, 2.73%, due 09/15/19 | 5,504,583 | ||||||||
4,824,000 | Ford Credit Floorplan Master Owner Trust, Series 13-1, Class D, 1.82%, due 01/15/18 | 4,834,661 | ||||||||
|
| |||||||||
Total Auto Floor Plan | 20,932,457 | |||||||||
|
| |||||||||
Auto Other — 1.0% | ||||||||||
3,600,000 | Chesapeake Funding LLC, Series 12-2A, Class C, 144A, 1 mo. LIBOR + 1.55%, 1.71%, due 05/07/24 | 3,654,141 | ||||||||
2,500,000 | Chesapeake Funding LLC, Series 12-2A, Class D, 144A, 1 mo. LIBOR + 1.85%, 2.01%, due 05/07/24 | 2,537,109 | ||||||||
7,000,000 | Hertz Fleet Lease Funding LP, Series 13-3, Class D, 144A, 1 mo. LIBOR + 2.00%, 2.16%, due 12/10/27 | 7,077,770 | ||||||||
5,000,000 | Hertz Fleet Lease Funding LP, Series 14-1, Class E, 144A, 1 mo. LIBOR + 1.95%, 2.11%, due 04/10/28 | 5,002,400 | ||||||||
|
| |||||||||
Total Auto Other | 18,271,420 | |||||||||
|
| |||||||||
Auto Rental — 0.5% | ||||||||||
5,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 13-2A, Class C, 144A,, 3.52%, due 02/20/20 | 4,975,350 | ||||||||
4,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 14-1A, Class C, 144A, 3.75%, due 07/20/20 | 4,499,280 | ||||||||
|
| |||||||||
Total Auto Rental | 9,474,630 | |||||||||
|
| |||||||||
Auto Retail Prime — 1.0% | ||||||||||
4,500,000 | California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20 | 4,570,024 | ||||||||
13,120,000 | California Republic Auto Receivables Trust, Series 13-1, Class C, 144A, 3.25%, due 03/16/20 | 13,261,644 | ||||||||
|
| |||||||||
Total Auto Retail Prime | 17,831,668 | |||||||||
|
| |||||||||
Auto Retail Subprime — 13.6% | ||||||||||
15,430,000 | AmeriCredit Automobile Receivables Trust, Series 12-2, Class E, 144A, 4.85%, due 08/08/19 | 16,010,801 | ||||||||
12,962,000 | AmeriCredit Automobile Receivables Trust, Series 12-3, Class E, 144A, 4.46%, due 11/08/19 | 13,545,757 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Auto Retail Subprime — continued | ||||||||||
3,500,000 | AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20 | 3,534,136 | ||||||||
9,000,000 | AmeriCredit Automobile Receivables Trust, Series 13-3, Class E, 144A, 3.74%, due 12/08/20 | 9,118,080 | ||||||||
13,720,000 | AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 3.37%, due 11/08/21 | 13,717,822 | ||||||||
2,320,000 | CarFinance Capital Auto Trust, Series 14-1A, Class C, 144A, 3.45%, due 04/15/20 | 2,352,935 | ||||||||
1,330,000 | CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20 | 1,355,438 | ||||||||
2,240,000 | CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21 | 2,244,769 | ||||||||
4,000,000 | CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20 | 4,015,200 | ||||||||
1,500,000 | CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20 | 1,535,085 | ||||||||
410,276 | CPS Auto Trust, Series 10-PG5, Class A, 144A, 9.25%, due 01/15/18 | 418,481 | ||||||||
306,448 | CPS Auto Trust, Series 11-C, Class D, 144A, 10.00%, due 03/15/19 | 312,516 | ||||||||
426,713 | CPS Auto Trust, Series 12-A, Class C, 144A, 6.51%, due 06/17/19 | 437,659 | ||||||||
1,478,196 | CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20 | 1,506,207 | ||||||||
514,593 | CPS Auto Trust, Series 12-D, Class E, 144A, 7.26%, due 03/16/20 | 524,560 | ||||||||
2,262,790 | CPS Auto Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20 | 2,297,546 | ||||||||
1,150,613 | CPS Auto Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20 | 1,173,061 | ||||||||
10,250,000 | CPS Auto Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20 | 10,447,620 | ||||||||
2,820,000 | CPS Auto Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20 | 2,895,040 | ||||||||
14,981,701 | DT Auto Owner Trust, Series 11-3A, Class D, 144A, 5.83%, due 03/15/18 | 15,083,697 | ||||||||
15,000,000 | DT Auto Owner Trust, Series 12-2A, Class D, 144A, 4.35%, due 03/15/19 | 15,203,906 | ||||||||
18,050,000 | DT Auto Owner Trust, Series 13-1A, Class D, 144A, 3.74%, due 05/15/20 | 18,311,682 | ||||||||
8,000,000 | DT Auto Owner Trust, Series 13-2A, Class D, 144A, 4.18%, due 06/15/20 | 8,166,250 | ||||||||
14,000,000 | DT Auto Owner Trust, Series 14-1A, Class D, 144A, 3.98%, due 01/15/21 | 14,067,812 | ||||||||
7,000,000 | Exeter Automobile Receivables Trust, Series 13-1A, Class D, 144A, 5.05%, due 10/15/19 | 7,175,210 | ||||||||
25,000,000 | Exeter Automobile Receivables Trust, Series 13-2A, Class D, 144A, 6.81%, due 08/17/20 | 26,423,765 | ||||||||
6,000,000 | Exeter Automobile Receivables Trust, Series 14-1A, Class C, 144A, 3.57%, due 07/15/19 | 6,112,500 |
See accompanying notes to the financial statements. | 15 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Auto Retail Subprime — continued | ||||||||||
12,000,000 | Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21 | 12,367,635 | ||||||||
5,000,000 | Exeter Automobile Receivables Trust, Series 14-2A, Class C, 144A, 3.26%, due 12/16/19 | 4,999,035 | ||||||||
6,000,000 | Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20 | 5,998,863 | ||||||||
3,000,000 | First Investors Auto Owner Trust, Series 12-2A, Class D, 144A, 3.79%, due 09/16/19 | 3,077,820 | ||||||||
5,500,000 | First Investors Auto Owner Trust, Series 13-2A, Class D, 144A, 3.58%, due 06/15/20 | 5,592,911 | ||||||||
3,000,000 | Flagship Credit Auto Trust, Series 12-1, Class C, 144A, 4.93%, due 05/15/18 | 3,137,400 | ||||||||
3,000,000 | Flagship Credit Auto Trust, Series 14-1, Class C, 144A, 3.34%, due 04/15/20 | 3,002,130 | ||||||||
1,500,000 | Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20 | 1,501,635 | ||||||||
1,400,000 | Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21 | 1,401,470 | ||||||||
6,000,000 | Santander Drive Auto Receivables Trust, Series 13-1, Class C, 1.76%, due 01/15/19 | 6,023,640 | ||||||||
1,000,000 | SNAAC Auto Receivables Trust, Series 14-1A, Class E, 144A, 4.58%, due 04/15/21 | 1,014,072 | ||||||||
5,000,000 | United Auto Credit Securitization Trust, Series 13-1, Class E, 144A, 4.40%, due 04/15/19 | 5,081,500 | ||||||||
|
| |||||||||
Total Auto Retail Subprime | 251,185,646 | |||||||||
|
| |||||||||
Business Loans — 9.3% | ||||||||||
1,000,000 | Ascentium Equipment Receivables, Series 14-1A, Class C, 144A, 2.46%, due 11/13/18 | 1,001,500 | ||||||||
2,580,000 | Ascentium Equipment Receivables, Series 14-1A, Class D, 144A, 3.10%, due 06/10/21 | 2,589,804 | ||||||||
1,545,365 | Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.52%, due 04/25/34 | 1,444,916 | ||||||||
1,485,395 | Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.53%, due 01/25/35 | 1,381,418 | ||||||||
6,180,357 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.55%, due 01/25/36 | 5,469,616 | ||||||||
10,677,109 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, 1 mo. LIBOR + .28%, 0.44%, due 07/25/36 | 9,188,720 | ||||||||
1,753,817 | Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.46%, due 10/25/36 | 1,499,514 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Business Loans — continued | ||||||||||
12,135,405 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, 1 mo. LIBOR + .27%, 0.43%, due 07/25/37 | 10,532,318 | ||||||||
9,247,799 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.40%, due 07/25/37 | 8,091,824 | ||||||||
15,504,358 | Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.46%, due 12/25/37 | 15,271,792 | ||||||||
5,470,260 | Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 05/28/39 | 3,227,454 | ||||||||
5,745,494 | Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.46%, due 05/28/39 | 2,470,562 | ||||||||
8,652,414 | Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 02/28/40 | 6,746,287 | ||||||||
5,000,000 | CIT Equipment Collateral, Series 12-VT1, Class D, 144A, 4.12%, due 10/21/19 | 5,075,450 | ||||||||
845,715 | GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.45%, due 05/15/32 | 803,430 | ||||||||
3,456,529 | GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.40%, due 11/15/33 | 3,180,006 | ||||||||
8,666,641 | GE Business Loan Trust, Series 06-2A, Class A, 144A, 1 mo. LIBOR + .18%, 0.34%, due 11/15/34 | 8,146,642 | ||||||||
14,050,867 | GE Business Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .17%, 0.33%, due 04/16/35 | 13,119,998 | ||||||||
14,361,893 | GE Business Loan Trust, Series 07-1A, Class D, 144A, 1 mo. LIBOR + 1.00%, 1.16%, due 04/16/35 | 11,489,514 | ||||||||
5,800,000 | GE Dealer Floorplan Master Note Trust, Series 12-4, Class B, 1 mo. LIBOR + .70%, 0.86%, due 10/20/17 | 5,790,127 | ||||||||
3,000,000 | Great America Leasing Receivables, Series 12-1, Class C, 144A, 3.00%, due 11/15/18 | 3,075,000 | ||||||||
2,841,000 | LEAF Receivables Funding 9 LLC, Series 13-1, Class D, 144A, 5.11%, due 09/15/21 | 2,921,625 | ||||||||
5,700,000 | LEAF Receivables Funding 9 LLC, Series 13-1, Class E1, 144A, 6.00%, due 09/15/21 | 5,845,646 | ||||||||
2,282,000 | LEAF Receivables Funding 9 LLC, Series 13-1, Class E2, 144A, 6.00%, due 09/15/21 | 2,223,480 | ||||||||
4,067,789 | Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/25/30 | 3,814,203 | ||||||||
2,573,870 | Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 09/25/30 | 2,384,047 |
16 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Business Loans — continued | ||||||||||
2,500,000 | Navistar Financial Corp. Owner Trust, Series 12-A, Class C, 144A, 2.55%, due 01/18/19 | 2,501,363 | ||||||||
5,000,000 | Navistar Financial Corp. Owner Trust, Series 12-A, Class D, 144A, 3.29%, due 01/18/19 | 5,004,355 | ||||||||
7,000,000 | Navistar Financial Dealer Note Master Trust, Series 13-1, Class D, 144A, 1 mo. LIBOR + 2.25%, 2.41%, due 01/25/18 | 7,012,600 | ||||||||
7,000,000 | Navistar Financial Dealer Note Master Trust, Series 13-2, Class D, 144A, 1 mo. LIBOR + 2.25%, 2.41%, due 09/25/18 | 7,037,114 | ||||||||
12,000,000 | OnDeck Asset Securitization Trust, Series 14-1A, Class A, 144A, 3.15%, due 05/17/18 | 12,001,773 | ||||||||
1,000,000 | OnDeck Asset Securitization Trust, Series 14-1A, Class B, 144A, 5.68%, due 05/17/18 | 1,006,186 | ||||||||
|
| |||||||||
Total Business Loans | 171,348,284 | |||||||||
|
| |||||||||
CDO Residential Mortgage-Backed (United States) — 0.1% | ||||||||||
1,561,824 | Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/26/34 | 1,378,798 | ||||||||
|
| |||||||||
CMBS — 6.0% | ||||||||||
17,000,000 | Commercial Mortgage Pass-Through Certificates, Series 13-300P, Class D, 144A, 4.54%, due 08/10/30 | 17,269,032 | ||||||||
5,000,000 | GP Portfolio Trust, Series 14-GPP, Class D, 144A, 1 mo. LIBOR + 2.75%, 2.91%, due 02/15/27 | 5,005,000 | ||||||||
23,940,000 | Hilton USA Trust, Series 13-HLF, Class EFL, 144A, 1 mo. LIBOR + 3.75%, 3.91%, due 11/05/30 | 24,090,822 | ||||||||
15,750,000 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 14-FBLU, Class D, 144A, 1 mo. LIBOR + 2.60%, 2.76%, due 12/15/28 | 15,787,800 | ||||||||
11,406,821 | Monty Parent Issuer LLC, Series 2013-LTR1, Class A, 144A, 3.47%, due 10/20/15 | 11,421,080 | ||||||||
17,986,536 | Monty Parent Issuer LLC, Series 2013-LTR1, Class B, 144A, 4.25%, due 10/20/15 | 17,986,536 | ||||||||
19,000,000 | SCG Trust, Series 13-SRP1, Class D, 144A, 1 mo. LIBOR + 3.34%, 3.50%, due 11/15/26 | 18,483,200 | ||||||||
|
| |||||||||
Total CMBS | 110,043,470 | |||||||||
|
| |||||||||
CMBS Collateralized Debt Obligations — 0.6% | ||||||||||
5,897,785 | American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52 * | 5,898 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
CMBS Collateralized Debt Obligations — continued | ||||||||||
11,937,020 | Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.49%, due 05/25/46 | 11,698,279 | ||||||||
|
| |||||||||
Total CMBS Collateralized Debt Obligations | 11,704,177 | |||||||||
|
| |||||||||
Collateralized Debt Obligations — 0.2% | ||||||||||
3,301,066 | Banc of America Funding Corp., Series 12-R4, Class A, 144A, 1 mo. LIBOR + .26%, 0.42%, due 03/04/39 | 3,251,550 | ||||||||
|
| |||||||||
Credit Cards — 0.4% | ||||||||||
8,260,000 | 1st Financial Bank USA, Series 10-D, Class D, 144A, 7.86%, due 06/17/19 | 8,262,581 | ||||||||
|
| |||||||||
Insured Business Loans — 0.1% | ||||||||||
1,126,037 | CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.60%, due 10/25/30 | 923,351 | ||||||||
|
| |||||||||
Insured Other — 1.2% | ||||||||||
6,760,253 | Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 09/15/41 | 6,568,537 | ||||||||
7,041,005 | Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 12/15/41 | 6,867,180 | ||||||||
3,288,000 | Toll Road Investment Part II, Series 1999B, 144A, NPG, Zero Coupon, due 02/15/30 | 1,191,900 | ||||||||
30,500,000 | Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37 | 6,984,500 | ||||||||
|
| |||||||||
Total Insured Other | 21,612,117 | |||||||||
|
| |||||||||
Insured Residential Asset-Backed Securities (United States) ¿ — 0.3% | ||||||||||
1,547,931 | Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .42%, 0.58%, due 07/25/34 | 1,532,451 | ||||||||
1,476,313 | Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.54%, due 12/25/33 | 1,417,261 | ||||||||
399,969 | Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .66%, 0.82%, due 03/25/34 | 387,969 | ||||||||
1,659,274 | Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.38%, due 11/25/35 | 1,642,682 | ||||||||
|
| |||||||||
Total Insured Residential Asset-Backed Securities (United States) | 4,980,363 | |||||||||
|
| |||||||||
Insured Residential Mortgage-Backed Securities (United States) — 0.5% | ||||||||||
350,362 | Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.50%, due 10/25/34 | 312,628 |
See accompanying notes to the financial statements. | 17 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Insured Residential Mortgage-Backed Securities (United States) — continued | ||||||||||
741,925 | Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.49%, due 01/25/35 | 657,049 | ||||||||
6,382,152 | Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.31%, due 06/15/37 | 5,242,938 | ||||||||
3,134,380 | GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.39%, due 10/25/34 | 2,904,944 | ||||||||
72,403 | GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.62%, due 07/25/29 | 71,350 | ||||||||
149,954 | GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.72%, due 08/15/30 | 124,462 | ||||||||
156,108 | Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.60%, due 06/25/34 | 150,644 | ||||||||
55,611 | Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.45%, due 12/25/32 | 52,205 | ||||||||
|
| |||||||||
Total Insured Residential Mortgage-Backed Securities (United States) | 9,516,220 | |||||||||
|
| |||||||||
Other — 7.5% | ||||||||||
13,113,218 | Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.64%, due 05/15/24 | 5,720,641 | ||||||||
6,000,000 | American Homes 4 Rent, Series 2014-SFR1, Class D, 144A, 1 mo. LIBOR + 2.10%, 2.35%, due 06/17/31 | 5,812,200 | ||||||||
11,062,000 | American Homes 4 Rent, Series 2014-SFR1, Class E, 144A, 1 mo. LIBOR + 2.50%, 2.75%, due 06/17/31 | 10,390,537 | ||||||||
1,000,000 | American Homes 4 Rent, Series 2014-SFR1, Class F, 144A, 1 mo. LIBOR + 3.25%, 3.50%, due 06/17/31 | 955,000 | ||||||||
11,500,000 | Colony American Homes 2014-1, Series 14-1A, Class D, 144A, 1 mo. LIBOR + 2.15%, 2.40%, due 05/17/31 | 11,155,000 | ||||||||
4,182,959 | Continental Airlines, Inc., Series 99-1A, 6.55%, due 08/02/20 | 4,653,542 | ||||||||
8,000,000 | Guanay Finance Ltd., 144A, 6.00%, due 12/15/20 | 8,500,000 | ||||||||
1,000,000 | Invitation Homes Trust, Series 13-SFR1, Class D, 144A, 1 mo. LIBOR + 2.15%, 2.40%, due 12/17/30 | 977,700 | ||||||||
21,000,000 | Invitation Homes Trust, Series 14-SFR1, Class F, 144A, 1 mo. LIBOR + 3.75%, 3.91%, due 06/17/31 | 20,477,100 | ||||||||
15,500,000 | OneMain Financial Issuance Trust 2014-1, Series 14-1A, Class A, 144A, 2.43%, due 06/18/24 | 15,520,615 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Other — continued | ||||||||||
10,000,000 | OneMain Financial Issuance Trust 2014-1, Series 14-1A, Class B, 144A, 3.24%, due 06/18/24 | 10,080,500 | ||||||||
30,000,000 | Springleaf Funding Trust, Series 14-AA, Class A, 144A, 2.41%, due 12/15/22 | 30,027,000 | ||||||||
4,500,000 | Springleaf Funding Trust, Series 14-AA, Class B, 144A, 3.45%, due 12/15/22 | 4,504,433 | ||||||||
4,000,000 | Springleaf Funding Trust, Series 14-AA, Class C, 144A, 4.45%, due 12/15/22 | 3,993,052 | ||||||||
6,000,000 | Trafigura Securitisation Finance Plc, Series 12-1A, Class A, 144A, 1 mo. LIBOR + 2.40%, 2.56%, due 10/15/15 | 6,038,438 | ||||||||
|
| |||||||||
Total Other | 138,805,758 | |||||||||
|
| |||||||||
Residential Asset-Backed Securities (United States) ¿ — 26.1% | ||||||||||
1,082,025 | Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .78%, 0.55%, due 01/25/35 | 1,044,831 | ||||||||
1,924,612 | ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .28%, 0.44%, due 02/25/36 | 796,308 | ||||||||
1,619,077 | ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.34%, due 03/25/36 | 1,605,396 | ||||||||
19,146,673 | ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.34%, due 10/25/36 | 9,956,270 | ||||||||
3,348,000 | ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 05/25/36 | 2,824,875 | ||||||||
607,378 | ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.25%, due 06/25/36 | 358,353 | ||||||||
7,926,836 | ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 04/25/36 | 7,312,506 | ||||||||
2,958,713 | ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .32%, 0.48%, due 09/25/35 | 1,852,154 | ||||||||
7,414,877 | ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .20%, 0.36%, due 06/25/36 | 2,541,449 | ||||||||
8,620,011 | ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .34%, 0.50%, due 06/25/36 | 2,954,509 | ||||||||
77,659 | ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .24%, 0.40%, due 09/25/36 | 28,171 | ||||||||
392,574 | ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.50%, due 12/25/36 | 120,716 | ||||||||
4,968,479 | ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.25%, due 01/25/37 | 2,900,350 |
18 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Asset-Backed Securities (United States) ¿ — continued | ||||||||||
2,914,416 | ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.23%, due 11/25/36 | 1,738,449 | ||||||||
12,623,233 | Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .40%, 0.56%, due 05/25/37 | 905,717 | ||||||||
1,051,408 | Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + 1.04%, 1.20%, due 05/25/34 | 1,031,326 | ||||||||
58,997,921 | Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 07/25/36 | 25,369,106 | ||||||||
7,763,802 | Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.27%, due 09/25/36 | 3,124,930 | ||||||||
10,184,960 | Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.35%, due 03/25/36 | 5,347,104 | ||||||||
256,597 | Argent Securities, Inc., Series 06-W4, Class A2B, 1 mo. LIBOR + .11%, 0.27%, due 05/25/36 | 92,375 | ||||||||
8,543,547 | Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 06/25/36 | 3,366,691 | ||||||||
7,828,202 | Asset-Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.31%, due 10/25/36 | 6,681,371 | ||||||||
11,821,333 | Asset-Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.38%, due 05/25/37 | 11,360,301 | ||||||||
2,499,472 | Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.27%, due 11/25/36 | 2,477,227 | ||||||||
3,801,891 | Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.36%, due 11/25/36 | 2,058,344 | ||||||||
1,546,126 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .32%, 0.48%, due 02/25/37 | 2,077,529 | ||||||||
36,845,898 | Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.36%, due 02/25/37 | 34,034,556 | ||||||||
897,946 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A1, 1 mo. LIBOR + .05%, 0.21%, due 12/25/36 | 893,008 | ||||||||
4,519,974 | Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.32%, due 06/25/36 | 4,494,029 | ||||||||
63,582 | Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .54%, 0.70%, due 04/25/33 | 60,244 | ||||||||
11,583,484 | Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 12/25/36 | 6,950,090 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Asset-Backed Securities (United States) ¿ — continued | ||||||||||
392,862 | Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 11/25/36 | 391,200 | ||||||||
10,413,871 | Citigroup Mortgage Loan Trust, Inc., Series 07-AMC4, Class A2B, 1 mo. LIBOR + .14%, 0.30%, due 05/25/37 | 9,975,447 | ||||||||
27,352,837 | Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.30%, due 02/25/37 | 26,354,459 | ||||||||
459,738 | Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.46%, due 04/25/34 | 360,607 | ||||||||
2,696,354 | FBR Securitization Trust, Series 05-3, Class AV24, 1 mo. LIBOR + .68%, 0.84%, due 10/25/35 | 2,446,942 | ||||||||
21,411,260 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 06-FF3, Class A2B, 1 mo. LIBOR + .40%, 0.36%, due 02/25/36 | 19,484,247 | ||||||||
8,732,136 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.32%, due 04/25/36 | 6,925,675 | ||||||||
6,574,867 | Fremont Home Loan Trust, Series 06-1, Class 2A3, 1 mo. LIBOR + .18%, 0.34%, due 04/25/36 | 5,999,566 | ||||||||
2,316,518 | Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.35%, due 05/25/36 | 289,565 | ||||||||
1,319,559 | Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.26%, due 08/25/36 | 554,009 | ||||||||
20,107,302 | Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.32%, due 08/25/36 | 8,766,784 | ||||||||
12,012,068 | GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.31%, due 08/25/36 | 5,784,171 | ||||||||
4,790,924 | Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.32%, due 01/20/36 | 4,781,941 | ||||||||
26,925,341 | JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.28%, due 12/25/36 | 16,017,886 | ||||||||
1,536,891 | JP Morgan Mortgage Acquisition Corp., Series 07-CH3, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 03/25/37 | 1,502,310 | ||||||||
489,461 | Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.41%, due 10/25/35 | 487,934 | ||||||||
12,911,777 | Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.31%, due 03/25/36 | 8,909,126 | ||||||||
10,448,903 | Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 06/25/36 | 5,642,407 |
See accompanying notes to the financial statements. | 19 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Asset-Backed Securities (United States) ¿ — continued | ||||||||||
21,453,660 | Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 08/25/36 | 9,332,342 | ||||||||
13,106,424 | Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.32%, due 10/25/36 | 8,093,217 | ||||||||
5,538,483 | Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .32%, 0.48%, due 03/25/36 | 1,716,930 | ||||||||
13,442,312 | Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-3, Class A2B, 1 mo. LIBOR + .13%, 0.29%, due 06/25/37 | 8,871,926 | ||||||||
4,338,678 | Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.28%, due 02/25/37 | 2,250,038 | ||||||||
1,298,716 | Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .80%, 0.96%, due 08/25/34 | 1,246,507 | ||||||||
4,820,821 | Morgan Stanley Capital, Inc., Series 06-HE6, Class A2FP, 1 mo. LIBOR + .06%, 0.22%, due 09/25/36 | 2,446,567 | ||||||||
552,513 | Morgan Stanley Capital, Inc., Series 06-HE7, Class A2FP, 1 mo. LIBOR + .08%, 0.24%, due 09/25/36 | 414,385 | ||||||||
1,290,152 | Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.33%, due 03/25/36 | 1,275,960 | ||||||||
29,816,174 | Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.39%, due 02/25/37 | 15,164,506 | ||||||||
1,368,759 | Morgan Stanley Home Equity Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .10%, 0.26%, due 12/25/36 | 828,099 | ||||||||
8,020,240 | Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.32%, due 04/25/36 | 6,009,566 | ||||||||
1,213,641 | Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.26%, due 04/25/37 | 750,394 | ||||||||
17,005,000 | Nomura Home Equity Loan, Inc., Series 06-HE1, Class M1, 1 mo. LIBOR + .41%, 0.57%, due 02/25/36 | 14,624,300 | ||||||||
900,000 | Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.31%, due 07/25/36 | 756,000 | ||||||||
15,417,032 | People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.42%, due 12/25/35 | 13,864,536 | ||||||||
1,475,655 | RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.35%, due 09/25/45 | 1,454,996 | ||||||||
44,432,339 | Residential Asset Mortgage Products, Inc., Series 06-RS3, Class A4, 1 mo. LIBOR + .30%, 0.46%, due 05/25/36 | 33,546,416 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Asset-Backed Securities (United States) ¿ — continued | ||||||||||
7,509,682 | Residential Asset Mortgage Products, Inc., Series 07-RZ1, Class A2, 1 mo. LIBOR + .16%, 0.32%, due 02/25/37 | 6,851,083 | ||||||||
118,124 | Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.41%, due 01/25/36 | 117,914 | ||||||||
10,000,000 | Residential Asset Securities Corp., Series 07-KS3, Class AI3, 1 mo. LIBOR + .25%, 0.41%, due 04/25/37 | 9,100,000 | ||||||||
262,783 | Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .54%, 0.70%, due 03/25/35 | 204,478 | ||||||||
11,529,832 | Saxon Asset Securities Trust, Series 06-2, Class A3C, 1 mo. LIBOR + .15%, 0.31%, due 09/25/36 | 10,638,576 | ||||||||
6,368,327 | Securitized Asset-Backed Receivables LLC, Series 06-NC2, Class A3, 1 mo. LIBOR + .24%, 0.40%, due 03/25/36 | 5,620,049 | ||||||||
18,691,614 | Securitized Asset-Backed Receivables LLC, Series 06-WM1, Class A2C, 1 mo. LIBOR + .29%, 0.45%, due 12/25/35 | 16,342,078 | ||||||||
702,255 | Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 07/25/36 | 359,906 | ||||||||
9,300,000 | SG Mortgage Securities Trust, Series 06-FRE1, Class A2C, 1 mo. LIBOR + .27%, 0.43%, due 02/25/36 | 4,913,190 | ||||||||
20,198,490 | SG Mortgage Securities Trust, Series 06-FRE2, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 07/25/36 | 8,483,366 | ||||||||
7,073,298 | Soundview Home Equity Loan Trust, Series 07-OPT1, Class 2A1, 1 mo. LIBOR + .08%, 0.24%, due 06/25/37 | 4,213,033 | ||||||||
17,534,897 | Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 06/25/37 | 11,222,334 | ||||||||
3,238,704 | Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.36%, due 01/25/36 | 3,190,124 | ||||||||
13,221,475 | Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.56%, due 06/25/37 | 6,676,845 | ||||||||
|
| |||||||||
Total Residential Asset-Backed Securities (United States) | 481,612,222 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities (Australian) — 0.4% | ||||||||||
7,850,542 | Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.63%, due 03/14/36 | 7,568,629 | ||||||||
|
| |||||||||
Residential Mortgage-Backed Securities (European) — 0.9% | ||||||||||
10,830,977 | Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.45%, due 11/15/38 | 10,198,014 |
20 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities (European) — continued | ||||||||||
6,474,497 | Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.43%, due 09/15/39 | 6,067,899 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities (European) | 16,265,913 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities (United States) — 4.9% | ||||||||||
385,874 | Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.46%, due 08/25/35 | 339,955 | ||||||||
14,288,115 | Opteum Mortgage Acceptance Corp., Series 06-2, Class A1C, 1 mo. LIBOR + .27%, 0.43%, due 07/25/36 | 10,001,681 | ||||||||
13,434,742 | Stanwich Mortgage Loan Trust, Series 13-NPL2, Class A, 144A, 3.23%, due 04/16/59 | 13,501,915 | ||||||||
12,645,901 | US Residential Opportunity Fund Trust 2014-1, Series 14-1A, Class NOTE, 144A, 3.47%, due 03/25/34 | 12,696,484 | ||||||||
2,712,082 | Vericrest Opportunity Loan Transferee, Series 13-NPL4, Class A1, 144A, 3.96%, due 11/25/53 | 2,722,253 | ||||||||
5,294,771 | Vericrest Opportunity Loan Transferee, Series 13-NPL5, Class A1, 144A, 3.63%, due 04/25/55 | 5,308,834 | ||||||||
13,140,367 | Vericrest Opportunity Loan Transferee, Series 13-NPL6, Class A1, 144A, 3.63%, due 03/25/54 | 13,165,005 | ||||||||
6,401,472 | Vericrest Opportunity Loan Transferee, Series 13-NPL7, Class A1, 144A, 3.63%, due 11/25/53 | 6,409,474 | ||||||||
6,157,771 | Vericrest Opportunity Loan Transferee, Series 14-NPL1, Class A1, 144A, 3.63%, due 10/27/53 | 6,188,560 | ||||||||
6,875,060 | Vericrest Opportunity Loan Transferee, Series 14-NPL2, Class A1, 144A, 3.63%, due 11/25/53 | 6,922,326 | ||||||||
15,944,939 | Washington Mutual Mortgage Pass-Through, Series 06-AR10, Class A2A, 1 mo. LIBOR + .17%, 0.33%, due 12/25/36 | 12,693,766 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities (United States) | 89,950,253 | |||||||||
|
| |||||||||
Student Loans — 10.1% | ||||||||||
12,900,000 | College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.48%, due 01/25/24 | 12,577,500 | ||||||||
15,000,000 | National Collegiate Student Loan Trust, Series 05-2, Class A4, 1 mo. LIBOR + .27%, 0.43%, due 09/25/29 | 14,100,000 | ||||||||
1,665,479 | National Collegiate Student Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .19%, 0.35%, due 05/25/26 | 1,657,932 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Student Loans — continued | ||||||||||
5,000,000 | National Collegiate Student Loan Trust, Series 05-3, Class A4, 1 mo. LIBOR + .28%, 0.44%, due 04/25/29 | 4,706,250 | ||||||||
7,123,569 | National Collegiate Student Loan Trust, Series 06-3, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 10/25/27 | 7,034,525 | ||||||||
2,450,000 | National Collegiate Student Loan Trust, Series 06-3, Class A4, 1 mo. LIBOR + .27%, 0.43%, due 03/26/29 | 2,229,500 | ||||||||
14,042,562 | National Collegiate Student Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .13%, 0.29%, due 11/27/28 | 13,902,137 | ||||||||
8,210,000 | National Collegiate Student Loan Trust, Series 06-2, Class A3, 1 mo. LIBOR + .21%, 0.37%, due 11/25/27 | 7,635,300 | ||||||||
50,258,000 | SLC Student Loan Trust, Series 06-A, Class C, 3 mo. LIBOR + .45%, 0.68%, due 07/15/36 | 43,661,637 | ||||||||
3,982,364 | SLM Private Credit Student Loan Trust, Series 04-B, Class B, 3 mo. LIBOR + .47%, 0.70%, due 09/15/33 | 3,781,175 | ||||||||
6,000,000 | SLM Student Loan Trust, Series 11-B, Class A3, 144A, 1 mo. LIBOR + 2.25%, 2.41%, due 06/16/42 | 6,367,800 | ||||||||
8,000,000 | SLM Student Loan Trust, Series 04-A, Class A3, 3 mo. LIBOR + .40%, 0.63%, due 06/15/33 | 7,640,000 | ||||||||
3,700,470 | SLM Student Loan Trust, Series 04-A, Class B, 3 mo. LIBOR + .58%, 0.81%, due 06/15/33 | 3,565,514 | ||||||||
8,500,000 | SLM Student Loan Trust, Series 04-B, Class A3, 3 mo. LIBOR + .33%, 0.56%, due 03/15/24 | 8,007,000 | ||||||||
9,000,000 | SLM Student Loan Trust, Series 04-B, Class A4, 3 mo. LIBOR + .43%, 0.66%, due 09/15/33 | 7,920,000 | ||||||||
14,000,000 | SLM Student Loan Trust, Series 05-A, Class A3, 3 mo. LIBOR + .20%, 0.43%, due 06/15/23 | 13,440,000 | ||||||||
12,652,427 | SLM Student Loan Trust, Series 06-C, Class A4, 3 mo. LIBOR + .17%, 0.40%, due 03/15/23 | 12,494,272 | ||||||||
6,168,278 | SLM Student Loan Trust, Series 10-A, Class 2A, 144A, 1 mo. LIBOR + 3.25%, 3.41%, due 05/16/44 | 6,506,570 | ||||||||
3,000,000 | SLM Student Loan Trust, Series 12-B, Class A2, 144A, 3.48%, due 10/15/30 | 3,135,540 | ||||||||
7,000,000 | SLM Student Loan Trust, Series 14-A, Class B, 144A, 3.50%, due 11/15/44 | 6,827,968 | ||||||||
|
| |||||||||
Total Student Loans | 187,190,620 | |||||||||
|
| |||||||||
Time Share — 5.2% | ||||||||||
1,153,403 | BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26 | 1,230,797 |
See accompanying notes to the financial statements. | 21 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Time Share — continued | ||||||||||
2,878,171 | BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27 | 2,927,190 | ||||||||
5,682,360 | BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28 | 5,744,468 | ||||||||
8,260,047 | Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26 | 8,267,943 | ||||||||
2,994,267 | Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26 | 2,993,803 | ||||||||
4,415,299 | Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30 | 4,523,919 | ||||||||
1,219,446 | Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27 | 1,264,257 | ||||||||
125,514 | Sierra Receivables Funding Co. LLC, Series 11-1A, Class B, 144A, 4.23%, due 04/20/26 | 128,143 | ||||||||
2,840,305 | Sierra Receivables Funding Co. LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28 | 2,904,030 | ||||||||
6,010,381 | Sierra Receivables Funding Co. LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29 | 6,121,700 | ||||||||
1,497,196 | Sierra Receivables Funding Co. LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29 | 1,498,132 | ||||||||
3,393,496 | Sierra Receivables Funding Co. LLC, Series 13-1A, Class B, 144A, 2.39%, due 11/20/29 | 3,411,826 | ||||||||
10,895,717 | Sierra Receivables Funding Co. LLC, Series 13-2A, Class C, 144A, 4.75%, due 11/20/25 | 11,124,734 | ||||||||
7,453,096 | Silverleaf Finance LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25 | 7,596,867 | ||||||||
8,950,692 | Silverleaf Finance LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26 | 9,072,342 | ||||||||
547,388 | Silverleaf Finance Vii LLC, Series 10-A, Class B, 144A, 8.00%, due 07/15/22 | 559,533 | ||||||||
237,992 | Silverleaf Finance Vii LLC, Series 10-A, Class C, 144A, 10.00%, due 07/15/22 | 241,860 | ||||||||
7,883,719 | Welk Resorts LLC, Series 13-AA, Class A, 144A, 3.10%, due 03/15/29 | 7,901,852 | ||||||||
1,200,394 | Westgate Resorts LLC, Series 12-1, Class B, 144A, 5.50%, due 09/20/25 | 1,210,522 | ||||||||
791,383 | Westgate Resorts LLC, Series 12-2A, Class B, 144A, 4.50%, due 01/20/25 | 803,006 | ||||||||
1,187,075 | Westgate Resorts LLC, Series 12-2A, Class C, 144A, 9.00%, due 01/20/25 | 1,222,316 | ||||||||
2,401,092 | Westgate Resorts LLC, Series 12-3A, Class A, 144A, 2.50%, due 03/20/25 | 2,413,848 | ||||||||
4,323,429 | Westgate Resorts LLC, Series 13-1A, Class A, 144A, 2.25%, due 08/20/25 | 4,331,535 | ||||||||
4,323,429 | Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25 | 4,381,525 |
Par Value ($) / Shares | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Time Share — continued | ||||||||||
3,831,978 | Westgate Resorts LLC, Series 14-AA, Class A, 144A, 6.25%, due 10/20/26 | 3,831,978 | ||||||||
|
| |||||||||
Total Time Share | 95,708,126 | |||||||||
|
| |||||||||
Whole Business Loans — 3.2% | ||||||||||
50,043,750 | CKE Restaurant Holdings, Inc., Series 13-1A, Class A2, 144A, 4.47%, due 03/20/43 | 50,905,503 | ||||||||
9,019,277 | Fairway Outdoor Funding LLC, Series 12-1A, Class A2, 144A, 4.21%, due 10/15/42 | 9,039,751 | ||||||||
|
| |||||||||
Total Whole Business Loans | 59,945,254 | |||||||||
|
| |||||||||
Total Asset-Backed Securities | 1,737,763,507 | |||||||||
|
| |||||||||
U.S. Government Agency — 1.4% | ||||||||||
871,093 | Agency for International Development Floater (Support of Jamaica), 3 mo. LIBOR + .30%, 0.53%, due 10/01/18 (a) | 854,125 | ||||||||
10,368,750 | Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR – .02%, 0.31%, due 02/01/25 (a) | 9,738,850 | ||||||||
9,375,000 | Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 0.48%, due 10/29/26 (a) | 8,821,702 | ||||||||
6,345,000 | Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 0.34%, due 07/01/23 (a) | 6,020,841 | ||||||||
200,000 | U.S. Department of Transportation, 144A, 6.00%, due 12/07/21 | 212,280 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 25,647,798 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,911,895,221) | 1,763,411,305 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.6% | ||||||||||
Affiliated Issuers — 1.6% | ||||||||||
1,161,273 | GMO U.S. Treasury Fund | 29,031,828 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $29,031,828) | 29,031,828 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 2.7% | ||||||||||
Money Market Funds — 0.6% | ||||||||||
10,876,709 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b) | 10,876,709 | ||||||||
|
|
22 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government — 2.1% | ||||||||||
38,000,000 | U.S. Treasury Bill, 0.02%, due 10/30/14 (c) (d) | 37,998,480 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $48,875,712) | 48,875,189 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $1,989,802,761) | 1,841,318,322 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 2,163,195 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,843,481,517 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Sales | ||||||||||||
1,027 | U.S. Treasury Note 5 Yr. (CBT) | December 2014 | $ | 122,044,508 | $ | (274,204 | ) | |||||
131 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 16,477,344 | (17,791 | ) | |||||||
|
|
|
| |||||||||
$ | 138,521,852 | $ | (291,995 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
50,000,000 | USD | 2/5/2019 | CSS (e) | (Pay) | 1.57% | 3 Month USD LIBOR | $ | 120,526 | ||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
¿ | These securities are primarily backed by subprime mortgages. |
(a) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(c) | The rate shown represents yield-to-maturity. |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(e) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 23 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Debt Obligations | 92.5 | % | ||
Short-Term Investments | 5.5 | |||
Loan Participations | 2.3 | |||
Rights/Warrants | 0.3 | |||
Loan Assignments | 0.3 | |||
Forward Currency Contracts | 0.2 | |||
Options Purchased | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Written/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | (1.1 | ) | ||
Swap Contracts | (1.4 | ) | ||
Other | 1.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
Mexico | 12.1 | |||
Venezuela | 9.3 | |||
Russia | 7.2 | |||
Brazil | 6.7 | |||
Argentina | 5.9 | |||
Turkey | 5.6 | |||
Indonesia | 4.6 | |||
Philippines | 3.2 | |||
Hungary | 3.0 | |||
South Africa | 2.8 | |||
Colombia | 2.5 | |||
Tunisia | 2.3 | |||
Croatia | 2.2 | |||
Congo | 2.0 | |||
China | 1.8 | |||
Ukraine | 1.5 | |||
Uruguay | 1.5 | |||
Dominican Republic | 1.4 | |||
United States | 1.4 | |||
Israel | 1.3 | |||
Serbia | 1.2 | |||
Angola | 1.1 | |||
Morocco | 1.1 | |||
Malaysia | 1.0 | |||
Peru | 1.0 | |||
Pakistan | 0.9 | |||
Chile | 0.8 | |||
Greece | 0.8 | |||
Sri Lanka | 0.8 | |||
Iraq | 0.7 | |||
Panama | 0.7 | |||
Azerbaijan | 0.6 | |||
Costa Rica | 0.6 | |||
Korea | 0.6 | |||
Vietnam | 0.6 | |||
Ecuador | 0.5 | |||
Ivory Coast | 0.5 | |||
Nigeria | 0.5 | |||
Paraguay | 0.5 | |||
Romania | 0.5 |
Country/Region Summary** | % of Investments | |||
Zambia | 0.5 | |||
Armenia | 0.4 | |||
Bahamas | 0.4 | |||
Bahrain | 0.4 | |||
El Salvador | 0.4 | |||
Honduras | 0.4 | |||
Kenya | 0.4 | |||
Lithuania | 0.4 | |||
Slovenia | 0.4 | |||
Thailand | 0.4 | |||
Belize | 0.3 | |||
Gabon | 0.3 | |||
Jamaica | 0.3 | |||
Mongolia | 0.3 | |||
Qatar | 0.3 | |||
Iceland | 0.2 | |||
Senegal | 0.2 | |||
Belarus | 0.1 | |||
Ghana | 0.1 | |||
Grenada | 0.1 | |||
Guatemala | 0.1 | |||
Latvia | 0.1 | |||
Lebanon | 0.1 | |||
Trinidad & Tobago | 0.1 | |||
Egypt | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in the funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using a reference security and applying the same methodology to that security. |
^ | Rounds to 0.0%. |
24
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 91.7% | ||||||||||
Albania — 1.1% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 3,760,000 | Albania Government International Bond, 7.50%, due 11/04/15 | 5,199,826 | |||||||
USD | 49,249,849 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) | 32,898,899 | |||||||
|
| |||||||||
Total Albania | 38,098,725 | |||||||||
|
| |||||||||
Argentina — 8.1% | ||||||||||
Foreign Government Obligations — 6.9% | ||||||||||
USD | 9,000,000 | Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35 | 4,500,000 | |||||||
USD | 57,483,558 | Republic of Argentina Discount Bond, 8.28%, due 12/31/33 (b) | 44,667,599 | |||||||
USD | 10,786,557 | Republic of Argentina Discount Bond, 8.28%, due 12/31/33 | 7,971,266 | |||||||
EUR | 18,258,165 | Republic of Argentina Discount Bond, 7.82%, due 12/31/33 (b) | 18,712,445 | |||||||
DEM | 3,830,000 | Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, due 03/31/23 (b) | 2,650,231 | |||||||
EUR | 338,220,524 | Republic of Argentina GDP Linked, due 12/15/35 (c) | 30,663,934 | |||||||
EUR | 171,500,000 | Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38 (b) | 105,910,935 | |||||||
EUR | 40,100,000 | Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38 (b) | 24,105,397 | |||||||
USD | 5,440,000 | Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38 | 2,728,160 | |||||||
|
| |||||||||
241,909,967 | ||||||||||
|
| |||||||||
Judgments — 1.2% | ||||||||||
USD | 32,000,000 | Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, due 03/31/23 (b) (d) (e) | 28,928,000 | |||||||
USD | 15,000,000 | Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 (b) (d) (e) | 13,560,000 | |||||||
|
| |||||||||
42,488,000 | ||||||||||
|
| |||||||||
Total Argentina | 284,397,967 | |||||||||
|
| |||||||||
Armenia — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 17,000,000 | Republic of Armenia, Reg S, 6.00%, due 09/30/20 | 17,660,620 | |||||||
|
| |||||||||
Azerbaijan — 0.7% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 23,000,000 | Republic of Azerbaijan International Bond, Reg S, 4.75%, due 03/18/24 | 23,690,000 | |||||||
|
|
Par Value | Description | Value ($) | ||||||||
Bahrain — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 18,000,000 | Bahrain Government International Bond, Reg S, 6.13%, due 08/01/23 | 20,493,000 | |||||||
|
| |||||||||
Barbados — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 2,800,000 | Government of Barbados, Reg S, 7.00%, due 08/04/22 | 2,578,632 | |||||||
|
| |||||||||
Belarus — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 5,000,000 | Republic of Belarus, Reg S, 8.95%, due 01/26/18 | 5,250,000 | |||||||
|
| |||||||||
Belize — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 16,413,400 | Republic of Belize, Reg S, Step Up, 5.00%, due 02/20/38 | 12,227,983 | |||||||
|
| |||||||||
Bosnia & Herzegovina — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
DEM | 8,274,920 | Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 1.10%, due 12/11/17 | 5,044,965 | |||||||
|
| |||||||||
Brazil — 3.5% | ||||||||||
Foreign Government Agency — 1.9% | ||||||||||
USD | 31,000,000 | Banco Nacional de Desenvolvimento Economico e Social, Reg S, 5.75%, due 09/26/23 | 33,712,500 | |||||||
USD | 27,000,000 | Petrobras Global Finance BV, 7.25%, due 03/17/44 | 31,516,830 | |||||||
|
| |||||||||
65,229,330 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.6% | ||||||||||
USD | 21,000,000 | Republic of Brazil, 8.25%, due 01/20/34 | 30,135,000 | |||||||
USD | 20,000,000 | Republic of Brazil, 7.13%, due 01/20/37 | 26,200,000 | |||||||
|
| |||||||||
56,335,000 | ||||||||||
|
| |||||||||
Total Brazil | 121,564,330 | |||||||||
|
| |||||||||
Chile — 0.6% | ||||||||||
Corporate Debt | ||||||||||
USD | 17,000,000 | Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 | 21,250,000 | |||||||
|
| |||||||||
Colombia — 2.0% | ||||||||||
Foreign Government Agency — 1.0% | ||||||||||
USD | 17,000,000 | Ecopetrol SA, 7.38%, due 09/18/43 | 21,756,260 | |||||||
USD | 12,000,000 | Ecopetrol SA, 5.88%, due 05/28/45 | 12,900,000 | |||||||
|
| |||||||||
34,656,260 | ||||||||||
|
|
See accompanying notes to the financial statements. | 25 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
Foreign Government Obligations — 1.0% | ||||||||||
USD | 18,000,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 20,880,000 | |||||||
USD | 8,000,000 | Republic of Colombia, 8.70%, due 02/15/16 | 8,876,000 | |||||||
USD | 3,800,000 | Republic of Colombia, 11.85%, due 03/09/28 (d) | 6,006,618 | |||||||
|
| |||||||||
35,762,618 | ||||||||||
|
| |||||||||
Total Colombia | 70,418,878 | |||||||||
|
| |||||||||
Congo Republic (Brazzaville) — 2.6% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 97,469,164 | Republic of Congo, Reg S, Series INTL, Step Up, 3.50%, due 06/30/29 | 91,621,014 | |||||||
|
| |||||||||
Costa Rica — 0.4% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
USD | 12,800,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 11,456,256 | |||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
USD | 3,000,000 | Costa Rica Government International Bond, Reg S, 5.63%, due 04/30/43 | 2,707,500 | |||||||
|
| |||||||||
Total Costa Rica | 14,163,756 | |||||||||
|
| |||||||||
Croatia — 1.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 6,000,000 | Croatia Government International Bond, Reg S, 6.38%, due 03/24/21 | 6,592,500 | |||||||
USD | 24,000,000 | Croatia Government International Bond, Reg S, 5.50%, due 04/04/23 | 24,990,000 | |||||||
USD | 18,000,000 | Croatia Government International Bond, Reg S, 6.00%, due 01/26/24 | 19,395,000 | |||||||
|
| |||||||||
Total Croatia | 50,977,500 | |||||||||
|
| |||||||||
Dominican Republic — 2.7% | ||||||||||
Asset-Backed Securities — 0.7% | ||||||||||
USD | 25,631,925 | Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 (d) | 25,690,191 | |||||||
|
| |||||||||
Foreign Government Agency — 0.2% | ||||||||||
USD | 5,800,000 | Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23 | 5,974,000 | |||||||
|
| |||||||||
Foreign Government Obligations — 1.8% | ||||||||||
USD | 8,000,000 | Dominican Republic, Reg S, 8.63%, due 04/20/27 | 10,040,000 | |||||||
USD | 38,607,000 | Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.14%, due 08/30/24 | 32,815,950 |
Par Value | Description | Value ($) | ||||||||
Foreign Government Obligations — continued | ||||||||||
USD | 19,000,000 | Dominican Republic International Bond, Reg S, 7.45%, due 04/30/44 | 20,900,000 | |||||||
|
| |||||||||
63,755,950 | ||||||||||
|
| |||||||||
Total Dominican Republic | 95,420,141 | |||||||||
|
| |||||||||
Ecuador — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 6,000,000 | Ecuador Government International Bond, 144A, 7.95%, due 06/20/24 | 6,630,000 | |||||||
USD | 15,584,000 | Republic of Ecuador, Step Up, Reg S, 10.00%, due 08/15/30 (b) | 10,597,120 | |||||||
|
| |||||||||
Total Ecuador | 17,227,120 | |||||||||
|
| |||||||||
El Salvador — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 10,000,000 | El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41 | 10,800,000 | |||||||
|
| |||||||||
Gabon — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 13,000,000 | Gabonese Republic, Reg S, 6.38%, due 12/12/24 | 14,381,900 | |||||||
|
| |||||||||
Ghana — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 5,000,000 | Republic of Ghana, Reg S, 7.88%, due 08/07/23 | 4,892,500 | |||||||
|
| |||||||||
Greece — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 20,882,000 | Hellenic Republic Government Bond, Step Up, 2.00%, due 02/24/36 | 18,514,274 | |||||||
|
| |||||||||
Grenada — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 9,000,000 | Grenada Government International Bond, Step Up, Reg S, 6.00%, due 09/15/25 (b) | 2,970,000 | |||||||
|
| |||||||||
Guatemala — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 3,500,000 | Republic of Guatemala, Reg S, 8.13%, due 10/06/34 | 4,558,750 | |||||||
|
| |||||||||
Honduras — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 12,000,000 | Honduras Government International Bond, Reg S, 7.50%, due 03/15/24 | 12,600,000 | |||||||
USD | 14,000,000 | Republic of Honduras, Reg S, 8.75%, due 12/16/20 | 15,680,000 | |||||||
|
| |||||||||
Total Honduras | 28,280,000 | |||||||||
|
|
26 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
Hungary — 1.9% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 51,500,000 | Hungary Government International Bond, 7.63%, due 03/29/41 | 67,081,325 | |||||||
|
| |||||||||
Iceland — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 11,000,000 | Iceland Government International Bond, Reg S, 5.88%, due 05/11/22 | 12,581,800 | |||||||
|
| |||||||||
Indonesia — 3.9% | ||||||||||
Foreign Government Agency — 1.6% | ||||||||||
USD | 28,200,000 | Majapahit Holding BV, Reg S, 7.88%, due 06/29/37 | 34,122,000 | |||||||
USD | 8,000,000 | Majapahit Holding BV, Reg S, 7.75%, due 01/20/20 | 9,400,000 | |||||||
USD | 10,400,000 | Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 | 11,102,000 | |||||||
|
| |||||||||
54,624,000 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.3% | ||||||||||
USD | 12,500,000 | Indonesia Government International Bond, Reg S, 4.63%, due 04/15/43 (f) | 11,640,625 | |||||||
USD | 33,800,000 | Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42 | 34,138,000 | |||||||
USD | 12,216,000 | Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37 | 14,384,340 | |||||||
USD | 16,784,000 | Indonesia Government International Bond, Reg S, 6.75%, due 01/15/44 | 20,540,259 | |||||||
|
| |||||||||
80,703,224 | ||||||||||
|
| |||||||||
Total Indonesia | 135,327,224 | |||||||||
|
| |||||||||
Iraq — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 15,000,000 | Republic of Iraq, Reg S, 5.80%, due 01/15/28 | 13,462,500 | |||||||
|
| |||||||||
Israel — 1.0% | ||||||||||
Foreign Government Agency | ||||||||||
JPY | 2,500,000,000 | Israel Electric Corp. Ltd, 4.10%, due 01/14/32 | 22,105,820 | |||||||
USD | 7,243,000 | Israel Electric Corp. Ltd., Reg S, 7.88%, due 12/15/26 | 8,818,352 | |||||||
USD | 4,637,000 | Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96 | 5,031,145 | |||||||
|
| |||||||||
Total Israel | 35,955,317 | |||||||||
|
| |||||||||
Ivory Coast — 0.7% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 25,265,000 | Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32 | 25,012,350 | |||||||
|
|
Par Value | Description | Value ($) | ||||||||
Jamaica — 0.3% | ||||||||||
Foreign Government Agency — 0.1% | ||||||||||
USD | 3,000,000 | National Road Operating & Construction Co. Ltd., Reg S, 9.38%, due 11/10/24 | 3,210,000 | |||||||
|
| |||||||||
Foreign Government Obligations — 0.2% | ||||||||||
USD | 6,100,000 | Jamaica Government International Bond, 7.63%, due 07/09/25 | 6,496,500 | |||||||
|
| |||||||||
Total Jamaica | 9,706,500 | |||||||||
|
| |||||||||
Kenya — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 17,000,000 | Kenya Government International Bond, 144A, 6.88%, due 06/24/24 | 18,343,000 | |||||||
|
| |||||||||
Latvia — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 4,000,000 | Republic of Latvia, Reg S, 5.25%, due 06/16/21 | 4,475,640 | |||||||
|
| |||||||||
Lithuania — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 11,500,000 | Republic of Lithuania, Reg S, 6.63%, due 02/01/22 | 13,986,875 | |||||||
|
| |||||||||
Macedonia — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 11,000,000 | FYR Macedonia Bond, 144A, 3.98%, due 07/24/21 | 14,597,984 | |||||||
|
| |||||||||
Mexico — 8.8% | ||||||||||
Foreign Government Agency — 2.8% | ||||||||||
USD | 51,000,000 | Pemex Project Funding Master Trust, 6.63%, due 06/15/35 | 62,793,750 | |||||||
USD | 1,360,000 | Petroleos Mexicanos, 9.50%, due 09/15/27 | 1,785,000 | |||||||
USD | 26,500,000 | Petroleos Mexicanos, Reg S, 6.38%, due 01/23/45 | 32,065,000 | |||||||
|
| |||||||||
96,643,750 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 6.0% | ||||||||||
USD | 189,484,000 | United Mexican States, 5.75%, due 10/12/2110 | 210,327,240 | |||||||
|
| |||||||||
Total Mexico | 306,970,990 | |||||||||
|
| |||||||||
Mongolia — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 12,000,000 | Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22 | 10,489,920 | |||||||
|
|
See accompanying notes to the financial statements. | 27 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
Montenegro — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 2,000,000 | Montenegro Government International Bond, 7.25%, due 04/08/16 | 2,801,998 | |||||||
|
| |||||||||
Morocco — 1.0% | ||||||||||
Foreign Government Agency | ||||||||||
USD | 32,000,000 | Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44 | 34,880,000 | |||||||
|
| |||||||||
Nigeria — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 6,100,000 | Nigeria Government International Bond, Reg S, 6.75%, due 01/28/21 | 6,786,250 | |||||||
USD | 8,400,000 | Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23 | 9,210,600 | |||||||
|
| |||||||||
Total Nigeria | 15,996,850 | |||||||||
|
| |||||||||
Pakistan — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 18,500,000 | Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36 | 17,020,000 | |||||||
|
| |||||||||
Panama — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 1,535,000 | Panama Government International Bond, 8.13%, due 04/28/34 | 2,118,300 | |||||||
USD | 16,408,000 | Panama Government International Bond, 4.30%, due 04/29/53 | 14,972,300 | |||||||
|
| |||||||||
Total Panama | 17,090,600 | |||||||||
|
| |||||||||
Paraguay — 0.3% | ||||||||||
Foreign Government Obligations — 0.3% | ||||||||||
USD | 11,000,000 | Republic of Paraguay, 144A, 6.10%, due 08/11/44 | 11,770,000 | |||||||
|
| |||||||||
Peru — 1.1% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
USD | 12,452,000 | Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 | 8,872,050 | |||||||
|
| |||||||||
Foreign Government Obligations — 0.8% | ||||||||||
USD | 5,000,000 | Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (d) | 5,000,000 | |||||||
USD | 20,000,000 | Republic of Peru, 5.63%, due 11/18/50 | 23,650,000 | |||||||
|
| |||||||||
28,650,000 | ||||||||||
|
| |||||||||
Total Peru | 37,522,050 | |||||||||
|
| |||||||||
Philippines — 3.7% | ||||||||||
Foreign Government Agency — 2.7% | ||||||||||
USD | 25,651,000 | Central Bank of Philippines, Series A, 8.60%, due 06/15/27 | 35,013,615 |
Par Value | Description | Value ($) | ||||||||
Foreign Government Agency — continued | ||||||||||
USD | 40,550,000 | National Power Corp., Global Bond, 9.63%, due 05/15/28 | 60,318,125 | |||||||
|
| |||||||||
95,331,740 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.0% | ||||||||||
USD | 26,720,000 | Republic of Philippines, 6.38%, due 01/15/32 | 33,901,000 | |||||||
|
| |||||||||
Total Philippines | 129,232,740 | |||||||||
|
| |||||||||
Qatar — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 5,000,000 | Qatar Government International Bond, Reg S, 5.75%, due 01/20/42 | 5,941,250 | |||||||
|
| |||||||||
Romania — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 6,000,000 | Romanian Government International Bond, Reg S, 6.75%, due 02/07/22 | 7,234,800 | |||||||
USD | 8,000,000 | Romanian Government International Bond, Reg S, 6.13%, due 01/22/44 | 9,440,000 | |||||||
|
| |||||||||
Total Romania | 16,674,800 | |||||||||
|
| |||||||||
Russia — 6.1% | ||||||||||
Foreign Government Agency — 4.1% | ||||||||||
USD | 27,000,000 | Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22 | 23,051,250 | |||||||
USD | 38,800,000 | Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34 | 44,426,000 | |||||||
USD | 23,000,000 | Sberbank of Russia Via SB Capital SA, 144A, 5.13%, due 10/29/22 | 19,895,000 | |||||||
USD | 3,000,000 | Sberbank of Russia Via SB Capital SA, Reg S, 5.72%, due 06/16/21 | 2,857,980 | |||||||
USD | 51,600,000 | VTB Capital SA, Reg S, 6.25%, due 06/30/35 | 52,245,000 | |||||||
|
| |||||||||
142,475,230 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.0% | ||||||||||
USD | 70,000,000 | Russian Foreign Bond, Reg S, 5.88%, due 09/16/43 | 69,825,000 | |||||||
|
| |||||||||
Total Russia | 212,300,230 | |||||||||
|
| |||||||||
Senegal — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 8,750,000 | Republic of Senegal, Reg S, 8.75%, due 05/13/21 | 10,281,250 | |||||||
|
| |||||||||
Serbia — 0.9% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 24,000,000 | Republic of Serbia, 7.25%, due 09/28/21 | 27,600,000 | |||||||
USD | 5,394,627 | Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24 | 5,448,573 | |||||||
|
| |||||||||
Total Serbia | 33,048,573 | |||||||||
|
|
28 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
Slovenia — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 15,000,000 | Slovenia Government International Bond, Reg S, 5.85%, due 05/10/23 | 17,014,500 | |||||||
|
| |||||||||
South Africa — 1.4% | ||||||||||
Foreign Government Agency — 0.1% | ||||||||||
ZAR | 163,000,000 | Eskom Holdings Ltd., Zero Coupon, due 12/31/32 | 2,445,096 | |||||||
ZAR | 20,000,000 | Transnet Ltd., 13.50%, due 04/18/28 | 2,273,320 | |||||||
|
| |||||||||
4,718,416 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.3% | ||||||||||
USD | 15,000,000 | South Africa Government International Bond, 5.88%, due 09/16/25 | 16,968,750 | |||||||
USD | 26,000,000 | South Africa Government International Bond, 5.38%, due 07/24/44 | 27,170,000 | |||||||
|
| |||||||||
44,138,750 | ||||||||||
|
| |||||||||
Total South Africa | 48,857,166 | |||||||||
|
| |||||||||
South Korea — 0.7% | ||||||||||
Foreign Government Agency | ||||||||||
USD | 8,000,000 | Export-Import Bank of Korea, 5.13%, due 06/29/20 | 8,998,322 | |||||||
USD | 5,000,000 | Korea Gas Corp., Reg S, 6.25%, due 01/20/42 | 6,931,500 | |||||||
USD | 8,000,000 | Korea Hydro & Nuclear Power Co. Ltd., Reg S, 4.75%, due 07/13/21 | 8,895,760 | |||||||
|
| |||||||||
Total South Korea | 24,825,582 | |||||||||
|
| |||||||||
Sri Lanka — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 8,500,000 | Sri Lanka Government International Bond, Reg S, 6.25%, due 07/27/21 | 9,112,680 | |||||||
USD | 19,150,000 | Sri Lanka Government International Bond, Reg S, 5.88%, due 07/25/22 | 19,916,000 | |||||||
|
| |||||||||
Total Sri Lanka | 29,028,680 | |||||||||
|
| |||||||||
Thailand — 0.3% | ||||||||||
Foreign Government Agency | ||||||||||
USD | 7,000,000 | PTT PCL, Reg S, 4.50%, due 10/25/42 | 6,385,750 | |||||||
USD | 4,000,000 | PTTEP Canada International Finance Ltd., Reg S, 5.69%, due 04/05/21 | 4,543,140 | |||||||
|
| |||||||||
Total Thailand | 10,928,890 | |||||||||
|
| |||||||||
Trinidad And Tobago — 0.2% | ||||||||||
Foreign Government Agency | ||||||||||
USD | 6,000,000 | Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19 | 7,545,000 | |||||||
|
|
Par Value | Description | Value ($) | ||||||||
Tunisia — 2.0% | ||||||||||
Foreign Government Agency | ||||||||||
JPY | 7,000,000,000 | Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 | 54,643,664 | |||||||
JPY | 2,000,000,000 | Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 | 15,287,616 | |||||||
|
| |||||||||
Total Tunisia | 69,931,280 | |||||||||
|
| |||||||||
Turkey — 5.0% | ||||||||||
Foreign Government Agency — 0.2% | ||||||||||
USD | 1,000,000 | Export Credit Bank of Turkey, Reg S, 5.38%, due 11/04/16 | 1,048,750 | |||||||
USD | 5,000,000 | Turkiye Halk Bankasi AS, Reg S, 4.88%, due 07/19/17 | 5,200,000 | |||||||
|
| |||||||||
6,248,750 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 4.8% | ||||||||||
USD | 64,000,000 | Republic of Turkey, 6.75%, due 05/30/40 | 77,200,000 | |||||||
EUR | 18,000,000 | Republic of Turkey, 4.35%, due 11/12/21 | 25,868,389 | |||||||
USD | 53,000,000 | Turkey Government International Bond, 6.63%, due 02/17/45 | 63,467,500 | |||||||
|
| |||||||||
166,535,889 | ||||||||||
|
| |||||||||
Total Turkey | 172,784,639 | |||||||||
|
| |||||||||
Ukraine — 1.0% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 4,000,000 | City of Kyiv Via Kyiv Finance PLC, Reg S, 9.38%, due 07/11/16 | 3,200,000 | |||||||
USD | 36,381,000 | Ukraine Government International Bond, Reg S, 7.95%, due 02/23/21 (f) | 31,833,375 | |||||||
|
| |||||||||
Total Ukraine | 35,033,375 | |||||||||
|
| |||||||||
United States — 3.6% | ||||||||||
Asset-Backed Securities — 1.5% | ||||||||||
USD | 2,439,669 | Aircraft Finance Trust, Series 99-1A, Class A1, 1 mo. LIBOR + .48%, 0.64%, due 05/15/24 | 1,064,305 | |||||||
USD | 112,502 | Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, AMBAC, 1 mo. LIBOR + .34%, 0.50%, due 10/25/34 | 100,385 | |||||||
USD | 536,208 | CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, AMBAC, 1 mo. LIBOR + .44%, 0.60%, due 10/25/30 | 439,691 | |||||||
USD | 12,365,060 | Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.40%, due 12/15/35 ¿ | 11,419,133 | |||||||
USD | 7,017,048 | Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.40%, due 12/15/35 ¿ | 5,069,817 |
See accompanying notes to the financial statements. | 29 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
USD | 4,624,918 | Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.36%, due 05/15/36 ¿ | 3,699,934 | |||||||
USD | 2,820,956 | First Franklin Mortgage Loan Asset Backed Certificates, Series 05-FF10, Class A6M, 1 mo. LIBOR + .35%, 0.51%, due 11/25/35 ¿ | 689,442 | |||||||
USD | 9,250,000 | Home Equity Asset Trust, Series 07-1, Class 2A4, 1 mo. LIBOR + .23%, 0.39%, due 05/25/37 ¿ | 2,536,073 | |||||||
USD | 10,389,239 | Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.32%, due 10/25/36 ¿ | 6,415,355 | |||||||
USD | 2,570,417 | Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.33%, due 03/25/36 ¿ | 2,542,143 | |||||||
USD | 12,822,252 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 11/25/36 ¿ | 6,924,016 | |||||||
USD | 12,993,216 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.38%, due 11/25/36 ¿ | 7,406,133 | |||||||
USD | 6,940,733 | Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.52%, due 04/25/37 ¿ | 3,817,403 | |||||||
|
| |||||||||
52,123,830 | ||||||||||
|
| |||||||||
U.S. Government — 2.1% | ||||||||||
USD | 73,709,300 | U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (f) (g) (h) | 73,824,434 | |||||||
|
| |||||||||
Total United States | 125,948,264 | |||||||||
|
| |||||||||
Uruguay — 1.6% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 15,000,000 | Uruguay Government International Bond, 4.13%, due 11/20/45 | 13,687,500 | |||||||
USD | 17,500,000 | Uruguay Government International Bond, 4.50%, due 08/14/24 | 18,914,875 | |||||||
USD | 21,000,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 21,853,650 | |||||||
|
| |||||||||
Total Uruguay | 54,456,025 | |||||||||
|
| |||||||||
Venezuela — 10.8% | ||||||||||
Foreign Government Agency — 6.4% | ||||||||||
USD | 86,808,000 | Electricidad de Caracas Finance BV, 8.50%, due 04/10/18 | 65,974,080 | |||||||
USD | 172,500,000 | Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21 | 134,291,250 | |||||||
USD | 39,500,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 | 22,465,625 | |||||||
|
| |||||||||
222,730,955 | ||||||||||
|
|
Par Value | Description | Value ($) | ||||||||
Foreign Government Obligations — 4.4% | ||||||||||
USD | 164,500,000 | Republic of Venezuela, Reg S, 11.95%, due 08/05/31 | 145,171,250 | |||||||
USD | 5,000,000 | Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 | 3,962,500 | |||||||
USD | 7,500,000 | Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 | 5,906,250 | |||||||
|
| |||||||||
155,040,000 | ||||||||||
|
| |||||||||
Total Venezuela | 377,770,955 | |||||||||
|
| |||||||||
Vietnam — 0.4% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
USD | 18,804,000 | Debt and Asset Trading Corp., Reg S, 1.00%, due��10/10/25 | 9,890,904 | |||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
USD | 5,000,000 | Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.19%, due 03/13/28 | 4,437,500 | |||||||
|
| |||||||||
Total Vietnam | 14,328,404 | |||||||||
|
| |||||||||
Zambia — 0.7% | ||||||||||
Foreign Government Obligations | ||||||||||
USD | 12,000,000 | Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 | 11,715,600 | |||||||
USD | 11,000,000 | Zambia Government International Bond, Reg S, 8.50%, due 04/14/24 | 12,721,500 | |||||||
|
| |||||||||
Total Zambia | 24,437,100 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $2,950,397,577) | 3,201,923,681 | |||||||||
|
| |||||||||
LOAN ASSIGNMENTS — 0.3% | ||||||||||
Dominican Republic — 0.0% | ||||||||||
USD | 800,030 | Dominican Republic, 6 mo. LIBOR + 1.75%, 2.09%, due 08/15/15 | 758,272 | |||||||
|
| |||||||||
Indonesia — 0.3% | ||||||||||
USD | 1,326,228 | Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + .88%, 1.25%, due 12/01/19 | 1,218,472 | |||||||
USD | 1,825,200 | Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19 | 1,713,406 | |||||||
USD | 1,825,200 | Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19 | 1,713,406 | |||||||
USD | 2,433,600 | Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19 | 2,284,542 |
30 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
EUR | 1,276,457 | Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 | 1,333,375 | |||||||
|
| |||||||||
Total Indonesia | 8,263,201 | |||||||||
|
| |||||||||
TOTAL LOAN ASSIGNMENTS (COST $8,157,025) | 9,021,473 | |||||||||
|
| |||||||||
LOAN PARTICIPATIONS — 2.3% | ||||||||||
Angola — 1.0% | ||||||||||
USD | 15,000,000 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23 | 15,000,000 | |||||||
USD | 18,000,000 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23 | 18,000,000 | |||||||
|
| |||||||||
Total Angola | 33,000,000 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
CHF | 1,682,646 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), due 01/03/24 (d) | 1,062,653 | |||||||
|
| |||||||||
Indonesia — 0.2% | ||||||||||
USD | 7,626,829 | Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.32%, due 09/29/19 | 7,007,149 | |||||||
|
| |||||||||
Iraq — 0.7% | ||||||||||
JPY | 3,912,367,488 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28 | 22,003,941 | |||||||
JPY | 511,201,212 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28 | 2,843,064 | |||||||
|
| |||||||||
Total Iraq | 24,847,005 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
EUR | 57,042,402 | Russian Foreign Trade Obligations (Participation with GML International Ltd.), 02/03/20 (b) (d) | 3,342,051 | |||||||
|
| |||||||||
Vietnam — 0.3% | ||||||||||
JPY | 1,319,907,873 | Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.79%, due 09/01/17 | 11,480,769 | |||||||
|
| |||||||||
TOTAL LOAN PARTICIPATIONS (COST $95,598,812) | 80,739,627 | |||||||||
|
|
Shares / Par Value | Description | Value ($) | ||||||||
MUTUAL FUNDS — 3.2% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
568,012 | GMO Debt Opportunities Fund, Class VI | 14,171,892 | ||||||||
2,240,326 | GMO U.S. Treasury Fund | 56,008,142 | ||||||||
1,515,449 | GMO World Opportunity Overlay Fund | 40,204,854 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $103,857,113) | 110,384,888 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.3% | ||||||||||
Nigeria — 0.1% | ||||||||||
25,000 | Central Bank of Nigeria Oil Warrants, Expires 11/15/20 * | 4,500,000 | ||||||||
|
| |||||||||
Uruguay — 0.0% | ||||||||||
4,000,000 | Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (d) | — | ||||||||
|
| |||||||||
Venezuela — 0.2% | ||||||||||
283,235 | Republic of Venezuela Oil Warrants, Expires 04/15/20 | 6,231,170 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 10,731,170 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.1% | ||||||||||
Money Market Funds — 1.1% | ||||||||||
39,632,296 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (i) | 39,632,296 | ||||||||
|
| |||||||||
U.S. Government — 2.0% | ||||||||||
69,500,000 | U.S. Treasury Bill, 0.01%, due 10/09/14 (j) | 69,497,888 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $109,130,289) | 109,130,184 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.9% (Cost $3,267,140,816) | 3,521,931,023 | |||||||||
Other Assets and Liabilities (net) — (0.9%) | (31,309,582 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $3,490,621,441 | |||||||||
|
|
See accompanying notes to the financial statements. | 31 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/28/2014 | BCLY | EUR | 40,850,000 | USD | 54,200,189 | $ | 506,793 | |||||||||||||||
10/28/2014 | BOA | EUR | 30,637,500 | USD | 40,677,654 | 407,607 | ||||||||||||||||
10/28/2014 | DB | EUR | 91,912,500 | USD | 122,076,390 | 1,266,251 | ||||||||||||||||
09/02/2014 | CITI | JPY | 2,300,000,000 | USD | 22,661,588 | 555,768 | ||||||||||||||||
09/02/2014 | DB | JPY | 13,000,000,000 | USD | 127,826,942 | 2,881,005 | ||||||||||||||||
10/31/2014 | BOA | JPY | 15,300,000,000 | USD | 147,515,094 | 400,116 |
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/02/2014 | BOA | USD | 147,455,667 | JPY | 15,300,000,000 | $ | (403,911 | ) | ||||||||||||||
10/28/2014 | BCLY | USD | 1,127,789 | EUR | 850,000 | (10,545 | ) | |||||||||||||||
10/28/2014 | BOA | USD | 846,414 | EUR | 637,500 | (8,481 | ) | |||||||||||||||
10/28/2014 | DB | USD | 2,540,145 | EUR | 1,912,500 | (26,348 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 5,568,255 | |||||||||||||||||||||
|
|
Reverse Repurchase Agreements
Face Value | Description | Market Value | ||||||||
USD | 24,655,208 | JP Morgan Securities, Inc., (0.25%), dated 08/31/14, to be repurchased on demand at face value plus accrued interest. (k) | $ | (24,644,935 | ) | |||||
USD | 11,062,760 | JP Morgan Securities, Inc., (0.25%), dated 08/31/14, to be repurchased on demand at face value plus accrued interest. (k) | (11,058,151 | ) | ||||||
USD | 2,990,400 | JP Morgan Securities, Inc., (0.25%), dated 08/31/14, to be repurchased on demand at face value plus accrued interest. (k) | (2,989,445 | ) | ||||||
|
| |||||||||
$ | (38,692,531 | ) | ||||||||
|
| |||||||||
Average balance outstanding | $ | (34,327,554 | ) | |||||||
Average interest rate | 0.15 | % | ||||||||
Maximum balance outstanding | $ | (114,382,479 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements.
Credit Linked Options
Number of | Expiration Date | Descriptions | Premiums | Market Value | ||||||||||||||
Put Sold | USD | 43,000,000 | 04/15/2024 | Banco do Brasil Credit Linked Put Option Swap, Fund receives premium of 0.30% (OTC) (CP-DB) (d) | $ | 254,222 | $ | 235,919 | ||||||||||
Put Sold | USD | 100,000,000 | 04/15/2024 | Banco do Brasil Credit Linked Put Option Swap, Fund receives premium of 0.44% (OTC) (CP-DB) (d) | 535,694 | (898,130 | ) | |||||||||||
Put Sold | USD | 62,000,000 | 03/21/2017 | Lebanese Republic Credit Linked Put Option Swap, Fund receives premium of 0.50% (OTC) (CP-DB) (d) | 391,806 | 576,461 | ||||||||||||
Put Sold | USD | 45,000,000 | 01/20/2021 | Republic of Philippines Credit Linked Put Option Swap, Fund receives premium of 0.25% (OTC) (CP-DB) (d) | — | 74,101 | ||||||||||||
Put Sold | USD | 70,000,000 | 04/03/2018 | Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option Swap, Fund receives premium of 0.40% (OTC) (CP-DB) (d) | 353,889 | (43,830 | ) | |||||||||||
Put Sold | USD | 70,000,000 | 07/14/2017 | Turkiye Is Bankasi A.S. Credit Linked Put Option Swap, Fund receives premium of 0.40% (OTC) (CP-DB) (d) | 362,444 | (8,319 | ) | |||||||||||
|
|
|
| |||||||||||||||
$ | 1,898,055 | $ | (63,798 | ) | ||||||||||||||
|
|
|
|
32 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Swap Contracts
Credit Default Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Annual Premium | Implied Credit Spread (1) | Reference Entity | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
15,000,000 | USD | 9/20/2014 | DB | (Pay) | 4.03% | 2.56% | Sberbank | N/A | $ | (285,421 | ) | |||||||||||||||||||
5,000,000 | USD | 12/20/2014 | DB | (Pay) | 5.00% | N/A | Republic of Argentina | N/A | 3,050,000 | |||||||||||||||||||||
830,000,000 | EUR | 3/16/2015 | DB | (Pay) | 5.00% | 8.44% | Bolivarian Republic of Venezuela | N/A | 9,502,914 | |||||||||||||||||||||
1,040,000,000 | USD | 3/16/2015 | DB | Receive | 5.00% | 8.50% | Bolivarian Republic of Venezuela | 1,040,000,000 | USD | (9,383,582 | ) | |||||||||||||||||||
70,000,000 | USD | 3/20/2015 | DB | (Pay) | 0.00% | N/A | Republic of Argentina (d) | N/A | (9,800,000 | ) | ||||||||||||||||||||
30,000,000 | USD | 6/20/2015 | BCLY | (Pay) | 5.00% | N/A | CDX 13 Emerging Sovereign | N/A | (6,667 | ) | ||||||||||||||||||||
40,000,000 | USD | 6/20/2015 | BCLY | (Pay) | 5.00% | N/A | CDX 13 Emerging Sovereign | N/A | (8,889 | ) | ||||||||||||||||||||
11,000,000 | USD | 6/20/2015 | DB | (Pay) | 5.00% | N/A | CDX 13 Emerging Sovereign | N/A | (2,444 | ) | ||||||||||||||||||||
15,000,000 | USD | 9/20/2015 | BCLY | (Pay) | 1.00% | 0.22% | Republic of Colombia | N/A | (154,125 | ) | ||||||||||||||||||||
56,950,000,000 | COP | 11/20/2015 | CITI | Receive | 1.81% | 0.18% | Republic of Colombia | 56,950,000,000 | COP | 727,753 | ||||||||||||||||||||
15,000,000 | USD | 2/20/2016 | CITI | (Pay) | 2.16% | 0.28% | Republic of Colombia | N/A | (428,993 | ) | ||||||||||||||||||||
56,700,000,000 | COP | 2/20/2016 | CITI | Receive | 1.46% | 0.20% | Republic of Colombia | 56,700,000,000 | COP | 544,430 | ||||||||||||||||||||
114,800,000,000 | COP | 4/20/2016 | CITI | Receive | 1.33% | 0.21% | Republic of Colombia | 114,800,000,000 | COP | 1,344,991 | ||||||||||||||||||||
25,000,000 | USD | 4/20/2016 | CITI | (Pay) | 1.90% | 0.29% | Republic of Colombia | N/A | (835,438 | ) | ||||||||||||||||||||
7,333,333 | EUR | 6/17/2016 | DB | Receive | 5.60% | 5.70% | Republic of Angola | 7,333,333 | EUR | 331,660 | ||||||||||||||||||||
20,000,000 | USD | 8/20/2016 | CITI | (Pay) | 2.15% | 0.31% | Republic of Colombia | N/A | (740,378 | ) | ||||||||||||||||||||
97,680,000,000 | COP | 8/20/2016 | CITI | Receive | 1.51% | 0.23% | Republic of Colombia | 97,680,000,000 | COP | 1,247,910 | ||||||||||||||||||||
50,000,000 | USD | 9/20/2016 | MSCI | (Pay) | 0.00% | N/A | Republic of Argentina (d) | N/A | (3,750,000 | ) | ||||||||||||||||||||
22,500,000 | USD | 3/20/2017 | DB | Receive | 5.00% | 11.21% | Bolivarian Republic of Venezuela | 22,500,000 | USD | (2,789,434 | ) | |||||||||||||||||||
32,000,000 | PEN | 5/20/2017 | DB | Receive | 0.79% | 0.34% | Republic of Peru | 32,000,000 | PEN | 154,542 | ||||||||||||||||||||
2,500,000 | USD | 5/20/2017 | DB | (Pay) | 1.05% | 0.44% | Republic of Peru | N/A | (48,654 | ) | ||||||||||||||||||||
4,500,000 | USD | 7/20/2017 | JPM | Receive | 3.33% | 6.47% | Republic of Jamaica | 4,500,000 | USD | (350,670 | ) | |||||||||||||||||||
25,000,000 | USD | 12/20/2017 | JPM | Receive | 5.00% | 11.96% | Government of Ukraine | 25,000,000 | USD | (3,985,679 | ) | |||||||||||||||||||
5,400,000 | EUR | 3/20/2018 | DB | Receive | 1.00% | 4.54% | Republic of Macedonia | 5,400,000 | EUR | (797,015 | ) | |||||||||||||||||||
50,000,000 | USD | 12/20/2018 | GS | (Pay) | 0.00% | N/A | Republic of Argentina (d) | N/A | (7,000,000 | ) | ||||||||||||||||||||
44,000,000 | USD | 6/20/2019 | JPM | (Pay) | 1.00% | 2.44% | Republic of Croatia | N/A | 2,747,434 | |||||||||||||||||||||
50,000,000 | USD | 6/20/2019 | JPM | (Pay) | 1.00% | 1.21% | Republic of Brazil | N/A | 386,720 | |||||||||||||||||||||
10,000,000 | USD | 9/20/2019 | JPM | (Pay) | 0.00% | N/A | Republic of Argentina (d) | N/A | — | |||||||||||||||||||||
25,000,000 | USD | 9/20/2019 | JPM | (Pay) | 0.00% | N/A | Republic of Argentina (d) | N/A | (1,000,000 | ) | ||||||||||||||||||||
6,000,000 | USD | 3/20/2020 | BCLY | Receive | 1.00% | 2.59% | Republic of Croatia | 6,000,000 | USD | (470,478 | ) | |||||||||||||||||||
6,000,000 | USD | 6/20/2020 | DB | Receive | 1.00% | 3.28% | Commonwealth of Bahamas | 6,000,000 | USD | (672,043 | ) |
See accompanying notes to the financial statements. | 33 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Credit Default Swaps (continued)
Notional Amount | Expiration Date | Counterparty | Receive | Annual Premium | Implied Credit Spread (1) | Reference Entity | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
42,000,000 | EUR | 12/20/2020 | DB | (Pay) | 1.00% | 2.99% | Commonwealth of Bahamas | N/A | $ | 6,025,221 | ||||||||||||||||||||
57,000,000 | USD | 12/20/2020 | DB | Receive | 1.00% | 3.28% | Commonwealth of Bahamas | 57,000,000 | USD | (6,835,013 | ) | |||||||||||||||||||
30,000,000 | USD | 3/20/2023 | JPM | Receive | 1.00% | 2.20% | Republic of Turkey | 30,000,000 | USD | (2,569,792 | ) | |||||||||||||||||||
6,000,000 | USD | 6/20/2023 | DB | Receive | 1.00% | 3.28% | Commonwealth of Bahamas | 6,000,000 | USD | (925,882 | ) | |||||||||||||||||||
200,000,000 | USD | 6/20/2023 | DB | (Pay) | 1.00% | 2.93% | Republic of Croatia | N/A | 27,420,012 | |||||||||||||||||||||
160,000,000 | EUR | 6/20/2023 | DB | Receive | 1.00% | 2.92% | Republic of Croatia | 160,000,000 | EUR | (30,299,855 | ) | |||||||||||||||||||
3,000,000 | USD | 6/20/2023 | DB | Receive | 1.00% | 3.28% | Commonwealth of Bahamas | 3,000,000 | USD | (462,941 | ) | |||||||||||||||||||
40,000,000 | USD | 6/20/2023 | JPM | Receive | 1.00% | 2.93% | Republic of Croatia | 40,000,000 | USD | (5,484,002 | ) | |||||||||||||||||||
25,000,000 | USD | 9/20/2023 | JPM | Receive | 1.00% | 2.15% | Republic of South Africa | 25,000,000 | USD | (2,150,014 | ) | |||||||||||||||||||
24,000,000 | USD | 3/20/2024 | JPM | Receive | 1.00% | 1.24% | Republic of Malaysia | 24,000,000 | USD | (433,887 | ) | |||||||||||||||||||
22,750,000 | USD | 6/20/2024 | JPM | Receive | 1.00% | 1.85% | Republic of Brazil | 22,750,000 | USD | (1,548,009 | ) | |||||||||||||||||||
27,250,000 | USD | 6/20/2024 | JPM | Receive | 1.00% | 1.85% | Republic of Brazil | 27,250,000 | USD | (1,854,209 | ) | |||||||||||||||||||
60,000,000 | USD | 6/20/2024 | JPM | Receive | 1.00% | 1.17% | Peoples Republic of China | 60,000,000 | USD | (749,346 | ) | |||||||||||||||||||
91,000,000 | USD | 6/20/2025 | DB | Receive | 1.00% | 4.73% | Commonwealth of Bahamas | 91,000,000 | USD | (11,360,244 | ) | |||||||||||||||||||
68,000,000 | EUR | 6/20/2025 | DB | (Pay) | 1.00% | 4.42% | Commonwealth of Bahamas | N/A | 10,232,069 | |||||||||||||||||||||
40,000,000 | USD | 3/20/2030 | JPM | Receive | 1.00% | 1.92% | Republic of Brazil | 40,000,000 | USD | (4,014,928 | ) | |||||||||||||||||||
20,000,000 | USD | 9/20/2031 | GS | (Pay) | 1.00% | 1.29% | United Mexican States | N/A | 699,257 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | (46,783,119 | ) | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Premiums to (Pay) Receive |
| $ | 39,442,748 | |||||||||||||||||||||||||||
|
|
^ | Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(Pay) - Fund pays premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(1) | As of August 31, 2014, implied credit spreads in absolute terms and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
34 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
200,000,000 | USD | 8/22/2024 | CSS (l) | (Pay) | 2.58% | 3 Month USD LIBOR | $ | (1,600,789 | ) | |||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
¿ | These securities are primarily backed by subprime mortgages. |
(a) | Security is backed by U.S. Treasury Bonds. |
(b) | Security is in default. |
(c) | Security is linked to Argentina Republic Gross Domestic Product (GDP). Security does not pay principal over life of security or at expiration. Payments are based on growth of Argentina GDP, subject to certain conditions. |
(d) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
(e) | Security represents a judgment against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by the Fund. See “Other matters” in Notes to Financial Statements for additional information. |
(f) | All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2). |
(g) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(h) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(i) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(j) | The rate shown represents yield-to-maturity. |
(k) | Reverse repurchase agreements have an open maturity date and can be closed by either party on demand. |
(l) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 35 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Debt Obligations | 73.7 | % | ||
Short-Term Investments | 25.7 | |||
Futures Contracts | 0.3 | |||
Options Purchased | 0.3 | |||
Loan Participations | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | (0.1 | ) | ||
Swap Contracts | (0.2 | ) | ||
Forward Currency Contracts | (0.5 | ) | ||
Other | 0.7 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
United States | 53.6 | % | ||
Euro Region*** | 38.8 | |||
Sweden | 11.5 | |||
Japan | 9.1 | |||
Emerging**** | 5.8 | |||
Australia | 2.8 | |||
Canada | (6.2 | ) | ||
United Kingdom | (6.5 | ) | ||
Switzerland | (8.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain. |
**** | The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of, Mexico, Venezuela, Russia, Brazil, Argentina, Turkey, Indonesia, Philippines, Hungry and South Africa. Additional information about Emerging Country Debt Fund’s emerging country exposure is available in the country/region summary of its financial statements. |
^ | Rounds to 0.0%. |
36
GMO Global Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value/ Principal Amount Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 51.4% | ||||||||||
Canada — 3.7% | ||||||||||
Foreign Government Obligations | ||||||||||
CAD | 2,000,000 | Government of Canada, 1.50%, due 06/01/23 | 1,780,576 | |||||||
|
| |||||||||
France — 3.7% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,000,000 | Government of France, 4.00%, due 10/25/38 | 1,781,979 | |||||||
|
| |||||||||
Italy — 4.1% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,200,000 | Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34 | 1,963,672 | |||||||
|
| |||||||||
Spain — 1.7% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 500,000 | Government of Spain, 4.70%, due 07/30/41 | 816,495 | |||||||
|
| |||||||||
United States — 38.2% | ||||||||||
U.S. Government | ||||||||||
USD | 9,508,173 | U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (a) | 9,767,422 | |||||||
USD | 10,000,000 | U.S. Treasury Principal Strip Bond, due 11/15/21 | 8,581,610 | |||||||
|
| |||||||||
Total United States | 18,349,032 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $23,036,189) | 24,691,754 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 43.9% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
204,940 | GMO Debt Opportunities Fund, Class VI | 5,113,263 | ||||||||
207,038 | GMO Emerging Country Debt Fund, Class IV | 2,167,687 | ||||||||
131,442 | GMO U.S. Treasury Fund | 3,286,050 | ||||||||
396,115 | GMO World Opportunity Overlay Fund | 10,508,938 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $18,556,868) | 21,075,938 | |||||||||
|
| |||||||||
OPTIONS PURCHASED — 0.2% | ||||||||||
Currency Options | ||||||||||
EUR | 2,100,000 | USD Call/EUR Put, Expires 11/12/14, Strike 1.35, (OTC) (CP-CITI) | 79,595 | |||||||
USD | 1,600,000 | USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB) | 19,021 |
Par Value/ Principal Amount Shares | Description | Value ($) | ||||||||
Currency Options — continued | ||||||||||
USD | 1,600,000 | USD Put/JPY Call, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB) | 4,361 | |||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $55,790) | 102,977 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 4.5% | ||||||||||
Money Market Funds — 1.1% | ||||||||||
499,720 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b) | 499,720 | ||||||||
|
| |||||||||
U.S. Government — 3.4% | ||||||||||
650,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (c) (d) | 649,954 | ||||||||
1,000,000 | U.S. Treasury Bill, 0.05%, due 06/25/15 (c) | 999,568 | ||||||||
|
| |||||||||
Total U.S. Government | 1,649,522 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,148,924) | 2,149,242 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $43,797,771) | 48,019,911 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (478 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $48,019,433 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/21/2014 | BCLY | CAD | 3,000,000 | USD | 2,787,951 | $ | 31,943 | |||||||||||||||
09/02/2014 | BCLY | JPY | 288,100,000 | USD | 2,772,058 | 3,064 | ||||||||||||||||
09/02/2014 | DB | JPY | 363,800,000 | USD | 3,521,848 | 25,284 | ||||||||||||||||
09/02/2014 | GS | JPY | 288,100,000 | USD | 2,771,791 | 2,797 | ||||||||||||||||
09/09/2014 | BCLY | SEK | 11,100,000 | USD | 1,622,493 | 34,368 | ||||||||||||||||
09/02/2014 | DB | USD | 9,242,871 | JPY | 940,000,000 | (208,319 | ) | |||||||||||||||
09/09/2014 | DB | USD | 746,708 | AUD | 800,000 | 140 | ||||||||||||||||
09/30/2014 | DB | USD | 3,880,215 | GBP | 2,300,000 | (62,676 | ) | |||||||||||||||
10/21/2014 | JPM | USD | 1,647,159 | CAD | 1,800,000 | 6,446 | ||||||||||||||||
10/28/2014 | BCLY | USD | 1,625,342 | EUR | 1,225,000 | (15,198 | ) | |||||||||||||||
10/28/2014 | BOA | USD | 1,219,832 | EUR | 918,750 | (12,223 | ) | |||||||||||||||
10/28/2014 | DB | USD | 3,660,798 | EUR | 2,756,250 | (37,972 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 2,773,211 | JPY | 288,100,000 | (3,026 | ) | |||||||||||||||
10/31/2014 | DB | USD | 2,734,894 | JPY | 283,800,000 | (6,056 | ) | |||||||||||||||
10/31/2014 | GS | USD | 2,772,917 | JPY | 288,100,000 | (2,733 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (244,161 | ) | ||||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 37 |
GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Futures Contracts
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
4 | Australian Government Bond 3 Yr. | September 2014 | $ | 409,674 | $ | 2,754 | ||||||
3 | Australian Government Bond 10 Yr. | September 2014 | 344,597 | 13,261 | ||||||||
40 | Euro BOBL | September 2014 | 6,792,321 | 101,588 | ||||||||
3 | Japanese Government Bond 10 Yr. (OSE) | September 2014 | 4,216,393 | 28,734 | ||||||||
18 | U.S. Long Bond (CBT) | December 2014 | 2,521,687 | 9,312 | ||||||||
39 | U.S. Treasury Note 5 Yr. (CBT) | December 2014 | 4,634,602 | 9,575 | ||||||||
24 | UK Gilt Long Bond | December 2014 | 4,523,844 | (428 | ) | |||||||
|
|
|
| |||||||||
$ | 23,443,118 | $ | 164,796 | |||||||||
|
|
|
|
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Sales | ||||||||||||
30 | Canadian Government Bond 10 Yr. | December 2014 | $ | 3,789,150 | $ | (26,100 | ) | |||||
40 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 5,031,250 | (5,433 | ) | |||||||
|
|
|
| |||||||||
$ | 8,820,400 | $ | (31,533 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
1,700,000 | CHF | 9/17/2024 | BCI (e) | (Pay) | 1.45% | 6 Month CHF LIBOR | $ | (115,981 | ) | |||||||||||
8,000,000 | SEK | 8/5/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 1,951 | |||||||||||||
18,000,000 | SEK | 8/6/2016 | BCI (e) | Receive | 0.62% | 3 Month SEK STIBOR | 3,868 | |||||||||||||
21,000,000 | SEK | 8/7/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 5,237 | |||||||||||||
8,000,000 | SEK | 8/11/2016 | BCI (e) | Receive | 0.62% | 3 Month SEK STIBOR | 1,804 | |||||||||||||
5,000,000 | SEK | 8/13/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 1,246 | |||||||||||||
10,700,000 | SEK | 9/17/2024 | BCI (e) | Receive | 2.61% | 3 Month SEK STIBOR | 135,926 | |||||||||||||
6,600,000 | USD | 8/18/2016 | CSS (e) | Receive | 0.47% | 3 Month USD LIBOR | (6,206 | ) | ||||||||||||
11,100,000 | USD | 6/13/2021 | CSS (e) | Receive | 3.65% | 3 Month USD LIBOR | 106,684 | |||||||||||||
550,000 | USD | 8/5/2024 | CSS (e) | Receive | 2.62% | 3 Month USD LIBOR | 6,704 | |||||||||||||
550,000 | USD | 8/5/2024 | CSS (e) | Receive | 2.64% | 3 Month USD LIBOR | 7,501 | |||||||||||||
|
| |||||||||||||||||||
$ | 148,734 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (7,056 | ) | |||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
38 | See accompanying notes to the financial statements. |
GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
(a) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(c) | The rate shown represents yield-to-maturity. |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. (Note 4). |
(e) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 39 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Debt Obligations | 79.3 | % | ||
Short-Term Investments | 20.4 | |||
Futures Contracts | 0.5 | |||
Options Purchased | 0.2 | |||
Loan Participations | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | 0.0 | ^ | ||
Swap Contracts | (0.3 | ) | ||
Forward Currency Contracts | (0.6 | ) | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
Euro Region*** | 60.7 | % | ||
Japan | 26.0 | |||
United States | 9.6 | |||
Sweden | 9.5 | |||
Emerging **** | 5.2 | |||
Australia | 3.5 | |||
United Kingdom | (0.7 | ) | ||
Canada | (5.4 | ) | ||
Switzerland | (8.4 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain. |
**** | The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of, Mexico, Venezuela, Russia, Brazil, Argentina, Turkey, Indonesia, Philippines, Hungry and South Africa. Additional information about Emerging Country Debt Fund’s emerging country exposure is available in the country/region summary of its financial statements. |
^ | Rounds to 0.0%. |
40
GMO International Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value / Shares / Principal Amount | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 55.1% | ||||||||||
Canada — 2.1% | ||||||||||
Foreign Government Obligations | ||||||||||
CAD | 1,000,000 | Government of Canada, 3.50%, due 06/01/20 | 1,017,392 | |||||||
|
| |||||||||
France — 4.5% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,200,000 | Government of France, 4.00%, due 10/25/38 | 2,138,375 | |||||||
|
| |||||||||
Italy — 7.4% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,250,000 | Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34 | 2,045,491 | |||||||
EUR | 1,000,000 | Buoni Poliennali Del Tesoro, 4.50%, due 02/01/18 | 1,477,826 | |||||||
|
| |||||||||
Total Italy | 3,523,317 | |||||||||
|
| |||||||||
Japan — 20.2% | ||||||||||
Foreign Government Obligations | ||||||||||
JPY | 848,400,000 | Japan Government Twenty Year Bond, 2.20%, due 06/20/26 | 9,580,979 | |||||||
|
| |||||||||
Spain — 2.1% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 600,000 | Government of Spain, 4.70%, due 07/30/41 | 979,794 | |||||||
|
| |||||||||
United States — 18.8% | ||||||||||
U.S. Government | ||||||||||
USD | 8,693,362 | U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (a) | 8,930,395 | |||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $26,419,531) | 26,170,252 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 41.2% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
250,139 | GMO Debt Opportunities Fund, Class VI | 6,240,976 | ||||||||
186,359 | GMO Emerging Country Debt Fund, Class IV | 1,951,181 | ||||||||
45,970 | GMO U.S. Treasury Fund | 1,149,238 | ||||||||
385,270 | GMO World Opportunity Overlay Fund | 10,221,209 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $15,828,425) | 19,562,604 | |||||||||
|
| |||||||||
OPTIONS PURCHASED — 0.1% | ||||||||||
Currency Options | ||||||||||
EUR | 900,000 | USD Call/EUR Put, Expires 11/12/14, Strike 1.35, (OTC) (CP-CITI) | 34,112 | |||||||
USD | 1,400,000 | USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB) | 16,643 |
Principal Amount / Shares / | Description | Value ($) | ||||||||
Currency Options — continued | ||||||||||
USD | 1,400,000 | USD Put/JPY Call, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB) | 3,816 | |||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $34,267) | 54,571 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.8% | ||||||||||
Money Market Funds — 0.7% | ||||||||||
349,390 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b) | 349,390 | ||||||||
|
| |||||||||
U.S. Government — 3.1% | ||||||||||
150,000 | U.S. Treasury Bill, 0.05%, due 06/25/15 (c) | 149,935 | ||||||||
1,300,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (c) (d) | 1,299,908 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,799,016) | 1,799,233 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.2% (Cost $44,081,239) | 47,586,660 | |||||||||
Other Assets and Liabilities (net) — (0.2%) | (104,598 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $47,482,062 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/21/2014 | JPM | CAD | 500,000 | USD | 457,544 | $ | (1,791 | ) | ||||||||||||||
09/02/2014 | BCLY | JPY | 170,850,000 | USD | 1,643,895 | 1,817 | ||||||||||||||||
09/02/2014 | DB | JPY | 228,300,000 | USD | 2,212,247 | 18,004 | ||||||||||||||||
09/02/2014 | GS | JPY | 170,850,000 | USD | 1,643,737 | 1,659 | ||||||||||||||||
09/09/2014 | BCLY | SEK | 13,600,000 | USD | 1,987,919 | 42,109 | ||||||||||||||||
09/02/2014 | DB | USD | 5,604,720 | JPY | 570,000,000 | (126,321 | ) | |||||||||||||||
09/09/2014 | DB | USD | 840,047 | AUD | 900,000 | 157 | ||||||||||||||||
09/30/2014 | DB | USD | 5,398,560 | GBP | 3,200,000 | (87,201 | ) | |||||||||||||||
10/21/2014 | BCLY | USD | 464,659 | CAD | 500,000 | (5,324 | ) | |||||||||||||||
10/28/2014 | BCLY | USD | 3,018,493 | EUR | 2,275,000 | (28,224 | ) | |||||||||||||||
10/28/2014 | BOA | USD | 2,265,402 | EUR | 1,706,250 | (22,700 | ) | |||||||||||||||
10/28/2014 | DB | USD | 6,798,624 | EUR | 5,118,750 | (70,520 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 1,644,579 | JPY | 170,850,000 | (1,795 | ) | |||||||||||||||
10/31/2014 | DB | USD | 1,621,856 | JPY | 168,300,000 | (3,591 | ) | |||||||||||||||
10/31/2014 | GS | USD | 1,644,404 | JPY | 170,850,000 | (1,621 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$(285,342) | ||||||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 41 |
GMO International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
4 | Australian Government Bond 10 Yr. | September 2014 | $ | 459,437 | $ | 17,656 | ||||||
6 | Australian Government Bond 3 Yr. | September 2014 | 614,505 | 4,125 | ||||||||
57 | Euro BOBL | September 2014 | 9,678,700 | 144,405 | ||||||||
17 | Euro Bund | September 2014 | 3,384,971 | 62,239 | ||||||||
11 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 1,383,594 | 4,688 | ||||||||
36 | UK Gilt Long Bond | December 2014 | 6,785,766 | (641 | ) | |||||||
|
|
|
| |||||||||
$ | 22,306,973 | $ | 232,472 | |||||||||
|
|
|
|
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Sales | ||||||||||||
19 | Canadian Government Bond 10 Yr. | December 2014 | $ | 2,399,770 | $ | (16,024 | ) | |||||
2 | Japanese Government Bond 10 Yr. (OSE) | September 2014 | 2,810,899 | (23,648 | ) | |||||||
2 | U.S. Long Bond (CBT) | December 2014 | 280,188 | (772 | ) | |||||||
|
|
|
| |||||||||
$ | 5,490,857 | $ | (40,444 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. |
Sales - Fund is short the underlying asset to the contract. |
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
1,600,000 | CHF | 9/17/2024 | BCI (e) | (Pay) | 1.45% | 6 Month CHF LIBOR | $ | (109,159 | ) | |||||||||||
5,000,000 | SEK | 8/5/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 1,219 | |||||||||||||
12,000,000 | SEK | 8/6/2016 | BCI (e) | Receive | 0.62% | 3 Month SEK STIBOR | 2,578 | |||||||||||||
14,000,000 | SEK | 8/7/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 3,492 | |||||||||||||
6,000,000 | SEK | 8/11/2016 | BCI (e) | Receive | 0.62% | 3 Month SEK STIBOR | 1,353 | |||||||||||||
3,000,000 | SEK | 8/13/2016 | BCI (e) | Receive | 0.63% | 3 Month SEK STIBOR | 748 | |||||||||||||
10,500,000 | SEK | 9/17/2024 | BCI (e) | Receive | 2.61% | 3 Month SEK STIBOR | 133,385 | |||||||||||||
3,600,000 | USD | 6/13/2021 | CSS (e) | Receive | 3.65% | 3 Month USD LIBOR | 34,600 | |||||||||||||
500,000 | USD | 8/5/2024 | CSS (e) | Receive | 2.62% | 3 Month USD LIBOR | 6,094 | |||||||||||||
500,000 | USD | 8/5/2024 | CSS (e) | Receive | 2.64% | 3 Month USD LIBOR | 6,820 | |||||||||||||
|
| |||||||||||||||||||
$ | 81,130 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (490 | ) | |||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
42 | See accompanying notes to the financial statements. |
GMO International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Notes to Schedule of Investments:
(a) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(c) | The rate shown represents yield-to-maturity. |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. (Note 4). |
(e) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 43 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Short-Term Investments | 99.8 | % | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
44
GMO U.S. Treasury Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 99.8% | ||||||||||
U.S. Government — 99.4% | ||||||||||
262,000,000 | U.S. Treasury Bill, 0.03%, due 11/06/14 (a) | 261,988,210 | ||||||||
59,600,000 | U.S. Treasury Bill, 0.02%, due 12/11/14 (a) | 59,596,662 | ||||||||
421,500,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (a) | 421,470,074 | ||||||||
295,400,000 | U.S. Treasury Bill, 0.05%, due 10/16/14 (a) | 295,382,431 | ||||||||
249,282,000 | U.S. Treasury Bill, 0.04%, due 10/02/14 (a) | 249,273,485 | ||||||||
276,000,000 | U.S. Treasury Bill, 0.03%, due 11/28/14 (a) | 275,981,784 | ||||||||
168,500,000 | U.S. Treasury Bill, 0.03%, due 12/26/14 (a) | 168,483,824 | ||||||||
270,000,000 | U.S. Treasury Note, 0.25%, due 11/30/14 | 270,137,160 | ||||||||
|
| |||||||||
Total U.S. Government | 2,002,313,630 | |||||||||
|
| |||||||||
Money Market Funds — 0.4% | ||||||||||
8,198,422 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b) | 8,198,422 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,010,441,399) | 2,010,512,052 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $2,010,441,399) | 2,010,512,052 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 2,938,857 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,013,450,909 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate shown represents yield-to-maturity. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
See accompanying notes to the financial statements. | 45 |
GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Short-Term Investments | 61.9 | % | ||
Debt Obligations | 36.2 | |||
Options Purchased | 0.3 | |||
Futures Contracts | 0.2 | |||
Other | 3.2 | |||
Swap Contracts | (1.8 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Industry Sector Summary | % of Debt Obligations | |||
U.S. Government | 62.7 | % | ||
Business Loans | 14.4 | |||
Residential Asset-Backed Securities (United States) | 9.1 | |||
Insured Other | 7.1 | |||
Residential Mortgage-Backed Securities (European) | 3.0 | |||
Residential Mortgage-Backed Securities (Australian) | 2.6 | |||
U.S. Government Agency | 1.1 | |||
CMBS Collateralized Debt Obligations | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
46
GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 36.2% | ||||||||||
Asset-Backed Securities — 13.1% | ||||||||||
Business Loans — 5.2% | ||||||||||
777,242 | Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.53%, due 01/25/35 | 722,835 | ||||||||
1,166,105 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.55%, due 01/25/36 | 1,032,003 | ||||||||
4,472,411 | Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.46%, due 12/25/37 | 4,405,325 | ||||||||
2,729,285 | Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 02/28/40 | 2,128,023 | ||||||||
764,075 | GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.40%, due 11/15/33 | 702,949 | ||||||||
858,936 | Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/25/30 | 805,390 | ||||||||
601,196 | Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 09/25/30 | 556,858 | ||||||||
|
| |||||||||
Total Business Loans | 10,353,383 | |||||||||
|
| |||||||||
CMBS Collateralized Debt Obligations — 0.0% | ||||||||||
6,777,455 | American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52 | 6,777 | ||||||||
|
| |||||||||
Insured Other — 2.6% | ||||||||||
1,702,739 | Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 09/15/41 | 1,654,451 | ||||||||
1,369,085 | Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 12/15/41 | 1,335,285 | ||||||||
9,200,000 | Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37 | 2,106,800 | ||||||||
|
| |||||||||
Total Insured Other | 5,096,536 | |||||||||
|
| |||||||||
Residential Asset-Backed Securities (United States) ¿— 3.3% | ||||||||||
4,463,089 | Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.36%, due 11/25/36 | 2,416,316 | ||||||||
7,988,149 | Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 07/25/36 | 4,093,927 | ||||||||
|
| |||||||||
Total Residential Asset-Backed Securities (United States) | 6,510,243 | |||||||||
|
|
Principal Amount / Par Value ($) | Description | Value ($) | ||||||||
Residential Mortgage-Backed Securities (Australian) — 0.9% | ||||||||||
1,928,315 | Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.63%, due 03/14/36 | 1,859,069 | ||||||||
|
| |||||||||
Residential Mortgage-Backed Securities (European) — 1.1% | ||||||||||
2,288,964 | Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.43%, due 09/15/39 | 2,145,217 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 25,971,225 | |||||||||
|
| |||||||||
U.S. Government — 22.7% | ||||||||||
55,000,000 | U.S. Treasury Strip Coupon, due 02/19/23 | 45,030,645 | ||||||||
|
| |||||||||
U.S. Government Agency — 0.4% | ||||||||||
800,000 | U.S. Department of Transportation, 144A, 6.00%, due 12/07/21 | 849,120 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $85,149,553) | 71,850,990 | |||||||||
|
| |||||||||
OPTIONS PURCHASED — 0.3% | ||||||||||
Currency Options — 0.0% | ||||||||||
EUR | 3,000,000 | EUR Call/CHF Put, Expires 06/16/15, Strike 1.56, (OTC) (CP-JPM) | — | |||||||
|
| |||||||||
Options on Interest Rate Swaps — 0.3% | ||||||||||
USD | 32,600,000 | USD Swaption Call, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 32,600,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.52%, maturing on 10/01/24. (OTC) (CP-GS) | 199,414 | |||||||
USD | 32,600,000 | USD Swaption Put, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 32,600,000 USD in which it will pay a rate of 2.52% and will receive 3 month USD LIBOR, maturing on 10/01/24. (OTC) (CP-GS) | 228,037 | |||||||
USD | 6,900,000 | USD Swaption Call, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 6,900,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.69%, maturing on 10/21/24. (OTC) (CP-JPM) | 115,492 |
See accompanying notes to the financial statements. | 47 |
GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Principal Amount / Shares | Description | Value ($) | ||||||||
Options on Interest Rate Swaps — continued | ||||||||||
USD | 6,900,000 | USD Swaption Put, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 6,900,000 USD in which it will pay a rate of 2.69% and will receive 3 month USD LIBOR, maturing on 10/21/24. (OTC) (CP-JPM) | 24,820 | |||||||
|
| |||||||||
Total Options on Interest Rate Swaps | 567,763 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $1,948,940) | 567,763 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 61.9% | ||||||||||
Money Market Funds — 1.1% | ||||||||||
2,163,811 | State Street Institutional Liquid Reserves Fund-Premier Class, 0.00% (a) | 2,163,811 | ||||||||
|
|
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government — 60.8% | ||||||||||
10,500,000 | U.S. Treasury Bill, 0.05%, due 06/25/15 (b) | 10,495,464 | ||||||||
99,000,000 | U.S. Treasury Bill, 0.05%, due 10/09/14 (b) (c) | 98,994,500 | ||||||||
11,200,000 | U.S. Treasury Bill, 0.02%, due 01/15/15 (b) | 11,198,947 | ||||||||
|
| |||||||||
Total U.S. Government | 120,688,911 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $122,849,752) | 122,852,722 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.4% (Cost $209,948,245) | 195,271,475 | |||||||||
Other Assets and Liabilities (net) — 1.6% | 3,149,429 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $198,420,904 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Reverse Repurchase Agreements
Average balance outstanding | $ | (48,368,280 | ) | |
Average interest rate | 0.61 | % | ||
Maximum balance outstanding | $ | (49,679,720 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
1,122 | 90 Day Sterling | June 2015 | $ | 230,356,414 | $ | 69,476 | ||||||
1,009 | 90 Day Sterling | December 2014 | 207,920,786 | 458,054 | ||||||||
|
|
|
| |||||||||
$ | 438,277,200 | $ | 527,530 | |||||||||
|
|
|
|
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Sales | ||||||||||||
87 | 90 Day Sterling | December 2015 | $ | 17,793,255 | $ | (8,223 | ) | |||||
1,035 | 90 Day Sterling | September 2015 | 212,075,728 | (70,389 | ) | |||||||
|
|
|
| |||||||||
$ | 229,868,983 | $ | (78,612 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. |
Sales - Fund is short the underlying asset to the contract. |
48 | See accompanying notes to the financial statements. |
GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
121,200,000 | USD | 5/2/2021 | CSS (d) | Receive | 3.73% | 3 Month USD LIBOR | $ | 1,384,533 | ||||||||||
121,200,000 | USD | 5/2/2021 | CSS (d) | Receive | 3.72% | 3 Month USD LIBOR | 1,358,266 | |||||||||||
55,000,000 | USD | 2/15/2023 | CSS (d) | (Pay) | 0.00% | 3 Month USD LIBOR | (1,562,515 | ) | ||||||||||
16,000,000 | GBP | 7/16/2024 | BCI (d) | Receive | 3.45% | 6 Month GBP LIBOR | 582,448 | |||||||||||
4,200,000 | USD | 8/11/2024 | CSS (d) | (Pay) | 2.59% | 3 Month USD LIBOR | (37,114 | ) | ||||||||||
3,900,000 | USD | 8/12/2024 | CSS (d) | (Pay) | 2.55% | 3 Month USD LIBOR | (21,210 | ) | ||||||||||
5,300,000 | USD | 8/13/2024 | CSS (d) | Receive | 2.60% | 3 Month USD LIBOR | 49,867 | |||||||||||
5,400,000 | USD | 8/15/2024 | CSS (d) | (Pay) | 2.57% | 3 Month USD LIBOR | (36,458 | ) | ||||||||||
4,900,000 | USD | 8/19/2024 | CSS (d) | (Pay) | 2.53% | 3 Month USD LIBOR | (17,091 | ) | ||||||||||
12,200,000 | USD | 8/20/2024 | CSS (d) | Receive | 2.63% | 3 Month USD LIBOR | 154,846 | |||||||||||
1,600,000 | USD | 8/27/2024 | CSS (d) | (Pay) | 2.53% | 3 Month USD LIBOR | (5,509 | ) | ||||||||||
78,000,000 | GBP | 12/17/2024 | BCI (d) | (Pay) | 3.50% | 6 Month GBP LIBOR | (2,886,796 | ) | ||||||||||
13,000,000 | USD | 5/2/2049 | CSS (d) | (Pay) | 3.98% | 3 Month USD LIBOR | (1,231,326 | ) | ||||||||||
13,000,000 | USD | 5/2/2049 | CSS (d) | (Pay) | 3.97% | 3 Month USD LIBOR | (1,219,698 | ) | ||||||||||
|
| |||||||||||||||||
$ | (3,487,757 | ) | ||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | 204,741 | ||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
¿ | These securities are primarily backed by subprime mortgages. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(b) | The rate shown represents yield-to-maturity. |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(d) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.
See accompanying notes to the financial statements. | 49 |
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Portfolio Abbreviations:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ABS - Asset-Backed Security
AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.
BBA - British Bankers’ Association
BBSW - Bank Bill Swap Reference Rate
BOBL - Bundesobligationen
CDO - Collateralized Debt Obligation
CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.
CMBS - Commercial Mortgage Backed Security.
CP - Counterparty
DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks
FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDP - Gross Domestic Product
JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen
LIBOR - London Interbank Offered Rate
MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.
OTC - Over-the-Counter
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
TBA - To Be Announced - Delayed Delivery Security
TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
XL - Insured as to the payment of principal and interest by XL Capital Assurance.
The rates shown on variable rate notes are the current interest rates at August 31, 2014, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BCI - Barclays Capital Inc.
BCLY - Barclays Bank plc
BOA - Bank of America, N.A.
CITI - Citibank N.A.
CSS - Credit Suisse Securities (USA) LLC
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
COP - Colombian Peso
DEM - Deutsche Mark
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
MXN - Mexican Peso
NZD - New Zealand Dollar
PEN - Peruvian Sol
SEK - Swedish Krona
USD - United States Dollar
ZAR - South African Rand
50 | See accompanying notes to the financial statements. |
Statements of Assets and Liabilities — August 31, 2014 (Unaudited)
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in unaffiliated issuers, at value (Note 2)(a) | $ | 4,288,204,010 | $ | 173,586,496 | $ | 38,607,696 | $ | 1,812,286,494 | $ | 3,411,546,135 | ||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(b) | 131,158,549 | 75,102,766 | 37,542,750 | �� | 29,031,828 | 110,384,888 | ||||||||||||||
Due from broker for investments sold short | 1,192,115,547 | — | — | — | — | |||||||||||||||
Receivable for Fund shares sold | 5,998,510 | — | — | — | — | |||||||||||||||
Dividends and interest receivable | 3,137,017 | 519,061 | 263,473 | 2,260,181 | 45,703,781 | |||||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 16,588,308 | 774,690 | 450,251 | — | 6,017,540 | |||||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | 688,251 | 39,680 | 9,847 | — | — | |||||||||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 479,844 | — | — | — | 129,237 | |||||||||||||||
Due from broker (Note 2) | 64,581,011 | 674,894 | 561,797 | 548,933 | 5,315,495 | |||||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | 241,267 | — | — | 64,414,913 | |||||||||||||||
Receivable for closed swap contracts (Note 4) | — | 1,301,912 | — | — | — | |||||||||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 51,864 | 25,927 | 15,802 | 53,134 | 3,668 | |||||||||||||||
Receivable for options (Note 4) | — | — | — | — | 886,481 | |||||||||||||||
Miscellaneous receivable | — | — | — | — | 2,342 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total assets | 5,703,002,911 | 252,266,693 | 77,451,616 | 1,844,180,570 | 3,644,404,480 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities: | ||||||||||||||||||||
Investments sold short, at value (Note 2)(c) | 1,199,884,156 | — | — | — | — | |||||||||||||||
Payable for investments purchased | 4,238,726 | 14,770,516 | 415 | — | — | |||||||||||||||
Payable for Fund shares repurchased | — | — | — | — | 468,414 | |||||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||||||
Management fee | 959,139 | 50,471 | 16,205 | 392,557 | 1,029,269 | |||||||||||||||
Shareholder service fee | 231,021 | 22,310 | 9,724 | 86,363 | 327,355 | |||||||||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | 18,460 | 5,905 | 9,143 | — | |||||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | — | 23,906 | — | |||||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 567,884 | 35,431 | 10,500 | — | 449,285 | |||||||||||||||
Payable for open OTC swap contracts (Note 4) | — | 530,246 | — | — | 111,198,032 | |||||||||||||||
Payable for reverse repurchase agreements (Note 2) | — | — | — | — | 38,692,531 | |||||||||||||||
Payable for options (Note 4)(d) | — | — | — | — | 950,279 | |||||||||||||||
Payable to agents unaffiliated with the Manager | 372 | 31 | 5 | 279 | 341 | |||||||||||||||
Payable to Trustees and related expenses | 502 | 59 | 21 | 956 | 749 | |||||||||||||||
Accrued expenses | 175,433 | 89,847 | 67,184 | 185,849 | 666,784 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liabilities | 1,206,057,233 | 15,517,371 | 109,959 | 699,053 | 153,783,039 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets | $ | 4,496,945,678 | $ | 236,749,322 | $ | 77,341,657 | $ | 1,843,481,517 | $ | 3,490,621,441 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(a) Cost of investments – unaffiliated issuers: | $ | 4,291,324,442 | $ | 171,326,628 | $ | 33,272,906 | $ | 1,960,770,933 | $ | 3,163,283,703 | ||||||||||
(b) Cost of investments – affiliated issuers: | $ | 131,158,549 | $ | 65,299,709 | $ | 33,478,048 | $ | 29,031,828 | $ | 103,857,113 | ||||||||||
(c) Proceeds from securities sold short: | $ | 1,192,115,547 | $ | — | $ | — | $ | — | $ | — | ||||||||||
(d) Premiums on options: | $ | — | $ | — | $ | — | $ | — | $ | 1,898,055 |
See accompanying notes to the financial statements. | 51 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 4,393,867,913 | $ | 377,820,432 | $ | 80,661,269 | $ | 2,065,244,991 | $ | 3,358,687,976 | ||||||||||
Accumulated undistributed net investment income | 40,081,816 | 697,546 | 420,043 | 22,184,145 | 33,033,400 | |||||||||||||||
Accumulated net realized gain (loss) | 73,738,855 | (155,247,240 | ) | (13,833,567 | ) | (95,291,711 | ) | (154,279,400 | ) | |||||||||||
Net unrealized appreciation (depreciation) | (10,742,906 | ) | 13,478,584 | 10,093,912 | (148,655,908 | ) | 253,179,465 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 4,496,945,678 | $ | 236,749,322 | $ | 77,341,657 | $ | 1,843,481,517 | $ | 3,490,621,441 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class III shares | $ | 248,335,233 | $ | 50,205,963 | $ | 77,341,657 | $ | — | $ | 790,105,448 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class IV shares | $ | — | $ | 186,543,359 | $ | — | $ | — | $ | 2,700,515,993 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class VI shares | $ | 4,248,610,445 | $ | — | $ | — | $ | 1,843,481,517 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares outstanding: | ||||||||||||||||||||
Class III | 9,808,540 | 6,530,930 | 8,067,025 | — | 75,401,550 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class IV | — | 24,209,381 | — | — | 258,040,329 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class VI | 167,522,167 | — | — | 73,880,380 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value per share: | ||||||||||||||||||||
Class III | $ | 25.32 | $ | 7.69 | $ | 9.59 | $ | — | $ | 10.48 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class IV | $ | — | $ | 7.71 | $ | — | $ | — | $ | 10.47 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class VI | $ | 25.36 | $ | — | $ | — | $ | 24.95 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
52 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Global Bond Fund | International Bond Fund | U.S. Treasury Fund | World Opportunity Overlay Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated issuers, at value (Note 2)(a) | $ | 26,943,973 | $ | 28,024,056 | $ | 2,010,512,052 | $ | 195,271,475 | ||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(b) | 21,075,938 | 19,562,604 | — | — | ||||||||||||
Cash | — | — | — | 456,808 | ||||||||||||
Receivable for Fund shares sold | — | — | 47,498,000 | — | ||||||||||||
Dividends and interest receivable | 84,535 | 134,290 | 171,362 | 32,815 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 104,042 | 63,746 | — | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 188 | — | 32,925 | ||||||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | — | — | — | 115,325 | ||||||||||||
Due from broker (Note 2) | 237,445 | 118,961 | — | 3,502,253 | ||||||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 12,449 | 15,370 | 166,441 | 18,259 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 48,458,382 | 47,919,215 | 2,058,347,855 | 199,429,860 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Due to custodian | — | — | 7,763,000 | — | ||||||||||||
Payable for investments purchased | 112 | 50 | — | 440,100 | ||||||||||||
Payable for Fund shares repurchased | — | — | 36,829,000 | — | ||||||||||||
Payable for closed swap contracts (Note 4) | — | — | — | 456,807 | ||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||
Management fee | 7,889 | 10,110 | 136,194 | — | ||||||||||||
Shareholder service fee | 6,228 | 6,066 | — | — | ||||||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | 5,369 | 3,335 | — | — | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 2,052 | — | — | — | ||||||||||||
Dividend payable | — | — | 19,062 | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 348,203 | 349,088 | — | — | ||||||||||||
Payable to agents unaffiliated with the Manager | 31 | 5 | 250 | 62 | ||||||||||||
Payable to Trustees and related expenses | 2 | — | 787 | — | ||||||||||||
Accrued expenses | 69,063 | 68,499 | 148,653 | 111,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 438,949 | 437,153 | 44,896,946 | 1,008,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 48,019,433 | $ | 47,482,062 | $ | 2,013,450,909 | $ | 198,420,904 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – unaffiliated issuers: | $ | 25,240,903 | $ | 28,252,814 | $ | 2,010,441,399 | $ | 209,948,245 | ||||||||
(b) Cost of investments – affiliated issuers: | $ | 18,556,868 | $ | 15,828,425 | $ | — | $ | — |
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Global Bond Fund | International Bond Fund | U.S. Treasury Fund | World Opportunity Overlay Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 67,947,812 | $ | 78,093,263 | $ | 2,013,257,135 | ||||||||||
Distributions in excess of net investment income | (160,842 | ) | (178,638 | ) | — | |||||||||||
Accumulated net realized gain (loss) | (24,017,489 | ) | (33,922,139 | ) | 123,121 | |||||||||||
Net unrealized appreciation (depreciation) | 4,249,952 | 3,489,576 | 70,653 | |||||||||||||
|
|
|
|
|
| |||||||||||
$ | 48,019,433 | $ | 47,482,062 | $ | 2,013,450,909 | |||||||||||
|
|
|
|
|
| |||||||||||
Net assets attributable to: | ||||||||||||||||
Core Class shares | $ | — | $ | — | $ | 2,013,450,909 | $ | 198,420,904 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III shares | $ | 48,019,433 | $ | 47,482,062 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Core Class | — | — | 80,538,690 | 7,479,493 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 5,399,841 | 6,350,237 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Core Class | $ | — | $ | — | $ | 25.00 | $ | 26.53 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 8.89 | $ | 7.48 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited)
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | ||||||||||||||||
Investment Income: |
| |||||||||||||||||||
Interest | $ | 51,458,047 | $ | 1,160,209 | $ | 441,666 | $ | 26,409,337 | $ | 97,782,763 | ||||||||||
Dividends from affiliated issuers (Note 10) | 23,272 | 407,909 | 122,239 | 9,878 | 14,666 | |||||||||||||||
Dividends from unaffiliated issuers | — | — | — | 1,189 | 1,225,021 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment income | 51,481,319 | 1,568,118 | 563,905 | 26,420,404 | 99,022,450 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: |
| |||||||||||||||||||
Management fee (Note 5) | 4,844,165 | 306,256 | 93,518 | 2,609,292 | 5,830,579 | |||||||||||||||
Shareholder service fee – Class III (Note 5) | 233,996 | 37,410 | 56,111 | — | 541,547 | |||||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 97,562 | — | — | 1,304,848 | |||||||||||||||
Shareholder service fee – Class VI (Note 5) | 979,918 | — | — | 574,044 | — | |||||||||||||||
Interest expense (Note 2) | 3,015 | 2,279 | 738 | 36 | — | |||||||||||||||
Audit and tax fees | 33,856 | 56,028 | 44,160 | 83,536 | 85,836 | |||||||||||||||
Custodian, fund accounting agent and transfer agent fees | 175,352 | 39,192 | 22,172 | 154,652 | 455,308 | |||||||||||||||
Legal fees | 32,476 | 4,508 | 3,036 | 20,976 | 29,624 | |||||||||||||||
Registration fees | 121,056 | 3,220 | 1,691 | 59,099 | 47,037 | |||||||||||||||
Trustees fees and related expenses (Note 5) | 20,018 | 7,249 | 368 | 11,649 | 17,438 | |||||||||||||||
Miscellaneous | 12,883 | 4,501 | 3,133 | 26,459 | 14,165 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses | 6,456,735 | 558,205 | 224,927 | 3,539,743 | 8,326,382 | |||||||||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (370,655 | ) | (104,873 | ) | (71,796 | ) | (340,766 | ) | — | |||||||||||
Indirectly incurred fees waived or borne by Manager (Note 5) | — | (40,564 | ) | (17,244 | ) | — | (19,216 | ) | ||||||||||||
Shareholder service fee waived (Note 5) | — | (9,782 | ) | (4,048 | ) | — | (4,228 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses | 6,086,080 | 402,986 | 131,839 | 3,198,977 | 8,302,938 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | 45,395,239 | 1,165,132 | 432,066 | 23,221,427 | 90,719,512 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated issuers | 52,389,430 | 3,050,593 | (49,010 | ) | (5,500,922 | ) | 14,785,586 | |||||||||||||
Investments in affiliated issuers | — | (3,114,246 | ) | (526,756 | ) | — | — | |||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 4,326 | 1,817 | 857 | 1 | 2,240 | |||||||||||||||
Futures contracts | 2,573,936 | (1,206,525 | ) | 1,008,393 | (1,183,006 | ) | — | |||||||||||||
Options | — | 67,246 | 19,579 | — | 363,747 | |||||||||||||||
Swap contracts | 19,545,701 | 3,670,076 | 196,050 | (337,506 | ) | 3,556,410 | ||||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 7,207,290 | 2,341,548 | 1,174,809 | — | 5,862,989 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized gain (loss) | 81,720,683 | 4,810,509 | 1,823,922 | (7,021,433 | ) | 24,570,972 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments in unaffiliated issuers | (7,290,789 | ) | 3,043,466 | 2,342,357 | 44,364,047 | 230,361,992 | ||||||||||||||
Investments in affiliated issuers | — | 184,293 | 362,171 | — | (55,141 | ) | ||||||||||||||
Securities sold short | (7,768,609 | ) | — | — | — | — | ||||||||||||||
Futures contracts | (3,504,625 | ) | (13,659 | ) | 43,631 | 104,763 | — | |||||||||||||
Options | — | (48,402 | ) | (13,829 | ) | — | 2,092,559 | |||||||||||||
Swap contracts | (12,317,525 | ) | 687,731 | 173,840 | 109,825 | (19,865,293 | ) | |||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 15,968,285 | 385,088 | 345,195 | — | 8,346,306 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net unrealized gain (loss) | (14,913,263 | ) | 4,238,517 | 3,253,365 | 44,578,635 | 220,880,423 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized and unrealized gain (loss) | 66,807,420 | 9,049,026 | 5,077,287 | 37,557,202 | 245,451,395 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 112,202,659 | $ | 10,214,158 | $ | 5,509,353 | $ | 60,778,629 | $ | 336,170,907 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited) — (Continued)
Global Bond Fund | International Bond Fund | U.S. Treasury Fund | World Opportunity Overlay Fund | |||||||||||||
Investment Income: |
| |||||||||||||||
Interest | $ | 512,197 | $ | 242,317 | $ | 580,758 | $ | 1,535,221 | ||||||||
Dividends from affiliated issuers (Note 10) | 85,606 | 68,213 | — | — | ||||||||||||
Dividends from unaffiliated issuers | 89 | 3 | — | 4,689 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 597,892 | 310,533 | 580,758 | 1,539,910 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 103,050 | 68,696 | 879,564 | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 81,355 | 41,218 | — | — | ||||||||||||
Interest expense (Note 2) | 1,073 | 595 | — | 133,595 | ||||||||||||
Audit and tax fees | 48,392 | 48,392 | 29,164 | 70,380 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 23,192 | 20,148 | 120,336 | 43,968 | ||||||||||||
Legal fees | 3,169 | 2,944 | 21,766 | 5,956 | ||||||||||||
Registration fees | 1,656 | 2,208 | 736 | — | ||||||||||||
Trustees fees and related expenses (Note 5) | 559 | 263 | 11,040 | 2,104 | ||||||||||||
Miscellaneous | 3,496 | 3,133 | 8,372 | 3,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 265,942 | 187,597 | 1,070,978 | 259,499 | ||||||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (44,787 | ) | (74,428 | ) | (1,055,890 | ) | (120,488 | ) | ||||||||
Indirectly incurred fees waived or borne by Manager (Note 5) | (30,034 | ) | (16,479 | ) | — | — | ||||||||||
Shareholder service fee waived (Note 5) | (6,954 | ) | (3,798 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 184,167 | 92,892 | 15,088 | 139,011 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 413,725 | 217,641 | 565,670 | 1,400,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | 3,327,659 | 1,317,537 | 123,527 | (31,537,008 | ) | |||||||||||
Investments in affiliated issuers | (2,555,887 | ) | 1,233,527 | — | — | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 444 | 250 | — | — | ||||||||||||
Futures contracts | 1,041,810 | 805,914 | — | 131,259 | ||||||||||||
Written options | 38,838 | 18,619 | — | — | ||||||||||||
Swap contracts | 238,188 | 374,428 | — | (9,569,867 | ) | |||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 983,752 | 277,921 | — | 8,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 3,074,804 | 4,028,196 | 123,527 | (40,967,315 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | 220,956 | 554,012 | 33,025 | 39,280,653 | ||||||||||||
Investments in affiliated issuers | 886,679 | (2,434,834 | ) | — | — | |||||||||||
Futures contracts | (107,444 | ) | 29,114 | — | 448,918 | |||||||||||
Written options | (27,659 | ) | (13,829 | ) | — | — | ||||||||||
Swap contracts | 239,476 | 47,559 | — | 814,317 | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (883,451 | ) | (701,376 | ) | — | 256,436 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized gain (loss) | 328,557 | (2,519,354 | ) | 33,025 | 40,800,324 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 3,403,361 | 1,508,842 | 156,552 | (166,991 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,817,086 | $ | 1,726,483 | $ | 722,222 | $ | 1,233,908 | ||||||||
|
|
|
|
|
|
|
|
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Asset Allocation Bond Fund | Core Plus Bond Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 45,395,239 | $ | 1,847,390 | $ | 1,165,132 | $ | 2,352,882 | ||||||||
Net realized gain (loss) | 81,720,683 | (1,233,837 | ) | 4,810,509 | 1,983,863 | |||||||||||
Change in net unrealized appreciation (depreciation) | (14,913,263 | ) | 3,973,656 | 4,238,517 | 698,131 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 112,202,659 | 4,587,209 | 10,214,158 | 5,034,876 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (102,789 | ) | (301,008 | ) | (509,987 | ) | (754,898 | ) | ||||||||
Class IV | — | — | (2,143,157 | ) | (2,957,677 | ) | ||||||||||
Class VI | (2,037,989 | ) | (4,700,156 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (2,140,778 | ) | (5,001,164 | ) | (2,653,144 | ) | (3,712,575 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (21,480,315 | ) | 168,838,605 | 7,693 | (417,446 | ) | ||||||||||
Class IV | — | — | (11,021,748 | ) | (59,776 | ) | ||||||||||
Class VI | 1,298,155,849 | 2,762,568,260 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 1,276,675,534 | 2,931,406,865 | (11,014,055 | ) | (477,222 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 1,386,737,415 | 2,930,992,910 | (3,453,041 | ) | 845,079 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 3,110,208,263 | 179,215,353 | 240,202,363 | 239,357,284 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,496,945,678 | $ | 3,110,208,263 | $ | 236,749,322 | $ | 240,202,363 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 40,081,816 | $ | — | $ | 697,546 | $ | 2,185,558 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (3,172,645 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Currency Hedged International Bond Fund | Debt Opportunities Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 432,066 | $ | 986,732 | $ | 23,221,427 | $ | 39,150,857 | ||||||||
Net realized gain (loss) | 1,823,922 | (1,201,460 | ) | (7,021,433 | ) | 5,732,713 | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,253,365 | 2,369,665 | 44,578,635 | 1,737,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 5,509,353 | 2,154,937 | 60,778,629 | 46,620,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | — | (924,210 | ) | — | — | |||||||||||
Class VI | — | — | — | (28,279,637 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (924,210 | ) | — | (28,279,637 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class VI | — | — | — | (22,069,010 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | — | (22,069,010 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Return of capital | ||||||||||||||||
Class III | — | (41,151 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from return of capital | — | (41,151 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (4,452 | ) | 1,119,902 | — | — | |||||||||||
Class VI | — | — | (330,076,049 | ) | 1,300,447,414 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (4,452 | ) | 1,119,902 | (330,076,049 | ) | 1,300,447,414 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class VI | — | — | 1,699,036 | 2,340,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 1,699,036 | 2,340,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (4,452 | ) | 1,119,902 | (328,377,013 | ) | 1,302,787,678 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 5,504,901 | 2,309,478 | (267,598,384 | ) | 1,299,059,815 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 71,836,756 | 69,527,278 | 2,111,079,901 | 812,020,086 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 77,341,657 | $ | 71,836,756 | $ | 1,843,481,517 | $ | 2,111,079,901 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 420,043 | $ | — | $ | 22,184,145 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (12,023 | ) | $ | — | $ | (1,037,282 | ) | ||||||
|
|
|
|
|
|
|
|
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Country Debt Fund | Global Bond Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 90,719,512 | $ | 159,209,676 | $ | 413,725 | $ | 1,445,999 | ||||||||
Net realized gain (loss) | 24,570,972 | (22,775,001 | ) | 3,074,804 | (796,324 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 220,880,423 | (108,226,648 | ) | 328,557 | 3,388,598 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 336,170,907 | 28,208,027 | 3,817,086 | 4,038,273 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (26,429,348 | ) | (28,160,867 | ) | (161,483 | ) | (399,948 | ) | ||||||||
Class IV | (92,307,914 | ) | (136,463,045 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (118,737,262 | ) | (164,623,912 | ) | (161,483 | ) | (399,948 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | 162,056,086 | 179,996,605 | (96,905,578 | ) | (27,705,988 | ) | ||||||||||
Class IV | 60,506,580 | 664,241,860 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 222,562,666 | 844,238,465 | (96,905,578 | ) | (27,705,988 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 579,877 | 850,734 | — | — | ||||||||||||
Class IV | 2,074,314 | 3,917,396 | — | — | ||||||||||||
�� |
|
|
|
|
|
|
|
| ||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 2,654,191 | 4,768,130 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 225,216,857 | 849,006,595 | (96,905,578 | ) | (27,705,988 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 442,650,502 | 712,590,710 | (93,249,975 | ) | (24,067,663 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 3,047,970,939 | 2,335,380,229 | 141,269,408 | 165,337,071 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,490,621,441 | $ | 3,047,970,939 | $ | 48,019,433 | $ | 141,269,408 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 33,033,400 | $ | 61,051,150 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | — | $ | (160,842 | ) | $ | (413,084 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Bond Fund | U.S. Treasury Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 217,641 | $ | 570,379 | $ | 565,670 | $ | 1,937,591 | ||||||||
Net realized gain (loss) | 4,028,196 | 395,261 | 123,527 | 623,446 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (2,519,354 | ) | 2,532,190 | 33,025 | 83,789 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 1,726,483 | 3,497,830 | 722,222 | 2,644,826 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Core Class | — | — | (565,670 | ) | (1,937,591 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | — | (565,670 | ) | (1,937,591 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Core Class | — | — | (97,393 | ) | (709,712 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | (97,393 | ) | (709,712 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | — | — | 103,527,554 | (1,002,336,822 | ) | |||||||||||
Class III | (15,053,609 | ) | (13,637,535 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (15,053,609 | ) | (13,637,535 | ) | 103,527,554 | (1,002,336,822 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (13,327,126 | ) | (10,139,705 | ) | 103,586,713 | (1,002,339,299 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 60,809,188 | 70,948,893 | 1,909,864,196 | 2,912,203,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 47,482,062 | $ | 60,809,188 | $ | 2,013,450,909 | $ | 1,909,864,196 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | — | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | (178,638 | ) | $ | (396,279 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
World Opportunity Overlay Fund | ||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||
Increase (decrease) in net assets: | �� | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,400,899 | $ | 3,118,341 | ||||
Net realized gain (loss) | (40,967,315 | ) | (10,876,854 | ) | ||||
Change in net unrealized appreciation (depreciation) | 40,800,324 | 34,528,840 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 1,233,908 | 26,770,327 | ||||||
|
|
|
| |||||
Net share transactions (Note 9): | ||||||||
Core Class | (365,149,777 | ) | (155,920,000 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | (365,149,777 | ) | (155,920,000 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (363,915,869 | ) | (129,149,673 | ) | ||||
Net assets: | ||||||||
Beginning of period | 562,336,773 | 691,486,446 | ||||||
|
|
|
| |||||
End of period | $ | 198,420,904 | $ | 562,336,773 | ||||
|
|
|
|
See accompanying notes to the financial statements. | 61 |
GMO Trust Funds
Statements of Cash Flows — Six Months Ended August 31, 2014 (Unaudited)
Debt Opportunities Fund | Emerging Country Debt Fund | |||||||
Cash flows from operating activities: | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | 60,778,629 | $ | 336,170,907 | ||||
|
|
|
| |||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||||||
Net change in unrealized (appreciation) depreciation | (44,578,635 | ) | (220,880,423 | ) | ||||
Net realized (gain) loss | 7,021,433 | (24,570,972 | ) | |||||
Net amortization of discount and premium | (2,165,471 | ) | (5,410,043 | ) | ||||
Investments purchased | (438,266,759 | ) | (606,291,598 | ) | ||||
Proceeds from sale of investments | 497,297,862 | 419,379,177 | ||||||
Proceeds from paydowns | 149,598,013 | 10,514,030 | ||||||
Short-term investments, net | 92,939,468 | (51,870,258 | ) | |||||
Realized gain distributions from affiliated issuers | 1 | 2,240 | ||||||
Other gain (loss): | ||||||||
Swap contracts | (154,226 | ) | 6,821,389 | |||||
Futures contracts | (888,580 | ) | — | |||||
Written and credit linked option contracts | — | 723,496 | ||||||
Forward currency contracts | — | 5,831,770 | ||||||
Foreign currency and foreign currency related transactions | — | (85,992 | ) | |||||
Changes in assets and liabilities: | ||||||||
(Increase) decrease in receivable for due from broker | 98,258 | (5,314,945 | ) | |||||
(Increase) decrease in dividends and interest receivable | 65,348 | (2,882,831 | ) | |||||
(Increase) decrease in receivable for expenses reimbursed and/or waived by Manager | (17,282 | ) | (3,668 | ) | ||||
(Increase) decrease in miscellaneous receivable | 26,578 | (2,070 | ) | |||||
Increase (decrease) in payable to affiliate for: | ||||||||
Management fee | 45,995 | 233,280 | ||||||
Shareholder service fee | 10,119 | 81,000 | ||||||
Increase (decrease) in payable to agents unaffiliated with the Manager | 78 | 33 | ||||||
Increase (decrease) in payable for Trustees and related expenses | (2,724 | ) | (3,398 | ) | ||||
Increase (decrease) in accrued expenses | (48,961 | ) | 103,390 | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 321,759,144 | (137,455,486 | ) | |||||
|
|
|
| |||||
Cash flows from financing activities: | ||||||||
Proceeds from shares sold | 474,070,409 | 384,221,321 | ||||||
Shares repurchased | (797,528,589 | ) | (260,624,732 | ) | ||||
Purchase premiums and redemption fees | 1,699,036 | 2,654,191 | ||||||
Cash distributions paid | — | (19,357,444 | ) | |||||
Increase (decrease) in payable for reverse repurchase agreements^ | — | | 28,942,150 | | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (321,759,144 | ) | 135,835,486 | |||||
|
|
|
| |||||
Net increase (decrease) in cash | — | (1,620,000 | ) | |||||
Cash and cash equivalents, beginning of period | — | 1,620,000 | ||||||
|
|
|
| |||||
Cash and cash equivalents, end of period | $ | — | $ | — | ||||
|
|
|
| |||||
Supplemental disclosure of cash flow information: | ||||||||
Reinvestmentof dividends and distributions | $ | — | $ | 99,379,818 | ||||
^ Cash paid during the period for interest related to reverse repurchase agreements and/or cleared swaps, if any. | $ | 36 | $ | 100 |
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
ASSET ALLOCATION BOND FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010(a) | 2014 | 2013 | 2012 | 2011 | 2010(b) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.57 | $ | 24.43 | $ | 24.60 | $ | 25.01 | $ | 26.13 | $ | 25.15 | $ | 24.60 | $ | 24.46 | $ | 24.61 | $ | 25.01 | $ | 26.13 | $ | 25.00 | ||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(c) | 0.30 | 0.00 | (d) | (0.02 | ) | 0.32 | 0.51 | 0.92 | 0.30 | 0.03 | 0.01 | 0.56 | 0.64 | 0.80 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.46 | 0.17 | 0.12 | 0.78 | 0.64 | 0.85 | 0.47 | 0.16 | 0.11 | 0.57 | 0.54 | 1.15 | ||||||||||||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.76 | 0.17 | 0.10 | 1.10 | 1.15 | 1.77 | 0.77 | 0.19 | 0.12 | 1.13 | 1.18 | 1.95 | ||||||||||||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
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|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.03 | ) | (0.01 | ) | (0.51 | ) | (0.50 | ) | (0.60 | ) | (0.01 | ) | (0.05 | ) | (0.01 | ) | (0.53 | ) | (0.53 | ) | (0.63 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | (0.26 | ) | (1.00 | ) | (1.77 | ) | (0.19 | ) | — | — | (0.26 | ) | (1.00 | ) | (1.77 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.01 | ) | (0.03 | ) | (0.27 | ) | (1.51 | ) | (2.27 | ) | (0.79 | ) | (0.01 | ) | (0.05 | ) | (0.27 | ) | (1.53 | ) | (2.30 | ) | (0.82 | ) | ||||||||||||||||||||||||||||||||||||
|
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|
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|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 25.32 | $ | 24.57 | $ | 24.43 | $ | 24.60 | $ | 25.01 | $ | 26.13 | $ | 25.36 | $ | 24.60 | $ | 24.46 | $ | 24.61 | $ | 25.01 | $ | 26.13 | ||||||||||||||||||||||||||||||||||||
|
|
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| |||||||||||||||||||||||||||||||||||||
Total Return(e) | 3.08 | %** | 0.72 | % | 0.42 | % | 4.49 | % | 4.51 | % | 7.07 | %** | 3.14 | %** | 0.79 | % | 0.52 | % | 4.61 | % | 4.60 | % | 7.83 | %** | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 248,335 | $ | 260,775 | $ | 91,186 | $ | 56,692 | $ | 48,676 | $ | 40,225 | $ | 4,248,610 | $ | 2,849,433 | $ | 88,029 | $ | 116,591 | $ | 489,202 | $ | 859,763 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets | 0.40 | %*(g) | 0.40 | %(f)(g) | 0.40 | %(g) | 0.40 | %(f)(g) | 0.41 | %(f)(g) | 0.40 | %(f)* | 0.31 | %(g)* | 0.31 | %(f)(g) | 0.31 | %(g) | 0.31 | %(f)(g) | 0.31 | %(f)(g) | 0.31 | %(f)* | ||||||||||||||||||||||||||||||||||||
Interest expense to average daily net assets(h) | 0.00 | %(i)* | 0.00 | %(i) | — | 0.01 | % | 0.03 | % | 0.03 | %* | 0.00 | %(i)* | 0.00 | %(i) | — | 0.01 | % | 0.03 | % | 0.03 | %* | ||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets | 0.40 | %* | 0.40 | % | 0.40 | % | 0.41 | % | 0.44 | % | 0.43 | %* | 0.31 | %* | 0.31 | % | 0.31 | % | 0.32 | % | 0.34 | % | 0.34 | %* | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 2.41 | %* | 0.01 | % | (0.08 | )% | 1.31 | % | 1.94 | % | 3.86 | %* | 2.34 | %* | 0.13 | % | 0.02 | % | 2.25 | % | 2.43 | % | 3.24 | %* | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 23 | %** | 32 | % | 233 | % | 319 | % | 315 | % | 116 | %(j)** | 23 | %** | 32 | % | 233 | % | 319 | % | 315 | % | 116 | %(j)** | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.02 | %* | 0.02 | % | 0.08 | % | 0.06 | % | 0.04 | % | 0.04 | %* | 0.02 | %* | 0.02 | % | 0.07 | % | 0.04 | % | 0.04 | % | 0.04 | %* |
(a) | Period from March 27, 2009 (commencement of operations) through February 28, 2010. |
(b) | Period from March 18, 2009 (commencement of operations) through February 28, 2010. |
(c) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(d) | Net investment income (loss) was less than $0.01 per share. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(h) | Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(i) | Ratio is less than 0.01%. |
(j) | Calculation represents portfolio turnover of the Fund for the period from March 18, 2009 (commencement of operations) through February 28, 2010. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 63 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CORE PLUS BOND FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.45 | $ | 7.41 | $ | 7.13 | $ | 7.26 | $ | 7.02 | $ | 6.08 | $ | 7.47 | $ | 7.43 | $ | 7.14 | $ | 7.27 | $ | 7.03 | $ | 6.09 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.03 | 0.07 | 0.07 | 0.13 | 0.11 | 0.05 | 0.04 | 0.07 | 0.08 | 0.13 | 0.11 | 0.12 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.29 | 0.08 | 0.54 | 0.56 | 0.65 | 1.51 | 0.28 | 0.09 | 0.54 | 0.56 | 0.65 | 1.45 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.32 | 0.15 | 0.61 | 0.69 | 0.76 | 1.56 | 0.32 | 0.16 | 0.62 | 0.69 | 0.76 | 1.57 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.11 | ) | (0.33 | ) | (0.82 | ) | (0.52 | ) | (0.62 | ) | (0.08 | ) | (0.12 | ) | (0.33 | ) | (0.82 | ) | (0.52 | ) | (0.63 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.08 | ) | (0.11 | ) | (0.33 | ) | (0.82 | ) | (0.52 | ) | (0.62 | ) | (0.08 | ) | (0.12 | ) | (0.33 | ) | (0.82 | ) | (0.52 | ) | (0.63 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 7.69 | $ | 7.45 | $ | 7.41 | $ | 7.13 | $ | 7.26 | $ | 7.02 | $ | 7.71 | $ | 7.47 | $ | 7.43 | $ | 7.14 | $ | 7.27 | $ | 7.03 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total Return(b) | 4.29 | %** | 2.15 | % | 8.67 | % | 9.88 | % | 10.93 | % | 26.84 | % | 4.34 | %** | 2.15 | % | 8.85 | % | 9.90 | % | 10.97 | % | 26.87 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 50,206 | $ | 48,632 | $ | 48,831 | $ | 46,924 | $ | 47,773 | $ | 55,839 | $ | 186,543 | $ | 191,571 | $ | 190,527 | $ | 188,675 | $ | 183,333 | $ | 276,850 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.37 | %* | 0.38 | % | 0.38 | %(d) | 0.39 | %(d) | 0.39 | %(d) | 0.38 | %(d) | 0.32 | %* | 0.33 | % | 0.33 | %(d) | 0.34 | %(d) | 0.34 | %(d) | 0.33 | %(d) | ||||||||||||||||||||||||||||||||||||
Interest expense to average daily net assets | 0.00 | %*(e)(f) | 0.00 | %(e)(f) | — | — | — | 0.02 | %(f) | 0.00 | %*(e)(f) | 0.00 | %(e)(f) | — | — | — | 0.02 | %(f) | ||||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.37 | %* | 0.38 | % | 0.38 | %(d) | 0.39 | %(d) | 0.39 | %(d) | 0.40 | %(d) | 0.32 | %* | 0.33 | % | 0.33 | %(d) | 0.34 | %(d) | 0.34 | %(d) | 0.35 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.91 | %* | 0.95 | % | 1.02 | % | 1.74 | % | 1.48 | % | 0.77 | % | 0.96 | %* | 0.99 | % | 1.07 | % | 1.75 | % | 1.48 | % | 1.78 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 43 | %** | 87 | % | 135 | % | 72 | % | 46 | % | 58 | % | 43 | %** | 87 | % | 135 | % | 72 | % | 46 | % | 58 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(h) | 0.13 | %* | 0.12 | % | 0.13 | % | 0.12 | % | 0.11 | % | 0.09 | % | 0.13 | %* | 0.12 | % | 0.13 | % | 0.12 | % | 0.11 | % | 0.09 | % | ||||||||||||||||||||||||||||||||||||
Redemption fees consisted of the following per share amounts (Note 2):† | — | — | — | — | — | $ | 0.00 | (g) | — | — | — | — | — | $ | 0.00 | (g) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Ratio is less than 0.01%. |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | Redemption fees were less than $0.01 per share. |
(h) | Ratios include indirect fees waived or borne by the manager. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
64 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CURRENCY HEDGED INTERNATIONAL BOND FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.90 | $ | 8.76 | $ | 8.35 | $ | 8.18 | $ | 7.98 | $ | 7.00 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.05 | 0.12 | 0.14 | 0.13 | 0.12 | 0.09 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.64 | 0.14 | 0.64 | 0.71 | 0.47 | 1.39 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 0.69 | 0.26 | 0.78 | 0.84 | 0.59 | 1.48 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.11 | ) | (0.37 | ) | (0.41 | ) | (0.39 | ) | (0.42 | ) | |||||||||||||||||||
Return of capital | — | (0.01 | ) | — | (0.26 | ) | — | (0.08 | ) | |||||||||||||||||||||
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Total distributions | — | (0.12 | ) | (0.37 | ) | (0.67 | ) | (0.39 | ) | (0.50 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 9.59 | $ | 8.90 | $ | 8.76 | $ | 8.35 | $ | 8.18 | $ | 7.98 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | 7.75 | %** | 3.04 | % | 9.43 | % | 10.48 | % | 7.35 | % | 22.19 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 77,342 | $ | 71,837 | $ | 69,527 | $ | 72,021 | $ | 70,799 | $ | 137,301 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.35 | %* | 0.39 | % | 0.40 | % | 0.39 | %(d) | 0.39 | %(d) | 0.39 | %(d) | ||||||||||||||||||
Interest expense to average daily net assets | 0.00 | %*(e)(f) | 0.00 | %(e)(f) | — | — | — | — | ||||||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.35 | %* | 0.39 | % | 0.40 | % | 0.39 | %(d) | 0.39 | %(d) | 0.39 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 1.16 | %* | 1.41 | % | 1.61 | % | 1.58 | % | 1.43 | % | 1.19 | % | ||||||||||||||||||
Portfolio turnover rate | 22 | %** | 13 | % | 34 | % | 52 | % | 51 | % | 31 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(g) | 0.25 | %* | 0.24 | % | 0.27 | % | 0.25 | % | 0.17 | % | 0.12 | % | ||||||||||||||||||
Redemption fees consisted of the following per share amounts (Note 2):† | — | — | — | — | — | $ | 0.01 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(f) | Ratio is less than 0.01%. |
(g) | Ratios include indirect fees waived or borne by the manager. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 65 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
DEBT OPPORTUNITIES FUND
Class VI Shares | ||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited)(a) | Year Ended February 28/29, | Period from October 3, 2011 (commencement of operations) through February 29, 2012(a) | ||||||||||||||||||
2014(a)(b) | 2013(a) | |||||||||||||||||||
Net asset value, beginning of period | $ | 24.22 | $ | 24.22 | $ | 22.54 | $ | 22.33 | ||||||||||||
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| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(c)† | 0.28 | 0.84 | 1.05 | 0.42 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.45 | 0.14 | 1.54 | 0.14 | ||||||||||||||||
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Total from investment operations | 0.73 | 0.98 | 2.59 | 0.56 | ||||||||||||||||
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| |||||||||||||
From net investment income | — | (0.56 | ) | (0.35 | ) | (0.21 | ) | |||||||||||||
From net realized gains | — | (0.42 | ) | (0.56 | ) | (0.14 | ) | |||||||||||||
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Total distributions | — | (0.98 | ) | (0.91 | ) | (0.35 | ) | |||||||||||||
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Net asset value, end of period | $ | 24.95 | $ | 24.22 | $ | 24.22 | $ | 22.54 | ||||||||||||
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Total Return(d) | 3.01 | %** | 4.27 | % | 11.62 | % | 2.43 | %** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,843,482 | $ | 2,111,080 | $ | 812,020 | $ | 204,043 | ||||||||||||
Net expenses to average daily net assets(e) | 0.31 | %* | 0.31 | %(f) | 0.31 | %(f) | 0.31 | %* | ||||||||||||
Interest expense to average daily net assets | 0.00 | %(g)(h)* | — | — | — | |||||||||||||||
Total net expenses to average daily net assets(f) | 0.31 | %* | 0.31 | %(f) | 0.31 | %(f) | 0.31 | %* | ||||||||||||
Net investment income (loss) to average daily net assets | 2.22 | %* | 3.51 | % | 4.36 | % | 4.59 | %* | ||||||||||||
Portfolio turnover rate | 22 | %** | 30 | % | 39 | % | 23 | %(i)** | ||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.03 | %* | 0.02 | % | 0.04 | % | 0.17 | %* | ||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.02 | $ | 0.01 | $ | 0.02 | $ | 0.00 | (j) |
(a) | Per share amounts were adjusted to reflect a 1:7 reverse stock split effective May 15, 2014. |
(b) | Effective February 12, 2014, GMO Debt Opportunities Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund (the “Acquiring Fund”) and the surviving entity was renamed GMO Debt Opportunities Fund. For accounting and financial reporting purposes, the Acquired Fund is the surviving entity, meaning the combined entity adopted the historical financial reporting history of the Acquired Fund. Share and per share information have been adjusted to reflect the effects of the merger. |
(c) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(h) | Ratio is less than 0.01%. |
(i) | Calculation represents portfolio turnover for the Fund for the period from October 3, 2011 through February 29, 2012. |
(j) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
66 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING COUNTRY DEBT FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.77 | $ | 10.34 | $ | 9.59 | $ | 9.10 | $ | 8.47 | $ | 5.85 | $ | 9.76 | $ | 10.33 | $ | 9.58 | $ | 9.09 | $ | 8.47 | $ | 5.85 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.28 | 0.60 | 0.77 | 0.84 | 1.03 | (b) | 0.52 | 0.28 | 0.60 | 0.79 | 0.84 | 1.05 | (b) | 0.53 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.80 | (0.59 | ) | 0.82 | 0.58 | 0.81 | 2.70 | 0.80 | (0.58 | ) | 0.81 | 0.59 | 0.78 | 2.69 | ||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.08 | 0.01 | 1.59 | 1.42 | 1.84 | 3.22 | 1.08 | 0.02 | 1.60 | 1.43 | 1.83 | 3.22 | ||||||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.37 | ) | (0.58 | ) | (0.84 | ) | (0.93 | ) | (1.21 | ) | (0.60 | ) | (0.37 | ) | (0.59 | ) | (0.85 | ) | (0.94 | ) | (1.21 | ) | (0.60 | ) | ||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.37 | ) | (0.58 | ) | (0.84 | ) | (0.93 | ) | (1.21 | ) | (0.60 | ) | (0.37 | ) | (0.59 | ) | (0.85 | ) | (0.94 | ) | (1.21 | ) | (0.60 | ) | ||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.48 | $ | 9.77 | $ | 10.34 | $ | 9.59 | $ | 9.10 | $ | 8.47 | $ | 10.47 | $ | 9.76 | $ | 10.33 | $ | 9.58 | $ | 9.09 | $ | 8.47 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total Return(c) | 11.03 | %** | 0.27 | % | 17.04 | % | 16.62 | % | 22.23 | % | 55.95 | % | 11.06 | %** | 0.33 | % | 17.14 | % | 16.69 | % | 22.19 | % | 56.02 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 790,105 | $ | 582,639 | $ | 427,339 | $ | 679,533 | $ | 564,570 | $ | 602,065 | $ | 2,700,516 | $ | 2,465,331 | $ | 1,908,041 | $ | 1,117,850 | $ | 1,122,409 | $ | 1,287,496 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.54 | %* | 0.56 | %(e) | 0.60 | %(e) | 0.64 | %(e) | 0.59 | %(e) | 0.58 | %(e) | 0.49 | %* | 0.51 | %(e) | 0.55 | %(e) | 0.59 | %(e) | 0.54 | %(e) | 0.53 | %(e) | ||||||||||||||||||||||||||||||||||||
Interest expense to average daily net assets | — | — | 0.02 | %(f) | 0.08 | %(f) | 0.08 | %(g) | 0.11 | %(g) | — | — | 0.02 | %(f) | 0.08 | %(f) | 0.07 | %(g) | 0.11 | %(g) | ||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(d) | 0.54 | %* | 0.56 | %(e) | 0.62 | %(e)(f) | 0.72 | %(e)(f) | 0.67 | %(e)(g) | 0.69 | %(e)(g) | 0.49 | %* | 0.51 | %(e) | 0.57 | %(e)(f) | 0.67 | %(e)(f) | 0.61 | %(e)(g) | 0.64 | %(e)(g) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 5.38 | %* | 5.99 | % | 7.75 | % | 8.90 | % | 11.09 | %(h) | 6.98 | % | 5.46 | %* | 6.02 | % | 7.84 | % | 8.95 | % | 11.37 | %(h) | 7.03 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %** | 27 | % | 36 | % | 29 | % | 21 | % | 36 | % | 7 | %** | 27 | % | 36 | % | 29 | % | 21 | % | 36 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(j) | 0.00 | %*(i) | — | 0.00 | %(i) | — | — | — | 0.00 | %(i)* | — | 0.00 | %(i) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.02 | $ | 0.03 | $ | 0.01 | $ | 0.02 | $ | 0.05 | $ | 0.01 | $ | 0.02 | $ | 0.03 | $ | 0.01 | $ | 0.02 | $ | 0.04 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | Includes income per share of $0.40 and $0.41, respectively, as a result of the Fund’s participation in sovereign debt exchanges during the period. Excluding this income, the Fund’s net investment income per share would have been $0.63 and $0.64, respectively. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swaps, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(h) | Includes income of 4.33% and 4.43%, respectively, of average daily net assets as a result of the Fund’s participation in sovereign debt exchanges. Excluding this income, the Fund’s net investment income to average daily net assets would have been 6.76% and 6.94%, respectively. |
(i) | Ratio is less than 0.01%. |
(j) | Ratios include indirect fees waived or borne by the manager. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 67 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL BOND FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.61 | $ | 8.37 | $ | 8.11 | $ | 7.91 | $ | 7.58 | $ | 6.33 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.03 | 0.08 | 0.11 | 0.11 | 0.12 | 0.10 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | 0.18 | 0.27 | 0.55 | 0.82 | 1.66 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 0.29 | 0.26 | 0.38 | 0.66 | 0.94 | 1.76 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.02 | ) | (0.12 | ) | (0.46 | ) | (0.61 | ) | (0.51 | ) | ||||||||||||||||||
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|
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|
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|
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|
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| |||||||||||||||||||
Total distributions | (0.01 | ) | (0.02 | ) | (0.12 | ) | (0.46 | ) | (0.61 | ) | (0.51 | ) | ||||||||||||||||||
|
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|
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| |||||||||||||||||||
Net asset value, end of period | $ | 8.89 | $ | 8.61 | $ | 8.37 | $ | 8.11 | $ | 7.91 | $ | 7.58 | ||||||||||||||||||
|
|
|
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|
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| |||||||||||||||||||
Total Return(b) | 3.37 | %** | 3.13 | % | 4.72 | % | 8.57 | % | 12.84 | % | 28.99 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 48,019 | $ | 141,269 | $ | 165,337 | $ | 163,213 | $ | 209,891 | $ | 213,875 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.34 | %* | 0.38 | %(d) | 0.39 | %(d) | 0.39 | %(d) | 0.38 | %(d) | 0.38 | %(d) | ||||||||||||||||||
Interest expense to average daily net assets | 0.00 | %*(e)(f) | 0.00 | %(e)(f) | — | — | 0.01 | %(e) | 0.00 | %(e)(f) | ||||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.34 | %* | 0.38 | %(d) | 0.39 | %(d) | 0.39 | %(d) | 0.39 | %(d) | 0.38 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.76 | %* | 0.99 | % | 1.29 | % | 1.39 | % | 1.50 | % | 1.37 | % | ||||||||||||||||||
Portfolio turnover rate | 36 | %** | 24 | % | 42 | % | 38 | % | 45 | % | 31 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(g) | 0.15 | %* | 0.09 | % | 0.10 | % | 0.09 | % | 0.07 | % | 0.04 | % | ||||||||||||||||||
Redemption fees consisted of the following per share amounts:† | — | — | — | — | — | $ | 0.01 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(f) | Ratio is less than 0.01%. |
(g) | Ratios include indirect fees waived or borne by the manager. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
68 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL BOND FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.27 | $ | 6.84 | $ | 6.79 | $ | 7.11 | $ | 6.59 | $ | 6.17 | ||||||||||||||||||
|
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|
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|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.03 | 0.06 | 0.08 | 0.10 | 0.10 | 0.09 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.18 | 0.37 | 0.13 | 0.33 | 0.77 | 1.65 | ||||||||||||||||||||||||
|
|
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|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.21 | 0.43 | 0.21 | 0.43 | 0.87 | 1.74 | ||||||||||||||||||||||||
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|
|
|
|
|
|
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|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | — | (0.16 | ) | (0.75 | ) | (0.35 | ) | (1.32 | ) | ||||||||||||||||||||
|
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|
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|
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|
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| |||||||||||||||||||
Total distributions | — | — | (0.16 | ) | (0.75 | ) | (0.35 | ) | (1.32 | ) | ||||||||||||||||||||
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| |||||||||||||||||||
Net asset value, end of period | $ | 7.48 | $ | 7.27 | $ | 6.84 | $ | 6.79 | $ | 7.11 | $ | 6.59 | ||||||||||||||||||
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|
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|
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|
|
| |||||||||||||||||||
Total Return(b) | 2.89 | %** | 6.29 | % | 3.21 | % | 6.37 | % | 13.36 | % | 29.54 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 47,482 | $ | 60,809 | $ | 70,949 | $ | 69,945 | $ | 108,684 | $ | 209,150 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.34 | %* | 0.39 | %(d) | 0.40 | %(d) | 0.39 | %(d) | 0.39 | %(d) | 0.38 | %(d) | ||||||||||||||||||
Interest expense to average daily net assets(e) | 0.00 | %*(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | ||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.34 | %* | 0.39 | %(d)(f) | 0.40 | %(d)(f) | 0.39 | %(d)(f) | 0.39 | %(d) | 0.38 | %(d)(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.79 | %* | 0.90 | % | 1.18 | % | 1.39 | % | 1.45 | % | 1.32 | % | ||||||||||||||||||
Portfolio turnover rate | 33 | %** | 18 | % | 21 | % | 43 | % | 46 | % | 29 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(h) | 0.34 | %* | 0.27 | % | 0.28 | % | 0.24 | % | 0.16 | % | 0.12 | % | ||||||||||||||||||
Redemption fees consisted of the following per share amounts (Note 2):† | — | — | — | — | — | $ | 0.00 | (g) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(f) | Ratio is less than 0.01%. |
(g) | Redemption fees were less than $0.01 per share. |
(h) | Ratios include indirect fees waived or borne by the manager. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 69 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
U.S. TREASURY FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.01 | 0.02 | 0.03 | 0.01 | 0.03 | 0.04 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.00 | (b) | 0.01 | (0.00 | )(b) | 0.01 | 0.00 | (b) | 0.02 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.01 | 0.03 | 0.03 | 0.02 | 0.03 | 0.06 | ||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.02 | ) | (0.03 | ) | (0.01 | ) | (0.03 | ) | (0.05 | ) | ||||||||||||||||||
From net realized gains | (0.00 | )(c) | (0.01 | ) | — | (0.01 | ) | (0.00 | )(c) | (0.01 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.01 | ) | (0.03 | ) | (0.03 | ) | (0.02 | ) | (0.03 | ) | (0.06 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | ||||||||||||||||||
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|
|
| |||||||||||||||||||
Total Return(d) | 0.03 | %** | 0.11 | % | 0.11 | % | 0.07 | % | 0.15 | % | 0.25 | %** | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,013,451 | $ | 1,909,864 | $ | 2,912,203 | $ | 2,056,342 | $ | 1,814,553 | $ | 546,076 | ||||||||||||||||||
Net expenses to average daily net assets | 0.00 | %(f) | 0.00 | %(e)(f) | 0.00 | %(e)(f) | 0.00 | %(e)(f) | 0.00 | % | 0.00 | %* | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.05 | %* | 0.08 | % | 0.10 | % | 0.04 | % | 0.13 | % | 0.18 | %* | ||||||||||||||||||
Portfolio turnover rate(g) | 0 | %** | 0 | % | 0 | % | 0 | % | 0 | % | 0 | %** | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.10 | %* | 0.10 | % | 0.10 | % | 0.10 | % | 0.11 | % | 0.12 | %* |
(a) | Period from March 17, 2009 (commencement of operations) through February 28, 2010. |
(b) | Net realized and unrealized gain (loss) was less than $0.01 per share. |
(c) | Distributions from net realized gains were less than $0.01 per share. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assume the effect of reinvested distribution. Without the waivers, total returns would have been 0.03%, 0.03%, (0.01%), 0.07% and 0.17%, respectively for the fiscal year and/or period ended February 28, 2014, February 28, 2013, February 29, 2012, February 28, 2011 and February 28, 2010. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Ratio is less than 0.01%. |
(g) | Portfolio turnover rate calculation excludes short-term investments. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
70 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
WORLD OPPORTUNITY OVERLAY FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.84 | $ | 25.68 | $ | 24.00 | $ | 22.68 | $ | 21.30 | $ | 18.35 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.10 | 0.13 | 0.32 | 0.37 | 0.37 | 0.39 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.41 | )(a) | 1.03 | 1.36 | 0.95 | 1.01 | 4.24 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.31 | ) | 1.16 | 1.68 | 1.32 | 1.38 | 4.63 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less Partnership Fund distributions to shareholders: | — | — | — | — | — | (1.68 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | — | — | — | — | — | (1.68 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 26.53 | $ | 26.84 | $ | 25.68 | $ | 24.00 | $ | 22.68 | $ | 21.30 | ||||||||||||||||||
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|
|
|
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|
|
| |||||||||||||||||||
Total Return(b) | (1.15 | )%** | 4.52 | % | 7.00 | % | 5.82 | % | 6.48 | % | 27.20 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 198,421 | $ | 562,337 | $ | 691,486 | $ | 855,176 | $ | 850,192 | $ | 925,796 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.00 | %* | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Interest expense to average daily net assets | 0.07 | %*(f) | 0.05 | %(f) | 0.04 | %(f) | 0.03 | %(f) | 0.03 | %(e) | 0.05 | %(e) | ||||||||||||||||||
Total net expenses to average daily net assets | 0.07 | %* | 0.05 | %(d) | 0.04 | %(d) | 0.03 | %(d) | 0.03 | %(d) | 0.05 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.71 | %* | 0.51 | % | 1.30 | % | 1.59 | % | 1.69 | % | 1.98 | % | ||||||||||||||||||
Portfolio turnover rate | 16 | ** | 80 | % | 8 | % | 46 | % | 36 | % | 55 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets | 0.06 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||||||||||
Redemption fees consisted of the following per share amounts:† | — | — | — | — | — | $ | 0.00 | (g) |
(a) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Ratio is less than 0.01%. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income. |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | There were no redemption fees during the period. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 71 |
GMO Trust Funds
August 31, 2014 (Unaudited)
1. | Organization |
Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Currency Hedged International Bond Fund, Debt Opportunities Fund, Emerging Country Debt Fund, Global Bond Fund, International Bond Fund, U.S. Treasury Fund, and World Opportunity Overlay Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).
The Funds may invest in U.S. Treasury Fund and money market funds that are unaffiliated with GMO.
Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), many of the Funds have invested a substantial portion of their assets in Debt Opportunities Fund and also may invest in Emerging Country Debt Fund, World Opportunity Overlay Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. As of August 31, 2014, shares of World Opportunity Overlay Fund were not publicly offered for sale.
The following table provides information about the Funds’ investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Asset Allocation Bond Fund | Citigroup 3-Month Treasury Bill Index | Total return in excess of benchmark | ||
Core Plus Bond Fund | Barclays U.S. Aggregate Index | Total return in excess of benchmark | ||
Currency Hedged International Bond Fund | J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) | Total return in excess of benchmark | ||
Debt Opportunities Fund | Not Applicable | Positive total return | ||
Emerging Country Debt Fund | J.P. Morgan EMBI Global | Total return in excess of benchmark | ||
Global Bond Fund | J.P. Morgan GBI Global | Total return in excess of benchmark | ||
International Bond Fund | J.P. Morgan GBI Global ex U.S. | Total return in excess of benchmark | ||
U.S. Treasury Fund | Not Applicable | Liquidity and safety of principal with current income as a secondary objective | ||
World Opportunity Overlay Fund | J.P. Morgan U.S. 3 Month Cash Index | Total return greater than benchmark |
Asset Allocation Bond Fund, U.S. Treasury Fund and World Opportunity Overlay Fund currently limit subscriptions.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
Portfolio valuation
Typically, the Funds and the underlying funds value each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by the GMO. Although GMO normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Funds and the underlying funds, those alternative sources are not typically part of the valuation process and do not necessarily confirm the security price used by the Funds and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available. Non-emerging market fixed income securities with a remaining maturity of sixty days or less may be valued at amortized cost, which approximates market value, if the issuer is deemed to represent minimal credit risk.
72
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.
As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2014 is as follows:
Securities and Derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Single source: No alternative pricing source was available | ||||||
Asset Allocation Bond Fund | — | — | ||||||
Core Plus Bond Fund | < 1% | 1% | ||||||
Currency Hedged International Bond Fund | < 1% | 1% | ||||||
Debt Opportunities Fund | 1% | 2% | ||||||
Emerging Country Debt Fund | 2% | 3% | ||||||
Global Bond Fund | < 1% | 1% | ||||||
International Bond Fund | < 1% | 1% | ||||||
U.S. Treasury Fund | — | — | ||||||
World Opportunity Overlay Fund | — | 2% |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
73
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2014, certain Funds directly held material Level 3 investments in asset-backed securities (Debt Opportunities Fund and World Opportunity Overlay Fund) and foreign government debt obligations (Emerging Country Debt Fund). Each Fund values these investments using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) as described in the “Portfolio Valuation” section above. Other than as described in this paragraph, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations with a remaining maturity of greater than sixty days, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of sixty days or less valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; and certain restricted securities valued at the most recent available market or quoted price.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2014:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | — | $ | 1,315,511,975 | $ | — | $ | 1,315,511,975 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 1,315,511,975 | — | 1,315,511,975 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 131,158,549 | — | — | 131,158,549 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | — | 9,882,828 | — | 9,882,828 | ||||||||||||
Short-Term Investments | 2,962,809,207 | — | — | 2,962,809,207 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 3,093,967,756 | 1,325,394,803 | — | 4,419,362,559 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 16,588,308 | — | 16,588,308 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 6,304,134 | — | — | 6,304,134 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 33,034,615 | — | 33,034,615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,100,271,890 | $ | 1,375,017,726 | $ | — | $ | 4,475,289,616 | ||||||||
|
|
|
|
|
|
|
| |||||||||
74
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Allocation Bond Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Short Debt Obligations | ||||||||||||||||
U.S. Government Agency | $ | — | $ | (1,199,884,156 | ) | $ | — | $ | (1,199,884,156 | ) | ||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (567,884 | ) | — | (567,884 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (9,808,759 | ) | — | — | (9,808,759 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (57,389,899 | ) | — | (57,389,899 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (9,808,759 | ) | $ | (1,257,841,939 | ) | $ | — | $ | (1,267,650,698 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 1,133,996 | $ | 1,133,996 | ||||||||
Corporate Debt | — | 4,997,250 | — | 4,997,250 | ||||||||||||
Foreign Government Obligations | — | 9,539,860 | — | 9,539,860 | ||||||||||||
U.S. Government | 92,821,120 | 47,956,031 | — | 140,777,151 | ||||||||||||
U.S. Government Agency | — | 14,929,688 | — | 14,929,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 92,821,120 | 77,422,829 | 1,133,996 | 171,377,945 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 75,102,766 | — | — | 75,102,766 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | — | 246,053 | — | 246,053 | ||||||||||||
Short-Term Investments | 1,962,498 | — | — | 1,962,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 169,886,384 | 77,668,882 | 1,133,996 | 248,689,262 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 774,690 | — | 774,690 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 5,966 | — | — | 5,966 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 241,267 | — | 241,267 | ||||||||||||
Interest Rate Risk | — | 975,952 | — | 975,952 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 169,892,350 | $ | 79,660,791 | $ | 1,133,996 | $ | 250,687,137 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (35,431 | ) | $ | — | $ | (35,431 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (597,937 | ) | — | — | (597,937 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (530,246 | ) | — | (530,246 | ) | ||||||||||
Interest Rate Risk | — | (654,953 | ) | — | (654,953 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (597,937 | ) | $ | (1,220,630 | ) | $ | — | $ | (1,818,567 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
75
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Currency Hedged International Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | — | $ | 16,136,386 | $ | — | $ | 16,136,386 | ||||||||
Foreign Government Obligations | — | 21,134,883 | — | 21,134,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 37,271,269 | — | 37,271,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 37,542,750 | — | — | 37,542,750 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | — | 73,843 | — | 73,843 | ||||||||||||
Short-Term Investments | 1,162,590 | 99,994 | — | 1,262,584 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 38,705,340 | 37,445,106 | — | 76,150,446 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 450,251 | — | 450,251 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 396,571 | — | — | 396,571 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 310,472 | — | 310,472 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 39,101,911 | $ | 38,205,829 | $ | — | $ | 77,307,740 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (10,500 | ) | $ | — | $ | (10,500 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (248,368 | ) | — | — | (248,368 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (197,850 | ) | — | (197,850 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (248,368 | ) | $ | (208,350 | ) | $ | — | $ | (456,718 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Debt Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 62,371,220 | $ | 1,675,392,287 | $ | 1,737,763,507 | ||||||||
U.S. Government Agency | — | — | 25,647,798 | 25,647,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 62,371,220 | 1,701,040,085 | 1,763,411,305 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 29,031,828 | — | — | 29,031,828 | ||||||||||||
Short-Term Investments | 10,876,709 | 37,998,480 | — | 48,875,189 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 39,908,537 | 100,369,700 | 1,701,040,085 | 1,841,318,322 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 120,526 | — | 120,526 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 39,908,537 | $ | 100,490,226 | $ | 1,701,040,085 | $ | 1,841,438,848 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (291,995 | ) | $ | — | $ | — | $ | (291,995 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
76
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Country Debt Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 1,064,305 | $ | 76,749,716 | $ | 77,814,021 | ||||||||
Corporate Debt | — | — | 21,250,000 | 21,250,000 | ||||||||||||
Foreign Government Agency | — | 869,789,392 | 76,338,318 | 946,127,710 | ||||||||||||
Foreign Government Obligations | — | 1,901,813,436 | 138,606,080 | 2,040,419,516 | ||||||||||||
Judgments | — | — | 42,488,000 | 42,488,000 | ||||||||||||
U.S. Government | — | 73,824,434 | — | 73,824,434 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 2,846,491,567 | 355,432,114 | 3,201,923,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Assignments | — | — | 9,021,473 | 9,021,473 | ||||||||||||
Loan Participations | — | — | 80,739,627 | 80,739,627 | ||||||||||||
Mutual Funds | 110,384,888 | — | — | 110,384,888 | ||||||||||||
Rights/Warrants | — | — | 10,731,170 | 10,731,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 39,632,296 | 69,497,888 | — | 109,130,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 150,017,184 | 2,915,989,455 | 455,924,384 | 3,521,931,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 6,017,540 | — | 6,017,540 | ||||||||||||
Options | ||||||||||||||||
Credit Risk | — | — | 886,481 | 886,481 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 64,414,913 | — | 64,414,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 150,017,184 | $ | 2,986,421,908 | $ | 456,810,865 | $ | 3,593,249,957 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (449,285 | ) | $ | — | $ | (449,285 | ) | ||||||
Options | ||||||||||||||||
Credit Risk | — | — | (950,279 | ) | (950,279 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (94,398,032 | ) | (16,800,000 | ) | (111,198,032 | ) | |||||||||
Interest Rate Risk | — | (1,600,789 | ) | — | (1,600,789 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (96,448,106 | ) | $ | (17,750,279 | ) | $ | (114,198,385 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Global Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Foreign Government Obligations | $ | — | $ | 6,342,722 | $ | — | $ | 6,342,722 | ||||||||
U.S. Government | — | 18,349,032 | — | 18,349,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 24,691,754 | — | 24,691,754 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 21,075,938 | — | — | 21,075,938 | ||||||||||||
Options Purchased | — | 102,977 | — | 102,977 | ||||||||||||
Short-Term Investments | 2,149,242 | — | — | 2,149,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 23,225,180 | 24,794,731 | — | 48,019,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
77
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Bond Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) |
| |||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 104,042 | $ | — | $ | 104,042 | ||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 165,224 | — | — | 165,224 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 270,921 | — | 270,921 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 23,390,404 | $ | 25,169,694 | $ | — | $ | 48,560,098 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (348,203 | ) | $ | — | $ | (348,203 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (31,961 | ) | — | — | (31,961 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (122,187 | ) | — | (122,187 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (31,961 | ) | $ | (470,390 | ) | $ | — | $ | (502,351 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
International Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Foreign Government Obligations | $ | — | $ | 17,239,857 | $ | — | $ | 17,239,857 | ||||||||
U.S. Government | — | 8,930,395 | — | 8,930,395 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 26,170,252 | — | 26,170,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 19,562,604 | — | — | 19,562,604 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | — | 54,571 | — | 54,571 | ||||||||||||
Short-Term Investments | 1,799,233 | — | — | 1,799,233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 21,361,837 | 26,224,823 | — | 47,586,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 63,746 | — | 63,746 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 233,113 | — | — | 233,113 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 190,289 | — | 190,289 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,594,950 | $ | 26,478,858 | $ | — | $ | 48,073,808 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (349,088 | ) | $ | — | $ | (349,088 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (41,085 | ) | — | — | (41,085 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (109,159 | ) | — | (109,159 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (41,085 | ) | $ | (458,247 | ) | $ | — | $ | (499,332 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
78
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Short-Term Investments | $ | 1,465,856,136 | $ | 544,655,916 | $ | — | $ | 2,010,512,052 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,465,856,136 | 544,655,916 | — | 2,010,512,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,465,856,136 | $ | 544,655,916 | $ | — | $ | 2,010,512,052 | ||||||||
|
|
|
|
|
|
|
| |||||||||
World Opportunity Overlay Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 25,971,225 | $ | 25,971,225 | ||||||||
U.S. Government | — | 45,030,645 | — | 45,030,645 | ||||||||||||
U.S. Government Agency | — | — | 849,120 | 849,120 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 45,030,645 | 26,820,345 | 71,850,990 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | — | 567,763 | — | 567,763 | ||||||||||||
Short-Term Investments | 23,858,222 | 98,994,500 | — | 122,852,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 23,858,222 | 144,592,908 | 26,820,345 | 195,271,475 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 527,530 | — | — | 527,530 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 3,529,960 | — | 3,529,960 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 24,385,752 | $ | 148,122,868 | $ | 26,820,345 | $ | 199,328,965 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (78,612 | ) | $ | — | $ | — | $ | (78,612 | ) | ||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (7,017,717 | ) | — | (7,017,717 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (78,612 | ) | $ | (7,017,717 | ) | $ | — | $ | (7,096,329 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
* | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ summary of levels above.
For all Funds for the period ended August 31, 2014, there were no material transfers between Level 1 and Level 2.
79
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances February 28, | Purchases | Sales | Accrued Discounts/ Premiums | Total Gain/ | Change in Unrealized Appreciation (Depreciation) | Transfer Level 3* | Transfer Level 3* | Balances as of | Net Change in Unrealized Appreciation (Depreciation) from Investments August 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 3,005,500 | $ | — | $ | (1,973,643 | ) | $ | 37,069 | $ | (689,086 | ) | $ | 754,156 | $ | — | $ | — | $ | 1,133,996 | $ | 55,121 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 3,005,500 | $ | — | $ | (1,973,643 | )# | $ | 37,069 | $ | (689,086 | ) | $ | 754,156 | $ | — | $ | — | $ | 1,133,996 | $ | 55,121 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Debt Opportunities Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 1,825,883,825 | $ | 262,574,327 | $ | (455,431,560 | ) | $ | 3,448,931 | $ | (5,104,651 | ) | $ | 46,250,915 | $ | — | $ | (2,229,500 | ) | $ | 1,675,392,287 | $ | 41,064,449 | |||||||||||||||||||||||||||
U.S. Government Agency | 26,905,298 | — | (1,387,930 | ) | 7,086 | (3,566 | ) | 126,910 | — | — | 25,647,798 | 126,791 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 1,852,789,123 | $ | 262,574,327 | $ | (456,819,490 | )## | $ | 3,456,017 | $ | (5,108,217 | )) | $ | 46,377,825 | $ | — | $ | (2,229,500 | ) | $ | 1,701,040,085 | $ | 41,191,240 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 75,460,374 | $ | — | $ | (6,007,579 | ) | $ | 263,226 | $ | (6,851 | ) | $ | 7,040,546 | $ | — | $ | — | $ | 76,749,716 | $ | 7,040,546 | ||||||||||||||||||||||||||||
Corporate Debt | 19,550,000 | — | — | (290 | ) | — | 1,700,290 | — | — | 21,250,000 | 1,700,290 | |||||||||||||||||||||||||||||||||||||||
Foreign Government Agency | 73,204,565 | — | — | 542,998 | — | 2,590,755 | — | — | 76,338,318 | 2,590,755 | ||||||||||||||||||||||||||||||||||||||||
Foreign Government Obligations | 128,865,871 | 2,063,671 | (1,637,363 | ) | (2,249,769 | ) | — | 11,563,670 | — | — | 138,606,080 | 11,563,670 | ||||||||||||||||||||||||||||||||||||||
Judgments | 26,800,000 | — | — | 427,014 | — | 15,260,986 | — | — | 42,488,000 | 15,260,986 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Debt Obligations | 323,880,810 | 2,063,671 | (7,644,942 | ) | (1,016,821 | ) | (6,851 | ) | 38,156,247 | — | — | 355,432,114 | 38,156,247 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Loan Assignments | 9,720,318 | — | (737,889 | ) | 283,605 | — | (244,561 | ) | — | — | 9,021,473 | (244,561 | ) | |||||||||||||||||||||||||||||||||||||
Loan Participations | 65,821,067 | 18,000,000 | (3,475,855 | ) | 859,355 | 676,760 | (1,141,700 | ) | — | — | 80,739,627 | (1,141,700 | ) | |||||||||||||||||||||||||||||||||||||
Rights/Warrants | 11,368,449 | — | — | — | — | (637,279 | ) | — | — | 10,731,170 | (637,279 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Investments | 410,790,644 | 20,063,671 | (11,858,686 | )### | 126,139 | 669,909 | 36,132,707 | — | — | 455,924,384 | 36,132,707 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||||||||||||
Swap Contracts | 0 | ** | — | — | — | — | — | (16,800,000 | )*** | — | (16,800,000 | ) | — | |||||||||||||||||||||||||||||||||||||
Options | (1,796,608 | ) | — | — | — | — | 1,732,810 | — | — | (63,798 | ) | 1,732,810 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 408,994,036 | $ | 20,063,671 | $ | (11,858,686 | ) | $ | 126,139 | $ | 669,909 | $ | 37,865,517 | $ | (16,800,000 | ) | $ | — | $ | 439,060,586 | $ | 37,865,517 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
World Opportunity Overlay Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 119,676,759 | $ | 738 | $ | (100,049,299 | ) | $ | (577,744 | ) | $ | (36,817,329 | ) | $ | 43,738,100 | $ | — | $ | — | $ | 25,971,225 | $ | 1,587,495 | |||||||||||||||||||||||||||
U.S. Government Agency | 843,840 | — | — | (1,754 | ) | — | 7,034 | — | — | 849,120 | 7,034 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 120,520,599 | $ | 738 | $ | (100,049,299 | )#### | $ | (579,498 | ) | $ | (36,817,329 | ) | $ | 43,745,134 | $ | — | $ | — | $ | 26,820,345 | $ | 1,594,529 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
* | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
** | Represents the interest in derivatives that were determined to have a value of zero at February 28, 2014 or August 31, 2014. |
*** | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
# | Includes $151,111 of proceeds received from principal paydowns. |
## | Includes $98,926,554 of proceeds received from principal paydowns. |
### | Includes $11,568,159 of proceeds received from principal paydowns. |
#### | Includes $7,747,940 of proceeds received from principal paydowns. |
80
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2014 were as follows:
Fund Name | Level 3 securities and derivatives | |
Asset Allocation Bond Fund | — | |
Core Plus Bond Fund | 8% | |
Currency Hedged International Bond Fund | 12% | |
Debt Opportunities Fund | 93% | |
Emerging Country Debt Fund | 13% | |
Global Bond Fund | 14% | |
International Bond Fund | 16% | |
U.S. Treasury Fund | — | |
World Opportunity Overlay Fund | 14% |
Cash and Statement of Cash Flows
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the New York Stock Exchange (“NYSE”), generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Loan assignments and participations
The Funds (except U.S. Treasury Fund) may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Repurchase agreements
The Funds may enter into repurchase agreements with banks and broker-dealers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. That Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to that Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, that Fund’s recovery of cash from the seller may be delayed and, even if that Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
81
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes that Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2014, the Funds listed below had entered into reverse repurchase agreements.
Fund Name | Received from reverse repurchase agreements ($) | Market value of securities plus accrued interest ($) | ||||||
Emerging Country Debt Fund | 38,708,369 | 36,474,744 |
As of August 31, 2014, Emerging Country Debt Fund had investments in reverse repurchase agreements with JP Morgan Securities, Inc. with a gross value of $38,692,531 and a net value of $(2,217,787) with related collateral. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Inflation-indexed bonds
The Funds (except U.S. Treasury Fund) may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Delayed delivery commitments and when-issued securities
The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is covered. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Taxes and distributions
Each Fund, except World Opportunity Overlay Fund (see below), intends to qualify each tax year as a regulated investment company (each a “RIC Fund”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each RIC Fund intends to distribute substantially all of its net investment income, if any, and all of its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each RIC Fund makes no provision for U.S. federal income or excise taxes. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each RIC Fund’s investments in certain jurisdictions may be higher if a significant portion of each RIC Fund is held by non-U.S. shareholders.
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World Opportunity Overlay Fund (the “Partnership Fund”) has elected to be treated as a partnership for U.S. federal income tax purposes and each shareholder is responsible for their tax liabilities, if any, related to their allocable share of Partnership Fund taxable income, gains, losses, deductions, credits and items of tax preference. The Partnership Fund’s activities do not generally constitute those of a U.S. trade or business. Accordingly, the Partnership Fund is generally not subject to U.S. federal, state and/or other income-based U.S. taxes (other than certain withholding taxes). Dividends and other income may be subject to withholding or similar taxes imposed by the country in which such dividends or other income originate.
With the exception of U.S. Treasury Fund, the policy of each RIC Fund is to declare and pay distributions of net investment income, if any, semi-annually. U.S. Treasury Fund’s policy is to declare distributions daily, to the extent net investment income is available, and pay distributions on the first business day following the end of each month in which distributions were declared. Each RIC Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically distributions are reinvested in additional shares of each RIC Fund at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each RIC Fund on the ex-dividend date.
Because the Partnership Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Partnership Fund to declare and pay non-redeeming distributions in the sole discretion of the Trustees (or their delegates). Distributions made by the Partnership Fund, if any, other than distributions made in partial or complete redemption of shareholders’ interests in the Partnership Fund, are reported in the Partnership Fund’s Statement of Changes in Net Assets as Partnership Fund distributions to shareholders.
Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2014, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Income and capital gain distributions for each RIC Fund are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Distributions in excess of a RIC Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 28, 2014, the RIC Funds listed below elected to defer to March 1, 2014 late-year ordinary losses and post-October capital losses as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses ($) | ||||||
Asset Allocation Bond Fund | (4,726,084) | (945,989) | ||||||
Core Plus Bond Fund | — | — | ||||||
Currency Hedged International Bond Fund | — | — | ||||||
Debt Opportunities Fund | — | (569,987) | ||||||
Emerging Country Debt Fund | — | (72,310,993) | ||||||
Global Bond Fund | — | (30,106) | ||||||
International Bond Fund | — | (11,054) | ||||||
U.S. Treasury Fund | — | — |
As of February 28, 2014, the RIC Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused.
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Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2014, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The RIC Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Total Short- | Long- Term ($) | ||||||||||||||||||||||||||||||
Fund Name | Expiration Date 2/28/2015 | Expiration Date 2/29/2016 | Expiration Date 2/28/2017 | Expiration Date 2/28/2018 | Expiration Date 2/28/2019 | No Expiration Date | No Date | |||||||||||||||||||||||||
Asset Allocation Bond Fund | — | — | — | — | (6,593,369) | (247,649) | (6,841,018) | (186,406) | ||||||||||||||||||||||||
Core Plus Bond Fund | (2,795,728) | (33,008,915) | (74,050,257) | (17,147,333) | (138,723) | — | (127,140,956) | — | ||||||||||||||||||||||||
Currency Hedged International Bond Fund | — | — | (1,749,220) | (3,328,985) | — | — | (5,078,205) | (1,609,357) | ||||||||||||||||||||||||
Debt Opportunities Fund | (4,239,935) | (1,158,601) | (32,360,541) | (41,313,788) | (307,583) | — | (79,380,448) | (8,658,135) | ||||||||||||||||||||||||
Emerging Country Debt Fund | — | — | (14,758,581) | — | (66,474,254) | (8,673,151) | (89,905,986) | (924,272) | ||||||||||||||||||||||||
Global Bond Fund | (269,796) | — | (4,412,277) | (6,769,760) | (1,398,524) | — | (12,850,357) | — | ||||||||||||||||||||||||
International Bond Fund | (6,954,148) | (507,910) | (8,354,148) | (4,431,029) | (4,162,554) | — | (24,409,789) | — | ||||||||||||||||||||||||
U.S. Treasury Fund | — | — | — | — | — | — | — | — |
As of August 31, 2014, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Asset Allocation Bond Fund | 4,422,062,840 | 2,128,451 | (4,828,732) | (2,700,281) | ||||||||||||
Core Plus Bond Fund | 260,361,344 | 1,947,975 | (13,620,057) | (11,672,082) | ||||||||||||
Currency Hedged International Bond Fund | 74,627,317 | 3,330,749 | (1,807,620) | 1,523,129 | ||||||||||||
Debt Opportunities Fund | 1,999,708,420 | 52,205,878 | (210,595,976) | (158,390,098) | ||||||||||||
Emerging Country Debt Fund | 3,283,002,902 | 339,379,253 | (100,451,132) | 238,928,121 | ||||||||||||
Global Bond Fund | 51,738,072 | 271,552 | (3,989,713) | (3,718,161) | ||||||||||||
International Bond Fund | 53,793,645 | — | (6,206,985) | (6,206,985) | ||||||||||||
U.S. Treasury Fund | 2,010,441,399 | 70,653 | — | 70,653 | ||||||||||||
World Opportunity Overlay Fund | 200,508,236 | 1,311,110 | (6,547,871) | (5,236,761) |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund
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may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
Expenses
Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when they use portfolio securities to redeem their shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
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As of August 31, 2014, the premium on cash purchases and the fee on cash redemptions were as follows:
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | Global Bond Fund | International Bond Fund | U.S. Treasury Fund | World Opportunity Overlay Fund | ||||||||||
Purchase Premium | — | — | — | 0.40% | 0.50% | — | — | — | — | |||||||||
Redemption Fee | — | — | — | 0.40% | 0.50% | — | — | — | — |
Other matters
Emerging Country Debt Fund
In December 2005, Emerging County Debt Fund (“ECDF”) entered into litigation against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by ECDF. A judgment was awarded in ECDF’s favor on September 24, 2007; however, ECDF’s ability to collect on this judgment remains uncertain, and ECDF is not able to transfer or sell the judgment without court consent. In late May 2010, Argentina commenced a public debt exchange in which certain defaulted debts, including legal judgments on those debts, were eligible to be exchanged for then performing Argentina Bonds. The eligible portion of ECDF’s judgment was tendered in the debt exchange and ECDF received new bonds in June 2010. The remaining portion of ECDF’s judgment, which continues to be valued using a broker quote and adjusted by a discount for liquidity considerations, represented 1.2% of the net assets of ECDF as of August 31, 2014.
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3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | Global Bond Fund | International Bond Fund | U.S. Treasury Fund | World Opportunity Overlay Fund | ||||||||||
Market Risk – Fixed Income Investments | X | X | X | X | X | X | X | X | X | |||||||||
Market Risk – Asset-Backed Securities | X | X | X | X | X | X | X | X | ||||||||||
Credit Risk | X | X | X | X | X | X | X | X | X | |||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | ||||||||||
Derivatives Risk | X | X | X | X | X | X | X | X | ||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | ||||||||||
Currency Risk | X | X | X | X | X | X | X | X | ||||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | X | |||||||||
Leveraging Risk | X | X | X | X | X | X | X | X | ||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | ||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | |||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | |||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | X | |||||||||
Fund of Funds Risk | X | X | X | X | X | X | X | |||||||||||
Non-Diversified Funds | X | X | X | X | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed as well as the risk that investments made through underlying funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through its underlying funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
Ÿ MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Fixed Income Investments. Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related
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factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Illiquidity Risk” below for more information about these risks.
A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations.
The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.
The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. There can be no assurance, however, that the value of inflation-indexed bonds will change in the same proportion as changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Market risk for fixed income securities denominated in foreign currencies is also affected by currency risk. See “Currency Risk” below.
Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions and may have to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
Asset-Backed Securities. Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.
Funds investing in asset-backed securities are exposed to the risk of severe credit downgrades, illiquidity, and defaults, to a greater extent than many other types of fixed income investments. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.
As described under “Market Risk — Fixed Income Investments” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in
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any one of these areas can lead to a reduction in the payment stream GMO expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may expose a Fund to significantly greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now below investment grade. See “Credit Risk” below for more information about credit risk.
With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.
The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease.
In addition, the existence of insurance on an asset-backed security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.
The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments. The risks associated with asset-backed securities are particularly pronounced for Debt Opportunities Fund, which primarily holds asset-backed securities, and for the Funds that have invested substantial portions of their assets in Debt Opportunities Fund.
Ÿ CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality), whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
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In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.
U.S. government securities historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.
As described under “Market Risk — Asset-Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities” above.
The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by their effective duration.
Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted instruments are generally considered speculative and may involve substantial risks not normally associated with investments in healthier companies, including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, a Fund may lose a substantial portion or all of its investment or it may be required to accept cash or instruments with a value less than the Fund’s original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased liquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.
• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that changes in their value may not move as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, option on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.
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A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund will typically not receive the collateral for one or more days after the collateral is requested by the Fund.
The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.
Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.
There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.
Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some of the rules are not yet final), its ultimate impact remains unclear.
Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation
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relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. Some Funds are permitted to write options. The market price of written options will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time prior to the option’s expiration, the writer of an American-style option has no control over when it may be required to fulfill its obligations as a writer of the option. (This risk is not present when writing a European-style option because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO may constitute such a group. These limits could restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders at ordinary income tax rates.
Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund.
In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and
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must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund and/or its shareholders may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).
U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of GMO’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.
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Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).
• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.
A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, country (e.g., Taiwan or Japan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.
• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions may not be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives.
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A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will still have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and may continue to be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives positions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of the funds held in the omnibus account for the relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodity Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, a default by the U.S. government or a downgrade of its credit rating would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the United States and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers
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in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• LARGE SHAREHOLDER RISK. If a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. Additionally, in the case of Funds that are regulated investment companies for U.S. federal income tax purposes, they also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors or limitations in those analyses and models could affect a Fund’s performance. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.
With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its NAV, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
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August 31, 2014 (Unaudited)
• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of underlying Funds including other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies are exposed to the risk that the underlying Funds will not perform as expected.
Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.
The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Many of the funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.
Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers and/or foreign currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
All of the Funds (except U.S. Treasury Fund) are not diversified investment companies within the meaning of the 1940 Act. In addition, each of the Funds (other than U.S. Treasury Fund) may invest in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political or other conditions.
The Funds (other than U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions and have exercised the right to honor redemption requests in-kind.
To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps or other derivatives on an index, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.
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Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Debt Opportunities Fund and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of Debt Opportunities Fund and U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. The Funds’ (other than Debt Opportunities Fund and U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2014, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Oppor- tunities Fund | Emerging Country Debt Fund | Global Bond Fund | International Bond Fund | World Opportunity Overlay Fund | ||||||||
Forward currency contracts | ||||||||||||||||
Adjust currency exchange rate risk | X | X | X | X | X | |||||||||||
Adjust exposure to foreign currencies | X | X | X | X | X | X | ||||||||||
Futures contracts | ||||||||||||||||
Adjust interest rate exposure | X | X | X | X | X | X | X | |||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | X | X | X | X | |||||||||
Options (Purchased) | ||||||||||||||||
Adjust currency exchange rate risk | X | X | X | X | X | X | ||||||||||
Adjust exposure to foreign currencies | X | X | X | X | X | X | ||||||||||
Adjust interest rate exposure | X | X | ||||||||||||||
Options (Written) | ||||||||||||||||
Adjust currency exchange rate risk | X | X | X | X | ||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | ||||||||||||
Options (Credit Linked) | ||||||||||||||||
Achieve exposure to a reference entity’s credit | X | |||||||||||||||
Swap Contracts | ||||||||||||||||
Achieve exposure to a reference entity’s credit | X | X | X | |||||||||||||
Adjust exposure to certain markets | X | |||||||||||||||
Adjust interest rate exposure | X | X | X | X | X | X | X | X | ||||||||
Provide a measure of protection against default loss | X | X | X | X | X | |||||||||||
Rights and/or warrants | ||||||||||||||||
Achieve exposure to a reference commodity | X |
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Forward currency contracts
The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
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For the period ended August 31, 2014, investment activity in options contracts written by the Funds was as follows:
Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Core Plus Bond Fund |
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Outstanding, beginning of period | 3,500,000 | — | $ | 50,606 | — | — | $ | — | ||||||||||||||||
Options written | 5,200,000 | — | 16,640 | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | — | — | — | ||||||||||||||||||
Options expired | (8,700,000 | ) | — | (67,246 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
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Currency Hedged International Bond Fund |
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Outstanding, beginning of period | 1,000,000 | — | $ | 14,459 | — | — | $ | — | ||||||||||||||||
Options written | 1,600,000 | — | 5,120 | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | — | — | — | ||||||||||||||||||
Options expired | (2,600,000 | ) | — | (19,579 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
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Global Bond Fund |
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Outstanding, beginning of period | 2,000,000 | — | $ | 28,918 | — | — | $ | — | ||||||||||||||||
Options written | 3,100,000 | — | 9,920 | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | — | — | — | ||||||||||||||||||
Options expired | (5,100,000 | ) | — | (38,838 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
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International Bond Fund |
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Outstanding, beginning of period | 1,000,000 | — | $ | 14,459 | — | — | $ | — | ||||||||||||||||
Options written | 1,300,000 | — | 4,160 | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | — | — | — | ||||||||||||||||||
Options expired | (2,300,000 | ) | — | (18,619 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
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Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Funds value OTC options using inputs provided by primary pricing sources and industry models.
Swap contracts
The Funds may enter into various types of swap contracts, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains
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or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated
101
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Additionally, Emerging Country Debt Fund owns warrants linked to the price of oil. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure:
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2014 and the Statements of Operations for the period ended August 31, 2014^:
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | — | $ | 3,448,648 | $ | 6,434,180 | $ | — | $ | 9,882,828 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 16,588,308 | — | — | 16,588,308 | |||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | — | 6,304,134 | — | 6,304,134 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | — | — | — | — | 33,034,615 | — | 33,034,615 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 20,036,956 | $ | 45,772,929 | $ | — | $ | 65,809,885 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | 20,036,956 | $ | 45,772,929 | $ | — | $ | 65,809,885 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (567,884 | ) | $ | — | $ | — | $ | (567,884 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | — | — | (9,808,759 | ) | — | (9,808,759 | ) | |||||||||||||||||||
Unrealized Depreciation on Swap Contracts* | — | — | — | — | (57,389,899 | ) | — | (57,389,899 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (567,884 | ) | $ | (67,198,658 | ) | $ | — | $ | (67,766,542 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | (567,884 | ) | $ | (67,198,658 | ) | $ | — | $ | (67,766,542 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | — | $ | (3,571,075 | ) | $ | — | $ | (3,571,075 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 7,230,103 | — | — | 7,230,103 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | 2,573,936 | — | 2,573,936 | |||||||||||||||||||||
Swap Contracts | — | — | — | — | 19,545,701 | — | 19,545,701 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 7,230,103 | $ | 18,548,562 | $ | — | $ | 25,778,665 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | 522,328 | $ | (323,240 | ) | $ | — | $ | 199,088 | |||||||||||||
Forward Currency Contracts | — | — | — | 16,020,424 | — | — | 16,020,424 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | (3,504,625 | ) | — | (3,504,625 | ) | |||||||||||||||||||
Swap Contracts | — | — | — | — | (12,317,525 | ) | — | (12,317,525 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 16,542,752 | $ | (16,145,390 | ) | $ | — | $ | 397,362 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
102
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | — | $ | 246,053 | $ | — | $ | — | $ | 246,053 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 774,690 | — | — | 774,690 | |||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | — | 5,966 | — | 5,966 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | 241,267 | — | — | — | 975,952 | — | 1,217,219 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 241,267 | $ | — | $ | — | $ | 1,020,743 | $ | 981,918 | $ | — | $ | 2,243,928 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | 241,267 | $ | — | $ | — | $ | 1,020,743 | $ | 981,918 | $ | — | $ | 2,243,928 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (35,431 | ) | $ | — | $ | — | $ | (35,431 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | — | — | (597,937 | ) | — | (597,937 | ) | |||||||||||||||||||
Unrealized Depreciation on Swap Contracts* | (530,246 | ) | — | — | — | (654,953 | ) | — | (1,185,199 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (530,246 | ) | $ | — | $ | — | $ | (35,431 | ) | $ | (1,252,890 | ) | $ | — | $ | (1,818,567 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | (530,246 | ) | $ | — | $ | — | $ | (35,431 | ) | $ | (1,252,890 | ) | $ | — | $ | (1,818,567 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | (263,326 | ) | $ | — | $ | — | (263,326 | ) | |||||||||||||
Forward Currency Contracts | — | — | — | 2,359,818 | — | — | 2,359,818 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | (1,206,525 | ) | — | (1,206,525 | ) | |||||||||||||||||||
Written Options | — | — | — | 67,246 | — | — | 67,246 | |||||||||||||||||||||
Swap Contracts | (75,833 | ) | — | — | — | 3,745,909 | — | 3,670,076 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (75,833 | ) | $ | — | $ | — | $ | 2,163,738 | $ | 2,539,384 | $ | — | $ | 4,627,289 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation): | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | 243,466 | $ | — | $ | — | $ | 243,466 | ||||||||||||||
Forward Currency Contracts | — | — | 390,225 | — | — | 390,225 | ||||||||||||||||||||||
Futures Contracts | — | — | — | — | (13,659 | ) | — | (13,659 | ) | |||||||||||||||||||
Written Options | — | — | — | (48,402 | ) | — | — | (48,402 | ) | |||||||||||||||||||
Swap Contracts | 420,043 | — | — | — | 267,688 | — | 687,731 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 420,043 | $ | — | $ | — | $ | 585,289 | $ | 254,029 | $ | — | $ | 1,259,361 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Currency Hedged International Bond Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | — | $ | 73,843 | $ | — | $ | — | $ | 73,843 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 450,251 | — | — | 450,251 | |||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | — | 396,571 | — | 396,571 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | — | — | — | — | 310,472 | — | 310,472 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 524,094 | $ | 707,043 | $ | — | $ | 1,231,137 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | 524,094 | $ | 704,043 | $ | — | $ | 1,231,137 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
103
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Currency Hedged International Bond Fund (continued) | ||||||||||||||||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (10,500 | ) | $ | — | $ | — | $ | (10,500 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | — | — | (248,368 | ) | — | (248,368 | ) | |||||||||||||||||||
Unrealized Depreciation on Swap Contracts* | — | — | — | — | (197,850 | ) | — | (197,850 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (10,500 | ) | $ | (446,218 | ) | $ | — | $ | (456,718 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | (10,500 | ) | $ | (446,218 | ) | $ | — | $ | (456,718 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | (76,895 | ) | $ | — | $ | — | $ | (76,895 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 1,146,055 | — | — | 1,146,055 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | 1,008,393 | — | 1,008,393 | |||||||||||||||||||||
Written Options | — | — | — | 19,579 | — | — | 19,579 | |||||||||||||||||||||
Swap Contracts | — | — | — | — | 196,050 | — | 196,050 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 1,088,739 | $ | 1,204,443 | $ | — | $ | 2,293,182 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | 71,167 | $ | — | $ | — | $ | 71,167 | ||||||||||||||
Forward Currency Contracts | — | — | — | 370,305 | — | — | 370,305 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | 43,631 | — | 43,631 | |||||||||||||||||||||
Written Options | — | — | — | (13,829 | ) | — | — | (13,829 | ) | |||||||||||||||||||
Swap Contracts | 57,081 | — | — | — | 116,759 | — | 173,840 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 57,081 | $ | — | $ | — | $ | 427,643 | $ | 160,390 | $ | — | $ | 645,114 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Debt Opportunities Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | $ | — | $ | — | $ | — | $ | — | $ | 120,526 | $ | — | $ | 120,526 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 120,526 | $ | — | $ | 120,526 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | 120,526 | $ | — | $ | 120,526 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts* | $ | — | $ | — | $ | — | $ | — | $ | (291,995 | ) | $ | — | $ | (291,995 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (291,995 | ) | $ | — | $ | (291,995 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | (291,995 | ) | $ | — | $ | (291,995 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | $ | (1,183,006 | ) | $ | — | $ | (1,183,006 | ) | ||||||||||||
Swap Contracts | — | — | — | — | (337,506 | ) | — | (337,506 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (1,520,512 | ) | $ | — | $ | (1,520,512 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | $ | 104,763 | $ | — | $ | 104,763 | ||||||||||||||
Swap Contracts | — | — | — | — | 109,825 | — | 109,825 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 214,588 | $ | — | $ | 214,588 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
104
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10,731,170 | $ | 10,731,170 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 6,017,540 | — | — | 6,017,540 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | 64,414,913 | — | — | — | — | — | 64,414,913 | |||||||||||||||||||||
Options | 886,481 | — | — | — | — | — | 886,481 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 65,301,394 | $ | — | $ | — | $ | 6,017,540 | $ | — | $ | 10,731,170 | $ | 82,050,104 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10,731,170 | $ | 10,731,170 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | 65,301,394 | $ | — | $ | — | $ | 6,017,540 | $ | — | $ | — | $ | 71,318,934 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (449,285 | ) | $ | — | $ | — | $ | (449,285 | ) | ||||||||||||
Unrealized Depreciation on Swap Contracts* | (111,198,032 | ) | — | — | — | (1,600,789 | ) | — | (112,798,821 | ) | ||||||||||||||||||
Options | (950,279 | ) | — | — | — | — | — | (950,279 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (112,148,311 | ) | $ | — | $ | — | $ | (449,285 | ) | $ | (1,600,789 | ) | $ | — | $ | (114,198,385 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | (112,148,311 | ) | $ | — | $ | — | $ | (449,285 | ) | $ | (1,600,789 | ) | $ | — | $ | (114,198,385 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 5,831,770 | $ | — | $ | — | $ | 5,831,770 | ||||||||||||||
Swap Contracts | 3,647,667 | — | — | — | (91,257 | ) | — | 3,556,410 | ||||||||||||||||||||
Options | 363,747 | — | — | — | — | — | 363,747 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 4,011,414 | $ | — | $ | — | $ | 5,831,770 | $ | (91,257 | ) | $ | — | $ | 9,751,927 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Apprecation (Depreciation) on: | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (637,279 | ) | $ | (637,279 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 8,463,517 | — | — | 8,463,517 | |||||||||||||||||||||
Swap Contracts | (18,264,504 | ) | — | — | — | (1,600,789 | ) | — | (19,865,293 | ) | ||||||||||||||||||
Options | 2,092,559 | — | — | — | — | — | 2,092,559 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (16,171,945 | ) | $ | — | $ | — | $ | 8,463,517 | $ | (1,600,789 | ) | $ | (637,279 | ) | $ | (9,946,496 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Global Bond Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | — | $ | 102,977 | $ | — | $ | — | $ | 102,977 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 104,042 | — | — | 104,042 | |||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | — | 165,224 | — | 165,224 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | — | — | — | — | 270,921 | — | 270,921 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 207,019 | $ | 436,145 | $ | — | $ | 643,164 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | 207,019 | $ | 436,145 | $ | — | $ | 643,164 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (348,203 | ) | $ | — | $ | — | $ | (348,203 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | — | — | (31,961 | ) | — | (31,961 | ) | |||||||||||||||||||
Unrealized Depreciation on Swap Contracts* | — | — | — | — | (122,187 | ) | — | (122,187 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (348,203 | ) | $ | (154,148 | ) | $ | — | $ | (502,351 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | (348,203 | ) | $ | (154,148 | ) | $ | — | $ | (502,351 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
105
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Global Bond Fund (continued) | ||||||||||||||||||||||||||||
Net Realized Gain (Loss): | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | (153,108 | ) | $ | — | $ | — | $ | (153,108 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 1,105,881 | — | — | 1,105,881 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | 1,041,810 | — | 1,041,810 | |||||||||||||||||||||
Written Options | — | — | — | 38,838 | — | — | 38,838 | |||||||||||||||||||||
Swap Contracts | (90,242 | ) | — | — | — | 328,430 | — | 238,188 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (90,242 | ) | $ | — | $ | — | $ | 991,611 | $ | 1,370,240 | $ | — | $ | 2,271,609 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation): | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | 139,776 | $ | — | $ | — | $ | 139,776 | ||||||||||||||
Forward Currency Contracts | — | — | — | (875,366 | ) | — | — | (875,366 | ) | |||||||||||||||||||
Futures Contracts | — | — | — | — | (107,444 | ) | — | (107,444 | ) | |||||||||||||||||||
Written Options | — | — | — | (27,659 | ) | — | — | (27,659 | ) | |||||||||||||||||||
Swap Contracts | 85,621 | — | — | — | 153,855 | — | 239,476 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 85,621 | $ | — | $ | — | $ | (763,249 | ) | $ | 46,411 | $ | — | $ | (631,217 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
International Bond Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | 54,571 | $ | — | $ | — | $ | 54,571 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 63,746 | — | — | 63,746 | |||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | — | 233,113 | — | 233,113 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | — | — | — | — | 190,289 | — | 190,289 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 118,317 | $ | 423,402 | $ | — | $ | 541,719 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | 118,317 | $ | 423,402 | $ | — | $ | 541,719 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (349,088 | ) | $ | — | $ | — | $ | (349,088 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | — | — | (41,085 | ) | — | (41,085 | ) | |||||||||||||||||||
Unrealized Depreciation on Swap Contracts* | — | — | — | — | (109,159 | ) | — | (109,159 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (349,088 | ) | $ | (150,244 | ) | $ | — | $ | (499,332 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | (349,088 | ) | $ | (150,244 | ) | $ | — | $ | (499,332 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | (72,795 | ) | $ | — | $ | — | $ | (72,795 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 284,320 | — | — | 284,320 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | 805,914 | — | 805,914 | |||||||||||||||||||||
Written Options | — | — | — | 18,619 | — | — | 18,619 | |||||||||||||||||||||
Swap Contracts | — | — | — | — | 374,428 | — | 374,428 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 230,144 | $ | 1,180,342 | $ | — | $ | 1,410,486 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | 66,598 | $ | — | $ | — | $ | 66,598 | ||||||||||||||
Forward Currency Contracts | — | — | — | (695,719 | ) | — | — | $ | (695,719 | ) | ||||||||||||||||||
Futures Contracts | — | — | — | — | 29,114 | — | $ | 29,114 | ||||||||||||||||||||
Written options | — | — | — | (13,829 | ) | — | — | $ | (13,829 | ) | ||||||||||||||||||
Swap Contracts | (39,067 | ) | — | — | — | 86,626 | — | $ | 47,559 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (39,067 | ) | $ | — | $ | — | $ | (642,950 | ) | $ | 115,740 | $ | — | $ | (566,277 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
106
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
World Opportunity Overlay Fund | ||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | — | $ | — | $ | 567,763 | $ | — | $ | 567,763 | ||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | — | 527,530 | — | 527,530 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | — | — | — | — | 3,529,960 | — | 3,529,960 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 4,625,253 | $ | — | $ | 4,625,253 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | 4,625,253 | $ | — | $ | 4,625,253 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts* | $ | — | $ | — | $ | — | $ | — | $ | (78,612 | ) | $ | — | $ | (78,612 | ) | ||||||||||||
Unrealized Depreciation on Swap Contracts* | — | — | — | — | (7,017,717 | ) | — | (7,017,717 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (7,096,329 | ) | $ | — | $ | (7,096,329 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | (7,096,329 | ) | $ | — | $ | (7,096,329 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | — | $ | (8,822,098 | ) | $ | — | $ | (8,822,098 | ) | ||||||||||||
Futures Contracts | — | — | — | — | 131,259 | — | 131,259 | |||||||||||||||||||||
Swap Contracts | — | — | — | — | (9,569,867 | ) | — | (9,569,867 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | (18,260,706 | ) | $ | — | $ | (18,260,706 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation): | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | — | $ | — | $ | 6,844,067 | $ | — | $ | 6,844,067 | ||||||||||||||
Future Contracts | — | — | — | — | 448,918 | — | 448,918 | |||||||||||||||||||||
Swap Contracts | — | — | — | — | 814,317 | — | 814,317 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 8,107,302 | $ | — | $ | 8,107,302 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
* | The table includes cumulative appreciation/depreciation of futures and cleared swap contracts as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts is reported within the Statements of Assets and Liabilities. |
The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. If termination events were triggered by a Fund on August 31, 2014, that Fund may be required to potentially settle positions at the amounts noted in the Schedule of Investments. For more information about other uncertainties and risks, see “Investment and other risks” above.
107
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2014, if any.
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2014:
Asset Allocation Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 687,245 | $ | — | $ | — | $ | 687,245 | ||||||||
Barclays Bank plc | 3,332,600 | (2,131,761 | ) | (145,359 | ) | 1,055,480 | ||||||||||
Citibank N.A. | 5,808,654 | (5,770,000 | ) | — | 38,654 | |||||||||||
Deutsche Bank AG | 8,075,680 | (6,875,246 | ) | (289,819 | ) | 910,615 | ||||||||||
Goldman Sachs International | 4,241,562 | — | (132,706 | ) | 4,108,856 | |||||||||||
JPMorgan Chase Bank, N.A. | 2,624,287 | (2,445,313 | ) | — | 178,974 | |||||||||||
Morgan Stanley & Co. International PLC | 1,701,108 | (1,701,108 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 26,471,136 | $ | (18,923,428 | ) | $ | (567,884 | ) | $ | 6,979,824 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank plc | $ | 145,359 | $ | — | $ | 145,359 | $ | — | ||||||||
Deutsche Bank AG | 289,819 | — | 289,819 | — | ||||||||||||
Goldman Sachs International | 132,706 | — | 132,706 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 567,884 | $ | — | $ | 567,884 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 26,941 | $ | — | $ | — | $ | 26,941 | ||||||||
Barclays Bank plc | 481,064 | — | 481,064 | — | ||||||||||||
Citibank N.A. | 136,448 | — | — | 136,448 | ||||||||||||
Deutsche Bank AG | 611,742 | (580,000 | ) | (12,999 | ) | 18,743 | ||||||||||
Goldman Sachs International | 5,815 | — | 5,815 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,262,010 | $ | (580,000 | ) | $ | 473,880 | $ | 182,132 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank plc | $ | 544,219 | $ | — | $ | (481,064 | ) | $ | 63,155 | |||||||
Deutsche Bank AG | 12,999 | — | 12,999 | — | ||||||||||||
Goldman Sachs International | 5,952 | — | (5,815 | ) | 137 | |||||||||||
JPMorgan Chase Bank, N.A. | 2,507 | (2,507 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 565,677 | $ | (2,507 | ) | $ | (473,880 | ) | $ | 63,292 | ||||||
|
|
|
|
|
|
|
| |||||||||
108
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Currency Hedged International Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 44,153 | $ | — | $ | — | $ | 44,153 | ||||||||
Barclays Bank plc | 116,899 | (81,044 | ) | (4,088 | ) | 31,767 | ||||||||||
Citibank N.A. | 41,692 | — | — | 41,692 | ||||||||||||
Deutsche Bank AG | 319,602 | (260,000 | ) | (3,907 | ) | 55,695 | ||||||||||
Goldman Sachs International | 1,748 | — | 1,748 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 524,094 | $ | (341,044 | ) | $ | (6,247 | ) | $ | 173,307 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank plc | $ | 4,088 | $ | — | $ | 4,088 | $ | — | ||||||||
Deutsche Bank AG | 3,907 | — | 3,907 | — | ||||||||||||
Goldman Sachs International | 1,789 | — | (1,748 | ) | 41 | |||||||||||
JPMorgan Chase Bank, N.A. | 716 | — | — | 716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,500 | $ | — | $ | 6,247 | $ | 757 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 807,723 | $ | — | $ | (412,392 | ) | $ | 395,331 | |||||||
Barclays Bank plc | 506,793 | — | 506,793 | — | ||||||||||||
Citibank N.A. | 4,420,852 | (2,221,818 | ) | (2,004,809 | ) | 194,225 | ||||||||||
Deutsche Bank AG | 61,750,155 | — | 61,750,155 | — | ||||||||||||
Goldman Sachs International | 699,257 | — | 699,257 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 3,134,154 | — | 3,134,154 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 71,318,934 | $ | (2,221,818 | ) | $ | 63,673,158 | $ | 589,556 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 412,392 | $ | — | $ | 412,392 | $ | — | ||||||||
Barclays Bank plc | 650,704 | (143,911 | ) | (506,793 | ) | — | * | |||||||||
Citibank N.A. | 2,004,809 | — | 2,004,809 | — | ||||||||||||
Deutsche Bank AG | 74,639,155 | (12,889,000 | ) | (61,750,155 | ) | — | * | |||||||||
Goldman Sachs International | 7,000,000 | (6,300,743 | ) | (699,257 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 24,140,536 | (21,006,382 | ) | (3,134,154 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 3,750,000 | (3,750,000 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 112,597,596 | $ | (44,090,036 | ) | $ | (63,673,158 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
109
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Global Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Bank plc | $ | 69,375 | $ | — | $ | (18,224 | ) | $ | 51,151 | |||||||
Citibank N.A. | 79,595 | — | — | 79,595 | ||||||||||||
Deutsche Bank AG | 48,806 | — | 48,806 | — | ||||||||||||
Goldman Sachs International | 2,797 | — | (2,733 | ) | 64 | |||||||||||
JPMorgan Chase Bank, N.A. | 6,446 | — | — | 6,446 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 207,019 | $ | — | $ | 27,849 | $ | 137,256 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 12,223 | $ | — | $ | — | $ | 12,223 | ||||||||
Barclays Bank plc | 18,224 | — | 18,224 | — | ||||||||||||
Deutsche Bank AG | 315,023 | (241,225 | ) | (48,806 | ) | 24,992 | ||||||||||
Goldman Sachs International | 2,733 | — | 2,733 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 348,203 | $ | (241,225 | ) | $ | (27,849 | ) | $ | 37,215 | ||||||
|
|
|
|
|
|
|
| |||||||||
International Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Bank plc | $ | 43,926 | $ | — | $ | (35,343 | ) | $ | 8,583 | |||||||
Citibank N.A. | 34,112 | — | — | 34,112 | ||||||||||||
Deutsche Bank AG | 38,620 | — | 38,620 | — | ||||||||||||
Goldman Sachs International | 1,659 | — | (1,621 | ) | 38 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 118,317 | $ | — | $ | 1,656 | $ | 42,733 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 22,700 | $ | — | $ | — | $ | 22,700 | ||||||||
Barclays Bank plc | 35,343 | — | 35,343 | — | ||||||||||||
Deutsche Bank AG | 287,633 | — | (38,620 | ) | 249,013 | |||||||||||
Goldman Sachs International | 1,621 | — | 1,621 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 1,791 | — | — | 1,791 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 349,088 | $ | — | $ | (1,656 | ) | $ | 273,504 | |||||||
|
|
|
|
|
|
|
| |||||||||
110
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
World Opportunity Overlay Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Goldman Sachs International | $ | 427,451 | $ | — | $ | — | $ | 427,451 | ||||||||
JPMorgan Chase Bank, N.A. | 140,312 | (30,000 | ) | — | 110,312 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 567,763 | $ | (30,000 | ) | $ | — | $ | 537,763 | |||||||
|
|
|
|
|
|
|
| |||||||||
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
The following tables present the Funds’ exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2014:
Asset Allocation Bond Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Capital Inc. – Cleared Swaps | $ | 420,800 | $ | — | $ | — | $ | 420,800 | ||||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | 59,044 | — | — | 59,044 | ||||||||||||
J.P.Morgan Futures Incorporated – Futures | 688,251 | — | — | �� | 688,251 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,168,095 | $ | — | $ | — | $ | 1,168,095 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
J.P.Morgan Futures Incorporated – Futures | $ | 39,680 | $ | — | $ | — | $ | 39,680 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 39,680 | $ | — | $ | — | $ | 39,680 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Capital Inc. – Cleared Swaps | $ | 10,752 | $ | (10,752 | ) | $ | — | $ | — | * | ||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | 7,708 | (7,708 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 18,460 | $ | (18,460 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
111
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Currency Hedged International Bond Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
J.P.Morgan Futures Incorporated – Futures | $ | 9,847 | $ | — | $ | — | $ | 9,847 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,847 | $ | — | $ | — | $ | 9,847 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Capital Inc. – Cleared Swaps | $ | 3,542 | $ | (3,542 | ) | $ | — | $ | — | * | ||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | 2,363 | (2,363 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,905 | $ | (5,905 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Debt Opportunities Fund
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | $ | 9,143 | $ | (9,143 | ) | $ | — | $ | — | * | ||||||
J.P.Morgan Futures Incorporated – Futures | 23,906 | (23,906 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 33,049 | $ | (33,049 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | $ | 129,237 | $ | — | $ | — | $ | 129,237 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 129,237 | $ | — | $ | — | $ | 129,237 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Bond Fund
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Capital Inc. – Cleared Swaps | $ | 2,479 | $ | (2,479 | ) | $ | — | $ | — | * | ||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | 2,890 | (2,890 | ) | — | — | * | ||||||||||
J.P.Morgan Futures Incorporated – Futures | 2,052 | (2,052 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,421 | $ | (7,421 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
112
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
International Bond Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
J.P.Morgan Futures Incorporated – Futures | $ | 188 | $ | — | $ | — | $ | 188 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 188 | $ | — | $ | — | $ | 188 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Capital Inc. – Cleared Swaps | $ | 1,869 | $ | (1,869 | ) | $ | — | $ | — | * | ||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | 1,466 | (1,466 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,335 | $ | (3,335 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
World Opportunity Overlay Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Capital Inc. – Cleared Swaps | $ | 56,871 | $ | — | $ | — | $ | 56,871 | ||||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | 58,454 | — | — | 58,454 | ||||||||||||
J.P.Morgan Futures Incorporated – Futures | 32,925 | — | — | 32,925 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 148,250 | $ | — | $ | — | $ | 148,250 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap contracts) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2014.
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options ($) | Rights and/or Warrants ($) | |||||||||||||||
Asset Allocation Bond Fund | 420,250,186 | 2,842,416,381 | 3,571,819,815 | 495,466,667 | — | |||||||||||||||
Core Plus Bond Fund | 113,848,533 | 143,356,512 | 207,881,104 | 27,235,980 | — | |||||||||||||||
Currency Hedged International Bond Fund | 57,035,746 | 67,456,797 | 13,420,909 | 7,875,251 | — | |||||||||||||||
Debt Opportunities Fund | — | 147,399,042 | 50,000,000 | — | — | |||||||||||||||
Emerging Country Debt Fund | 473,535,710 | — | 3,706,801,967 | 375,000,000 | * | 10,837,383 | ||||||||||||||
Global Bond Fund | 117,103,492 | 65,105,795 | 18,716,548 | 14,168,496 | — | |||||||||||||||
International Bond Fund | 61,574,895 | 34,419,451 | 12,095,726 | 6,748,695 | — | |||||||||||||||
World Opportunity Overlay Fund | — | 365,649,898 | 2,447,884,995 | 197,018,197 | — |
* | Based on number of contracts. |
113
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | Global Bond Fund | International Bond Fund | U.S. Treasury Fund | World Opportunity Overlay Fund | ||||||||||
Management Fee | 0.25% | 0.25% | 0.25% | 0.25% | 0.35% | 0.19% | 0.25% | 0.08% (currently 0.08% waived) | — |
In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class III | Class IV | Class VI | |||||||||
Asset Allocation Bond Fund | 0.15% | 0.055% | ||||||||||
Core Plus Bond Fund | 0.15% | 0.10% | ||||||||||
Currency Hedged International Bond Fund | 0.15% | |||||||||||
Debt Opportunities Fund | 0.15% | * | 0.055% | |||||||||
Emerging Country Debt Fund | 0.15% | 0.10% | ||||||||||
Global Bond Fund | 0.15% | |||||||||||
International Bond Fund | 0.15% |
* | Class is offered but has no shareholders as of August 31, 2014. |
For each Fund other than Global Bond Fund and Emerging Country Debt Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager. For Global Bond Fund, the Manager has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.06% of the Fund’s average daily net assets.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
For each Fund that pays GMO a management fee, GMO has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
114
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
These contractual waivers and reimbursements will continue through at least June 30, 2015 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplement support agreement.
In addition to the contractual waivers and reimbursements described above, GMO has voluntarily agreed to waive U.S. Treasury Fund’s entire management fee. GMO may change or terminate voluntary waivers at any time.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2014 is shown in the table below and included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with the Manager ($) | ||||||
Asset Allocation Bond Fund | 20,018 | 2,300 | ||||||
Core Plus Bond Fund | 7,249 | 184 | ||||||
Currency Hedged International Bond Fund | 368 | 5 | ||||||
Debt Opportunities Fund | 11,649 | 1,564 | ||||||
Emerging Country Debt Fund | 17,438 | 2,024 | ||||||
Global Bond Fund | 559 | 184 | ||||||
International Bond Fund | 263 | 5 | ||||||
U.S. Treasury Fund | 11,040 | 1,380 | ||||||
World Opportunity Overlay Fund | 2,104 | 368 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2014, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Indirect Interest Expense | Total Indirect Expense | ||||||||||||
Asset Allocation Bond Fund | < 0.001 | % | 0.000 | % | 0.000 | % | < 0.001 | % | ||||||||
Core Plus Bond Fund | 0.032 | % | 0.007 | % | 0.015 | % | 0.054 | % | ||||||||
Currency Hedged International Bond Fund | 0.044 | % | 0.010 | % | 0.015 | % | 0.069 | % | ||||||||
Debt Opportunities Fund | < 0.001 | % | 0.000 | % | 0.000 | % | < 0.001 | % | ||||||||
Emerging Country Debt Fund | 0.001 | % | < 0.001 | % | 0.001 | % | 0.002 | % | ||||||||
Global Bond Fund | 0.050 | % | 0.012 | % | 0.015 | % | 0.077 | % | ||||||||
International Bond Fund | 0.055 | % | 0.012 | % | 0.015 | % | 0.082 | % | ||||||||
U.S. Treasury Fund | 0.000 | % | 0.000 | % | 0.000 | % | 0.000 | % | ||||||||
World Opportunity Overlay Fund | 0.000 | % | 0.000 | % | 0.000 | % | 0.000 | % |
115
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2014 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Asset Allocation Bond Fund | 323,592,981 | 115,127,598 | 3,376,730,768 | 40,700,000 | ||||||||||||
Core Plus Bond Fund | 73,176,563 | 29,409,726 | 77,600,157 | 67,502,031 | ||||||||||||
Currency Hedged International Bond Fund | — | 14,628,096 | 3,875,200 | 23,067,990 | ||||||||||||
Debt Opportunities Fund | — | 422,811,933 | — | 650,520,020 | ||||||||||||
Emerging Country Debt Fund | 18,000,000 | 471,160,394 | 48,163,200 | 178,611,285 | ||||||||||||
Global Bond Fund | — | 35,485,093 | 12,457,972 | 127,764,955 | ||||||||||||
International Bond Fund | — | 16,063,522 | 3,543,040 | 34,612,065 | ||||||||||||
U.S. Treasury Fund | — | — | — | — | ||||||||||||
World Opportunity Overlay Fund | 39,475,313 | — | 347,317,773 | 152,403,340 |
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
8. | Principal shareholders and related parties as of August 31, 2014 |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion | ||||||||||||
Asset Allocation Bond Fund | 4 | * | 80.06% | — | 99.98 | % | ||||||||||
Core Plus Bond Fund | 3 | 86.37% | 0.04 | % | 7.75 | % | ||||||||||
Currency Hedged International Bond Fund | 1 | 93.48% | — | 93.48 | % | |||||||||||
Debt Opportunities Fund | 4 | * | 86.24% | 1.10 | % | 97.60 | % | |||||||||
Emerging Country Debt Fund | 2 | ** | 32.06% | 0.05 | % | 45.68 | % | |||||||||
Global Bond Fund | 3 | 69.99% | 0.13 | % | — | |||||||||||
International Bond Fund | 2 | 79.07% | 7.35 | % | — | |||||||||||
U.S. Treasury Fund | 4 | *** | 59.53% | 0.02 | % | 93.21 | % | |||||||||
World Opportunity Overlay Fund | 3 | **** | 81.54% | — | 100.00 | % |
* | Each shareholder is another fund of the Trust. |
** | One of the shareholders is another fund of the Trust. |
*** | Three of the shareholders are other funds of the Trust. |
**** | Two of the shareholders are other funds of the Trust. |
116
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 5,699,998 | $ | 142,824,518 | 6,886,165 | $ | 168,910,552 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,969 | 100,131 | 11,163 | 267,247 | ||||||||||||
Shares repurchased | (6,511,088 | ) | (164,404,964 | ) | (14,102 | ) | (339,194 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (807,121 | ) | $ | (21,480,315 | ) | 6,883,226 | $ | 168,838,605 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 56,742,145 | $ | 1,425,293,835 | 113,251,929 | $ | 2,787,773,642 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 79,140 | 1,999,864 | 192,038 | 4,603,164 | ||||||||||||
Shares repurchased | (5,121,948 | ) | (129,137,850 | ) | (1,220,006 | ) | (29,808,546 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 51,699,337 | $ | 1,298,155,849 | 112,223,961 | $ | 2,762,568,260 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 41,152 | $ | 300,000 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,015 | 7,693 | 2,308 | 16,571 | ||||||||||||
Shares repurchased | — | — | (102,391 | ) | (734,017 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,015 | $ | 7,693 | (58,931 | ) | $ | (417,446 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 228,460 | $ | 1,750,000 | 4,946 | $ | 36,146 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 281,994 | 2,143,157 | 410,788 | 2,957,677 | ||||||||||||
Shares repurchased | (1,956,351 | ) | (14,914,905 | ) | (412,868 | ) | (3,053,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,445,897 | ) | $ | (11,021,748 | ) | 2,866 | $ | (59,776 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Currency Hedged International Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 73,077 | $ | 630,400 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 106,415 | 911,980 | ||||||||||||
Shares repurchased | (479 | ) | (4,452 | ) | (47,741 | ) | (422,478 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (479 | ) | $ | (4,452 | ) | 131,751 | $ | 1,119,902 | ||||||||
|
|
|
|
|
|
|
| |||||||||
117
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares* | Amount | Shares* | Amount | |||||||||||||
Debt Opportunities Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 18,968,696 | $ | 467,452,540 | 25,005,373 | $ | 608,855,843 | ||||||||||
Shares issued to shareholders in merger transaction | — | — | 27,101,519 | 655,265,600 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,086,070 | 50,188,743 | ||||||||||||
Shares repurchased | (32,257,727 | ) | (797,528,589 | ) | (572,001 | ) | (13,862,772 | ) | ||||||||
Purchase premium fees | — | 189,802 | — | 2,312,013 | ||||||||||||
Redemption fees | — | 1,509,234 | — | 28,251 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (13,289,031 | ) | $ | (328,377,013 | ) | 53,620,961 | $ | 1,302,787,678 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | Shares were adjusted to reflect a 1:7 reverse stock split effective May 15, 2014. |
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Country Debt Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 13,935,400 | $ | 142,409,831 | 17,305,659 | $ | 170,941,512 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,212,317 | 23,339,944 | 2,443,382 | 23,431,180 | ||||||||||||
Shares repurchased | (356,729 | ) | (3,693,689 | ) | (1,471,676 | ) | (14,376,087 | ) | ||||||||
Purchase premiums | — | 355,485 | — | 741,317 | ||||||||||||
Redemption fees | — | 224,392 | — | 109,417 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 15,790,988 | $ | 162,635,963 | 18,277,365 | $ | 180,847,339 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 22,833,004 | $ | 240,682,457 | 78,263,662 | $ | 769,292,116 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 7,221,260 | 76,039,874 | 11,767,324 | 112,707,211 | ||||||||||||
Shares repurchased | (24,595,748 | ) | (256,215,751 | ) | (22,221,729 | ) | (217,757,467 | ) | ||||||||
Purchase premiums | — | 1,283,781 | — | 3,423,475 | ||||||||||||
Redemption fees | — | 790,533 | — | 493,921 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,458,516 | $ | 62,580,894 | 67,809,257 | $ | 668,159,256 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 289,556 | $ | 2,493,077 | 2,037,071 | $ | 17,236,960 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 15,270 | 134,377 | 36,175 | 295,185 | ||||||||||||
Shares repurchased | (11,303,365 | ) | (99,533,032 | ) | (5,433,062 | ) | (45,238,133 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,998,539 | ) | $ | (96,905,578 | ) | (3,359,816 | ) | $ | (27,705,988 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 8,125 | $ | 56,451 | ||||||||||
Shares repurchased | (2,015,196 | ) | (15,053,609 | ) | (2,020,351 | ) | (13,693,986 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,015,196 | ) | $ | (15,053,609 | ) | (2,012,226 | ) | $ | (13,637,535 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
118
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
U.S. Treasury Fund | ||||||||||||||||
Core Class: | ||||||||||||||||
Shares sold | 182,124,550 | $ | 4,553,113,757 | 374,442,874 | $ | 9,362,388,732 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 19,266 | 481,649 | 69,615 | 1,740,651 | ||||||||||||
Shares repurchased | (178,002,714 | ) | (4,450,067,852 | ) | (414,590,904 | ) | (10,366,466,205 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,141,102 | $ | 103,527,554 | (40,078,415 | ) | $ | (1,002,336,822 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
World Opportunity Overlay Fund | ||||||||||||||||
Shares repurchased | (13,473,226 | ) | $ | (365,149,777 | ) | (5,974,205 | ) | $ | (155,920,000 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (13,473,226 | ) | $ | (365,149,777 | ) | (5,974,205 | ) | $ | (155,920,000 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
10. | Investments in affiliated issuers |
A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2014 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 56,730,951 | $ | 115,127,598 | $ | 40,700,000 | $ | 23,272 | $ | 4,326 | $ | 131,158,549 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 25,663,007 | $ | — | $ | 17,374,000 | $ | — | $ | — | $ | 8,666,898 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 10,512,729 | 399,936 | — | 399,936 | — | 11,675,144 | ||||||||||||||||||
GMO U.S. Treasury Fund | 20,009,568 | 29,009,790 | 47,050,000 | 7,973 | 1,817 | 1,969,357 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 54,497,445 | — | 1,088,000 | — | — | 52,791,367 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 110,682,749 | $ | 29,409,726 | $ | 65,512,000 | $ | 407,909 | $ | 1,817 | $ | 75,102,766 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Currency Hedged International Bond Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 9,283,354 | $ | — | $ | 2,181,000 | $ | — | $ | — | $ | 7,331,096 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 3,119,087 | 118,660 | — | 118,659 | — | 3,463,972 | ||||||||||||||||||
GMO U.S. Treasury Fund | 8,627,795 | 14,509,437 | 12,300,000 | 3,580 | 857 | 10,837,231 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 16,096,362 | — | — | — | — | 15,910,451 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 37,126,598 | $ | 14,628,097 | $ | 14,481,000 | $ | 122,239 | $ | 857 | $ | 37,542,750 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Debt Opportunities Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 53,031,828 | $ | 108,000,000 | $ | 132,000,000 | $ | 9,878 | $ | 1 | $ | 29,031,828 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 13,757,244 | $ | — | $ | — | $ | — | $ | — | $ | 14,171,892 | ||||||||||||
GMO U.S. Treasury Fund | 56,008,142 | — | — | 14,666 | 2,240 | 56,008,142 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 40,674,643 | — | — | — | — | 40,204,854 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 110,440,029 | $ | — | $ | — | $ | 14,666 | $ | 2,240 | $ | 110,384,888 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
119
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 27,241,360 | $ | — | $ | 22,558,000 | $ | — | $ | — | $ | 5,113,263 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 5,774,234 | 79,642 | 4,158,300 | 79,642 | — | 2,167,687 | ||||||||||||||||||
GMO U.S. Treasury Fund | 21,069,540 | 35,405,452 | 53,188,942 | 5,964 | 444 | 3,286,050 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 31,889,522 | — | 21,309,250 | — | — | 10,508,938 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 85,974,656 | $ | 35,485,094 | $ | 101,214,492 | $ | 85,606 | $ | 444 | $ | 21,075,938 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Bond Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 13,772,624 | $ | — | $ | 7,783,500 | $ | — | $ | — | $ | 6,240,976 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 2,480,075 | 66,838 | 780,000 | 66,838 | — | 1,951,181 | ||||||||||||||||||
GMO U.S. Treasury Fund | 2,367,613 | 14,481,625 | 15,700,000 | 1,375 | 250 | 1,149,238 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 13,814,756 | — | 3,500,000 | — | — | 10,221,209 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 32,435,068 | $ | 14,548,463 | $ | 27,763,500 | $ | 68,213 | $ | 250 | $ | 19,562,604 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through August 31, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015. |
120
GMO Trust Funds
Board Review of Management Agreements
August 31, 2014 (Unaudited)
GMO Asset Allocation Bond Fund
Approval of renewal of management agreement for GMO Asset Allocation Bond Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees considered that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
121
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Core Plus Bond Fund
Approval of renewal of management agreement for GMO Core Plus Bond Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
122
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Currency Hedged International Bond Fund
Approval of renewal of management agreement for GMO Currency Hedged International Bond Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
123
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Emerging Country Debt Fund
Approval of renewal of management agreement for GMO Emerging Country Debt Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
124
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Global Bond Fund
Approval of renewal of management agreement for GMO Global Bond Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
125
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO International Bond Fund
Approval of renewal of management agreement for GMO International Bond Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
126
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO U.S. Treasury Fund
Approval of renewal of management agreement for GMO U.S. Treasury Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management agreement. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
127
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO World Opportunity Overlay Fund
Approval of renewal of management agreement for GMO World Opportunity Overlay Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
128
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2014 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2014.
As a shareholder of the Funds, you may in incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2014 through August 31, 2014.
Actual Expenses
This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
Asset Allocation Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,030.80 | $2.05 | $1,000.00 | $1,023.19 | $2.04 | 0.40% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,031.40 | $1.59 | $1,000.00 | $1,023.64 | $1.58 | 0.31% | |||||||||||||||||||||
Core Plus Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,042.90 | $2.16 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,043.40 | $1.91 | $1,000.00 | $1,023.34 | $1.89 | 0.37% | |||||||||||||||||||||
Currency Hedged International Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,077.50 | $2.20 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
Debt Opportunities Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,030.10 | $1.59 | $1,000.00 | $1,023.64 | $1.58 | 0.31% | |||||||||||||||||||||
Emerging Country Debt Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,110.30 | $2.87 | $1,000.00 | $1,022.48 | $2.75 | 0.54% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,110.60 | $2.61 | $1,000.00 | $1,022.74 | $2.50 | 0.49% | |||||||||||||||||||||
Global Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,033.70 | $2.15 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
International Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,028.90 | $2.15 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
U.S. Treasury Fund |
| |||||||||||||||||||||||||||
Core Shares | $1,000.00 | $1,000.30 | $0.00 | $1,000.00 | $1,025.21 | $0.00 | 0.00% | |||||||||||||||||||||
World Opportunity Overlay Fund |
| |||||||||||||||||||||||||||
Core Shares | $1,000.00 | $988.50 | $0.35 | $1,000.00 | $1,024.85 | $0.36 | 0.07% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2014 multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
129
GMO Trust
Semiannual Report
August 31, 2014
Foreign Fund
Foreign Small Companies Fund
Global Focused Equity Fund
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivative risk.
1 | ||||
2 | ||||
4 | ||||
5 | ||||
8 | ||||
9 | ||||
11 | ||||
12 | ||||
13 | ||||
14 | ||||
16 | ||||
19 | ||||
43 | ||||
46 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 96.1 | % | ||
Mutual Funds | 1.9 | |||
Preferred Stocks | 1.1 | |||
Short-Term Investments | 0.2 | |||
Rights/Warrants | 0.1 | |||
Other | 0.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
Japan | 19.6 | % | ||
United Kingdom | 17.6 | |||
France | 16.1 | |||
Germany | 9.2 | |||
Spain | 7.8 | |||
Italy | 7.0 | |||
South Korea | 3.8 | |||
Finland | 3.4 | |||
Australia | 3.3 | |||
Switzerland | 3.0 | |||
Hong Kong | 2.7 | |||
Norway | 1.3 | |||
Belgium | 1.2 | |||
Portugal | 1.2 | |||
Russia | 0.9 | |||
Panama | 0.5 | |||
Sweden | 0.5 | |||
Thailand | 0.5 | |||
Brazil | 0.4 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Banks | 19.2 | % | ||
Energy | 13.0 | |||
Utilities | 9.8 | |||
Technology Hardware & Equipment | 8.9 | |||
Automobiles & Components | 8.3 | |||
Food, Beverage & Tobacco | 5.6 | |||
Materials | 4.7 | |||
Telecommunication Services | 4.5 | |||
Capital Goods | 4.4 | |||
Diversified Financials | 4.1 | |||
Insurance | 3.2 | |||
Transportation | 2.7 | |||
Commercial & Professional Services | 2.6 | |||
Consumer Durables & Apparel | 2.2 | |||
Consumer Services | 1.7 | |||
Media | 1.5 | |||
Real Estate | 1.4 | |||
Retailing | 1.2 | |||
Software & Services | 0.5 | |||
Household & Personal Products | 0.5 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
1
GMO Foreign Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.1% | ||||||||||
Australia — 3.2% | ||||||||||
882,380 | Asciano Group | 5,179,711 | ||||||||
1,416,641 | Incitec Pivot Ltd | 4,106,123 | ||||||||
570,537 | Toll Holdings Ltd | 3,182,891 | ||||||||
|
| |||||||||
Total Australia | 12,468,725 | |||||||||
|
| |||||||||
Belgium — 1.2% | ||||||||||
40,929 | Anheuser-Busch InBev NV | 4,565,752 | ||||||||
|
| |||||||||
Brazil — 0.4% | ||||||||||
168,200 | Tupy SA | 1,449,443 | ||||||||
|
| |||||||||
Finland — 3.3% | ||||||||||
155,999 | Fortum Oyj | 3,918,968 | ||||||||
1,077,881 | Nokia Oyj | 9,052,517 | ||||||||
|
| |||||||||
Total Finland | 12,971,485 | |||||||||
|
| |||||||||
France — 15.6% | ||||||||||
76,715 | Accor SA | 3,729,556 | ||||||||
1,125,036 | Alcatel-Lucent * | 3,889,783 | ||||||||
55,250 | Arkema SA | 4,149,215 | ||||||||
26,547 | AtoS | 2,027,281 | ||||||||
57,451 | BNP Paribas | 3,882,140 | ||||||||
34,022 | Cie Generale des Etablissements Michelin – Class B | 3,763,736 | ||||||||
101,270 | Compagnie de Saint-Gobain | 5,144,982 | ||||||||
144,106 | GDF Suez | 3,551,998 | ||||||||
871,573 | Peugeot SA * | 12,262,142 | ||||||||
57,875 | Societe Television Francaise 1 | 871,007 | ||||||||
24,790 | Societe BIC SA | 3,368,728 | ||||||||
28,415 | Sodexo | 2,802,666 | ||||||||
48,479 | Teleperformance | 3,148,021 | ||||||||
123,232 | Total SA | 8,131,897 | ||||||||
|
| |||||||||
Total France | 60,723,152 | |||||||||
|
| |||||||||
Germany — 9.0% | ||||||||||
141,994 | Deutsche Bank AG (Registered) | 4,868,427 | ||||||||
243,179 | Deutsche Telekom AG (Registered) | 3,644,563 | ||||||||
614,855 | E.ON AG | 11,190,398 | ||||||||
68,472 | Rheinmetall AG | 3,714,174 | ||||||||
199,810 | RWE AG | 7,835,246 | ||||||||
135,311 | ThyssenKrupp AG * | 3,766,774 | ||||||||
|
| |||||||||
Total Germany | 35,019,582 | |||||||||
|
| |||||||||
Hong Kong — 2.6% | ||||||||||
156,000 | Cheung Kong Holdings Ltd | 2,845,794 | ||||||||
2,592,000 | China Unicom Hong Kong Ltd | 4,607,181 | ||||||||
304,000 | Power Assets Holdings Ltd | 2,769,280 | ||||||||
|
| |||||||||
Total Hong Kong | 10,222,255 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Italy — 6.8% | ||||||||||
224,128 | Assicurazioni Generali SPA | 4,592,240 | ||||||||
4,768,608 | Banca Popolare di Milano Scarl * | 3,800,975 | ||||||||
680,050 | Enel SPA | 3,602,002 | ||||||||
355,008 | ENI SPA | 8,864,917 | ||||||||
763,295 | Mediaset SPA * | 3,157,107 | ||||||||
310,292 | Mediobanca SPA * | 2,717,419 | ||||||||
|
| |||||||||
Total Italy | 26,734,660 | |||||||||
|
| |||||||||
Japan — 19.0% | ||||||||||
100,117 | Aisin Seiki Co Ltd | 3,705,558 | ||||||||
98,000 | Aozora Bank Ltd | 334,374 | ||||||||
82,600 | Bridgestone Corp | 2,836,966 | ||||||||
20,000 | Daito Trust Construction Co Ltd | 2,475,781 | ||||||||
602,000 | Hitachi Ltd | 4,562,135 | ||||||||
109,700 | Japan Tobacco, Inc. | 3,758,713 | ||||||||
101,200 | KDDI Corp. | 5,847,867 | ||||||||
165,600 | Mazda Motor Corp | 3,918,113 | ||||||||
2,789,700 | Mitsubishi UFJ Financial Group Inc | 16,078,826 | ||||||||
686,000 | Nippon Electric Glass Co Ltd | 3,451,669 | ||||||||
882,900 | Resona Holdings Inc | 4,792,175 | ||||||||
209,200 | Sony Corp | 3,986,118 | ||||||||
399,021 | Sumitomo Mitsui Financial Group Inc | 16,140,041 | ||||||||
77,000 | Tokio Marine Holdings Inc | 2,349,833 | ||||||||
|
| |||||||||
Total Japan | 74,238,169 | |||||||||
|
| |||||||||
Norway — 1.3% | ||||||||||
176,135 | Statoil ASA | 4,954,641 | ||||||||
|
| |||||||||
Panama — 0.5% | ||||||||||
15,300 | Copa Holdings SA – Class A | 1,881,594 | ||||||||
|
| |||||||||
Portugal — 1.1% | ||||||||||
253,262 | Galp Energia SGPS SA | 4,495,542 | ||||||||
|
| |||||||||
Russia — 0.8% | ||||||||||
356,951 | Sberbank Sponsored ADR | 2,914,959 | ||||||||
40,049 | TCS Group Holding Plc (Registered) * | 212,112 | ||||||||
44,462 | TCS Group Holding Plc GDR, 144A * (a) | 233,425 | ||||||||
|
| |||||||||
Total Russia | 3,360,496 | |||||||||
|
| |||||||||
South Korea — 2.7% | ||||||||||
7,130 | Hyundai Motor Co | 1,639,040 | ||||||||
7,193 | Samsung Electronics Co Ltd | 8,758,136 | ||||||||
|
| |||||||||
Total South Korea | 10,397,176 | |||||||||
|
| |||||||||
Spain — 7.6% | ||||||||||
933,647 | Banco Bilbao Vizcaya Argentaria SA | 11,302,320 | ||||||||
1,358,658 | CaixaBank SA | 8,178,066 | ||||||||
557,103 | Iberdrola SA | 4,093,294 |
2 | See accompanying notes to the financial statements. |
GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
241,941 | Repsol YPF SA | 6,008,673 | ||||||||
|
| |||||||||
Total Spain | 29,582,353 | |||||||||
|
| |||||||||
Sweden — 0.5% | ||||||||||
75,424 | Svenska Cellulosa AB – Class B | 1,814,483 | ||||||||
|
| |||||||||
Switzerland — 2.9% | ||||||||||
14,364 | Sulzer AG | 1,909,329 | ||||||||
243,793 | UBS AG (Registered) | 4,375,306 | ||||||||
16,726 | Zurich Insurance Group AG | 5,049,616 | ||||||||
|
| |||||||||
Total Switzerland | 11,334,251 | |||||||||
|
| |||||||||
Thailand — 0.5% | ||||||||||
949,200 | PTT Global Chemical Pcl (Foreign Registered) | 1,843,205 | ||||||||
|
| |||||||||
United Kingdom — 17.1% | ||||||||||
54,854 | Berkeley Group Holdings Plc (Unit Shares) | 2,187,545 | ||||||||
1,015,613 | BP Plc | 8,101,606 | ||||||||
144,587 | British American Tobacco Plc | 8,548,459 | ||||||||
120,129 | Domino Printing Sciences Plc | 1,155,553 | ||||||||
81,890 | Euromoney Institutional Investor Plc | 1,474,298 | ||||||||
1,058,231 | Hays Plc | 2,348,873 | ||||||||
406,633 | Howden Joinery Group Plc | 2,389,325 | ||||||||
100,913 | Imperial Tobacco Group Plc | 4,404,343 | ||||||||
204,218 | Inchcape Plc | 2,291,220 | ||||||||
3,840,063 | Lloyds Banking Group Plc * | 4,867,744 | ||||||||
19,049 | Renishaw Plc | 525,178 | ||||||||
71,310 | Rio Tinto Plc | 3,812,959 | ||||||||
215,724 | Royal Dutch Shell Plc A Shares (London) | 8,730,706 | ||||||||
230,691 | RPS Group Plc | 1,065,652 | ||||||||
108,647 | Schroders Plc (Non Voting) | 3,485,827 | ||||||||
67,811 | Smiths Group Plc | 1,482,748 | ||||||||
1,112,679 | Taylor Wimpey Plc | 2,120,293 | ||||||||
107,916 | Travis Perkins Plc | 3,126,548 | ||||||||
316,204 | Tyman Plc | 1,422,683 | ||||||||
877,044 | Vodafone Group Plc | 3,014,295 | ||||||||
|
| |||||||||
Total United Kingdom | 66,555,855 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $360,273,100) | 374,612,819 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.1% | ||||||||||
South Korea — 1.1% | ||||||||||
10,342 | Hyundai Motor Co | 1,601,927 | ||||||||
2,375 | Samsung Electronics Co Ltd | 2,391,644 | ||||||||
|
| |||||||||
Total South Korea | 3,993,571 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $3,852,676) | 3,993,571 | |||||||||
|
|
Shares / Par Value | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.1% | ||||||||||
France — 0.1% | ||||||||||
193,174 | Peugeot SA Warrants, Expires 04/29/17 * | 409,159 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $318,827) | 409,159 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.9% | ||||||||||
United States — 1.9% | ||||||||||
Affiliated Issuers | ||||||||||
298,102 | GMO U.S. Treasury Fund | 7,452,555 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $7,452,555) | 7,452,555 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Time Deposits — 0.2% | ||||||||||
AUD | 58 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.87%, due 09/02/14 | 61 | |||||||
EUR | 12 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 16 | |||||||
NOK | 237,847 | DnB Nor Bank (Oslo) Time Deposit, 0.53%, due 09/02/14 | 38,375 | |||||||
USD | 827,792 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 827,792 | |||||||
|
| |||||||||
Total Time Deposits | 866,244 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $866,244) | 866,244 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.4% (Cost $372,763,402) | 387,334,348 | |||||||||
Other Assets and Liabilities (net) — 0.6% | 2,497,091 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $389,831,439 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 11.
See accompanying notes to the financial statements. | 3 |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 97.4 | % | ||
Mutual Funds | 2.1 | |||
Short-Term Investments | 0.3 | |||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
Japan | 17.0 | % | ||
France | 16.4 | |||
United Kingdom | 15.4 | |||
Italy | 10.3 | |||
Australia | 8.9 | |||
Canada | 7.4 | |||
Germany | 5.3 | |||
Switzerland | 4.7 | |||
South Korea | 3.3 | |||
Mexico | 1.9 | |||
Sweden | 1.7 | |||
Portugal | 1.1 | |||
Netherlands | 0.9 | |||
Brazil | 0.8 | |||
Hong Kong | 0.8 | |||
Belgium | 0.6 | |||
Norway | 0.6 | |||
Spain | 0.6 | |||
Finland | 0.5 | |||
Turkey | 0.5 | |||
Ireland | 0.4 | |||
Chile | 0.3 | |||
New Zealand | 0.3 | |||
Singapore | 0.2 | |||
Russia | 0.1 | |||
India | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Capital Goods | 11.1 | % | ||
Materials | 9.8 | |||
Real Estate | 9.1 | |||
Automobiles & Components | 8.3 | |||
Energy | 7.0 | |||
Commercial & Professional Services | 6.3 | |||
Diversified Financials | 5.6 | |||
Banks | 5.5 | |||
Retailing | 5.2 | |||
Transportation | 5.1 | |||
Software & Services | 4.6 | |||
Media | 4.4 | |||
Consumer Services | 3.0 | |||
Consumer Durables & Apparel | 2.7 | |||
Technology Hardware & Equipment | 2.5 | |||
Food, Beverage & Tobacco | 2.4 | |||
Insurance | 2.3 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 2.1 | |||
Health Care Equipment & Services | 0.9 | |||
Semiconductors & Semiconductor Equipment | 0.8 | |||
Household & Personal Products | 0.8 | |||
Telecommunication Services | 0.5 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
4
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.4% | ||||||||||
Australia — 8.6% | ||||||||||
2,823,992 | Asciano Group | 16,577,284 | ||||||||
2,015,688 | BlueScope Steel Ltd * | 10,393,278 | ||||||||
2,356,460 | Challenger Ltd | 17,293,286 | ||||||||
5,249,404 | Federation Centres Ltd | 13,055,579 | ||||||||
6,169,235 | Incitec Pivot Ltd | 17,881,480 | ||||||||
2,822,152 | Toll Holdings Ltd | 15,744,118 | ||||||||
2,817,747 | Tox Free Solutions Ltd | 7,345,011 | ||||||||
|
| |||||||||
Total Australia | 98,290,036 | |||||||||
|
| |||||||||
Belgium — 0.6% | ||||||||||
604,298 | ThromboGenics NV * | 6,600,031 | ||||||||
|
| |||||||||
Brazil — 0.8% | ||||||||||
498,300 | Cia de Locacao das Americas | 1,144,187 | ||||||||
812,600 | Even Construtora e Incorporadora SA | 2,457,584 | ||||||||
235,800 | Grendene SA | 1,711,749 | ||||||||
421,800 | Tupy SA | 3,634,810 | ||||||||
|
| |||||||||
Total Brazil | 8,948,330 | |||||||||
|
| |||||||||
Canada — 7.2% | ||||||||||
425,940 | Alamos Gold Inc | 3,917,410 | ||||||||
708,000 | Canyon Services Group Inc | 10,717,999 | ||||||||
6,044,000 | Capstone Mining Corp * | 15,064,141 | ||||||||
2,163,362 | Gran Tierra Energy Inc * | 14,504,653 | ||||||||
172,300 | Karnalyte Resources Inc * (a) | 175,897 | ||||||||
1,216,700 | NuVista Energy Ltd * | 13,036,471 | ||||||||
922,800 | Precision Drilling Corp | 11,763,090 | ||||||||
1,263,800 | Western Energy Services Corp | 12,436,917 | ||||||||
|
| |||||||||
Total Canada | 81,616,578 | |||||||||
|
| |||||||||
Chile — 0.3% | ||||||||||
310,700 | Geopark Ltd * | 3,340,025 | ||||||||
|
| |||||||||
Finland — 0.5% | ||||||||||
196,005 | Tieto Oyj | 5,332,648 | ||||||||
|
| |||||||||
France — 16.0% | ||||||||||
222,237 | Accor SA | 10,804,214 | ||||||||
1,178,905 | Altran Technologies SA | 12,264,328 | ||||||||
128,655 | Arkema SA | 9,661,852 | ||||||||
156,665 | AtoS | 11,963,834 | ||||||||
84,665 | Cie Generale des Etablissements Michelin – Class B | 9,366,195 | ||||||||
363,383 | Faurecia | 12,240,827 | ||||||||
294,398 | Nexity SA | 12,043,397 | ||||||||
1,224,516 | Peugeot SA * | 17,227,690 | ||||||||
437,569 | Rexel SA | 8,716,267 | ||||||||
155,993 | SA des Ciments Vicat | 11,342,861 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
225,411 | Societe Television Francaise 1 | 3,392,391 | ||||||||
88,618 | Societe BIC SA | 12,042,353 | ||||||||
120,660 | Sodexo | 11,901,099 | ||||||||
162,095 | Sopra Group SA | 15,402,631 | ||||||||
1,479,206 | Technicolor * | 11,363,508 | ||||||||
186,543 | Teleperformance | 12,113,312 | ||||||||
|
| |||||||||
Total France | 181,846,759 | |||||||||
|
| |||||||||
Germany — 5.2% | ||||||||||
303,425 | Aixtron AG * | 3,978,632 | ||||||||
357,025 | Deutsche Wohnen AG | 8,068,410 | ||||||||
1,165,996 | Deutz AG | 6,883,783 | ||||||||
798,939 | Grand City Properties SA * | 10,236,573 | ||||||||
201,799 | Rheinmetall AG | 10,946,323 | ||||||||
521,874 | SAF-Holland SA | 7,239,156 | ||||||||
1,021,040 | TAG Immobilien AG | 11,807,185 | ||||||||
|
| |||||||||
Total Germany | 59,160,062 | |||||||||
|
| |||||||||
Hong Kong — 0.8% | ||||||||||
5,079,910 | HKT Trust | 6,004,408 | ||||||||
960,000 | Hopewell Holdings Ltd | 3,450,164 | ||||||||
|
| |||||||||
Total Hong Kong | 9,454,572 | |||||||||
|
| |||||||||
India — 0.0% | ||||||||||
281,234 | KEC International Ltd | 470,005 | ||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
62,751 | Kerry Group Plc – Class A | 4,721,118 | ||||||||
|
| |||||||||
Italy — 10.0% | ||||||||||
1,765,030 | Amplifon SPA | 10,187,657 | ||||||||
456,178 | Atlantia SPA | 11,600,223 | ||||||||
496,023 | Autogrill SPA * | 4,165,336 | ||||||||
12,187,652 | Banca Popolare di Milano Scarl * | 9,714,568 | ||||||||
611,939 | Banco Popolare Scarl * | 9,574,003 | ||||||||
1,000,000 | Cerved Information Solutions SPA * | 6,254,402 | ||||||||
1,609,488 | Credito Emiliano SPA | 14,874,274 | ||||||||
2,690,002 | Mediaset SPA * | 11,126,267 | ||||||||
1,581,561 | Mediobanca SPA * | 13,850,706 | ||||||||
2,401,551 | Piaggio & C SPA * | 7,272,298 | ||||||||
3,165,933 | UnipolSai SPA | 9,966,984 | ||||||||
496,023 | World Duty Free SPA * | 5,694,625 | ||||||||
|
| |||||||||
Total Italy | 114,281,343 | |||||||||
|
| |||||||||
Japan — 16.5% | ||||||||||
1,259,800 | Akebono Brake Industry Co Ltd | 5,602,258 | ||||||||
355,900 | Aoyama Trading Co Ltd | 8,809,301 | ||||||||
1,545,000 | Calsonic Kansei Corp | 8,919,535 | ||||||||
351,200 | Capcom | 6,454,903 |
See accompanying notes to the financial statements. | 5 |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
229,500 | Century Tokyo Leasing Corp | 6,796,924 | ||||||||
753,000 | Daicel Chemical Industries Ltd | 8,356,100 | ||||||||
103,800 | Enplas Corp | 5,858,883 | ||||||||
164,000 | Fuji Seal International Inc | 5,530,035 | ||||||||
496,400 | Fuji Oil Co Ltd | 8,159,810 | ||||||||
1,243,000 | GS Yuasa Corp | 7,485,697 | ||||||||
370,300 | Izumi Co Ltd | 11,590,136 | ||||||||
1,286 | Kenedix Office Investment Corp (REIT) | 7,115,542 | ||||||||
155,700 | Kintetsu World Express Inc | 6,196,390 | ||||||||
1,316,900 | Mitsubishi UFJ Lease & Finance Co Ltd | 7,038,952 | ||||||||
279,100 | Nabtesco Corp | 6,438,212 | ||||||||
183,800 | Namura Shipbuilding Co Ltd | 1,710,296 | ||||||||
667,300 | NHK Spring Co Ltd | 6,389,843 | ||||||||
549,000 | Nippon Shokubai Co Ltd | 6,673,217 | ||||||||
1,185,000 | Nippon Soda Co Ltd | 6,257,842 | ||||||||
2,304,000 | Nishi-Nippon City Bank Ltd (The) | 6,032,056 | ||||||||
6,452 | Nomura Real Estate Master Fund Inc | 8,103,745 | ||||||||
1,276,000 | Sanden Corp | 7,764,679 | ||||||||
982,000 | Sanwa Holdings Corp | 7,188,595 | ||||||||
457,500 | Sumitomo Rubber Industries | 6,543,104 | ||||||||
2,634,800 | Takara Leben Co Ltd | 8,946,260 | ||||||||
711,000 | Tsubakimoto Chain Co | 6,062,302 | ||||||||
175,600 | United Arrows Ltd | 6,438,101 | ||||||||
|
| |||||||||
Total Japan | 188,462,718 | |||||||||
|
| |||||||||
Mexico — 1.9% | ||||||||||
365,200 | Controladora Vuela Cia de Aviacion SAB de CV * | 3,213,760 | ||||||||
1,953,500 | Corp Inmobiliaria Vesta SAB de CV | 4,247,080 | ||||||||
1,962,000 | Fibra Shop Portafolios Inmobiliarios SAPI de CV | 2,736,680 | ||||||||
2,059,500 | Genomma Lab Internacional SAB de CV –Class B * | 5,531,163 | ||||||||
1,720,430 | Hoteles City Express SAB de CV * | 3,354,883 | ||||||||
1,041,700 | Mexico Real Estate Management SA de CV | 2,096,664 | ||||||||
|
| |||||||||
Total Mexico | 21,180,230 | |||||||||
|
| |||||||||
Netherlands — 0.9% | ||||||||||
355,280 | Aalberts Industries NV | 9,860,135 | ||||||||
|
| |||||||||
New Zealand — 0.3% | ||||||||||
1,098,103 | Sky City Entertainment Group Ltd | 3,472,732 | ||||||||
|
| |||||||||
Norway — 0.6% | ||||||||||
659,449 | SpareBank 1 SR Bank ASA | 6,503,487 | ||||||||
|
| |||||||||
Portugal — 1.0% | ||||||||||
676,742 | Galp Energia SGPS SA | 12,012,550 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Russia — 0.1% | ||||||||||
177,784 | TCS Group Holding Plc (Registered) * | 941,599 | ||||||||
105,060 | TCS Group Holding Plc GDR, 144A * (b) | 551,565 | ||||||||
|
| |||||||||
Total Russia | 1,493,164 | |||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
1,100,000 | ComfortDelgro Corp Ltd | 2,210,431 | ||||||||
|
| |||||||||
South Korea — 3.2% | ||||||||||
743,337 | DGB Financial Group Inc | 12,982,919 | ||||||||
427,712 | Kortek Corp | 5,550,808 | ||||||||
426,400 | Magnachip Semiconductor Corp * | 5,257,512 | ||||||||
46,980 | S1 Corp | 3,429,650 | ||||||||
114,934 | Youngone Holding Co Ltd | 9,239,960 | ||||||||
|
| |||||||||
Total South Korea | 36,460,849 | |||||||||
|
| |||||||||
Spain — 0.5% | ||||||||||
1,635,781 | Mapfre SA | 6,134,933 | ||||||||
|
| |||||||||
Sweden — 1.7% | ||||||||||
787,936 | Meda AB | 10,597,790 | ||||||||
348,160 | Svenska Cellulosa AB �� Class B | 8,375,723 | ||||||||
|
| |||||||||
Total Sweden | 18,973,513 | |||||||||
|
| |||||||||
Switzerland — 4.6% | ||||||||||
151,728 | Aryzta AG | 13,861,990 | ||||||||
21,316 | Kaba Holding AG – Class B (Registered) | 10,484,747 | ||||||||
493,063 | Logitech International | 6,793,115 | ||||||||
89,771 | Sulzer AG | 11,932,773 | ||||||||
35,534 | Swiss Life Holding AG (Registered) | 8,964,444 | ||||||||
|
| |||||||||
Total Switzerland | 52,037,069 | |||||||||
|
| |||||||||
Turkey — 0.5% | ||||||||||
4,411,742 | Emlak Konut Gayrimenkul Yatirim (REIT) | 5,542,903 | ||||||||
|
| |||||||||
United Kingdom — 15.0% | ||||||||||
612,409 | Babcock International Group Plc | 11,406,338 | ||||||||
268,462 | Berkeley Group Holdings Plc (Unit Shares) | 10,706,103 | ||||||||
539,408 | Diploma Plc | 6,162,129 | ||||||||
608,338 | Domino Printing Sciences Plc | 5,851,768 | ||||||||
922,798 | Essentra Plc | 13,148,438 | ||||||||
611,236 | Euromoney Institutional Investor Plc | 11,004,323 | ||||||||
670,128 | Great Portland Estates Plc (REIT) | 7,312,457 | ||||||||
2,971,172 | Hays Plc | 6,594,879 | ||||||||
1,510,166 | Howden Joinery Group Plc | 8,873,547 | ||||||||
1,126,239 | Inchcape Plc | 12,635,815 | ||||||||
1,756,413 | ITE Group Plc | 5,913,032 | ||||||||
1,126,534 | Jupiter Fund Management Plc | 7,019,749 | ||||||||
287,083 | Keller Group Plc | 4,383,582 | ||||||||
124,372 | Renishaw Plc | 3,428,914 |
6 | See accompanying notes to the financial statements. |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
1,409,350 | RPS Group Plc | 6,510,340 | ||||||||
125,798 | Schroders Plc (Non Voting) | 4,036,100 | ||||||||
1,848,029 | Senior Plc | 8,788,887 | ||||||||
2,753,168 | Taylor Wimpey Plc | 5,246,368 | ||||||||
1,850,763 | Topps Tiles Plc | 3,502,805 | ||||||||
206,277 | Travis Perkins Plc | 5,976,268 | ||||||||
2,627,730 | Tyman Plc | 11,822,828 | ||||||||
1,968,196 | Wilmington Group Plc | 6,456,950 | ||||||||
177,060 | XP Power Ltd | 4,515,918 | ||||||||
|
| |||||||||
Total United Kingdom | 171,297,538 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $958,397,725) | 1,109,703,759 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.1% | ||||||||||
United States — 2.1% | ||||||||||
Affiliated Issuers | ||||||||||
971,957 | GMO U.S. Treasury Fund | 24,298,916 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $24,298,916) | 24,298,916 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
Time Deposits — 0.3% | ||||||||||
AUD | 313,009 | Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 1.87%, due 09/02/14 | 292,334 | |||||||
CAD | 47,079 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.23%, due 09/02/14 | 43,299 | |||||||
EUR | 15 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 19 | |||||||
GBP | 41,682 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/02/14 | 69,199 | |||||||
NZD | 54 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.35%, due 09/02/14 | 45 | |||||||
SGD | 41,250 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 33,025 |
Par Value | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
USD | 2,699,820 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 2,699,820 | |||||||
|
| |||||||||
Total Time Deposits | 3,137,741 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $3,137,741) | 3,137,741 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $985,834,382) | 1,137,140,416 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 1,812,806 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,138,953,222 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The security is restricted as to resale. |
(b) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
Additional information on each restricted security is as follows:
Issuer | Acquisition Date | Acquisition Cost | Value as a Percentage of Fund’s Net Assets | Value as of August 31, 2014 | ||||||||||
Karnalyte Resources Inc | 12/07/10 | $1,471,626 | 0.02 | % | $ | 175,897 |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 11.
See accompanying notes to the financial statements. | 7 |
GMO Global Focused Equity Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 95.9 | % | ||
Mutual Funds | 2.4 | |||
Preferred Stocks | 1.7 | |||
Short-Term Investments | 0.3 | |||
Other | (0.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Equity Investments | |||
United States | 47.7 | % | ||
Japan | 7.8 | |||
United Kingdom | 6.5 | |||
Australia | 5.7 | |||
France | 5.7 | |||
South Korea | 5.3 | |||
Canada | 3.6 | |||
Hong Kong | 2.6 | |||
Brazil | 2.0 | |||
Mexico | 1.9 | |||
Finland | 1.7 | |||
Germany | 1.7 | |||
Norway | 1.7 | |||
Switzerland | 1.7 | |||
Italy | 1.6 | |||
Spain | 1.6 | |||
Thailand | 1.2 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Energy | 13.8 | % | ||
Materials | 12.0 | |||
Technology Hardware & Equipment | 11.4 | |||
Automobiles & Components | 7.3 | |||
Banks | 6.9 | |||
Transportation | 6.2 | |||
Diversified Financials | 6.0 | |||
Health Care Equipment & Services | 4.6 | |||
Semiconductors & Semiconductor Equipment | 4.2 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 4.0 | |||
Capital Goods | 3.9 | |||
Consumer Durables & Apparel | 3.8 | |||
Insurance | 3.5 | |||
Telecommunication Services | 2.6 | |||
Media | 2.3 | |||
Retailing | 2.2 | |||
Commercial & Professional Services | 1.9 | |||
Utilities | 1.7 | |||
Food, Beverage & Tobacco | 1.7 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
8
GMO Global Focused Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.9% | ||||||||||
Australia — 5.6% | ||||||||||
32,135 | Challenger Ltd | 235,828 | ||||||||
75,703 | Incitec Pivot Ltd | 219,425 | ||||||||
36,607 | Toll Holdings Ltd | 204,222 | ||||||||
|
| |||||||||
Total Australia | 659,475 | |||||||||
|
| |||||||||
Brazil — 1.9% | ||||||||||
26,500 | Tupy SA | 228,361 | ||||||||
|
| |||||||||
Canada — 3.5% | ||||||||||
29,200 | Gran Tierra Energy Inc * | 195,777 | ||||||||
5,300 | Suncor Energy Inc | 217,547 | ||||||||
|
| |||||||||
Total Canada | 413,324 | |||||||||
|
| |||||||||
Finland — 1.6% | ||||||||||
23,238 | Nokia Oyj | 195,163 | ||||||||
|
| |||||||||
France — 5.6% | ||||||||||
14,844 | Peugeot SA * | 208,840 | ||||||||
1,602 | Societe BIC SA | 217,697 | ||||||||
3,612 | Total SA | 238,350 | ||||||||
|
| |||||||||
Total France | 664,887 | |||||||||
|
| |||||||||
Germany — 1.7% | ||||||||||
10,848 | E.ON AG | 197,434 | ||||||||
|
| |||||||||
Hong Kong — 2.6% | ||||||||||
171,146 | China Unicom Hong Kong Ltd | 304,205 | ||||||||
|
| |||||||||
Italy — 1.5% | ||||||||||
8,890 | Assicurazioni Generali SPA | 182,150 | ||||||||
|
| |||||||||
Japan — 7.6% | ||||||||||
29,000 | Hitachi Ltd | 219,771 | ||||||||
6,800 | Mazda Motor Corp | 160,889 | ||||||||
36,300 | Mitsubishi UFJ Financial Group Inc | 209,220 | ||||||||
17,900 | Resona Holdings Inc | 97,157 | ||||||||
5,231 | Sumitomo Mitsui Financial Group Inc | 211,589 | ||||||||
|
| |||||||||
Total Japan | 898,626 | |||||||||
|
| |||||||||
Mexico — 1.9% | ||||||||||
83,270 | Genomma Lab Internacional SAB de CV – Class B * | 223,637 | ||||||||
|
| |||||||||
Norway — 1.6% | ||||||||||
6,895 | Statoil ASA | 193,955 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Korea — 3.5% | ||||||||||
18,200 | Magnachip Semiconductor Corp * | 224,406 | ||||||||
153 | Samsung Electronics Co Ltd | 186,291 | ||||||||
|
| |||||||||
Total South Korea | 410,697 | |||||||||
|
| |||||||||
Spain — 1.6% | ||||||||||
30,885 | CaixaBank SA | 185,904 | ||||||||
|
| |||||||||
Switzerland — 1.6% | ||||||||||
10,780 | UBS AG (Registered) | 193,467 | ||||||||
|
| |||||||||
Thailand — 1.2% | ||||||||||
74,005 | PTT Global Chemical Pcl (Foreign Registered) | 143,707 | ||||||||
|
| |||||||||
United Kingdom — 6.4% | ||||||||||
3,338 | British American Tobacco Plc | 197,354 | ||||||||
78,188 | Lloyds Banking Group Plc * | 99,113 | ||||||||
110,071 | Taylor Wimpey Plc | 209,748 | ||||||||
131,184 | Topps Tiles Plc | 248,282 | ||||||||
|
| |||||||||
Total United Kingdom | 754,497 | |||||||||
|
| |||||||||
United States — 46.5% | ||||||||||
6,400 | American Airlines Group, Inc. | 249,024 | ||||||||
2,695 | Apple, Inc. | 276,237 | ||||||||
4,000 | Arch Capital Group Ltd. * | 222,320 | ||||||||
94,877 | BPZ Resources, Inc. * | 232,449 | ||||||||
22,585 | Capital Product Partners LP | 247,080 | ||||||||
4,946 | Comcast Corp. – Class A | 270,695 | ||||||||
6,900 | General Motors Co. | 240,120 | ||||||||
5,500 | Iconix Brand Group, Inc. * | 228,965 | ||||||||
4,870 | ITT Corp. | 233,078 | ||||||||
8,100 | KapStone Paper and Packaging Corp. * | 248,994 | ||||||||
2,200 | LyondellBasell Industries NV – Class A | 251,570 | ||||||||
3,900 | Medtronic, Inc. | 249,015 | ||||||||
4,000 | Merck & Co., Inc. | 240,440 | ||||||||
4,186 | Methanex Corp. | 279,708 | ||||||||
7,700 | Morgan Stanley | 264,187 | ||||||||
3,164 | National Oilwell Varco, Inc. | 273,464 | ||||||||
13,300 | NVIDIA Corp. | 258,685 | ||||||||
3,038 | Qualcomm, Inc. | 231,192 | ||||||||
6,918 | Trimas Corp. * | 219,301 | ||||||||
7,990 | Tronox Ltd – Class A | 242,576 | ||||||||
5,600 | United Continental Holdings, Inc. * | 266,616 | ||||||||
2,474 | WellPoint, Inc. | 288,246 | ||||||||
|
| |||||||||
Total United States | 5,513,962 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $10,690,029) | 11,363,451 | |||||||||
|
|
See accompanying notes to the financial statements. | 9 |
GMO Global Focused Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value | Description | Value ($) | ||||||||
PREFERRED STOCKS — 1.7% | ||||||||||
South Korea — 1.7% | ||||||||||
205 | Samsung Electronics Co Ltd | 206,436 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $201,481) | 206,436 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.4% | ||||||||||
United States — 2.4% | ||||||||||
Affiliated Issuers | ||||||||||
11,401 | GMO U.S. Treasury Fund | 285,033 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $285,033) | 285,033 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
Time Deposits — 0.3% | ||||||||||
GBP | 585 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/02/14 | 971 | |||||||
NOK | 9,312 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.53%, due 09/02/14 | 1,504 | |||||||
USD | 30,392 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 30,392 | |||||||
|
| |||||||||
Total Time Deposits | 32,867 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $32,867) | 32,867 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.3% (Cost $11,209,410) | 11,887,787 | |||||||||
Other Assets and Liabilities (net) — (0.3%) | (33,560 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $11,854,227 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 11.
10 | See accompanying notes to the financial statements. |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depository Receipt
REIT - Real Estate Investment Trust
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
NZD - New Zealand Dollar
NOK - Norwegian Krone
SGD - Singapore Dollar
USD - United States Dollar
See accompanying notes to the financial statements. | 11 |
Statements of Assets and Liabilities — August 31, 2014 (Unaudited)
Foreign Fund | Foreign Small Companies Fund | Global Focused Equity Fund | ||||||||||
Assets: |
| |||||||||||
Investments in unaffiliated issuers, at value (Note 2)(a) | $ | 379,881,793 | $ | 1,112,841,500 | $ | 11,602,754 | ||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(b) | 7,452,555 | 24,298,916 | 285,033 | |||||||||
Foreign currency, at value (Note 2)(c) | 3,761 | 15,586 | 138 | |||||||||
Receivable for investments sold | 3,018,757 | 3,484,434 | 150,491 | |||||||||
Receivable for Fund shares sold | 144,784 | — | — | |||||||||
Dividends receivable | 721,190 | 1,912,016 | 15,028 | |||||||||
Foreign taxes receivable | 254,831 | 203,934 | 1,159 | |||||||||
Receivable for foreign currency sold | 7,184 | 3,805 | — | |||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 43,679 | 58,404 | 14,752 | |||||||||
Miscellaneous receivable | 241 | 1,207 | 11 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 391,528,775 | 1,142,819,802 | 12,069,366 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for investments purchased | 1,260,403 | 2,949,193 | 133,349 | |||||||||
Payable to affiliate for (Note 5): | ||||||||||||
Management fee | 197,296 | 667,600 | 5,922 | |||||||||
Shareholder service fee | 55,313 | 105,603 | 1,480 | |||||||||
Payable for foreign currency purchased | — | — | 167 | |||||||||
Payable to agents unaffiliated with the Manager | 31 | 124 | — | |||||||||
Payable to Trustees and related expenses | 136 | 192 | — | |||||||||
Accrued expenses | 184,157 | 143,868 | 74,221 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,697,336 | 3,866,580 | 215,139 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 389,831,439 | $ | 1,138,953,222 | $ | 11,854,227 | ||||||
|
|
|
|
|
| |||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 405,823,992 | $ | 940,585,322 | $ | 10,978,835 | ||||||
Accumulated undistributed net investment income | 5,634,765 | 2,308,997 | 77,500 | |||||||||
Accumulated net realized gain (loss) | (36,175,243 | ) | 44,788,117 | 119,654 | ||||||||
Net unrealized appreciation | 14,547,925 | 151,270,786 | 678,238 | |||||||||
|
|
|
|
|
| |||||||
$ | 389,831,439 | $ | 1,138,953,222 | $ | 11,854,227 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Class II shares | $ | 145,165,077 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class III shares | $ | 193,204,276 | $ | 248,077,378 | $ | 11,854,227 | ||||||
|
|
|
|
|
| |||||||
Class IV shares | $ | 51,462,086 | $ | 890,875,844 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Class II | 11,109,107 | — | — | |||||||||
|
|
|
|
|
| |||||||
Class III | 14,694,408 | 14,983,375 | 505,557 | |||||||||
|
|
|
|
|
| |||||||
Class IV | 3,817,573 | 53,911,206 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Class II | $ | 13.07 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 13.15 | $ | 16.56 | $ | 23.45 | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 13.48 | $ | 16.52 | $ | — | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – unaffiliated issuers: | $ | 365,310,847 | $ | 961,535,466 | $ | 10,924,377 | ||||||
(b) Cost of investments – affiliated issuers: | $ | 7,452,555 | $ | 24,298,916 | $ | 285,033 | ||||||
(c) Cost of foreign currency: | $ | 3,657 | $ | 14,560 | $ | 102 |
12 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited)
Foreign Fund | Foreign Small Companies Fund | Global Focused Equity Fund | ||||||||||
Investment Income: |
| |||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | $ | 8,224,674 | $ | 16,368,673 | $ | 134,094 | ||||||
Dividends from affiliated issuers (Note 10) | 1,723 | 6,906 | 63 | |||||||||
Interest | 585 | 1,546 | 18 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 8,226,982 | 16,377,125 | 134,175 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 1,251,519 | 3,993,405 | 35,202 | |||||||||
Shareholder service fee – Class II (Note 5) | 173,037 | — | — | |||||||||
Shareholder service fee – Class III (Note 5) | 149,323 | 177,972 | 8,801 | |||||||||
Shareholder service fee – Class IV (Note 5) | 27,346 | 451,839 | — | |||||||||
Audit and tax fees | 58,328 | 50,324 | 38,916 | |||||||||
Custodian and fund accounting agent fees | 151,524 | 246,008 | 34,776 | |||||||||
Legal fees | 6,532 | 12,512 | 3,404 | |||||||||
Registration fees | 18,679 | 5,180 | 644 | |||||||||
Transfer agent fees | 27,140 | 20,148 | 13,708 | |||||||||
Trustees fees and related expenses (Note 5) | 2,116 | 5,946 | 63 | |||||||||
Miscellaneous | 12,154 | 12,880 | 5,064 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,877,698 | 4,976,214 | 140,578 | |||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (255,395 | ) | (332,240 | ) | (93,196 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 1,622,303 | 4,643,974 | 47,382 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 6,604,679 | 11,733,151 | 86,793 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b) | 29,717,109 | 47,799,502 | 120,421 | |||||||||
Realized gain distributions from affiliated issuers (Note 10) | 149 | 1,207 | 10 | |||||||||
Foreign currency, forward contracts and foreign currency related transactions | (30,680 | ) | (281,756 | ) | 1,005 | |||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 29,686,578 | 47,518,953 | 121,436 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | (46,781,510 | ) | (96,482,411 | ) | 309,938 | |||||||
Foreign currency, forward contracts and foreign currency related transactions | (40,701 | ) | (39,252 | ) | (311 | ) | ||||||
|
|
|
|
|
| |||||||
Net unrealized gain (loss) | (46,822,211 | ) | (96,521,663 | ) | 309,627 | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | (17,135,633 | ) | (49,002,710 | ) | 431,063 | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | (10,530,954 | ) | $ | (37,269,559 | ) | $ | 517,856 | ||||
|
|
|
|
|
| |||||||
(a) Withholding tax: | $ | 876,357 | $ | 1,562,266 | $ | 12,397 | ||||||
(b) Foreign capital gains tax: | $ | — | $ | (78 | ) | $ | — |
See accompanying notes to the financial statements. | 13 |
GMO Trust Funds
Statements of Changes in Net Assets
Foreign Fund | Foreign Small Companies Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 6,604,679 | $ | 11,330,786 | $ | 11,733,151 | $ | 14,944,032 | ||||||||
Net realized gain (loss) | 29,686,578 | 46,105,629 | 47,518,953 | 63,381,690 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (46,822,211 | ) | 24,141,352 | (96,521,663 | ) | 149,168,191 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (10,530,954 | ) | 81,577,767 | (37,269,559 | ) | 227,493,913 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | (1,614,561 | ) | (4,317,546 | ) | — | — | ||||||||||
Class III | (2,161,766 | ) | (5,037,353 | ) | (219,289 | ) | (10,018,006 | ) | ||||||||
Class IV | (570,385 | ) | (2,016,945 | ) | (987,904 | ) | (18,733,305 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (4,346,712 | ) | (11,371,844 | ) | (1,207,193 | ) | (28,751,311 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | (1,976,308 | ) | (10,476,372 | ) | ||||||||||
Class IV | — | — | (7,796,435 | ) | (20,674,691 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | (9,772,743 | ) | (31,151,063 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | (14,065,167 | ) | (79,234,024 | ) | — | — | ||||||||||
Class III | 3,121,861 | (56,082,531 | ) | 21,237,914 | (141,559,808 | ) | ||||||||||
Class IV | (14,493,063 | ) | (33,049,306 | ) | 77,715,431 | 275,515,291 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (25,436,369 | ) | (168,365,861 | ) | 98,953,345 | 133,955,483 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 98,607 | 84,607 | ||||||||||||
Class IV | — | — | 374,271 | 127,735 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 472,878 | 212,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (25,436,369 | ) | (168,365,861 | ) | 99,426,223 | 134,167,825 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (40,314,035 | ) | (98,159,938 | ) | 51,176,728 | 301,759,364 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 430,145,474 | 528,305,412 | 1,087,776,494 | 786,017,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 389,831,439 | $ | 430,145,474 | $ | 1,138,953,222 | $ | 1,087,776,494 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 5,634,765 | $ | 3,376,798 | $ | 2,308,997 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | — | $ | — | $ | (8,216,961 | ) | |||||||
|
|
|
|
|
|
|
|
14 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Global Focused Equity Fund | ||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 86,793 | $ | 98,871 | ||||
Net realized gain (loss) | 121,436 | 2,717,931 | ||||||
Change in net unrealized appreciation (depreciation) | 309,627 | (358,283 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 517,856 | 2,458,519 | ||||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class III | (26,432 | ) | (141,464 | ) | ||||
|
|
|
| |||||
Net realized gains | ||||||||
Class III | (1,526,500 | ) | (1,521,176 | ) | ||||
|
|
|
| |||||
Net share transactions (Note 9): | ||||||||
Class III | 1,313,461 | 2,068,619 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 278,385 | 2,864,498 | ||||||
Net assets: | ||||||||
Beginning of period | 11,575,842 | 8,711,344 | ||||||
|
|
|
| |||||
End of period | $ | 11,854,227 | $ | 11,575,842 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 77,500 | $ | 17,139 | ||||
|
|
|
|
See accompanying notes to the financial statements. | 15 |
GMO Trust Funds
(For a share outstanding throughout each period)
FOREIGN FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.58 | $ | 11.57 | $ | 11.21 | $ | 12.88 | $ | 11.07 | $ | 8.03 | $ | 13.66 | $ | 11.64 | $ | 11.27 | $ | 12.95 | $ | 11.13 | $ | 8.07 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.21 | 0.30 | 0.29 | 0.31 | 0.24 | 0.26 | 0.21 | 0.32 | 0.30 | 0.34 | 0.24 | 0.28 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.58 | ) | 2.04 | 0.43 | (1.43 | ) | 1.79 | 3.24 | (0.57 | ) | 2.04 | 0.44 | (1.47 | ) | 1.81 | 3.25 | ||||||||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.37 | ) | 2.34 | 0.72 | (1.12 | ) | 2.03 | 3.50 | (0.36 | ) | 2.36 | 0.74 | (1.13 | ) | 2.05 | 3.53 | ||||||||||||||||||||||||||||||||||||||||||||
|
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|
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|
|
|
|
|
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|
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|
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|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.14 | ) | (0.33 | ) | (0.36 | ) | (0.55 | ) | (0.22 | ) | (0.46 | ) | (0.15 | ) | (0.34 | ) | (0.37 | ) | (0.55 | ) | (0.23 | ) | (0.47 | ) | ||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.14 | ) | (0.33 | ) | (0.36 | ) | (0.55 | ) | (0.22 | ) | (0.46 | ) | (0.15 | ) | (0.34 | ) | (0.37 | ) | (0.55 | ) | (0.23 | ) | (0.47 | ) | ||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.07 | $ | 13.58 | $ | 11.57 | $ | 11.21 | $ | 12.88 | $ | 11.07 | $ | 13.15 | $ | 13.66 | $ | 11.64 | $ | 11.27 | $ | 12.95 | $ | 11.13 | ||||||||||||||||||||||||||||||||||||
|
|
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Total Return(b) | (2.72 | )%** | 20.39 | % | 6.65 | % | (8.38 | )% | 18.71 | % | 43.95 | % | (2.67 | )%** | 20.42 | % | 6.75 | % | (8.36 | )% | 18.80 | % | 44.10 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 145,165 | $ | 165,028 | $ | 217,052 | $ | 259,270 | $ | 417,685 | $ | 545,336 | $ | 193,204 | $ | 197,489 | $ | 222,262 | $ | 403,157 | $ | 1,440,952 | $ | 1,591,717 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.83 | %*(c) | 0.83 | %(c)(d) | 0.84 | %(c)(d) | 0.82 | %(d) | 0.82 | %(d) | 0.82 | %(d) | 0.76 | %*(c) | 0.76 | %(c)(d) | 0.77 | %(c)(d) | 0.75 | %(d) | 0.75 | %(d) | 0.75 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.06 | %* | 2.37 | % | 2.65 | % | 2.71 | % | 2.09 | % | 2.53 | % | 3.06 | %* | 2.53 | % | 2.78 | % | 2.89 | % | 2.08 | % | 2.65 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 60 | %** | 98 | % | 91 | % | 58 | % | 55 | % | 59 | % | 60 | %** | 98 | % | 91 | % | 58 | % | 55 | % | 59 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.12 | %* | 0.11 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.05 | % | 0.12 | %* | 0.12 | % | 0.07 | % | 0.08 | % | 0.06 | % | 0.05 | % |
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.00 | $ | 11.92 | $ | 11.55 | $ | 13.25 | $ | 11.39 | $ | 8.07 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.26 | 0.35 | 0.33 | 0.33 | 0.25 | 0.22 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.63 | ) | 2.08 | 0.42 | (1.46 | ) | 1.85 | 3.35 | ||||||||||||||||||||||
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Total from investment operations | (0.37 | ) | 2.43 | 0.75 | (1.13 | ) | 2.10 | 3.57 | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.15 | ) | (0.35 | ) | (0.38 | ) | (0.57 | ) | (0.24 | ) | (0.25 | ) | ||||||||||||||||||
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Total distributions | (0.15 | ) | (0.35 | ) | (0.38 | ) | (0.57 | ) | (0.24 | ) | (0.25 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 13.48 | $ | 14.00 | $ | 11.92 | $ | 11.55 | $ | 13.25 | $ | 11.39 | ||||||||||||||||||
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Total Return(b) | (2.67 | )%** | 20.54 | % | 6.68 | % | (8.21 | )% | 18.80 | % | 44.05 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 51,462 | $ | 67,628 | $ | 88,992 | $ | 391,421 | $ | 833,582 | $ | 856,553 | ||||||||||||||||||
Net expenses to average daily net assets | 0.70 | %*(c) | 0.70 | %(c)(d) | 0.70 | %(c)(d) | 0.69 | %(d) | 0.69 | %(d) | 0.69 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.78 | %* | 2.71 | % | 3.02 | % | 2.74 | % | 2.10 | % | 1.92 | % | ||||||||||||||||||
Portfolio turnover rate | 60 | %** | 98 | % | 91 | % | 58 | % | 55 | % | 59 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.12 | %* | 0.11 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.05 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
16 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
FOREIGN SMALL COMPANIES FUND
Class III Shares | Class IV Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Period from August 12, 2009 through February 28, 2010(a) | Period from March 1, 2009 through March 16, 2009(a) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.29 | $ | 14.40 | $ | 12.91 | $ | 14.22 | $ | 10.74 | $ | 6.41 | $ | 17.25 | $ | 14.37 | $ | 12.90 | $ | 14.20 | $ | 10.73 | $ | 9.84 | $ | 6.42 | |||||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.17 | 0.27 | 0.23 | 0.19 | 0.14 | 0.13 | 0.18 | 0.25 | 0.12 | 0.17 | 0.13 | 0.02 | 0.01 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.73 | ) | 3.62 | 1.43 | (1.27 | )(c) | 3.47 | 4.32 | (0.74 | ) | 3.64 | 1.54 | (1.23 | )(c) | 3.47 | 1.00 | 0.01 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | (0.56 | ) | 3.89 | 1.66 | (1.08 | ) | 3.61 | 4.45 | (0.56 | ) | 3.89 | 1.66 | (1.06 | ) | 3.60 | 1.02 | 0.02 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.48 | ) | (0.17 | ) | (0.23 | ) | (0.13 | ) | (0.12 | ) | (0.02 | ) | (0.49 | ) | (0.19 | ) | (0.24 | ) | (0.13 | ) | (0.13 | ) | — | ||||||||||||||||||||||||||||||||||||||||
From net realized gains | (0.15 | ) | (0.52 | ) | — | — | — | — | (0.15 | ) | (0.52 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.17 | ) | (1.00 | ) | (0.17 | ) | (0.23 | ) | (0.13 | ) | (0.12 | ) | (0.17 | ) | (1.01 | ) | (0.19 | ) | (0.24 | ) | (0.13 | ) | (0.13 | ) | — | ||||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 16.56 | $ | 17.29 | $ | 14.40 | $ | 12.91 | $ | 14.22 | $ | 10.74 | $ | 16.52 | $ | 17.25 | $ | 14.37 | $ | 12.90 | $ | 14.20 | $ | 10.73 | $ | 6.44 | |||||||||||||||||||||||||||||||||||||||
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Total Return(d) | (3.31 | )%** | 27.54 | % | 12.93 | % | (7.45 | )% | 33.67 | % | 69.44 | % | (3.30 | )%** | 27.61 | % | 12.96 | % | (7.33 | )% | 33.67 | % | 10.33 | %** | 0.31 | %** | |||||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 248,077 | $ | 236,393 | $ | 314,389 | $ | 483,122 | $ | 398,648 | $ | 292,852 | $ | 890,876 | $ | 851,384 | $ | 471,628 | $ | 71,373 | $ | 147,131 | $ | 84,225 | $ | 144,101 | |||||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.85 | %(e)* | 0.86 | %(e)(f) | 0.85 | %(e)(f) | 0.86 | %(f) | 0.85 | %(f) | 0.86 | %(f) | 0.80 | %(e)* | 0.81 | %(e)(f) | 0.80 | %(e)(f) | 0.81 | %(f) | 0.80 | %(f) | 0.81 | %(f)* | 0.81 | %(f)* | |||||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 2.02 | %* | 1.73 | % | 1.83 | % | 1.43 | % | 1.15 | % | 1.40 | % | 2.07 | %* | 1.56 | % | 0.90 | % | 1.34 | % | 1.07 | % | 0.35 | %* | 3.28 | %* | |||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 35 | %** | 57 | % | 56 | % | 46 | % | 61 | % | 78 | % | 35 | %** | 57 | % | 56 | % | 46 | % | 61 | % | 78 | %(g) | 40 | %(h) | |||||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.06 | %* | 0.07 | % | 0.09 | % | 0.10 | % | 0.14 | % | 0.14 | % | 0.06 | %* | 0.07 | % | 0.10 | % | 0.10 | % | 0.14 | % | 0.08 | %* | 0.22 | %* | |||||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.00 | (i) | $ | 0.02 | $ | 0.00 | (i) | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.00 | (i) | $ | 0.01 | $ | 0.01 | $ | 0.02 | $ | 0.00 | (i) | $ | 0.00 | (i) |
(a) | The class was inactive from March 17, 2009 to August 11, 2009. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Calculation represents portfolio turnover of the Fund for the period ended February 28, 2010. |
(h) | Calculation represents portfolio turnover of the Fund for the period ended August 31, 2009. |
(i) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 17 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL FOCUSED EQUITY FUND
Class III Shares | ||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||
2014 | 2013 | 2012(a) | ||||||||||||||||||
Net asset value, beginning of period | $ | 25.82 | $ | 23.67 | $ | 21.99 | $ | 20.00 | ||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(b)† | 0.19 | 0.26 | 0.31 | 0.03 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.98 | 6.19 | 1.90 | 1.96 | ||||||||||||||||
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Total from investment operations | 1.17 | 6.45 | 2.21 | 1.99 | ||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.06 | ) | (0.37 | ) | (0.28 | ) | — | |||||||||||||
From net realized gains | (3.48 | ) | (3.93 | ) | (0.25 | ) | — | |||||||||||||
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Total distributions | (3.54 | ) | (4.30 | ) | (0.53 | ) | — | |||||||||||||
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Net asset value, end of period | $ | 23.45 | $ | 25.82 | $ | 23.67 | $ | 21.99 | ||||||||||||
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Total Return(c) | 4.57 | %** | 28.89 | % | 10.35 | % | 9.95 | %** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 11,854 | $ | 11,576 | $ | 8,711 | $ | 4,634 | ||||||||||||
Net expenses to average daily net assets | 0.81 | %(d)* | 0.78 | %(d)(e) | 0.83 | %(d) | 0.84 | %* | ||||||||||||
Net investment income (loss) to average daily net assets | 1.48 | %* | 1.00 | % | 1.42 | % | 0.56 | %* | ||||||||||||
Portfolio turnover rate | 30 | %** | 225 | % | 103 | % | 18 | %††** | ||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 1.59 | %* | 1.75 | % | 2.38 | % | 8.66 | %* |
(a) | Period from December 1, 2011 (commencement of operations) through February 29, 2012. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
†† | Calculation represents portfolio turnover of the Fund for the period from December 1, 2011 through February 29, 2012. |
* | Annualized. |
** | Not annualized. |
18 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2014 (Unaudited)
1. | Organization |
Each of Foreign Fund, Foreign Small Companies Fund, and Global Focused Equity Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).
The Funds may invest in U.S. Treasury Fund and money market funds that are unaffiliated with GMO.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Principal Investment Objective | ||
Foreign Fund | MSCI EAFE Index | Total return in excess of benchmark | ||
Foreign Small Companies Fund | S&P Developed ex-U.S. Small Cap Index | Total return in excess of benchmark | ||
Global Focused Equity Fund | Not Applicable | Total return |
Foreign Small Companies Fund currently limits subscriptions.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
Portfolio valuation
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2014. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
19
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.
As discussed above, certain of the Funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2014 is as follows:
Securities
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | ||||||
Foreign Fund | < 1% | 97% | ||||||
Foreign Small Companies Fund | < 1% | 88% | ||||||
Global Focused Equity Fund | — | 44% |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2, and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2014, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations with a remaining maturity of greater than sixty days, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of sixty days or less valued at amortized cost; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price;
20
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2014:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 12,468,725 | $ | — | $ | 12,468,725 | ||||||||
Belgium | — | 4,565,752 | — | 4,565,752 | ||||||||||||
Brazil | — | 1,449,443 | — | 1,449,443 | ||||||||||||
Finland | — | 12,971,485 | — | 12,971,485 | ||||||||||||
France | — | 60,723,152 | — | 60,723,152 | ||||||||||||
Germany | — | 35,019,582 | — | 35,019,582 | ||||||||||||
Hong Kong | — | 10,222,255 | — | 10,222,255 | ||||||||||||
Italy | — | 26,734,660 | — | 26,734,660 | ||||||||||||
Japan | — | 74,238,169 | — | 74,238,169 | ||||||||||||
Norway | — | 4,954,641 | — | 4,954,641 | ||||||||||||
Panama | 1,881,594 | — | — | 1,881,594 | ||||||||||||
Portugal | — | 4,495,542 | — | 4,495,542 | ||||||||||||
Russia | — | 3,127,071 | 233,425 | 3,360,496 | ||||||||||||
South Korea | — | 10,397,176 | — | 10,397,176 | ||||||||||||
Spain | — | 29,582,353 | — | 29,582,353 | ||||||||||||
Sweden | — | 1,814,483 | — | 1,814,483 | ||||||||||||
Switzerland | — | 11,334,251 | — | 11,334,251 | ||||||||||||
Thailand | — | 1,843,205 | — | 1,843,205 | ||||||||||||
United Kingdom | — | 66,555,855 | — | 66,555,855 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,881,594 | 372,497,800 | 233,425 | 374,612,819 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
South Korea | — | 3,993,571 | — | 3,993,571 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 3,993,571 | — | 3,993,571 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 409,159 | — | — | 409,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 409,159 | — | — | 409,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 7,452,555 | — | — | 7,452,555 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 7,452,555 | — | — | 7,452,555 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 866,244 | — | — | 866,244 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 10,609,552 | 376,491,371 | 233,425 | 387,334,348 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,609,552 | $ | 376,491,371 | $ | 233,425 | $ | 387,334,348 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Small Companies Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 98,290,036 | $ | — | $ | 98,290,036 | ||||||||
Belgium | — | 6,600,031 | — | 6,600,031 | ||||||||||||
Brazil | — | 8,948,330 | — | 8,948,330 | ||||||||||||
Canada | 81,616,578 | — | — | 81,616,578 | ||||||||||||
Chile | 3,340,025 | — | — | 3,340,025 | ||||||||||||
Finland | — | 5,332,648 | — | 5,332,648 | ||||||||||||
21
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Small Companies Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
France | $ | — | $ | 181,846,759 | $ | — | $ | 181,846,759 | ||||||||
Germany | — | 59,160,062 | — | 59,160,062 | ||||||||||||
Hong Kong | — | 9,454,572 | — | 9,454,572 | ||||||||||||
India | — | 470,005 | — | 470,005 | ||||||||||||
Ireland | — | 4,721,118 | — | 4,721,118 | ||||||||||||
Italy | — | 114,281,343 | — | 114,281,343 | ||||||||||||
Japan | — | 188,462,718 | — | 188,462,718 | ||||||||||||
Mexico | 21,180,230 | — | — | 21,180,230 | ||||||||||||
Netherlands | — | 9,860,135 | — | 9,860,135 | ||||||||||||
New Zealand | — | 3,472,732 | — | 3,472,732 | ||||||||||||
Norway | — | 6,503,487 | — | 6,503,487 | ||||||||||||
Portugal | — | 12,012,550 | — | 12,012,550 | ||||||||||||
Russia | — | 941,599 | 551,565 | 1,493,164 | ||||||||||||
Singapore | — | 2,210,431 | — | 2,210,431 | ||||||||||||
South Korea | 5,257,512 | 31,203,337 | — | 36,460,849 | ||||||||||||
Spain | — | 6,134,933 | — | 6,134,933 | ||||||||||||
Sweden | — | 18,973,513 | — | 18,973,513 | ||||||||||||
Switzerland | — | 52,037,069 | — | 52,037,069 | ||||||||||||
Turkey | — | 5,542,903 | — | 5,542,903 | ||||||||||||
United Kingdom | — | 171,297,538 | — | 171,297,538 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 111,394,345 | 997,757,849 | 551,565 | 1,109,703,759 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 24,298,916 | — | — | 24,298,916 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 24,298,916 | — | — | 24,298,916 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 3,137,741 | — | — | 3,137,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 138,831,002 | 997,757,849 | 551,565 | 1,137,140,416 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 138,831,002 | $ | 997,757,849 | $ | 551,565 | $ | 1,137,140,416 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Focused Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 659,475 | $ | — | $ | 659,475 | ||||||||
Brazil | — | 228,361 | — | 228,361 | ||||||||||||
Canada | 413,324 | — | — | 413,324 | ||||||||||||
Finland | — | 195,163 | — | 195,163 | ||||||||||||
France | — | 664,887 | — | 664,887 | ||||||||||||
Germany | — | 197,434 | — | 197,434 | ||||||||||||
Hong Kong | — | 304,205 | — | 304,205 | ||||||||||||
Italy | — | 182,150 | — | 182,150 | ||||||||||||
Japan | — | 898,626 | — | 898,626 | ||||||||||||
Mexico | 223,637 | — | — | 223,637 | ||||||||||||
Norway | — | 193,955 | — | 193,955 | ||||||||||||
South Korea | 224,406 | 186,291 | — | 410,697 | ||||||||||||
Spain | — | 185,904 | — | 185,904 | ||||||||||||
Switzerland | — | 193,467 | — | 193,467 | ||||||||||||
Thailand | — | 143,707 | — | 143,707 | ||||||||||||
United Kingdom | — | 754,497 | — | 754,497 | ||||||||||||
United States | 5,513,962 | — | — | 5,513,962 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 6,375,329 | 4,988,122 | — | 11,363,451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
22
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Focused Equity Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Preferred Stocks | ||||||||||||||||
South Korea | $ | — | $ | 206,436 | $ | — | $ | 206,436 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 206,436 | — | 206,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 285,033 | — | — | 285,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 285,033 | — | — | 285,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 32,867 | — | — | 32,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,693,229 | 5,194,558 | — | 11,887,787 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,693,229 | $ | 5,194,558 | $ | — | $ | 11,887,787 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2014, there were no material transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2014 | Purchases | Sales | Accrued Discounts/ Premiums | Total Gain/ | Change in (Depreciation) | Transfer into Level 3* | Transfer out of Level 3* | Balances as of August 31, 2014 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2014 | |||||||||||||||||||||||||||||||
Foreign Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Russia | $ | 506,711 | $ | — | $ | (4,045 | ) | $ | — | $ | (12,099 | ) | $ | (257,142 | ) | $ | — | $ | — | $ | 233,425 | $ | (257,142 | ) | ||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
United Kingdom | — | 48,645 | (48,645 | ) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 506,711 | $ | 48,645 | $ | (52,690 | ) | $ | — | $ | (12,099 | ) | $ | (257,142 | ) | $ | — | $ | — | $ | 233,425 | $ | (257,142 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Foreign Small Companies Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||||||||||
Russia | $ | 1,174,571 | $ | — | $ | — | $ | — | $ | — | $ | (623,006 | ) | $ | — | $ | — | $ | 551,565 | $ | (623,006 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 1,174,571 | $ | — | $ | — | $ | — | $ | — | $ | (623,006 | ) | $ | — | $ | — | $ | 551,565 | $ | (623,006 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
* | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2014 were as follows:
Fund Name | Level 3 securities | |||
Foreign Fund | < 1% | |||
Foreign Small Companies Fund | < 1% | |||
Global Focused Equity Fund | — |
23
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Taxes and distributions
Each Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute substantially all of its net investment income, if any, and all of its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.
Each Fund intends to distribute net investment income, if any, semi-annually. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Foreign taxes paid by each Fund may be treated, to the extent permissible under the Code and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2014, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Distributions in excess of tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 28, 2014, the Funds listed below elected to defer to March 1, 2014 late-year ordinary losses as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | |||
Foreign Fund | — | |||
Foreign Small Companies Fund | (590,454) | |||
Global Focused Equity Fund | — |
24
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
As of February 28, 2014, the Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2014, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Long- Term ($) | |||||||||||||||||||
Fund Name | Expiration Date 2/28/2018 | Expiration Date 2/28/2019 | No Expiration Date | Total Short- Term ($) | No Expiration Date | |||||||||||||||
Foreign Fund | (51,963,249) | — | — | (51,963,249) | (10,931,788) | |||||||||||||||
Foreign Small Companies Fund | — | (1,561,115) | — | (1,561,115) | — | |||||||||||||||
Global Focused Equity Fund | — | — | — | — | — |
As of August 31, 2014, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Foreign Fund | 374,760,946 | 23,332,303 | (10,758,901) | 12,573,402 | ||||||||||||
Foreign Small Companies Fund | 994,617,837 | 177,205,697 | (34,683,118) | 142,522,579 | ||||||||||||
Global Focused Equity Fund | 11,214,307 | 1,071,786 | (398,306) | 673,480 |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
Expenses
Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable,
25
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).
Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when they use portfolio securities to redeem their shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
As of August 31, 2014, the premium on cash purchases and the fee on cash redemptions were as follows:
Foreign Fund |
Foreign Small Companies Fund
| Global Focused Equity Fund | ||||
Purchase Premium | — | 0.50% | — | |||
Redemption Fee | — | 0.50% | — |
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GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:
Foreign Fund | Foreign Small Companies Fund | Global Focused Equity Fund | ||||
Market Risk – Equities | X | X | X | |||
Illiquidity Risk | X | X | X | |||
Smaller Company Risk | X | X | X | |||
Derivatives Risk | X | X | X | |||
Non-U.S. Investment Risk | X | X | X | |||
Currency Risk | X | X | X | |||
Focused Investment Risk | X | X | X | |||
Leveraging Risk | X | X | X | |||
Counterparty Risk | X | X | X | |||
Market Disruption and Geopolitical Risk | X | X | X | |||
Large Shareholder Risk | X | X | X | |||
Management and Operational Risk | X | X | X | |||
Non-Diversified Funds | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed, as well as the risk that investments made through underlying funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through its underlying funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner.
27
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation of those investments. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that changes in their value may not move as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, option on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund will typically not receive the collateral for one or more days after the collateral is requested by the Fund.
The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.
Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.
28
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.
There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.
Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some of the rules are not yet final), its ultimate impact remains unclear.
Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
29
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund.
In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third-party. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund and/or its shareholders may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).
U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of GMO’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
30
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.
Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).
• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.
A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, country (e.g., Taiwan or Japan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.
• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
31
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions may not be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will still have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and may continue to be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives positions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of the funds held in the omnibus account for the relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodity Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with
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August 31, 2014 (Unaudited)
the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, a default by the U.S. government or a downgrade of its credit rating would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the United States and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• LARGE SHAREHOLDER RISK. If a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors or limitations in those analyses and models could affect a Fund’s performance. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual
33
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.
With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its NAV, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers and/or foreign currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Foreign Fund |
• | Global Focused Equity Fund |
Temporary Defensive Positions.
Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political, or other conditions.
Foreign Fund and Foreign Small Companies Fund normally do not take temporary defensive positions. Global Focused Equity Fund may hold up to 20% of its assets in cash or cash equivalents if deemed prudent by GMO. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives, to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.
34
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged).
A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2014, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Foreign Fund | Foreign Small Companies Fund | Global Focused Equity Fund | |||||||||
Rights and/or warrants | ||||||||||||
Received as a result of corporate actions | X | X | X |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
35
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.
Swap contracts
The Funds may enter into various types of swap contracts, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
36
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
37
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The following is a summary of the valuations of derivative instruments categorized by risk exposure:
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2014 and the Statements of Operations for the period ended August 31, 2014^:
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Foreign Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 409,159 | $ | — | $ | — | $ | — | $ | 409,159 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 409,159 | $ | — | $ | — | $ | — | $ | 409,159 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 409,159 | $ | — | $ | — | $ | — | $ | 409,159 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (39,295 | ) | $ | — | $ | — | $ | — | $ | (39,295 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (39,295 | ) | $ | — | $ | — | $ | — | $ | (39,295 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation): | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 90,332 | $ | — | $ | — | $ | — | $ | 90,332 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 90,332 | $ | — | $ | — | $ | — | $ | 90,332 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Foreign Small Companies Fund | ||||||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 2,145,802 | $ | — | $ | — | $ | — | $ | 2,145,802 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 2,145,802 | $ | — | $ | — | $ | — | $ | 2,145,802 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Focused Equity Fund | ||||||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 4 | $ | — | $ | — | $ | — | $ | 4 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
The average derivative activity, based on absolute values (rights and/or warrants) outstanding at each month-end, was as follows for the period ended August 31, 2014.
Fund Name | Rights and/or Warrants ($) | |||
Foreign Fund | 324,693 | |||
Foreign Small Companies Fund | 863,086 | |||
Global Focused Equity Fund | 153 | * |
* | During the period ended August 31, 2014, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values. |
38
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Foreign Fund | Foreign Small Companies Fund | Global Focused Equity Fund | ||||||||||
Management Fee | 0.60% | 0.70% | 0.60% |
In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class II | Class III | Class IV | |||||||||
Foreign Fund | 0.22% | 0.15% | 0.09% | |||||||||
Foreign Small Companies Fund | 0.15% | 0.10% | ||||||||||
Global Focused Equity Fund | 0.15% | 0.10% | * |
* | Class is offered but has no shareholders as of August 31, 2014. |
For each Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
For each Fund that pays GMO a management fee, GMO has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has agreed to waive or reduce the shareholder service fee charged to the holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2015 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplement support agreement.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2014 is shown in the table below and included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with the Manager ($) | ||||||
Foreign Fund | 2,116 | 276 | ||||||
Foreign Small Companies Fund | 5,946 | 736 | ||||||
Global Focused Equity Fund | 63 | — |
39
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Indirect Interest Expense | Total Indirect Expense | ||||||||||||
Foreign Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Foreign Small Companies Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Global Focused Equity Fund | < 0.001% | 0.000% | 0.000% | < 0.001% |
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2014 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Foreign Fund | — | 245,354,822 | — | 268,368,149 | ||||||||||||
Foreign Small Companies Fund | — | 491,850,819 | — | 393,668,403 | ||||||||||||
Global Focused Equity Fund | — | 3,530,085 | — | 3,721,319 |
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
8. | Principal shareholders and related parties as of August 31, 2014 |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion | ||||||||||||
Foreign Fund | 2 | 32.85% | 0.08% | — | ||||||||||||
Foreign Small Companies Fund | 4 | 69.82% | 0.02% | — | ||||||||||||
Global Focused Equity Fund | 3 | 82.83% | 44.14% | — |
40
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Foreign Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 41,809 | $ | 562,997 | 195,581 | $ | 2,429,297 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 120,185 | 1,611,684 | 315,691 | 4,096,590 | ||||||||||||
Shares repurchased | (1,207,947 | ) | (16,239,848 | ) | (7,118,529 | ) | (85,759,911 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,045,953 | ) | $ | (14,065,167 | ) | (6,607,257 | ) | $ | (79,234,024 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: | ||||||||||||||||
Shares sold | 732,898 | $ | 9,839,058 | 2,121,046 | $ | 27,097,422 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 101,842 | 1,373,852 | 252,804 | 3,245,210 | ||||||||||||
Shares repurchased | (597,207 | ) | (8,091,049 | ) | (7,013,234 | ) | (86,425,163 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 237,533 | $ | 3,121,861 | (4,639,384 | ) | $ | (56,082,531 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 40,580 | $ | 566,904 | 3,363 | $ | 45,401 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 20,071 | 277,581 | 54,180 | 721,148 | ||||||||||||
Shares repurchased | (1,074,194 | ) | (15,337,548 | ) | (2,691,337 | ) | (33,815,855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,013,543 | ) | $ | (14,493,063 | ) | (2,633,794 | ) | $ | (33,049,306 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Small Companies Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,375,289 | $ | 22,366,898 | 4,850,085 | $ | 77,633,412 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 129,077 | 2,195,597 | 1,270,138 | 20,494,378 | ||||||||||||
Shares repurchased | (193,084 | ) | (3,324,581 | ) | (14,284,730 | ) | (239,687,598 | ) | ||||||||
Purchase premiums | — | 95,478 | — | 82,801 | ||||||||||||
Redemption fees | — | 3,129 | — | 1,806 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,311,282 | $ | 21,336,521 | (8,164,507 | ) | $ | (141,475,201 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 4,059,041 | $ | 69,041,920 | 14,308,861 | $ | 239,643,307 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 511,202 | 8,680,217 | 2,273,077 | 36,737,409 | ||||||||||||
Shares repurchased | (391 | ) | (6,706 | ) | (55,226 | ) | (865,425 | ) | ||||||||
Purchase premiums | — | 362,299 | — | 124,541 | ||||||||||||
Redemption fees | — | 11,972 | — | 3,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,569,852 | $ | 78,089,702 | 16,526,712 | $ | 275,643,026 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Focused Equity Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,160 | $ | 29,733 | 127,931 | $ | 3,309,754 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 66,479 | 1,552,932 | 67,890 | 1,662,640 | ||||||||||||
Shares repurchased | (10,366 | ) | (269,204 | ) | (115,513 | ) | (2,903,775 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 57,273 | $ | 1,313,461 | 80,308 | $ | 2,068,619 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
41
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
10. | Investments in affiliated issuers |
A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2014 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Foreign Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 7,770,349 | $ | 38,882,931 | $ | 39,200,725 | $ | 1,723 | $ | 149 | $ | 7,452,555 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Foreign Small Companies Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 19,920,782 | $ | 160,362,034 | $ | 155,983,900 | $ | 6,906 | $ | 1,207 | $ | 24,298,916 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Focused Equity Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 210,013 | $ | 846,995 | $ | 771,975 | $ | 63 | $ | 10 | $ | 285,033 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through August 31, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015. |
42
GMO Trust Funds
Board Review of Management Agreement
August 31, 2014 (Unaudited)
GMO Foreign Fund
Approval of renewal of management agreement for GMO Foreign Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
43
GMO Trust Funds
Board Review of Management Agreement — (Continued)
August 31, 2014 (Unaudited)
GMO Foreign Small Companies Fund
Approval of renewal of management agreement for GMO Foreign Small Companies Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
44
GMO Trust Funds
Board Review of Management Agreement — (Continued)
August 31, 2014 (Unaudited)
GMO Global Focused Equity Fund
Approval of renewal of management agreement for GMO Global Focused Equity Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
45
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2014 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2014.
As a shareholder of the Funds, you may in incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2014 through August 31, 2014.
Actual Expenses
This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
GMO Foreign Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $972.80 | $4.13 | $1,000.00 | $1,021.02 | $4.23 | 0.83% | |||||||||||||||||||||
Class III | $1,000.00 | $973.30 | $3.78 | $1,000.00 | $1,021.37 | $3.87 | 0.76% | |||||||||||||||||||||
Class IV | $1,000.00 | $973.30 | $3.48 | $1,000.00 | $1,021.68 | $3.57 | 0.70% | |||||||||||||||||||||
GMO Foreign Small Companies Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $966.90 | $4.21 | $1,000.00 | $1,020.92 | $4.33 | 0.85% | |||||||||||||||||||||
Class IV | $1,000.00 | $967.00 | $3.97 | $1,000.00 | $1,021.17 | $4.08 | 0.80% | |||||||||||||||||||||
GMO Global Focused Equity Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,045.70 | $4.18 | $1,000.00 | $1,021.12 | $4.13 | 0.81% |
* | Expenses are calculated using each class’s annualized net expense ratio for the six months ended August 31, 2014, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
46
GMO Trust
Semiannual Report
August 31, 2014
Developed World Stock Fund
International Equity Fund
International Large/Mid Cap Equity Fund
International Small Companies Fund
Quality Fund
Resources Fund
Risk Premium Fund
Tax-Managed International Equities Fund
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund)
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivative risk.
1 | ||||
2 | ||||
11 | ||||
12 | ||||
18 | ||||
19 | ||||
24 | ||||
25 | ||||
33 | ||||
34 | ||||
36 | ||||
37 | ||||
40 | ||||
41 | ||||
42 | ||||
43 | ||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | ||||
48 | ||||
49 | ||||
Portfolio Abbreviations, Counterparty Abbreviations and Currency Abbreviations | 52 | |||
53 | ||||
57 | ||||
59 | ||||
64 | ||||
73 | ||||
120 | ||||
129 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 94.9 | % | ||
Preferred Stocks | 2.4 | |||
Mutual Funds | 1.2 | |||
Short-Term Investments | 0.8 | |||
Investment Funds | 0.5 | |||
Futures Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
United States | 45.0 | % | ||
France | 10.1 | |||
Germany | 8.1 | |||
United Kingdom | 7.9 | |||
Japan | 7.8 | |||
Spain | 3.2 | |||
Italy | 3.0 | |||
Russia | 2.1 | |||
South Korea | 2.1 | |||
China | 1.3 | |||
Brazil | 1.2 | |||
Norway | 0.9 | |||
Taiwan | 0.9 | |||
Finland | 0.7 | |||
Netherlands | 0.7 | |||
Sweden | 0.7 | |||
Switzerland | 0.7 | |||
Denmark | 0.4 | |||
Austria | 0.3 | |||
Belgium | 0.3 | |||
Israel | 0.3 | |||
Thailand | 0.3 | |||
Turkey | 0.3 | |||
Indonesia | 0.2 | |||
Ireland | 0.2 | |||
Poland | 0.2 | |||
Portugal | 0.2 | |||
South Africa | 0.2 | |||
Czech Republic | 0.1 | |||
Egypt | 0.1 | |||
India | 0.1 | |||
Mexico | 0.1 | |||
Peru | 0.1 | |||
Philippines | 0.1 | |||
Singapore | 0.1 | |||
Australia | 0.0 | ^ | ||
Canada | 0.0 | ^ | ||
Hong Kong | 0.0 | ^ | ||
Hungary | 0.0 | ^ | ||
Malaysia | 0.0 | ^ | ||
Nigeria | 0.0 | ^ | ||
Panama | 0.0 | ^ | ||
Qatar | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Energy | 14.7 | % | ||
Software & Services | 9.8 | |||
Technology Hardware & Equipment | 7.5 | |||
Food, Beverage & Tobacco | 7.4 | |||
Telecommunication Services | 7.1 | |||
Health Care Equipment & Services | 6.4 | |||
Capital Goods | 6.3 | |||
Automobiles & Components | 6.0 | |||
Utilities | 5.5 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 5.3 | |||
Retailing | 5.2 | |||
Banks | 4.4 | |||
Materials | 4.0 | |||
Food & Staples Retailing | 2.2 | |||
Insurance | 2.1 | |||
Household & Personal Products | 2.1 | |||
Consumer Durables & Apparel | 1.0 | |||
Transportation | 1.0 | |||
Consumer Services | 0.5 | |||
Diversified Financials | 0.4 | |||
Media | 0.4 | |||
Real Estate | 0.4 | |||
Semiconductors & Semiconductor Equipment | 0.3 | |||
Commercial & Professional Services | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
1
GMO Developed World Stock Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.9% | ||||||||||
Australia — 0.0% | ||||||||||
36,232 | Telstra Corp Ltd | 188,308 | ||||||||
|
| |||||||||
Austria — 0.3% | ||||||||||
20,658 | OMV AG | 797,704 | ||||||||
10,470 | Voestalpine AG | 449,462 | ||||||||
|
| |||||||||
Total Austria | 1,247,166 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
9,882 | Belgacom SA | 352,269 | ||||||||
8,817 | Delhaize Group | 614,060 | ||||||||
1,931 | Solvay SA | 303,834 | ||||||||
|
| |||||||||
Total Belgium | 1,270,163 | |||||||||
|
| |||||||||
Brazil — 0.7% | ||||||||||
3,700 | Aes Tiete SA | 27,951 | ||||||||
60,000 | Banco do Brasil SA | 937,860 | ||||||||
24,800 | Banco Santander Brasil SA | 171,279 | ||||||||
1,000 | BR Malls Participacoes SA | 10,395 | ||||||||
22,500 | Brasil Brokers Participacoes SA | 36,386 | ||||||||
3,600 | CETIP SA | 52,508 | ||||||||
355 | Cia de Transmissao de Energia Eletrica Paulista * | 5,186 | ||||||||
2,800 | Companhia de Saneamento Basico do Estado de Sao Paulo | 26,756 | ||||||||
16,800 | Companhia de Saneamento Basico do Estado de Sao Paulo ADR | 158,592 | ||||||||
3,300 | Companhia de Saneamento de Minas Gerais-COPASA * | 58,968 | ||||||||
30,500 | Companhia Siderurgica Nacional SA Sponsored ADR | 133,285 | ||||||||
8,200 | Cosan Ltd – Class A | 118,900 | ||||||||
3,300 | Cosan SA Industria e Comercio | 68,550 | ||||||||
5,500 | CPFL Energia SA | 55,504 | ||||||||
2,300 | CPFL Energia SA ADR | 46,322 | ||||||||
8,250 | Duratex SA | 37,113 | ||||||||
17,600 | EDP-Energias Do Brasil SA | 88,845 | ||||||||
7,500 | Equatorial Energia SA | 88,117 | ||||||||
3,500 | Grendene SA | 25,408 | ||||||||
3,900 | Grupo BTG Pactual | 65,508 | ||||||||
18,500 | Klabin SA | 93,967 | ||||||||
13,700 | Light SA | 150,556 | ||||||||
2,800 | Localiza Rent a Car SA | 49,846 | ||||||||
5,300 | LPS Brasil Consultoria de Imoveis SA | 26,044 | ||||||||
2,300 | Multiplus SA | 33,701 | ||||||||
3,400 | Raia Drogasil SA | 33,112 | ||||||||
28,000 | Tim Participacoes SA | 156,980 | ||||||||
6,900 | Tractebel Energia SA | 115,622 | ||||||||
12,400 | Transmissora Alianca de Energia Eletrica SA | 129,290 |
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
1,900 | Ultrapar Participacoes SA | 48,966 | ||||||||
|
| |||||||||
Total Brazil | 3,051,517 | |||||||||
|
| |||||||||
Canada — 0.0% | ||||||||||
3,900 | Catamaran Corp * | 183,768 | ||||||||
|
| |||||||||
China — 1.3% | ||||||||||
690,000 | Agricultural Bank of China Ltd – Class H | 319,499 | ||||||||
34,000 | Anton Oilfield Services Group | 14,593 | ||||||||
300 | Baidu Inc Sponsored ADR * | 64,356 | ||||||||
1,597,000 | Bank of China Ltd – Class H | 739,386 | ||||||||
2,500 | Beijing Enterprises Holdings Ltd | 21,541 | ||||||||
34,000 | Brilliance China Automotive Holdings Ltd | 62,734 | ||||||||
47,800 | Changsha Zoomlion Heavy Industry Science and Technology Development Co Ltd – Class H | 29,583 | ||||||||
800 | Changyou.com Ltd ADR * | 19,248 | ||||||||
134,000 | China Communications Construction Co Ltd – Class H | 97,618 | ||||||||
246,000 | China Communications Services Corp Ltd – Class H | 118,364 | ||||||||
1,163,000 | China Construction Bank – Class H | 862,573 | ||||||||
36,000 | China Everbright Ltd | 68,244 | ||||||||
8,000 | China Gas Holdings Ltd | 14,244 | ||||||||
4,000 | China Mengniu Dairy Co Ltd | 18,517 | ||||||||
70,000 | China Mobile Ltd | 869,334 | ||||||||
3,300 | China Mobile Ltd Sponsored ADR | 205,524 | ||||||||
56,000 | China Overseas Land & Investment Ltd | 157,428 | ||||||||
42,000 | China Railway Construction Corp Ltd – Class H | 40,254 | ||||||||
32,000 | China Railway Group Ltd – Class H | 16,505 | ||||||||
8,000 | China Resources Land Ltd | 18,287 | ||||||||
43,000 | China Shenhua Energy Co Ltd – Class H | 124,273 | ||||||||
469,060 | China Telecom Corp Ltd – Class H | 288,189 | ||||||||
148,000 | CNOOC Ltd | 296,628 | ||||||||
86,000 | Dongfeng Motor Group Co Ltd – Class H | 159,486 | ||||||||
55,000 | Geely Automobile Holdings Ltd | 21,128 | ||||||||
20,000 | Huaneng Power International Inc – Class H | 24,126 | ||||||||
1,207,000 | Industrial and Commercial Bank of China Ltd – Class H | 798,773 | ||||||||
38,000 | Jiangxi Copper Co Ltd | 67,319 | ||||||||
133,000 | Lonking Holdings Ltd | 23,168 | ||||||||
9,000 | New China Life Insurance Co Ltd | 32,178 | ||||||||
46,000 | PICC Property & Casualty Co Ltd – Class H | 76,236 | ||||||||
7,000 | Shenzhou International Group Holdings Ltd | 21,872 | ||||||||
700 | TAL Education Group ADR * | 23,940 | ||||||||
78,000 | Yanzhou Coal Mining Co Ltd – Class H | 65,556 | ||||||||
|
| |||||||||
Total China | 5,780,704 | |||||||||
|
|
2 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Czech Republic — 0.1% | ||||||||||
20,579 | CEZ AS | 597,095 | ||||||||
130 | Komercni Banka AS | 30,212 | ||||||||
|
| |||||||||
Total Czech Republic | 627,307 | |||||||||
|
| |||||||||
Denmark — 0.4% | ||||||||||
493 | AP Moeller – Maersk A/S – Class B | 1,238,509 | ||||||||
81 | AP Moller – Maersk A/S – Class A | 195,729 | ||||||||
3,174 | Carlsberg A/S – Class B | 290,193 | ||||||||
26,522 | TDC A/S | 227,327 | ||||||||
|
| |||||||||
Total Denmark | 1,951,758 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
60,624 | Global Telecom Holding * | 45,641 | ||||||||
126,031 | Orascom Telecom Media And Technology Holding SAE * | 22,067 | ||||||||
12,416 | Sidi Kerir Petrochemicals Co | 34,822 | ||||||||
46,468 | Telecom Egypt Co | 93,407 | ||||||||
|
| |||||||||
Total Egypt | 195,937 | |||||||||
|
| |||||||||
Finland — 0.6% | ||||||||||
19,032 | Fortum Oyj | 478,117 | ||||||||
256,216 | Nokia Oyj | 2,151,814 | ||||||||
21,523 | UPM – Kymmene Oyj | 323,965 | ||||||||
|
| |||||||||
Total Finland | 2,953,896 | |||||||||
|
| |||||||||
France — 9.9% | ||||||||||
56,520 | ArcelorMittal | 821,501 | ||||||||
31,834 | AXA | 789,922 | ||||||||
18,388 | BNP Paribas | 1,242,533 | ||||||||
20,581 | Bouygues SA | 756,408 | ||||||||
20,772 | Carrefour SA | 720,877 | ||||||||
5,025 | Casino Guichard-Perrachon SA | 600,118 | ||||||||
1,279 | Christian Dior SA | 227,588 | ||||||||
12,862 | Cie Generale des Etablissements Michelin – Class B | 1,422,878 | ||||||||
25,387 | CNP Assurances | 501,215 | ||||||||
31,736 | Compagnie de Saint-Gobain | 1,612,335 | ||||||||
46,024 | Credit Agricole SA | 683,018 | ||||||||
13,192 | Electricite de France | 428,871 | ||||||||
144,478 | GDF Suez | 3,561,167 | ||||||||
10,089 | Lafarge SA | 773,658 | ||||||||
222,669 | Orange | 3,370,541 | ||||||||
38,820 | Peugeot SA * | 546,158 | ||||||||
17,041 | Renault SA | 1,335,397 | ||||||||
11,380 | Rexel SA | 226,687 | ||||||||
40,406 | Sanofi | 4,428,190 | ||||||||
17,551 | Schneider Electric SE | 1,484,790 | ||||||||
21,748 | Societe Generale | 1,103,074 | ||||||||
181,208 | Total SA | 11,957,647 | ||||||||
6,303 | Vallourec SA | 281,672 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
20,223 | Veolia Environnement SA | 371,517 | ||||||||
36,138 | Vinci SA | 2,363,811 | ||||||||
135,511 | Vivendi SA | 3,528,590 | ||||||||
|
| |||||||||
Total France | 45,140,163 | |||||||||
|
| |||||||||
Germany — 6.8% | ||||||||||
12,139 | Allianz SE (Registered) | 2,073,020 | ||||||||
62,919 | BASF SE | 6,486,539 | ||||||||
29,625 | Bayerische Motoren Werke AG | 3,457,456 | ||||||||
70,203 | Daimler AG (Registered) | 5,759,079 | ||||||||
19,648 | Deutsche Lufthansa AG (Registered) | 341,439 | ||||||||
17,404 | Deutsche Bank AG (Registered) | 596,716 | ||||||||
130,597 | Deutsche Telekom AG (Registered) | 1,957,278 | ||||||||
232,223 | E.ON AG | 4,226,473 | ||||||||
4,670 | Fresenius Medical Care AG & Co | 329,041 | ||||||||
5,873 | Hannover Rueck SE | 488,515 | ||||||||
3,231 | HeidelbergCement AG | 244,584 | ||||||||
12,003 | K+S AG (Registered) | 373,467 | ||||||||
9,192 | Metro AG * | 323,779 | ||||||||
5,581 | Muenchener Rueckversicherungs AG (Registered) | 1,120,520 | ||||||||
5,773 | ProSiebenSat.1 Media AG (Registered) | 231,496 | ||||||||
59,046 | RWE AG | 2,315,399 | ||||||||
9,349 | Suedzucker AG | 161,041 | ||||||||
2,935 | Volkswagen AG | 659,434 | ||||||||
|
| |||||||||
Total Germany | 31,145,276 | |||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
19,400 | Chow Tai Fook Jewellery Group Ltd | 28,028 | ||||||||
5,000 | Sun Hung Kai Properties Ltd | 75,906 | ||||||||
|
| |||||||||
Total Hong Kong | 103,934 | |||||||||
|
| |||||||||
Hungary — 0.0% | ||||||||||
43,906 | Magyar Telekom Telecommunications Plc * | 67,660 | ||||||||
1,729 | OTP Bank Plc | 29,903 | ||||||||
|
| |||||||||
Total Hungary | 97,563 | |||||||||
|
| |||||||||
India — 0.1% | ||||||||||
562 | Grasim Industries Ltd Sponsored GDR | 31,562 | ||||||||
2,100 | HDFC Bank Ltd (a) | 104,349 | ||||||||
2,100 | ICICI Bank Ltd Sponsored ADR | 112,350 | ||||||||
4,100 | Sesa Sterlite Ltd ADR | 75,399 | ||||||||
800 | Tata Motors Ltd Sponsored ADR | 38,552 | ||||||||
|
| |||||||||
Total India | 362,212 | |||||||||
|
| |||||||||
Indonesia — 0.2% | ||||||||||
312,500 | Astra International Tbk PT | 202,334 | ||||||||
55,800 | Bank Mandiri Persero Tbk PT | 49,788 | ||||||||
26,800 | Bank Rakyat Indonesia Persero Tbk PT | 25,305 | ||||||||
318,000 | Gajah Tunggal Tbk PT | 48,124 |
See accompanying notes to the financial statements. | 3 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
146,300 | Global Mediacom Tbk PT | 24,200 | ||||||||
172,800 | Harum Energy Tbk PT | 31,768 | ||||||||
12,900 | Indo Tambangraya Megah Tbk PT | 31,074 | ||||||||
74,500 | Kalbe Farma Tbk PT | 10,575 | ||||||||
81,900 | Media Nusantara Citra Tbk PT | 19,639 | ||||||||
16,500 | Perusahaan Gas Negara Persero Tbk PT | 8,182 | ||||||||
23,100 | Tambang Batubara Bukit Asam Persero Tbk PT | 26,395 | ||||||||
506,600 | Telekomunikasi Indonesia Persero Tbk PT | 115,794 | ||||||||
4,200 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 193,452 | ||||||||
|
| |||||||||
Total Indonesia | 786,630 | |||||||||
|
| |||||||||
Ireland — 0.2% | ||||||||||
40,412 | CRH Plc | 931,403 | ||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
20,100 | Check Point Software Technologies Ltd * | 1,427,502 | ||||||||
|
| |||||||||
Italy — 2.9% | ||||||||||
692,134 | Enel SPA | 3,666,007 | ||||||||
198,540 | ENI SPA | 4,957,750 | ||||||||
67,187 | Fiat SPA * | 657,092 | ||||||||
70,841 | Finmeccanica SPA * | 664,300 | ||||||||
112,847 | Mediaset SPA * | 466,753 | ||||||||
109,670 | Parmalat SPA | 367,495 | ||||||||
9,860 | Saipem SPA * | 234,137 | ||||||||
1,304,545 | Telecom Italia SPA * | 1,504,895 | ||||||||
772,743 | Telecom Italia SPA-Di RISP | 711,601 | ||||||||
|
| |||||||||
Total Italy | 13,230,030 | |||||||||
|
| |||||||||
Japan — 7.6% | ||||||||||
30,100 | Aeon Co Ltd | 325,485 | ||||||||
7,400 | Asahi Breweries Ltd | 233,544 | ||||||||
14,000 | Asahi Kasei Corp | 112,342 | ||||||||
3,100 | Asatsu-DK, Inc. | 81,805 | ||||||||
11,500 | Canon Inc | 375,286 | ||||||||
5,500 | Central Japan Railway Co | 771,172 | ||||||||
16,348 | Century Tokyo Leasing Corp | 484,166 | ||||||||
100,000 | Cosmo Oil Co Ltd | 187,559 | ||||||||
10,100 | Daiwa House Industry Co Ltd | 191,426 | ||||||||
23,000 | Daiwa Securities Group Inc | 187,356 | ||||||||
11,300 | FujiFilm Holdings Corp | 341,194 | ||||||||
7,000 | Fuji Heavy Industries Ltd | 199,362 | ||||||||
28,800 | Hakuhodo DY Holdings Inc | 298,030 | ||||||||
30,100 | Honda Motor Co Ltd | 1,021,782 | ||||||||
47,400 | Inpex Corp | 679,582 | ||||||||
100,900 | Itochu Corp | 1,283,949 | ||||||||
146,600 | Japan Tobacco, Inc. | 5,023,039 | ||||||||
30,700 | JFE Holdings Inc | 621,512 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
122,020 | JX Holdings Inc | 627,889 | ||||||||
7,300 | KDDI Corp. | 421,832 | ||||||||
26,600 | Kyocera Corp | 1,245,890 | ||||||||
129,000 | Marubeni Corp | 931,541 | ||||||||
3,300 | Mazda Motor Corp | 78,078 | ||||||||
74,300 | Mitsubishi Chemical Holdings Corp | 370,892 | ||||||||
68,600 | Mitsubishi Corp | 1,419,375 | ||||||||
48,100 | Mitsubishi UFJ Financial Group Inc | 277,231 | ||||||||
75,600 | Mitsui & Co Ltd | 1,233,358 | ||||||||
64,000 | Mitsui OSK Lines Ltd | 234,520 | ||||||||
112,545 | Nippon Steel Corp | 318,728 | ||||||||
33,600 | Nippon Telegraph & Telephone Corp | 2,256,923 | ||||||||
149,000 | Nippon Yusen Kabushiki Kaisha | 438,613 | ||||||||
542,700 | Nissan Motor Co Ltd | 5,212,919 | ||||||||
88,000 | NTT Docomo, Inc. | 1,523,910 | ||||||||
31,800 | Ricoh Co Ltd | 345,174 | ||||||||
11,900 | Sekisui House Ltd | 149,635 | ||||||||
39,200 | Showa Shell Sekiyu KK | 420,921 | ||||||||
264,500 | Sojitz Corp | 437,882 | ||||||||
6,800 | Sony Corp | 129,568 | ||||||||
85,200 | Sumitomo Corp | 1,100,721 | ||||||||
28,000 | Sumitomo Metal Mining Co Ltd | 425,191 | ||||||||
6,600 | Sumitomo Mitsui Financial Group Inc | 266,964 | ||||||||
3,000 | Sumitomo Realty & Development Co Ltd | 116,327 | ||||||||
64,000 | Taisei Corp | 381,482 | ||||||||
15,600 | Takeda Pharmaceutical Co Ltd | 712,667 | ||||||||
36,000 | TonenGeneral Sekiyu KK | 328,376 | ||||||||
24,900 | Toyota Tsusho Corp | 657,798 | ||||||||
92,100 | Yamada Denki Co Ltd | 295,888 | ||||||||
|
| |||||||||
Total Japan | 34,778,884 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
17,696 | CIMB Group Holdings Berhad | 41,433 | ||||||||
3,227 | Hong Leong Bank Berhad | 14,740 | ||||||||
30,900 | Media Prima Bhd | 22,355 | ||||||||
|
| |||||||||
Total Malaysia | 78,528 | |||||||||
|
| |||||||||
Mexico — 0.1% | ||||||||||
6,200 | Alsea SA * | 21,430 | ||||||||
8,900 | America Movil SAB de CV ADR | 218,139 | ||||||||
4,936 | Cemex SAB de CV Sponsored ADR * | 65,303 | ||||||||
1,600 | Embotelladoras Arca SAB de CV | 11,746 | ||||||||
10,800 | Fibra Uno Administracion SA de CV (REIT) | 38,908 | ||||||||
8,700 | Grupo Financiero Banorte SAB de CV – Class O | 61,334 | ||||||||
1,700 | Infraestructura Energetica Nova SAB de CV | 10,234 | ||||||||
|
| |||||||||
Total Mexico | 427,094 | |||||||||
|
|
4 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — 0.7% | ||||||||||
57,741 | Aegon NV | 456,595 | ||||||||
2,954 | Fugro NV | 107,125 | ||||||||
4,443 | Heineken NV | 338,264 | ||||||||
62,613 | Koninklijke Ahold NV | 1,069,726 | ||||||||
2,431 | Koninklijke DSM NV | 162,419 | ||||||||
297,422 | Koninklijke KPN NV * | 992,809 | ||||||||
6,200 | VimpelCom Ltd Sponsored ADR | 52,824 | ||||||||
|
| |||||||||
Total Netherlands | 3,179,762 | |||||||||
|
| |||||||||
Nigeria — 0.0% | ||||||||||
3,882 | Nestle Nigeria Plc | 24,552 | ||||||||
|
| |||||||||
Norway — 0.9% | ||||||||||
108,350 | Statoil ASA | 3,047,863 | ||||||||
19,041 | Telenor ASA | 437,394 | ||||||||
9,733 | Yara International ASA | 487,994 | ||||||||
|
| |||||||||
Total Norway | 3,973,251 | |||||||||
|
| |||||||||
Panama — 0.0% | ||||||||||
400 | Copa Holdings SA – Class A | 49,192 | ||||||||
|
| |||||||||
Peru — 0.1% | ||||||||||
7,100 | Companhia de Minas Buenaventura SA ADR | 103,376 | ||||||||
3,200 | Southern Copper Corp | 104,992 | ||||||||
|
| |||||||||
Total Peru | 208,368 | |||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
11,510 | BDO Unibank Inc | 23,890 | ||||||||
56,200 | First Gen Corp * | 31,066 | ||||||||
1,280 | GT Capital Holdings Inc | 27,609 | ||||||||
167,000 | Lopez Holding Corp | 21,453 | ||||||||
13,700 | Manila Water Co Inc | 9,430 | ||||||||
285 | Philippine Long Distance Telephone Co | 22,388 | ||||||||
200 | Philippine Long Distance Telephone Co Sponsored ADR | 15,168 | ||||||||
34,200 | Puregold Price Club Inc | 28,400 | ||||||||
13,210 | Robinsons Retail Holdings Inc | 18,819 | ||||||||
|
| |||||||||
Total Philippines | 198,223 | |||||||||
|
| |||||||||
Poland — 0.2% | ||||||||||
3,170 | Asseco Poland SA | 41,873 | ||||||||
647 | Bank Pekao SA | 36,487 | ||||||||
�� | 1,462 | Jastrzebska Spolka Weglowa SA * | 15,303 | |||||||
19,463 | KGHM Polska Miedz SA | 802,161 | ||||||||
19,451 | PGE SA | 132,475 | ||||||||
15,298 | Synthos SA | 22,018 | ||||||||
|
| |||||||||
Total Poland | 1,050,317 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Portugal — 0.2% | ||||||||||
196,124 | EDP-Energias de Portugal SA | 950,276 | ||||||||
952 | Jeronimo Martins SGPS SA | 12,912 | ||||||||
|
| |||||||||
Total Portugal | 963,188 | |||||||||
|
| |||||||||
Qatar — 0.0% | ||||||||||
4,603 | Qatar Gas Transport Co Nakilat | 29,714 | ||||||||
511 | Qatar National Bank | 28,390 | ||||||||
|
| |||||||||
Total Qatar | 58,104 | |||||||||
|
| |||||||||
Russia — 1.7% | ||||||||||
1,970 | Bashneft OAO – Class S * | 103,238 | ||||||||
7,800 | CTC Media Inc | 70,824 | ||||||||
867 | Eurasia Drilling Co Ltd GDR | 25,083 | ||||||||
5,245 | Gazprom Neft JSC Sponsored ADR | 101,147 | ||||||||
111,666 | Gazprom OAO Sponsored ADR | 798,554 | ||||||||
1,975 | Globaltrans Investment Plc Sponsored GDR | 18,086 | ||||||||
477 | Lenta Ltd * | 5,434 | ||||||||
101,107 | Lukoil OAO Sponsored ADR | 5,629,672 | ||||||||
1,001 | Mail.ru Group Ltd GDR (Registered) * | 26,909 | ||||||||
2,900 | Mobile Telesystems Sponsored ADR | 53,505 | ||||||||
27,391 | Rosneft OJSC GDR (Registered) | 167,235 | ||||||||
39,379 | Sberbank Sponsored ADR | 321,580 | ||||||||
2,069 | Sistema JSFC Sponsored GDR (Registered) | 47,042 | ||||||||
53,212 | Surgutneftegas Sponsored ADR | 368,437 | ||||||||
5,280 | Tatneft Sponsored ADR | 196,115 | ||||||||
|
| |||||||||
Total Russia | 7,932,861 | |||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
248,000 | CapitaCommercial Trust (REIT) | 337,253 | ||||||||
206,000 | Yangzijiang Shipbuilding Holdings Ltd | 192,073 | ||||||||
|
| |||||||||
Total Singapore | 529,326 | |||||||||
|
| |||||||||
South Africa — 0.2% | ||||||||||
44,814 | African Bank Investments Ltd (b) | 4 | ||||||||
20,375 | Capital Property Fund (REIT) | 22,827 | ||||||||
3,042 | Coronation Fund Managers Ltd | 28,561 | ||||||||
3,161 | Discovery Ltd | 29,151 | ||||||||
6,456 | Investec Ltd | 58,270 | ||||||||
4,272 | Kumba Iron Ore Ltd | 128,063 | ||||||||
5,129 | Life Healthcare Group Holdings Ltd | 21,534 | ||||||||
8,716 | MTN Group Ltd | 197,160 | ||||||||
1,910 | Naspers Ltd-N Shares | 243,624 | ||||||||
25,607 | Telkom South Africa Ltd * | 137,232 | ||||||||
1,179 | Vodacom Group Ltd | 14,219 | ||||||||
2,870 | Wilson Bayly Holmes-Ovcon Ltd | 37,320 | ||||||||
|
| |||||||||
Total South Africa | 917,965 | |||||||||
|
|
See accompanying notes to the financial statements. | 5 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — 1.5% | ||||||||||
1,665 | DGB Financial Group Inc | 29,080 | ||||||||
569 | Dongbu Insurance Co Ltd | 34,355 | ||||||||
490 | GS Holdings | 20,811 | ||||||||
3,474 | Hana Financial Group Inc | 145,901 | ||||||||
3,280 | Hankook Tire WorldwideCo Ltd | 70,716 | ||||||||
2,869 | Hanwha Corp | 85,635 | ||||||||
595 | Hyundai Marine & Fire Insurance Co Ltd | 18,282 | ||||||||
851 | Hyundai Mobis | 246,867 | ||||||||
533 | Hyundai Motor Co | 122,526 | ||||||||
3,500 | Iljin Holdings Co Ltd | 22,691 | ||||||||
11,870 | Industrial Bank of Korea | 206,187 | ||||||||
6,271 | Kia Motors Corp | 378,692 | ||||||||
459 | Kolon Industries Inc | 27,232 | ||||||||
59 | Korea Zinc Co Ltd | 24,478 | ||||||||
6,110 | KT Corp | 211,128 | ||||||||
1,479 | Kwangju Bank * | 16,565 | ||||||||
251 | Kyongnam Bank * | 3,369 | ||||||||
980 | LIG Insurance Co Ltd | 29,239 | ||||||||
677 | Samsung Engineering Co Ltd * | 42,695 | ||||||||
3,308 | Samsung Electronics Co Ltd | 4,027,793 | ||||||||
2,986 | SK Innovation Co Ltd | 277,305 | ||||||||
1,534 | SK Telecom Co Ltd | 414,530 | ||||||||
13,840 | Tong Yang Securities Inc * | 41,192 | ||||||||
13,829 | Woori Finance Holdings Co Ltd * | 187,704 | ||||||||
|
| |||||||||
Total South Korea | 6,684,973 | |||||||||
|
| |||||||||
Spain — 3.1% | ||||||||||
18,831 | ACS Actividades de Construccion y Servicios SA | 793,195 | ||||||||
10,596 | Enagas | 353,419 | ||||||||
20,868 | Ferrovial SA | 424,748 | ||||||||
41,651 | Gas Natural SDG SA | 1,277,074 | ||||||||
429,817 | Iberdrola SA | 3,158,065 | ||||||||
128,100 | Mapfre SA | 480,434 | ||||||||
69,405 | Repsol YPF SA | 1,723,693 | ||||||||
371,352 | Telefonica SA | 5,891,419 | ||||||||
|
| |||||||||
Total Spain | 14,102,047 | |||||||||
|
| |||||||||
Sweden — 0.7% | ||||||||||
90,940 | Ericsson LM – Class B | 1,133,252 | ||||||||
8,529 | Sandvik AB | 106,474 | ||||||||
11,468 | Skanska AB – Class B | 237,325 | ||||||||
188,624 | TeliaSonera AB | 1,377,680 | ||||||||
27,839 | Volvo AB – Class B | 332,844 | ||||||||
|
| |||||||||
Total Sweden | 3,187,575 | |||||||||
|
| |||||||||
Switzerland — 0.7% | ||||||||||
10,229 | ABB Ltd (Registered) | 232,653 | ||||||||
10,239 | Holcim Ltd (Registered) | 814,939 | ||||||||
575 | Swisscom AG (Registered) | 334,045 |
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
12,477 | Transocean Ltd | 480,636 | ||||||||
3,970 | Zurich Insurance Group AG | 1,198,552 | ||||||||
|
| |||||||||
Total Switzerland | 3,060,825 | |||||||||
|
| |||||||||
Taiwan — 0.9% | ||||||||||
15,807 | Acer Inc Sponsored GDR * | 64,801 | ||||||||
5,000 | Advantech Co Ltd | 46,965 | ||||||||
8,600 | Asustek Computer GDR (Registered) (b) | 449,847 | ||||||||
7,000 | Asustek Computer Inc | 73,253 | ||||||||
576 | Catcher Technology GDR (Registered) * | 29,198 | ||||||||
64,000 | China Petrochemical Development Corp * | 22,824 | ||||||||
12,000 | Chong Hong Construction Co Ltd * | 32,692 | ||||||||
3,700 | Chunghwa Telecom Co Ltd ADR | 115,514 | ||||||||
76,953 | Compal Electronics GDR (Registered) (b) | 338,772 | ||||||||
5,000 | Delta Electronics Inc | 35,156 | ||||||||
162,122 | E.Sun Financial Holding Co Ltd | 106,656 | ||||||||
2,197 | Far Eastone Telecom GDR (Registered) (b) | 69,993 | ||||||||
29,400 | Foxconn Technology Co Ltd | 73,808 | ||||||||
3,000 | Giant Manufacturing Co Ltd | 24,964 | ||||||||
27,000 | Highwealth Construction Corp | 47,822 | ||||||||
73,131 | Hon Hai Precision Industry Co Ltd GDR | 490,791 | ||||||||
11,231 | HTC Corp GDR (Registered) * | 205,402 | ||||||||
8,599 | Lite-On Technology Corp GDR (b) | 141,944 | ||||||||
8,704 | Makalot Industrial Co Ltd | 42,980 | ||||||||
1,000 | MediaTek Inc | 16,713 | ||||||||
33,000 | Mega Financial Holding Co Ltd | 28,474 | ||||||||
4,000 | Novatek Microelectronics Corp Ltd | 20,537 | ||||||||
44,000 | Pegatron Corp | 93,300 | ||||||||
5,000 | Phison Electronics Corp | 36,200 | ||||||||
48,568 | Powertech Technology Inc GDR * | 184,319 | ||||||||
25,200 | Quanta Computer Inc GDR (Registered) (b) | 354,519 | ||||||||
36,000 | Radiant Opto-Electronics Corp | 155,500 | ||||||||
19,000 | Realtek Semiconductor Corp | 69,262 | ||||||||
11,000 | Simplo Technology Co Ltd | 61,787 | ||||||||
13,000 | Synnex Technology International Corp | 19,840 | ||||||||
60,463 | Taishin Financial Holding Co Ltd | 30,742 | ||||||||
9,000 | Taiwan Mobile Co Ltd | 28,682 | ||||||||
21,000 | TPK Holding Co Ltd | 142,736 | ||||||||
10,000 | Tripod Technology Corp | 20,327 | ||||||||
29,000 | Unimicron Technology Corp | 24,504 | ||||||||
27,540 | Wistron Corp | 32,270 | ||||||||
22,056 | Wistron Corp GDR (Registered) * (b) | 257,322 | ||||||||
20,000 | WPG Holdings Co Ltd | 26,064 | ||||||||
13,000 | Yungtay Engineering Co Ltd | 32,211 | ||||||||
|
| |||||||||
Total Taiwan | 4,048,691 | |||||||||
|
| |||||||||
Thailand — 0.3% | ||||||||||
5,400 | Advanced Info Service Pcl NVDR | 35,358 | ||||||||
1,400 | Airports of Thailand Pcl (Foreign Registered) | 10,391 | ||||||||
91,600 | Bangchak Petroleum Pcl NVDR | 98,291 |
6 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
6,600 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 4,030 | ||||||||
193,000 | Bangkok Dusit Medical Services Pcl NVDR | 117,830 | ||||||||
600 | Bangkok Life Assurance Pcl NVDR | 1,578 | ||||||||
278,500 | Banpu Pcl NVDR | 281,203 | ||||||||
15,600 | Chularat Hospital Pcl (Foreign Registered) | 8,649 | ||||||||
4,200 | CPN Commercial Growth Leasehold Property Fund REIT | 1,421 | ||||||||
24,600 | Electricity Generating Pcl NVDR | 131,376 | ||||||||
22,000 | Glow Energy Pcl NVDR | 60,376 | ||||||||
21,400 | Intouch Holdings Pcl NVDR (a) | 46,063 | ||||||||
6,700 | PTT Exploration & Production Pcl NVDR | 34,503 | ||||||||
31,000 | PTT Pcl NVDR | 311,719 | ||||||||
30,400 | Ratchaburi Electricity Generating Holding Pcl NVDR (a) | 55,469 | ||||||||
749,800 | Sansiri Pcl NVDR | 48,879 | ||||||||
59,800 | Thai Oil Pcl NVDR | 96,925 | ||||||||
9,500 | Tisco Financial Group Pcl (Foreign Registered) | 13,089 | ||||||||
154,400 | TTW Pcl NVDR | 60,426 | ||||||||
|
| |||||||||
Total Thailand | 1,417,576 | |||||||||
|
| |||||||||
Turkey — 0.3% | ||||||||||
28,891 | Akbank TAS | 110,141 | ||||||||
99,088 | Asya Katilim Bankasi AS * | 56,844 | ||||||||
11,101 | Aygaz AS | 49,307 | ||||||||
12,175 | Dogus Otomotiv Servis ve Ticaret AS | 49,324 | ||||||||
59,480 | EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 57,228 | ||||||||
24,461 | Emlak Konut Gayrimenkul Yatirim (REIT) | 30,733 | ||||||||
14,348 | Gubre Fabrikalari TAS | 28,886 | ||||||||
6,143 | Haci Omer Sabanci Holding AS | 28,437 | ||||||||
23,658 | Ipek Dogal Enerji Kaynaklari Ve Uretim AS * | 24,375 | ||||||||
6,074 | Koza Altin Isletmeleri AS | 65,228 | ||||||||
54,301 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 56,722 | ||||||||
319 | Pegasus Hava Tasimaciligi AS * | 3,969 | ||||||||
37,570 | Tekfen Holding AS * | 94,412 | ||||||||
2,279 | Tupras-Turkiye Petrol Rafineriler AS | 53,510 | ||||||||
37,878 | Turk Telekomunikasyon AS | 109,697 | ||||||||
950 | Turk Traktor ve Ziraat Makineleri AS | 32,272 | ||||||||
20,516 | Turkcell Iletisim Hizmetleri AS * | 120,375 | ||||||||
9,001 | Turkiye Garanti Bankasi AS | 35,252 | ||||||||
70,928 | Turkiye IS Bankasi – Class C | 183,158 | ||||||||
12,959 | Turkiye Vakiflar Bankasi TAO – Class D | 29,856 | ||||||||
1,684 | Turkiye Halk Bankasi AS | 12,353 | ||||||||
37,503 | Yapi ve Kredi Bankasi AS | 83,486 | ||||||||
|
| |||||||||
Total Turkey | 1,315,565 | |||||||||
|
| |||||||||
United Kingdom — 7.7% | ||||||||||
887 | Al Noor Hospitals Group Plc | 16,764 | ||||||||
5,821 | Associated British Foods Plc | 276,893 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
74,024 | AstraZeneca Plc | 5,648,653 | ||||||||
113,677 | Aviva Plc | 983,857 | ||||||||
83,680 | BAE Systems Plc | 619,236 | ||||||||
23,529 | BG Group Plc | 469,017 | ||||||||
914,095 | BP Plc | 7,291,791 | ||||||||
569 | British American Tobacco Plc | 33,641 | ||||||||
400 | British American Tobacco Plc Sponsored ADR | 47,368 | ||||||||
35,409 | BT Group Plc | 227,657 | ||||||||
92,268 | Centrica Plc | 489,770 | ||||||||
33,619 | HSBC Holdings Plc | 363,394 | ||||||||
35,367 | Imperial Tobacco Group Plc | 1,543,591 | ||||||||
17,899 | J Sainsbury Plc | 86,423 | ||||||||
51,570 | Kingfisher Plc | 260,339 | ||||||||
69,929 | Marks & Spencer Group Plc | 499,499 | ||||||||
3,237 | Next Plc | 381,424 | ||||||||
7,702 | Pearson Plc | 142,124 | ||||||||
2,602 | Reckitt Benckiser Group Plc | 227,065 | ||||||||
174,693 | Royal Dutch Shell Plc A Shares (London) | 7,070,114 | ||||||||
114,477 | Royal Dutch Shell Plc B Shares (London) | 4,835,395 | ||||||||
47,535 | RSA Insurance Group Plc | 361,587 | ||||||||
8,589 | Scottish & Southern Energy Plc | 216,626 | ||||||||
5,570 | Standard Chartered Plc | 112,271 | ||||||||
266,338 | Tesco Plc | 1,018,060 | ||||||||
72,323 | TUI Travel Plc | 447,442 | ||||||||
1,651 | Unilever Plc | 72,826 | ||||||||
433,549 | Vodafone Group Plc | 1,490,056 | ||||||||
55,655 | WM Morrison Supermarkets Plc | 164,167 | ||||||||
|
| |||||||||
Total United Kingdom | 35,397,050 | |||||||||
|
| |||||||||
United States — 43.8% | ||||||||||
25,300 | 3M Co. | 3,643,200 | ||||||||
53,500 | Abbott Laboratories | 2,259,840 | ||||||||
18,500 | Accenture Plc – Class A | 1,499,610 | ||||||||
1,600 | Akamai Technologies, Inc. * | 96,672 | ||||||||
4,200 | Allergan, Inc. | 687,456 | ||||||||
51,271 | Amazon.com, Inc. * | 17,382,920 | ||||||||
1,700 | Ameriprise Financial, Inc. | 213,792 | ||||||||
3,400 | Ametek, Inc. | 179,996 | ||||||||
14,600 | Amgen, Inc. | 2,034,948 | ||||||||
2,100 | Amphenol Corp. – Class A | 216,321 | ||||||||
5,200 | Analog Devices, Inc. | 265,824 | ||||||||
1,100 | Apache Corp. | 112,013 | ||||||||
60,900 | Apple, Inc. | 6,242,250 | ||||||||
6,000 | Assurant, Inc. | 400,500 | ||||||||
17,300 | Baxter International, Inc. | 1,297,154 | ||||||||
9,400 | Becton, Dickinson and Co. | 1,101,398 | ||||||||
38,200 | Bed Bath & Beyond, Inc. * | 2,454,732 | ||||||||
3,600 | Biogen Idec, Inc. * | 1,234,944 | ||||||||
5,700 | CA, Inc. | 160,968 | ||||||||
3,900 | Cerner Corp. * | 224,874 |
See accompanying notes to the financial statements. | 7 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
41,400 | Chevron Corp. | 5,359,230 | ||||||||
2,900 | Church & Dwight Co., Inc. | 197,896 | ||||||||
9,500 | CH Robinson Worldwide, Inc. | 648,470 | ||||||||
216,400 | Cisco Systems, Inc. | 5,407,836 | ||||||||
4,400 | Citrix Systems, Inc. * | 309,144 | ||||||||
13,600 | Coach, Inc. | 500,888 | ||||||||
121,100 | Coca-Cola Co. (The) | 5,052,292 | ||||||||
21,000 | Cognizant Technology Solutions Corp. – Class A * | 960,330 | ||||||||
26,000 | Colgate-Palmolive Co. | 1,682,980 | ||||||||
12,800 | ConocoPhillips | 1,039,616 | ||||||||
4,900 | Costco Wholesale Corp. | 593,292 | ||||||||
18,743 | Covidien Plc | 1,627,455 | ||||||||
3,800 | CR Bard, Inc. | 564,072 | ||||||||
17,100 | Danaher Corp. | 1,310,031 | ||||||||
2,400 | Dover Corp. | 210,888 | ||||||||
32,200 | eBay, Inc. * | 1,787,100 | ||||||||
1,400 | Edwards Lifesciences Corp. * | 138,964 | ||||||||
17,600 | Eli Lilly & Co. | 1,118,656 | ||||||||
65,000 | EMC Corp. | 1,919,450 | ||||||||
23,600 | Emerson Electric Co. | 1,510,872 | ||||||||
1,300 | Equifax, Inc. | 102,388 | ||||||||
2,200 | Estee Lauder Cos., Inc. (The) – Class A | 169,026 | ||||||||
7,400 | Expeditors International of Washington, Inc. | 305,620 | ||||||||
169,100 | Express Scripts Holding Co. * | 12,501,563 | ||||||||
28,600 | Exxon Mobil Corp. | 2,844,556 | ||||||||
1,400 | F5 Networks, Inc. * | 173,866 | ||||||||
8,100 | Fastenal Co. | 366,768 | ||||||||
100 | General Dynamics Corp. | 12,325 | ||||||||
7,900 | General Mills, Inc. | 421,702 | ||||||||
8,100 | Genuine Parts Co. | 710,694 | ||||||||
8,500 | Google, Inc. – Class A * | 4,950,060 | ||||||||
4,300 | Google, Inc. – Class C * | 2,457,880 | ||||||||
2,100 | Henry Schein, Inc. * | 251,349 | ||||||||
2,300 | Herbalife Ltd. | 117,254 | ||||||||
1,600 | Hershey Co. (The) | 146,272 | ||||||||
25,200 | Hewlett-Packard Co. | 957,600 | ||||||||
12,100 | Hormel Foods Corp. | 613,228 | ||||||||
700 | Hubbell, Inc. – Class B | 84,630 | ||||||||
8,800 | Humana, Inc. | 1,132,912 | ||||||||
4,800 | Illinois Tool Works, Inc. | 423,408 | ||||||||
40,100 | International Business Machines Corp. | 7,711,230 | ||||||||
9,400 | Intuit, Inc. | 781,892 | ||||||||
800 | Intuitive Surgical, Inc. * | 376,008 | ||||||||
71,000 | Johnson & Johnson | 7,364,830 | ||||||||
106,700 | JPMorgan Chase & Co. | 6,343,315 | ||||||||
1,800 | L-3 Communications Holdings, Inc. | 197,910 | ||||||||
3,500 | Linear Technology Corp. | 157,885 | ||||||||
1,800 | Magnachip Semiconductor Corp * | 22,194 | ||||||||
8,800 | Marathon Oil Corp. | 366,872 | ||||||||
10,900 | Mastercard, Inc. – Class A | 826,329 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
7,300 | Mattel, Inc. | 251,777 | ||||||||
19,200 | McDonald’s Corp. | 1,799,424 | ||||||||
9,200 | Medtronic, Inc. | 587,420 | ||||||||
215,900 | Microsoft Corp. | 9,808,337 | ||||||||
9,700 | Monsanto Co. | 1,121,805 | ||||||||
4,400 | Monster Beverage Corp. * | 389,004 | ||||||||
2,000 | Murphy Oil Corp. | 124,940 | ||||||||
300 | NetApp, Inc. | 12,648 | ||||||||
22,000 | Nike, Inc. – Class B | 1,728,100 | ||||||||
1,100 | Occidental Petroleum Corp. | 114,103 | ||||||||
210,700 | Oracle Corp. | 8,750,371 | ||||||||
1,600 | Pall Corp. | 134,992 | ||||||||
13,300 | Paychex, Inc. | 553,945 | ||||||||
26,800 | PepsiCo, Inc. | 2,478,732 | ||||||||
174,200 | Philip Morris International, Inc. | 14,908,036 | ||||||||
1,000 | Polaris Industries, Inc. | 145,380 | ||||||||
2,100 | Precision Castparts Corp. | 512,526 | ||||||||
82,200 | Procter & Gamble Co. (The) | 6,831,642 | ||||||||
52,500 | Qualcomm, Inc. | 3,995,250 | ||||||||
1,300 | Ralph Lauren Corp. | 219,960 | ||||||||
12,100 | Reynolds American, Inc. | 707,487 | ||||||||
2,000 | Rockwell Automation, Inc. | 233,220 | ||||||||
3,400 | Rockwell Collins, Inc. | 261,732 | ||||||||
1,100 | Roper Industries, Inc. | 165,616 | ||||||||
4,300 | Ross Stores, Inc. | 324,306 | ||||||||
5,400 | Sigma-Aldrich Corp. | 561,600 | ||||||||
13,500 | Stryker Corp. | 1,124,685 | ||||||||
4,900 | St Jude Medical, Inc. | 321,391 | ||||||||
20,800 | Sysco Corp. | 786,864 | ||||||||
29,000 | Teradata Corp. * | 1,324,430 | ||||||||
1,600 | Tiffany & Co. | 161,504 | ||||||||
9,200 | TJX Cos., Inc. (The) | 548,412 | ||||||||
4,200 | Total System Services, Inc. | 132,132 | ||||||||
29,815 | UnitedHealth Group, Inc. | 2,584,364 | ||||||||
100 | United Technologies Corp. | 10,798 | ||||||||
8,000 | Unum Group | 290,160 | ||||||||
6,400 | Varian Medical Systems, Inc. * | 544,128 | ||||||||
14,500 | VF Corp. | 929,740 | ||||||||
1,100 | Wabtec Corp. | 91,696 | ||||||||
42,900 | Wal-Mart Stores, Inc. | 3,238,950 | ||||||||
1,400 | Waters Corp. * | 144,802 | ||||||||
9,600 | WellPoint, Inc. | 1,118,496 | ||||||||
53,000 | Wells Fargo & Co. | 2,726,320 | ||||||||
2,400 | WW Grainger, Inc. | 590,880 | ||||||||
5,300 | Xilinx, Inc. | 223,925 | ||||||||
900 | Yum! Brands, Inc. | 65,187 | ||||||||
3,100 | Zimmer Holdings, Inc. | 307,861 | ||||||||
|
| |||||||||
Total United States | 200,529,518 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $383,144,611) | 434,788,672 | |||||||||
|
|
8 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 2.4% | ||||||||||
Brazil — 0.5% | ||||||||||
16,100 | AES Tiete SA | 144,709 | ||||||||
600 | Banco Bradesco SA | 10,947 | ||||||||
14,300 | Banco do Estado do Rio Grande do Sul SA – Class B | 98,698 | ||||||||
5,500 | Bradespar SA | 50,246 | ||||||||
5,000 | Companhia de Transmissao de Energia Eletrica Paulista | 72,839 | ||||||||
33,000 | Companhia Energetica de Minas Gerais Sponsored ADR | 283,470 | ||||||||
5,600 | Companhia Energetica de Sao Paulo – Class B | 79,278 | ||||||||
3,700 | Companhia Paranaense de Energia – Class B | 65,554 | ||||||||
5,200 | Companhia Paranaense de Energia Sponsored ADR | 92,560 | ||||||||
30,600 | Companhia Energetica de Minas Gerais | 261,915 | ||||||||
19,600 | Eletropaulo Metropolitana SA | 90,185 | ||||||||
20,800 | Gerdau SA | 120,423 | ||||||||
3,900 | Gol Linhas Aereas Inteligentes SA * | 24,165 | ||||||||
3,000 | Gol Linhas Aereas Inteligentes SA ADR | 18,450 | ||||||||
1,690 | Itau Unibanco Holding SA | 30,470 | ||||||||
53,884 | Itausa-Investimentos Itau SA | 262,379 | ||||||||
19,200 | Metalurgica Gerdau SA | 136,034 | ||||||||
90,100 | Oi SA | 58,363 | ||||||||
9,200 | Telefonica Brasil SA | 196,658 | ||||||||
13,900 | Telefonica Brasil SA ADR | 297,460 | ||||||||
500 | Tim Participacoes SA ADR | 13,990 | ||||||||
|
| |||||||||
Total Brazil | 2,408,793 | |||||||||
|
| |||||||||
Germany — 1.1% | ||||||||||
17,475 | Porsche Automobil Holding SE | 1,594,845 | ||||||||
14,714 | Volkswagen AG | 3,316,315 | ||||||||
|
| |||||||||
Total Germany | 4,911,160 | |||||||||
|
| |||||||||
Russia — 0.3% | ||||||||||
120,052 | Sberbank * | 178,433 | ||||||||
921,511 | Surgutneftegaz OJSC * | 677,974 | ||||||||
194 | Transneft * | 426,262 | ||||||||
|
| |||||||||
Total Russia | 1,282,669 | |||||||||
|
| |||||||||
South Korea — 0.5% | ||||||||||
1,055 | Hyundai Motor Co | 163,414 | ||||||||
530 | Hyundai Motor Co | 78,440 | ||||||||
2,289 | Samsung Electronics Co Ltd | 2,305,042 | ||||||||
6 | Samsung Electronics Co Ltd GDR (Registered) | 2,985 | ||||||||
|
| |||||||||
Total South Korea | 2,549,881 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $10,806,158) | 11,152,503 | |||||||||
|
|
Shares / Par Value | Description | Value ($) | ||||||||
INVESTMENT FUNDS — 0.5% | ||||||||||
Thailand — 0.0% | ||||||||||
23,500 | TICON Industrial Growth Leasehold Property Fund | 7,650 | ||||||||
41,400 | TRUE Telecommunication Growth Infrastructure Fund | 13,222 | ||||||||
|
| |||||||||
Total Thailand | 20,872 | |||||||||
|
| |||||||||
United States — 0.5% | ||||||||||
105,400 | WisdomTree India Earnings ETF | 2,399,958 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $2,418,450) | 2,420,830 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
France — 0.0% | ||||||||||
32,492 | Peugeot SA Warrants, Expires 04/29/17 * | 68,821 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $81,782) | 68,821 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.2% | ||||||||||
United States — 1.2% | ||||||||||
Affiliated Issuers | ||||||||||
210,185 | GMO U.S. Treasury Fund | 5,254,617 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $5,254,617) | 5,254,617 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||||
Time Deposits — 0.8% | ||||||||||
DKK | 112 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/02/14 | 20 | |||||||
EUR | 726 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 954 | |||||||
HKD | 225,321 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 29,073 | |||||||
JPY | 834,960 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 8,025 | |||||||
SGD | 9,439 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 7,557 | |||||||
NOK | 146,275 | DnB Nor Bank (Oslo) Time Deposit, 0.53%, due 09/02/14 | 23,601 | |||||||
USD | 1,376,383 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 1,376,383 |
See accompanying notes to the financial statements. | 9 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
USD | 1,979,142 | Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 09/02/14 | 1,979,142 | |||||||
|
| |||||||||
Total Time Deposits | 3,424,755 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $3,424,755) | 3,424,755 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $405,130,373) | 457,110,198 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 1,007,602 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $458,117,800 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter | Currency Sold | Currency Purchased | Net Unrealized | ||||||||||||||||||
10/31/2014 | BOA | AUD | 294,111 | USD | 272,431 | $ | (1,112 | ) | ||||||||||||||
10/31/2014 | BNYM | CAD | 339,586 | USD | 309,691 | (2,197 | ) | |||||||||||||||
10/31/2014 | BBH | CHF | 513,107 | USD | 564,437 | 5,207 | ||||||||||||||||
10/31/2014 | BCLY | CHF | 290,223 | USD | 319,149 | 2,839 | ||||||||||||||||
10/31/2014 | BOA | CHF | 300,564 | USD | 330,595 | 3,014 | ||||||||||||||||
10/31/2014 | MSCI | CHF | 510,554 | USD | 561,547 | 5,100 | ||||||||||||||||
10/31/2014 | SSB | CHF | 510,554 | USD | 561,593 | 5,146 | ||||||||||||||||
10/31/2014 | BBH | GBP | 638,261 | USD | 1,075,323 | 16,222 | ||||||||||||||||
10/31/2014 | BCLY | GBP | 742,485 | USD | 1,250,842 | 18,796 | ||||||||||||||||
10/31/2014 | BNYM | GBP | 776,418 | USD | 1,308,160 | 19,807 | ||||||||||||||||
10/31/2014 | BOA | GBP | 776,419 | USD | 1,307,855 | 19,500 | ||||||||||||||||
10/31/2014 | DB | GBP | 7,882,261 | USD | 13,280,427 | 200,963 | ||||||||||||||||
10/31/2014 | MSCI | GBP | 638,261 | USD | 1,075,440 | 16,339 | ||||||||||||||||
10/31/2014 | BCLY | NOK | 10,555,142 | USD | 1,679,172 | (20,230 | ) | |||||||||||||||
10/31/2014 | DB | NOK | 4,122,132 | USD | 654,962 | (8,711 | ) | |||||||||||||||
10/31/2014 | SSB | NOK | 3,546,702 | USD | 563,858 | (7,169 | ) | |||||||||||||||
10/31/2014 | BBH | SEK | 9,348,645 | USD | 1,358,896 | 21,517 | ||||||||||||||||
10/31/2014 | BOA | SEK | 7,985,913 | USD | 1,160,839 | 18,408 | ||||||||||||||||
10/31/2014 | BBH | USD | 1,795,073 | JPY | 184,318,103 | (22,765 | ) | |||||||||||||||
10/31/2014 | BBH | USD | 2,075,493 | SGD | 2,588,872 | (2,861 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 2,417,990 | JPY | 248,258,658 | (30,863 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 786,811 | SGD | 982,208 | (463 | ) |
Settlement Date | Counter | Currency Sold | Currency Purchased | Net Unrealized | ||||||||||||||||||
10/31/2014 | BNYM | USD | 2,929,666 | JPY | 300,875,204 | $ | (36,605 | ) | ||||||||||||||
10/31/2014 | BNYM | USD | 1,736,743 | SGD | 2,167,349 | (1,579 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 3,138,116 | JPY | 322,195,083 | (40,054 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 2,176,319 | SGD | 2,714,425 | (3,171 | ) | |||||||||||||||
10/31/2014 | DB | USD | 944,482 | SGD | 1,179,770 | 33 | ||||||||||||||||
10/31/2014 | MSCI | USD | 2,120,506 | JPY | 217,767,794 | (26,563 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 1,385,581 | SGD | 1,728,928 | (1,414 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 3,927,224 | JPY | 403,172,773 | (50,523 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 96,611 | |||||||||||||||||||||
|
|
Futures Contracts
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
3 | Mini MSCI Emerging Markets | September 2014 | $ | 162,870 | $ | (105 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
10 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 95.2 | % | ||
Preferred Stocks | 2.1 | |||
Short-Term Investments | 1.8 | |||
Mutual Funds | 0.4 | |||
Rights/Warrants | 0.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
France | 19.3 | % | ||
Japan | 18.4 | |||
United Kingdom | 17.8 | |||
Germany | 16.3 | |||
Spain | 5.8 | |||
Italy | 5.7 | |||
Norway | 2.3 | |||
Netherlands | 2.0 | |||
Switzerland | 1.7 | |||
Sweden | 1.6 | |||
Finland | 1.4 | |||
Israel | 1.3 | |||
Australia | 1.1 | |||
Hong Kong | 1.1 | |||
Belgium | 0.8 | |||
Denmark | 0.8 | |||
Singapore | 0.6 | |||
Canada | 0.5 | |||
Austria | 0.4 | |||
Ireland | 0.4 | |||
Portugal | 0.4 | |||
New Zealand | 0.3 | |||
Malta | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Energy | 19.2 | % | ||
Telecommunication Services | 12.3 | |||
Automobiles & Components | 11.5 | |||
Utilities | 11.0 | |||
Capital Goods | 9.0 | |||
Materials | 7.9 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 5.6 | |||
Insurance | 3.5 | |||
Food, Beverage & Tobacco | 3.0 | |||
Technology Hardware & Equipment | 2.9 | |||
Banks | 2.7 | |||
Food & Staples Retailing | 2.5 | |||
Transportation | 1.7 | |||
Retailing | 1.7 | |||
Real Estate | 1.5 | |||
Software & Services | 1.2 | |||
Diversified Financials | 0.9 | |||
Consumer Services | 0.6 | |||
Health Care Equipment & Services | 0.6 | |||
Media | 0.4 | |||
Consumer Durables & Apparel | 0.2 | |||
Commercial & Professional Services | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
11
GMO International Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.2% | ||||||||||
Australia — 1.1% | ||||||||||
22,065,918 | Arrium Ltd | 16,234,791 | ||||||||
1,887,707 | Bank of Queensland Ltd | 22,203,460 | ||||||||
4,442,741 | BlueScope Steel Ltd * | 22,907,634 | ||||||||
6,256,614 | Goodman Fielder Ltd | 3,742,003 | ||||||||
945,865 | Investa Office Fund (REIT) | 3,244,158 | ||||||||
12,212,544 | Mirvac Group (REIT) | 20,954,153 | ||||||||
2,560,268 | Pacific Brands Ltd | 1,266,324 | ||||||||
6,534,569 | Stockland (REIT) | 25,964,905 | ||||||||
6,130,234 | TABCORP Holdings Ltd | 20,558,184 | ||||||||
4,142,557 | Tatts Group Ltd | 12,855,087 | ||||||||
|
| |||||||||
Total Australia | 149,930,699 | |||||||||
|
| |||||||||
Austria — 0.4% | ||||||||||
1,167,625 | Immofinanz AG (Entitlement Shares) * | — | ||||||||
858,108 | OMV AG | 33,135,623 | ||||||||
630,482 | Voestalpine AG | 27,065,702 | ||||||||
|
| |||||||||
Total Austria | 60,201,325 | |||||||||
|
| |||||||||
Belgium — 0.8% | ||||||||||
698,527 | Ageas | 23,445,574 | ||||||||
996,539 | Belgacom SA | 35,524,179 | ||||||||
701,368 | Delhaize Group | 48,846,757 | ||||||||
|
| |||||||||
Total Belgium | 107,816,510 | |||||||||
|
| |||||||||
Canada — 0.5% | ||||||||||
183,700 | Canadian Tire Corp Ltd | 18,976,533 | ||||||||
357,400 | Catamaran Corp * | 16,840,688 | ||||||||
875,900 | First Quantum Minerals Ltd | 19,664,047 | ||||||||
344,300 | Home Capital Group Inc | 17,169,085 | ||||||||
124,600 | RONA Inc | 1,637,574 | ||||||||
|
| |||||||||
Total Canada | 74,287,927 | |||||||||
|
| |||||||||
Denmark — 0.8% | ||||||||||
29,181 | AP Moeller – Maersk A/S | 73,308,184 | ||||||||
231,597 | Carlsberg A/S | 21,174,466 | ||||||||
200,126 | Jyske Bank A/S * | 10,955,980 | ||||||||
|
| |||||||||
Total Denmark | 105,438,630 | |||||||||
|
| |||||||||
Finland — 1.4% | ||||||||||
1,589,400 | Fortum Oyj | 39,928,505 | ||||||||
232,423 | Metso Oyj | 9,130,907 | ||||||||
335,285 | Neste Oil Oyj | 6,557,152 | ||||||||
13,576,034 | Nokia Oyj | 114,017,486 | ||||||||
1,740,171 | UPM–Kymmene Oyj | 26,193,091 | ||||||||
|
| |||||||||
Total Finland | 195,827,141 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
France — 18.7% | ||||||||||
3,028 | Air France – KLM * | 31,716 | ||||||||
500,049 | Alstom SA * | 17,713,313 | ||||||||
3,687,643 | ArcelorMittal | 53,598,782 | ||||||||
1,152,660 | AXA | 28,601,844 | ||||||||
672,954 | BNP Paribas | 45,473,563 | ||||||||
1,214,975 | Bouygues SA | 44,653,626 | ||||||||
1,100,056 | Carrefour SA | 38,176,658 | ||||||||
1,846,481 | Cie de Saint-Gobain | 93,809,729 | ||||||||
906,671 | Cie Generale des Etablissements Michelin – Class B (Registered) | 100,301,867 | ||||||||
481,407 | CNP Assurances | 9,504,404 | ||||||||
2,185,272 | Credit Agricole SA | 32,430,455 | ||||||||
1,012,292 | Electricite de France | 32,909,576 | ||||||||
8,980,040 | GDF Suez | 221,344,593 | ||||||||
144,875 | Lafarge SA | 11,109,502 | ||||||||
13,692,227 | Orange | 207,259,250 | ||||||||
2,272,589 | Peugeot SA * | 31,973,006 | ||||||||
1,039,976 | Renault SA | 81,496,431 | ||||||||
2,752,167 | Sanofi | 301,616,566 | ||||||||
1,108,371 | Schneider Electric SE | 93,766,612 | ||||||||
123,646 | SCOR SE | 3,786,113 | ||||||||
1,012,229 | Societe Generale | 51,340,953 | ||||||||
79,074 | Technicolor * | 607,460 | ||||||||
10,906,596 | Total SA | 719,710,107 | ||||||||
434,262 | Vallourec SA | 19,406,528 | ||||||||
1,796,376 | Veolia Environnement SA | 33,001,275 | ||||||||
2,074,228 | Vinci SA | 135,676,647 | ||||||||
8,084,535 | Vivendi SA | 210,514,355 | ||||||||
|
| |||||||||
Total France | 2,619,814,931 | |||||||||
|
| |||||||||
Germany — 13.8% | ||||||||||
678,205 | Allianz SE (Registered) | 115,819,487 | ||||||||
509,503 | Aurubis AG | 25,061,121 | ||||||||
3,891,623 | BASF SE | 401,201,004 | ||||||||
1,850,763 | Bayerische Motoren Werke AG | 215,997,704 | ||||||||
4,437,197 | Daimler AG (Registered) | 364,003,932 | ||||||||
1,060,076 | Deutsche Lufthansa AG (Registered) | 18,421,760 | ||||||||
1,094,461 | Deutsche Bank AG (Registered) | 37,524,844 | ||||||||
8,535,576 | Deutsche Telekom AG (Registered) | 127,924,048 | ||||||||
209,437 | Duerr AG | 16,169,920 | ||||||||
14,516,204 | E.ON AG | 264,195,783 | ||||||||
241,215 | Freenet AG | 6,463,268 | ||||||||
227,461 | Fresenius Medical Care AG & Co | 16,026,554 | ||||||||
149,075 | Hannover Rueck SE | 12,400,019 | ||||||||
196 | HeidelbergCement AG | 14,837 | ||||||||
911,622 | K+S AG (Registered) | 28,364,646 | ||||||||
845,740 | Kloeckner & Co SE * | 11,582,690 | ||||||||
650,541 | Metro AG * | 22,914,647 | ||||||||
273,403 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 54,892,231 |
12 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
3,710,226 | RWE AG | 145,490,887 | ||||||||
257,154 | Salzgitter AG | 9,617,042 | ||||||||
172,859 | Volkswagen AG | 38,837,858 | ||||||||
|
| |||||||||
Total Germany | 1,932,924,282 | |||||||||
|
| |||||||||
Hong Kong — 1.1% | ||||||||||
806,000 | Cheung Kong Holdings Ltd | 14,703,270 | ||||||||
15,496,790 | Esprit Holdings Ltd | 25,144,903 | ||||||||
691,000 | Hongkong Land Holdings Ltd | 4,734,407 | ||||||||
125,500 | Kerry Properties Ltd | 465,435 | ||||||||
3,200,191 | Link (REIT) | 19,007,147 | ||||||||
2,839,931 | Sun Hung Kai Properties Ltd | 43,113,639 | ||||||||
641,500 | Swire Pacific Ltd | 8,647,542 | ||||||||
1,978,000 | Wharf Holdings Ltd (The) | 15,490,588 | ||||||||
125,000 | Wheelock & Co Ltd | 654,868 | ||||||||
4,359,700 | Yue Yuen Industrial Holdings | 13,482,546 | ||||||||
|
| |||||||||
Total Hong Kong | 145,444,345 | |||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
1,885,294 | CRH Plc | 43,451,675 | ||||||||
758,365 | Smurfit Kappa Group Plc | 17,211,741 | ||||||||
|
| |||||||||
Total Ireland | 60,663,416 | |||||||||
|
| |||||||||
Israel — 1.2% | ||||||||||
1,834,961 | Bank Hapoalim BM | 10,398,615 | ||||||||
6,322,488 | Bank Leumi Le-Israel * | 24,686,839 | ||||||||
1,626,900 | Check Point Software Technologies Ltd * | 115,542,438 | ||||||||
9,824,251 | Israel Discount Bank Ltd – Class A * | 16,509,757 | ||||||||
804,937 | Partner Communications Co Ltd * | 5,804,675 | ||||||||
|
| |||||||||
Total Israel | 172,942,324 | |||||||||
|
| |||||||||
Italy — 5.5% | ||||||||||
18,731,217 | A2A SPA | 20,555,623 | ||||||||
41,125,267 | Enel SPA | 217,827,090 | ||||||||
10,875,690 | ENI SPA | 271,577,247 | ||||||||
510,838 | Exor SPA | 20,344,693 | ||||||||
3,918,677 | Fiat SPA * | 38,324,838 | ||||||||
2,159,481 | Finmeccanica SPA * | 20,250,174 | ||||||||
302,195 | Italcementi SPA | 2,186,353 | ||||||||
4,711,809 | Mediaset SPA * | 19,488,775 | ||||||||
1,891,284 | Mediolanum SPA | 14,085,042 | ||||||||
210,401 | Recordati SPA | 3,427,928 | ||||||||
620,217 | Saipem SPA * | 14,727,788 | ||||||||
78,127,304 | Telecom Italia SPA * | 90,125,974 | ||||||||
42,376,758 | Telecom Italia SPA-Di RISP | 39,023,764 | ||||||||
|
| |||||||||
Total Italy | 771,945,289 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Japan — 17.9% | ||||||||||
51,600 | Adastria Holdings Co Ltd | 1,033,683 | ||||||||
1,945,400 | Aeon Co Ltd | 21,036,509 | ||||||||
362,900 | Aisin Seiki Co Ltd | 13,431,756 | ||||||||
234,000 | Alfresa Holdings Corp | 13,900,158 | ||||||||
80,500 | Aoyama Trading Co Ltd | 1,992,551 | ||||||||
2,609,000 | Asahi Glass Co Ltd | 14,137,378 | ||||||||
2,037,000 | Asahi Kasei Corp | 16,345,777 | ||||||||
86,900 | Asatsu-DK, Inc. | 2,293,185 | ||||||||
413,800 | Brother Industries Ltd | 8,031,469 | ||||||||
1,550,000 | Calsonic Kansei Corp | 8,948,401 | ||||||||
2,385,500 | Canon Inc | 77,847,386 | ||||||||
238,800 | Central Japan Railway Co | 33,482,873 | ||||||||
1,224,600 | Chubu Electric Power Co Inc * | 14,149,634 | ||||||||
8,250,000 | Cosmo Oil Co Ltd | 15,473,593 | ||||||||
389,300 | Daihatsu Motor Co Ltd | 6,684,547 | ||||||||
72,500 | Daiichi Sankyo Co Ltd | 1,282,944 | ||||||||
1,414,000 | Daikyo Inc | 2,709,578 | ||||||||
259,000 | Daito Trust Construction Co Ltd | 32,061,363 | ||||||||
1,039,000 | Denki Kagaku Kogyo K K | 3,520,445 | ||||||||
149,000 | Electric Power Development Co Ltd | 4,881,301 | ||||||||
594,100 | FujiFilm Holdings Corp | 17,938,373 | ||||||||
381,500 | Fuji Oil Co Ltd | 6,271,087 | ||||||||
714,000 | Gunze Ltd | 2,018,498 | ||||||||
960,400 | Hakuhodo DY Holdings Inc | 9,938,481 | ||||||||
1,299,000 | Hanwa Co Ltd | 5,125,117 | ||||||||
760,600 | Haseko Corp | 6,301,898 | ||||||||
251,100 | Hitachi Chemical Co Ltd | 4,674,840 | ||||||||
3,788,200 | Honda Motor Co Ltd | 128,595,182 | ||||||||
513,900 | Idemitsu Kosan Co Ltd | 11,279,273 | ||||||||
3,621,900 | Inpex Corp | 51,927,821 | ||||||||
809,900 | IT Holdings Corp | 14,933,971 | ||||||||
6,276,800 | Itochu Corp | 79,872,063 | ||||||||
6,505,000 | Japan Tobacco, Inc. | 222,884,493 | ||||||||
1,239,600 | JFE Holdings Inc | 25,095,303 | ||||||||
199,800 | JSR Corp | 3,473,687 | ||||||||
7,517,790 | JX Holdings Inc | 38,684,943 | ||||||||
747,800 | K’s Holdings Corp | 20,891,264 | ||||||||
409,000 | Kaneka Corp | 2,420,860 | ||||||||
11,760,000 | Kawasaki Kisen Kaisha Ltd | 28,305,620 | ||||||||
493,600 | KDDI Corp. | 28,522,796 | ||||||||
13,388,000 | Kobe Steel Ltd | 21,779,175 | ||||||||
154,800 | Kohnan Shoji Co Ltd | 1,625,456 | ||||||||
530,700 | Kuraray Co Ltd | 6,611,854 | ||||||||
1,760,500 | Kyocera Corp | 82,458,246 | ||||||||
760,900 | Leopalace21 Corp * | 4,378,661 | ||||||||
6,944,300 | Marubeni Corp | 50,146,501 | ||||||||
1,038,100 | Medipal Holdings Corp | 13,442,934 | ||||||||
6,392,700 | Mitsubishi Chemical Holdings Corp | 31,911,157 | ||||||||
5,457,300 | Mitsubishi Corp | 112,914,799 | ||||||||
3,683,900 | Mitsubishi UFJ Financial Group Inc | 21,232,673 |
See accompanying notes to the financial statements. | 13 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
604,700 | Mitsubishi UFJ Lease & Finance Co Ltd | 3,232,177 | ||||||||
7,244,000 | Mitsui Chemicals Inc | 21,397,909 | ||||||||
8,724,000 | Mitsui Engineering & Shipbuilding Co Ltd | 19,059,848 | ||||||||
6,437,400 | Mitsui & Co Ltd | 105,021,407 | ||||||||
1,616,000 | Mitsui Mining & Smelting Co Ltd | 4,978,774 | ||||||||
5,539,000 | Mitsui OSK Lines Ltd | 20,296,999 | ||||||||
911,500 | Net One Systems Co Ltd | 5,681,204 | ||||||||
284,000 | Nichirei Corp | 1,338,067 | ||||||||
2,952,000 | Nippon Light Metal Co Ltd | 4,717,621 | ||||||||
6,700 | Nippon Paper Industries Co Ltd | 108,151 | ||||||||
957,000 | Nippon Electric Glass Co Ltd | 4,815,230 | ||||||||
1,957,300 | Nippon Telegraph & Telephone Corp | 131,472,485 | ||||||||
7,146,000 | Nippon Yusen Kabushiki Kaisha | 21,035,760 | ||||||||
1,115,100 | Nipro Corp | 9,843,721 | ||||||||
23,470,800 | Nissan Motor Co Ltd | 225,449,389 | ||||||||
1,076,000 | Nisshinbo Holdings Inc | 10,043,477 | ||||||||
177,000 | Nisshin Seifun Group Inc | 2,041,517 | ||||||||
128,200 | NOK Corp | 2,770,567 | ||||||||
971,200 | North Pacific Bank Ltd | 3,939,937 | ||||||||
4,893,600 | NTT Docomo, Inc. | 84,743,263 | ||||||||
128,200 | Okinawa Electric Power Co | 4,172,768 | ||||||||
2,642 | ORIX JREIT Inc (REIT) | 3,535,314 | ||||||||
3,007,000 | Osaka Gas Co Ltd | 12,367,184 | ||||||||
383,000 | Rengo Co Ltd | 1,800,306 | ||||||||
4,297,000 | Resona Holdings Inc | 23,323,113 | ||||||||
1,580,500 | Ricoh Co Ltd | 17,155,576 | ||||||||
451,800 | Round One Corp | 2,940,501 | ||||||||
16,400 | Ryohin Keikaku Co Ltd | 1,842,478 | ||||||||
37,000 | Seino Holdings Co Ltd | 347,180 | ||||||||
815,400 | Sekisui House Ltd | 10,253,119 | ||||||||
103,500 | Shimamura Co Ltd | 9,330,662 | ||||||||
3,277,000 | Showa Denko KK | 4,728,707 | ||||||||
2,216,800 | Showa Shell Sekiyu KK | 23,803,491 | ||||||||
18,703,800 | Sojitz Corp | 30,964,295 | ||||||||
880,000 | Sumitomo Chemical Co Ltd | 3,159,244 | ||||||||
1,389,000 | Sumitomo Heavy Industries Ltd | 7,179,566 | ||||||||
1,987,900 | Sumitomo Mitsui Construction Co Ltd * | 2,429,393 | ||||||||
408,600 | Sumitomo Rubber Industries | 5,843,743 | ||||||||
5,000,300 | Sumitomo Corp | 64,600,175 | ||||||||
117,600 | Sumitomo Forestry Co Ltd | 1,314,057 | ||||||||
1,456,000 | Sumitomo Metal Mining Co Ltd | 22,109,937 | ||||||||
212,200 | Sumitomo Mitsui Financial Group Inc | 8,583,299 | ||||||||
225,300 | Suzuken Co Ltd | 7,506,014 | ||||||||
1,278,900 | Takeda Pharmaceutical Co Ltd | 58,424,978 | ||||||||
69,100 | TDK Corp | 3,445,229 | ||||||||
665,000 | Tokuyama Corp | 2,202,778 | ||||||||
4,789,800 | Tokyo Electric Power Co Inc (The) * | 17,294,142 | ||||||||
954,000 | TonenGeneral Sekiyu KK | 8,701,954 | ||||||||
5,526,000 | Tosoh Corp | 22,882,733 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
1,342,600 | Toyota Tsusho Corp | 35,468,257 | ||||||||
2,977,000 | Ube Industries Ltd | 5,040,681 | ||||||||
2,054,300 | UNY Co Ltd | 11,549,643 | ||||||||
291,600 | West Japan Railway Co | 13,796,521 | ||||||||
7,896,200 | Yamada Denki Co Ltd | 25,367,979 | ||||||||
368,000 | Yokohama Rubber Co Ltd (The) | 3,272,642 | ||||||||
|
| |||||||||
Total Japan | 2,507,626,719 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
15,984,486 | BGP Holdings Plc * | — | ||||||||
|
| |||||||||
Netherlands — 1.9% | ||||||||||
4,510,412 | Aegon NV | 35,666,697 | ||||||||
334,289 | Corbion NV | 5,600,744 | ||||||||
180,853 | Delta Lloyd NV | 4,357,803 | ||||||||
122,938 | Fugro NV | 4,458,267 | ||||||||
273,608 | Heineken NV | 20,830,905 | ||||||||
4,420,878 | ING Groep NV * | 60,843,925 | ||||||||
3,843,495 | Koninklijke Ahold NV | 65,665,056 | ||||||||
1,510,138 | Koninklijke BAM Groep NV | 3,577,990 | ||||||||
166,035 | Koninklijke DSM NV | 11,093,058 | ||||||||
17,250,396 | Koninklijke KPN NV * | 57,582,671 | ||||||||
|
| |||||||||
Total Netherlands | 269,677,116 | |||||||||
|
| |||||||||
New Zealand — 0.3% | ||||||||||
1,698,415 | Chorus Ltd | 2,494,620 | ||||||||
1,889,924 | Fletcher Building Ltd | 14,552,889 | ||||||||
9,982,205 | Spark New Zealand Ltd | 24,502,804 | ||||||||
|
| |||||||||
Total New Zealand | 41,550,313 | |||||||||
|
| |||||||||
Norway — 2.2% | ||||||||||
239,167 | Aker Solutions ASA | 3,637,490 | ||||||||
1,120,878 | DNB ASA | 20,976,498 | ||||||||
83,332 | Fred Olsen Energy ASA | 1,958,022 | ||||||||
1,508,296 | Golden Ocean Group Ltd | 2,485,438 | ||||||||
521,620 | Petroleum Geo-Services ASA | 3,931,576 | ||||||||
6,164,171 | Statoil ASA | 173,396,864 | ||||||||
701,504 | Storebrand ASA * | 3,909,442 | ||||||||
600,319 | Subsea 7 SA | 10,007,362 | ||||||||
1,584,804 | Telenor ASA | 36,404,760 | ||||||||
413,572 | TGS Nopec Geophysical Co ASA | 11,685,199 | ||||||||
866,846 | Yara International ASA | 43,461,986 | ||||||||
|
| |||||||||
Total Norway | 311,854,637 | |||||||||
|
| |||||||||
Portugal — 0.4% | ||||||||||
10,661,458 | EDP-Energias de Portugal SA | 51,657,762 | ||||||||
|
| |||||||||
Singapore — 0.6% | ||||||||||
12,205,000 | Ezra Holdings Ltd | 10,939,102 | ||||||||
65,313,000 | Golden Agri-Resources Ltd | 26,663,004 |
14 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Singapore — continued | ||||||||||
24,317,000 | Noble Group Ltd | 26,435,454 | ||||||||
772,400 | Singapore Technologies Engineering Ltd | 2,262,148 | ||||||||
4,448,000 | Swiber Holdings Ltd | 1,745,754 | ||||||||
18,977,000 | Yangzijiang Shipbuilding Holdings Ltd | 17,694,030 | ||||||||
|
| |||||||||
Total Singapore | 85,739,492 | |||||||||
|
| |||||||||
Spain — 5.7% | ||||||||||
120,368 | Acciona SA * | 9,634,430 | ||||||||
563,186 | ACS Actividades de Construccion y Servicios SA | 23,722,408 | ||||||||
683,421 | Enagas | 22,794,829 | ||||||||
1,864,680 | Gas Natural SDG SA | 57,173,506 | ||||||||
27,677,355 | Iberdrola SA | 203,358,363 | ||||||||
1,232,372 | Indra Sistemas SA | 18,533,322 | ||||||||
1,278,015 | Mapfre SA | 4,793,146 | ||||||||
3,774,836 | Repsol YPF SA | 93,749,114 | ||||||||
22,964,056 | Telefonica SA | 364,319,800 | ||||||||
|
| |||||||||
Total Spain | 798,078,918 | |||||||||
|
| |||||||||
Sweden — 1.6% | ||||||||||
5,340,944 | Ericsson LM – B Shares | 66,556,382 | ||||||||
133,743 | Industrivarden AB – Class C | 2,413,230 | ||||||||
427,845 | Investor AB | 15,889,013 | ||||||||
141,386 | Sandvik AB | 1,765,025 | ||||||||
755,286 | Skanska AB – Class B | 15,630,280 | ||||||||
1,093,974 | Tele2 AB – Class B | 13,626,446 | ||||||||
11,819,851 | TeliaSonera AB | 86,330,352 | ||||||||
1,854,001 | Volvo AB – Class B | 22,166,492 | ||||||||
|
| |||||||||
Total Sweden | 224,377,220 | |||||||||
|
| |||||||||
Switzerland — 1.6% | ||||||||||
620,823 | ABB Ltd (Registered) | 14,120,258 | ||||||||
716,426 | Holcim Ltd (Registered) | 57,021,529 | ||||||||
543,907 | Novartis AG (Registered) | 48,868,121 | ||||||||
47,085 | Swiss Life Holding AG (Registered) | 11,878,506 | ||||||||
34,240 | Swisscom AG (Registered) | 19,891,648 | ||||||||
425,288 | Transocean Ltd | 16,382,862 | ||||||||
189,349 | Zurich Insurance Group AG | 57,164,876 | ||||||||
|
| |||||||||
Total Switzerland | 225,327,800 | |||||||||
|
| |||||||||
United Kingdom — 17.3% | ||||||||||
1,369,108 | Amlin Plc | 10,234,552 | ||||||||
4,658,500 | AstraZeneca Plc | 355,482,648 | ||||||||
3,759,374 | Aviva Plc | 32,536,805 | ||||||||
5,358,938 | BAE Systems Plc | 39,656,394 | ||||||||
6,401,511 | Balfour Beatty Plc | 25,773,587 | ||||||||
1,761,695 | BG Group Plc | 35,116,885 | ||||||||
55,773,875 | BP Plc | 444,911,570 | ||||||||
580,495 | Bunzl Plc | 15,868,962 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
810,351 | Cairn Energy Plc * | 2,417,802 | ||||||||
669,704 | Cape Plc | 3,455,885 | ||||||||
975,771 | Carillion Plc | 5,456,919 | ||||||||
1,225,894 | Catlin Group Ltd | 10,466,828 | ||||||||
11,924,094 | Centrica Plc | 63,294,605 | ||||||||
2,906,636 | Cobham Plc | 14,345,658 | ||||||||
5,130,152 | Debenhams Plc | 5,659,922 | ||||||||
996,829 | Direct Line Insurance Group Plc | 4,947,348 | ||||||||
3,324,251 | Dixons Carphone Plc | 19,059,827 | ||||||||
1,790,870 | Drax Group Plc | 18,658,634 | ||||||||
9,846,457 | FirstGroup Plc * | 20,809,739 | ||||||||
1,645,975 | Friends Life Group Ltd | 8,391,637 | ||||||||
6,796,541 | Glencore Plc | 40,925,079 | ||||||||
177,677 | Halfords Group Plc | 1,407,517 | ||||||||
5,268,592 | Home Retail Group Plc | 16,039,140 | ||||||||
2,384,197 | Imperial Tobacco Group Plc | 104,058,157 | ||||||||
1,591,791 | Inchcape Plc | 17,859,066 | ||||||||
1,560,553 | Intermediate Capital Group Plc | 10,583,719 | ||||||||
143,606 | JD Wetherspoon Plc | 1,776,218 | ||||||||
3,887,588 | J Sainsbury Plc | 18,770,656 | ||||||||
3,551,096 | Kingfisher Plc | 17,926,869 | ||||||||
464,119 | Ladbrokes Plc | 1,027,592 | ||||||||
83,313 | Lancashire Holdings Ltd | 866,526 | ||||||||
19,134,909 | Man Group Plc | 37,644,029 | ||||||||
3,840,434 | Marks & Spencer Group Plc | 27,431,982 | ||||||||
286,055 | Micro Focus International Plc | 4,142,124 | ||||||||
414,054 | Mitie Group Plc | 2,173,711 | ||||||||
292,036 | National Express Group Plc | 1,244,753 | ||||||||
147,191 | Next Plc | 17,343,867 | ||||||||
1,240,975 | Pearson Plc | 22,899,487 | ||||||||
379,321 | Premier Oil Plc | 2,191,938 | ||||||||
9,116,522 | Royal Dutch Shell Plc A Shares (London) | 368,960,692 | ||||||||
5,778,290 | Royal Dutch Shell Plc B Shares (London) | 244,069,256 | ||||||||
1,847,707 | RSA Insurance Group Plc | 14,055,059 | ||||||||
1,614,389 | Scottish & Southern Energy Plc | 40,717,046 | ||||||||
409,543 | Serco Group Plc | 2,115,809 | ||||||||
1,262,068 | Spirit Pub Co Plc | 1,575,938 | ||||||||
2,161,231 | Standard Life Assurance Plc | 13,807,974 | ||||||||
21,597,315 | Tesco Plc | 82,554,380 | ||||||||
10,313,522 | Thomas Cook Group Plc * | 21,396,465 | ||||||||
3,935,466 | TUI Travel Plc | 24,347,606 | ||||||||
29,048,056 | Vodafone Group Plc | 99,834,701 | ||||||||
10,801,644 | WM Morrison Supermarkets Plc | 31,861,964 | ||||||||
|
| |||||||||
Total United Kingdom | 2,428,155,527 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $12,418,836,285) | 13,341,282,323 | |||||||||
|
|
See accompanying notes to the financial statements. | 15 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 2.1% | ||||||||||
Germany — 2.1% | ||||||||||
921,325 | Porsche Automobil Holding SE | 84,084,149 | ||||||||
949,237 | Volkswagen AG | 213,943,765 | ||||||||
|
| |||||||||
Total Germany | 298,027,914 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $319,986,001) | 298,027,914 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.1% | ||||||||||
France — 0.1% | ||||||||||
3,963,111 | Peugeot SA Warrants, Expires 04/29/17 * | 8,394,216 | ||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
298,416 | Sun Hung Kai Properties Ltd Warrants, Expires 04/22/16 * | 735,446 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $4,863,691) | 9,129,662 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.4% | ||||||||||
United States — 0.4% | ||||||||||
Affiliated Issuers | ||||||||||
2,202,960 | GMO U.S. Treasury Fund | 55,074,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $55,074,000) | 55,074,000 | |||||||||
|
|
Par Value | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.8% | ||||||||||
Time Deposits — 0.5% | ||||||||||
AUD | 1,389,832 | Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 1.87%, due 09/02/14 | 1,298,034 | |||||||
USD | 5,784,244 | Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 0.06%, due 09/02/14 | 5,784,244 | |||||||
JPY | 122,182,480 | Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.01%, due 09/02/14 | 1,174,323 | |||||||
EUR | 35,234 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 46,295 | |||||||
GBP | 502,184 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/02/14 | 833,701 | |||||||
NOK | 8,321,837 | DnB Nor Bank (Oslo) Time Deposit, 0.53%, due 09/02/14 | 1,342,676 | |||||||
USD | 68,599,133 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 68,599,133 | |||||||
|
| |||||||||
Total Time Deposits | 79,078,406 | |||||||||
|
| |||||||||
U.S. Government — 1.3% | ||||||||||
72,750,000 | U.S. Treasury Bill, 0.01%, due 12/11/14 (a) | 72,745,926 | ||||||||
105,715,000 | U.S. Treasury Bill, 0.02%, due 10/16/14 (a) | 105,712,826 | ||||||||
|
| |||||||||
Total U.S. Government | 178,458,752 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $257,532,861) | 257,537,158 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.6% (Cost $13,056,292,838) | 13,961,051,057 | |||||||||
Other Assets and Liabilities (net) — 0.4% | 61,937,657 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $14,022,988,714 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BBH | AUD | 12,791,894 | USD | 11,848,236 | $ | (49,097 | ) | ||||||||||||||
10/31/2014 | BCLY | AUD | 22,745,661 | USD | 21,066,001 | (89,015 | ) | |||||||||||||||
10/31/2014 | BNYM | AUD | 17,131,403 | USD | 15,861,281 | (72,092 | ) | |||||||||||||||
10/31/2014 | BOA | AUD | 18,568,825 | USD | 17,200,061 | (70,212 | ) | |||||||||||||||
10/31/2014 | DB | AUD | 18,815,210 | USD | 17,412,536 | (86,892 | ) | |||||||||||||||
10/31/2014 | MSCI | AUD | 8,219,362 | USD | 7,611,783 | (32,784 | ) | |||||||||||||||
10/31/2014 | SSB | AUD | 18,322,376 | USD | 16,966,245 | (74,813 | ) | |||||||||||||||
10/31/2014 | BBH | CAD | 9,838,950 | USD | 8,966,345 | (70,113 | ) | |||||||||||||||
10/31/2014 | BNYM | CAD | 10,403,856 | USD | 9,487,981 | (67,308 | ) |
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BOA | CAD | 13,073,800 | USD | 11,915,897 | $ | (91,568 | ) | ||||||||||||||
10/31/2014 | MSCI | CAD | 15,907,050 | USD | 14,503,045 | (106,582 | ) | |||||||||||||||
10/31/2014 | BBH | CHF | 20,280,436 | USD | 22,309,238 | 205,823 | ||||||||||||||||
10/31/2014 | BCLY | CHF | 31,800,274 | USD | 34,969,777 | 311,022 | ||||||||||||||||
10/31/2014 | BNYM | CHF | 31,580,791 | USD | 34,739,669 | 320,126 | ||||||||||||||||
10/31/2014 | BOA | CHF | 19,917,730 | USD | 21,907,838 | 199,732 | ||||||||||||||||
10/31/2014 | DB | CHF | 19,988,499 | USD | 21,985,678 | 200,442 | ||||||||||||||||
10/31/2014 | JPM | CHF | 19,917,731 | USD | 21,912,418 | 204,311 | ||||||||||||||||
10/31/2014 | MSCI | CHF | 20,179,539 | USD | 22,195,017 | 201,569 |
16 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | SSB | CHF | 32,301,895 | USD | 35,531,065 | $ | 325,599 | |||||||||||||||
10/31/2014 | BBH | GBP | 33,829,285 | USD | 56,994,564 | 859,790 | ||||||||||||||||
10/31/2014 | BCLY | GBP | 33,543,690 | USD | 56,510,048 | 849,177 | ||||||||||||||||
10/31/2014 | BNYM | GBP | 49,190,502 | USD | 82,879,355 | 1,254,877 | ||||||||||||||||
10/31/2014 | BOA | GBP | 52,349,645 | USD | 88,181,407 | 1,314,790 | ||||||||||||||||
10/31/2014 | DB | GBP | 31,188,741 | USD | 52,548,350 | 795,174 | ||||||||||||||||
10/31/2014 | JPM | GBP | 41,527,505 | USD | 69,968,721 | 1,059,871 | ||||||||||||||||
10/31/2014 | MSCI | GBP | 45,849,163 | USD | 77,253,712 | 1,173,700 | ||||||||||||||||
10/31/2014 | SSB | GBP | 28,183,392 | USD | 47,492,482 | 726,245 | ||||||||||||||||
10/31/2014 | BBH | NOK | 61,701,153 | USD | 9,817,646 | (116,379 | ) | |||||||||||||||
10/31/2014 | BOA | NOK | 56,612,438 | USD | 9,005,856 | (108,875 | ) | |||||||||||||||
10/31/2014 | DB | NOK | 145,033,159 | USD | 23,044,181 | (306,486 | ) | |||||||||||||||
10/31/2014 | JPM | NOK | 145,033,160 | USD | 23,074,020 | (276,646 | ) | |||||||||||||||
10/31/2014 | MSCI | NOK | 65,982,918 | USD | 10,494,063 | (129,336 | ) | |||||||||||||||
10/31/2014 | BCLY | NZD | 21,624,484 | USD | 18,240,901 | 257,304 | ||||||||||||||||
10/31/2014 | BOA | NZD | 21,213,762 | USD | 17,908,743 | 266,715 | ||||||||||||||||
10/31/2014 | BBH | SEK | 102,768,784 | USD | 14,938,213 | 236,536 | ||||||||||||||||
10/31/2014 | BCLY | SEK | 126,289,719 | USD | 18,360,272 | 293,787 | ||||||||||||||||
10/31/2014 | BNYM | SEK | 121,786,048 | USD | 17,703,648 | 281,439 | ||||||||||||||||
10/31/2014 | DB | SEK | 123,631,290 | USD | 17,942,802 | 256,621 | ||||||||||||||||
10/31/2014 | JPM | SEK | 101,741,096 | USD | 14,794,485 | 239,824 | ||||||||||||||||
10/31/2014 | SSB | SEK | 103,282,628 | USD | 14,999,143 | 223,957 | ||||||||||||||||
10/31/2014 | BBH | USD | 47,008,619 | JPY | 4,826,845,038 | (596,165 | ) | |||||||||||||||
10/31/2014 | BBH | USD | 26,753,675 | SGD | 33,371,277 | (36,883 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 15,001,229 | CHF | 13,604,720 | (173,601 | ) |
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BCLY | USD | 7,612,110 | EUR | 5,685,389 | $ | (139,005 | ) | ||||||||||||||
10/31/2014 | BCLY | USD | 41,889,372 | JPY | 4,300,844,625 | (534,666 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 56,593,237 | SGD | 70,647,601 | (33,301 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 15,246,291 | CHF | 13,810,853 | (194,001 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 9,317,684 | EUR | 6,959,546 | (169,775 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 71,689,405 | JPY | 7,362,466,082 | (895,725 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 34,369,490 | SGD | 42,891,027 | (31,258 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 21,456,293 | EUR | 16,028,187 | (388,196 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 71,699,283 | JPY | 7,361,472,926 | (915,152 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 53,185,792 | SGD | 66,336,245 | (77,496 | ) | |||||||||||||||
10/31/2014 | DB | USD | 12,509,457 | EUR | 9,348,881 | (220,910 | ) | |||||||||||||||
10/31/2014 | DB | USD | 80,716,920 | JPY | 8,294,268,873 | (963,504 | ) | |||||||||||||||
10/31/2014 | DB | USD | 11,048,261 | NOK | 68,253,949 | (59,221 | ) | |||||||||||||||
10/31/2014 | DB | USD | 22,915,958 | SGD | 28,624,758 | 807 | ||||||||||||||||
10/31/2014 | JPM | USD | 83,056,704 | JPY | 8,528,655,243 | (1,049,550 | ) | |||||||||||||||
10/31/2014 | JPM | USD | 20,563,324 | NOK | 126,757,334 | (155,107 | ) | |||||||||||||||
10/31/2014 | JPM | USD | 15,726,058 | SGD | 19,625,083 | (14,365 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 88,018,688 | JPY | 9,039,182,102 | (1,102,570 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 43,633,813 | SGD | 54,446,272 | (44,539 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 15,299,816 | CHF | 13,810,853 | (247,525 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 77,510,908 | JPY | 7,957,347,359 | (997,156 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 21,533,662 | SGD | 26,877,498 | (15,740 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 1,255,629 | |||||||||||||||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 17 |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 95.6 | % | ||
Preferred Stocks | 2.2 | |||
Mutual Funds | 1.4 | |||
Short-Term Investments | 0.4 | |||
Rights/Warrants | 0.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
France | 19.5 | % | ||
United Kingdom | 18.0 | |||
Japan | 17.9 | |||
Germany | 16.6 | |||
Spain | 6.1 | |||
Italy | 5.4 | |||
Norway | 2.2 | |||
Netherlands | 1.9 | |||
Switzerland | 1.8 | |||
Sweden | 1.7 | |||
Finland | 1.6 | |||
Israel | 1.3 | |||
Australia | 1.2 | |||
Hong Kong | 1.1 | |||
Belgium | 0.8 | |||
Denmark | 0.7 | |||
Singapore | 0.5 | |||
Austria | 0.4 | |||
Ireland | 0.4 | |||
New Zealand | 0.4 | |||
Portugal | 0.4 | |||
Canada | 0.1 | |||
Malta | 0.0 | |||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Energy | 18.4 | % | ||
Telecommunication Services | 12.6 | |||
Automobiles & Components | 11.9 | |||
Utilities | 10.4 | |||
Capital Goods | 8.7 | |||
Materials | 7.5 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 6.2 | |||
Insurance | 3.2 | |||
Food, Beverage & Tobacco | 3.1 | |||
Technology Hardware & Equipment | 3.0 | |||
Banks | 3.0 | |||
Food & Staples Retailing | 2.7 | |||
Retailing | 2.0 | |||
Transportation | 1.9 | |||
Real Estate | 1.8 | |||
Software & Services | 1.1 | |||
Media | 0.6 | |||
Health Care Equipment & Services | 0.5 | |||
Consumer Services | 0.5 | |||
Diversified Financials | 0.4 | |||
Consumer Durables & Apparel | 0.4 | |||
Commercial & Professional Services | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
18
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.6% | ||||||||||
Australia — 1.2% | ||||||||||
3,180,740 | Arrium Ltd | 2,340,200 | ||||||||
610,799 | BlueScope Steel Ltd * | 3,149,398 | ||||||||
33,064 | Flight Centre Travel Group Ltd | 1,449,384 | ||||||||
2,348,220 | Goodman Fielder Ltd | 1,404,441 | ||||||||
391,210 | GPT Group (REIT) | 1,458,566 | ||||||||
501,422 | Investa Office Fund (REIT) | 1,719,793 | ||||||||
179,298 | JB Hi–Fi Ltd | 2,824,225 | ||||||||
1,484,652 | Mirvac Group (REIT) | 2,547,350 | ||||||||
733,673 | Myer Holdings Ltd | 1,659,550 | ||||||||
523,784 | Pacific Brands Ltd | 259,067 | ||||||||
791,918 | Stockland (REIT) | 3,146,661 | ||||||||
719,414 | TABCORP Holdings Ltd | 2,412,607 | ||||||||
|
| |||||||||
Total Australia | 24,371,242 | |||||||||
|
| |||||||||
Austria — 0.4% | ||||||||||
108,916 | OMV AG | 4,205,764 | ||||||||
14,096 | Raiffeisen Bank International AG | 361,978 | ||||||||
91,312 | Voestalpine AG | 3,919,895 | ||||||||
|
| |||||||||
Total Austria | 8,487,637 | |||||||||
|
| |||||||||
Belgium — 0.8% | ||||||||||
98,104 | Ageas | 3,292,793 | ||||||||
145,989 | Belgacom SA | 5,204,151 | ||||||||
107,211 | Delhaize Group | 7,466,707 | ||||||||
|
| |||||||||
Total Belgium | 15,963,651 | |||||||||
|
| |||||||||
Canada — 0.1% | ||||||||||
50,300 | Catamaran Corp * | 2,370,136 | ||||||||
|
| |||||||||
Denmark — 0.7% | ||||||||||
4,465 | AP Moeller – Maersk A/S – Class B | 11,216,923 | ||||||||
26,003 | Carlsberg A/S – Class B | 2,377,404 | ||||||||
|
| |||||||||
Total Denmark | 13,594,327 | |||||||||
|
| |||||||||
Finland — 1.6% | ||||||||||
301,423 | Fortum Oyj | 7,572,273 | ||||||||
67,939 | Neste Oil Oyj | 1,328,680 | ||||||||
2,159,609 | Nokia Oyj | 18,137,343 | ||||||||
321,607 | UPM–Kymmene Oyj | 4,840,835 | ||||||||
|
| |||||||||
Total Finland | 31,879,131 | |||||||||
|
| |||||||||
France — 19.0% | ||||||||||
45,510 | Alstom SA * | 1,612,108 | ||||||||
575,412 | ArcelorMittal | 8,363,440 | ||||||||
161,215 | AXA | 4,000,352 | ||||||||
108,229 | BNP Paribas | 7,313,365 | ||||||||
177,668 | Bouygues SA | 6,529,781 | ||||||||
207,777 | Carrefour SA | 7,210,752 | ||||||||
21,167 | Casino Guichard-Perrachon SA | 2,527,902 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
130,702 | Cie Generale des Etablissements Michelin – Class B | 14,459,109 | ||||||||
27,709 | CNP Assurances | 547,058 | ||||||||
279,970 | Compagnie de Saint-Gobain | 14,223,764 | ||||||||
173,656 | Credit Agricole SA | 2,577,136 | ||||||||
39,819 | Danone SA | 2,780,641 | ||||||||
157,089 | Electricite de France | 5,106,958 | ||||||||
1,265,600 | GDF Suez | 31,195,152 | ||||||||
32,328 | Lafarge SA | 2,479,020 | ||||||||
2,008,556 | Orange | 30,403,514 | ||||||||
174,743 | Peugeot SA * | 2,458,456 | ||||||||
153,787 | Renault SA | 12,051,328 | ||||||||
467,293 | Sanofi | 51,211,758 | ||||||||
188,649 | Schneider Electric SE | 15,959,437 | ||||||||
141,995 | Societe Generale | 7,202,084 | ||||||||
1,494,254 | Total SA | 98,603,607 | ||||||||
12,872 | Valeo SA | 1,556,171 | ||||||||
157,612 | Veolia Environnement SA | 2,895,494 | ||||||||
327,122 | Vinci SA | 21,397,270 | ||||||||
1,191,600 | Vivendi SA | 31,028,242 | ||||||||
|
| |||||||||
Total France | 385,693,899 | |||||||||
|
| |||||||||
Germany — 14.0% | ||||||||||
95,812 | Allianz SE (Registered) | 16,362,157 | ||||||||
68,104 | Aurubis AG | 3,349,858 | ||||||||
592,228 | BASF SE | 61,054,853 | ||||||||
269,287 | Bayerische Motoren Werke AG | 31,427,781 | ||||||||
675,904 | Daimler AG (Registered) | 55,447,552 | ||||||||
155,830 | Deutsche Lufthansa AG (Registered) | 2,707,978 | ||||||||
141,600 | Deutsche Bank AG (Registered) | 4,854,918 | ||||||||
1,358,851 | Deutsche Telekom AG (Registered) | 20,365,318 | ||||||||
50,580 | Duerr AG | 3,905,110 | ||||||||
2,040,769 | E.ON AG | 37,142,118 | ||||||||
41,745 | Fresenius SE & Co KGaA | 2,036,544 | ||||||||
35,827 | Fresenius Medical Care AG & Co | 2,524,316 | ||||||||
7,575 | Hannover Rueck SE | 630,086 | ||||||||
22,338 | HeidelbergCement AG | 1,690,965 | ||||||||
49,036 | K+S AG (Registered) | 1,525,730 | ||||||||
95,184 | Metro AG * | 3,352,760 | ||||||||
34,864 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 6,999,787 | ||||||||
69,657 | ProSiebenSat.1 Media AG (Registered) | 2,793,234 | ||||||||
530,231 | RWE AG | 20,792,205 | ||||||||
25,519 | Volkswagen AG | 5,733,594 | ||||||||
|
| |||||||||
Total Germany | 284,696,864 | |||||||||
|
| |||||||||
Hong Kong — 1.1% | ||||||||||
111,000 | Cheung Kong Holdings Ltd | 2,024,892 | ||||||||
1,800,000 | Esprit Holdings Ltd | 2,920,658 | ||||||||
84,000 | Henderson Land Development Co Ltd | 556,693 | ||||||||
165,000 | Hongkong Land Holdings Ltd | 1,130,502 |
See accompanying notes to the financial statements. | 19 |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
146,000 | Link (REIT) | 867,149 | ||||||||
96,000 | Sino Land | 168,873 | ||||||||
311,392 | Sun Hung Kai Properties Ltd | 4,727,313 | ||||||||
261,000 | Swire Pacific Ltd | 3,518,330 | ||||||||
243,000 | Wharf Holdings Ltd (The) | 1,903,040 | ||||||||
15,000 | Wheelock & Co Ltd | 78,584 | ||||||||
3,486,000 | Xinyi Glass Holdings Ltd | 2,198,803 | ||||||||
471,500 | Yue Yuen Industrial Holdings | 1,458,133 | ||||||||
|
| |||||||||
Total Hong Kong | 21,552,970 | |||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
324,219 | CRH Plc | 7,472,500 | ||||||||
|
| |||||||||
Israel — 1.3% | ||||||||||
86,957 | Africa Israel Investments Ltd * | 144,184 | ||||||||
1,235,693 | Bezeq Israeli Telecommunication Corp Ltd | 2,331,869 | ||||||||
256,300 | Check Point Software Technologies Ltd * | 18,202,426 | ||||||||
192,256 | Partner Communications Co Ltd * | 1,386,424 | ||||||||
66,028 | Teva Pharmaceutical Industries Ltd | 3,466,936 | ||||||||
|
| |||||||||
Total Israel | 25,531,839 | |||||||||
|
| |||||||||
Italy — 5.2% | ||||||||||
1,319,857 | A2A SPA | 1,448,410 | ||||||||
47,499 | Azimut Holding SPA | 1,237,785 | ||||||||
76,591 | Banco Popolare Scarl * | 1,198,294 | ||||||||
6,063,772 | Enel SPA | 32,117,817 | ||||||||
1,494,471 | ENI SPA | 37,318,489 | ||||||||
582,680 | Fiat SPA * | 5,698,637 | ||||||||
251,815 | Finmeccanica SPA * | 2,361,353 | ||||||||
555,228 | Mediaset SPA * | 2,296,510 | ||||||||
190,176 | Mediolanum SPA | 1,416,306 | ||||||||
36,072 | Recordati SPA | 587,698 | ||||||||
53,995 | Saipem SPA * | 1,282,175 | ||||||||
11,209,659 | Telecom Italia SPA * | 12,931,221 | ||||||||
6,546,504 | Telecom Italia SPA-Di RISP | 6,028,522 | ||||||||
|
| |||||||||
Total Italy | 105,923,217 | |||||||||
|
| |||||||||
Japan — 17.5% | ||||||||||
10,520 | Adastria Holdings Co Ltd | 210,743 | ||||||||
201,800 | Aeon Co Ltd | 2,182,157 | ||||||||
58,700 | Aisin Seiki Co Ltd | 2,172,621 | ||||||||
4,000 | Alfresa Holdings Corp | 237,610 | ||||||||
358,000 | Asahi Glass Co Ltd | 1,939,893 | ||||||||
323,000 | Asahi Kasei Corp | 2,591,893 | ||||||||
16,800 | Bridgestone Corp | 577,010 | ||||||||
23,800 | Brother Industries Ltd | 461,936 | ||||||||
367,000 | Canon Inc | 11,976,521 | ||||||||
38,400 | Central Japan Railway Co | 5,384,181 | ||||||||
168,400 | Chubu Electric Power Co Inc * | 1,945,777 | ||||||||
57,000 | Daido Steel Co Ltd | 250,579 | ||||||||
79,700 | Daiei Inc * | 100,407 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
54,400 | Daihatsu Motor Co Ltd | 934,085 | ||||||||
46,100 | Daiichi Sankyo Co Ltd | 815,775 | ||||||||
191,000 | Daikyo Inc | 366,004 | ||||||||
31,601 | Daito Trust Construction Co Ltd | 3,911,858 | ||||||||
52,000 | Dai Nippon Printing Co Ltd | 545,856 | ||||||||
73,000 | Denki Kagaku Kogyo K K | 247,346 | ||||||||
8,400 | East Japan Railway Co | 653,041 | ||||||||
16,800 | Electric Power Development Co Ltd | 550,375 | ||||||||
105,400 | FujiFilm Holdings Corp | 3,182,468 | ||||||||
124,000 | Gunze Ltd | 350,552 | ||||||||
187,600 | Hakuhodo DY Holdings Inc | 1,941,336 | ||||||||
593,374 | Haseko Corp | 4,916,359 | ||||||||
24,700 | Hitachi Chemical Co Ltd | 459,851 | ||||||||
535,600 | Honda Motor Co Ltd | 18,181,611 | ||||||||
34,600 | Idemitsu Kosan Co Ltd | 759,414 | ||||||||
465,700 | Inpex Corp | 6,676,823 | ||||||||
96,000 | Isuzu Motors Ltd | 664,386 | ||||||||
896,900 | Itochu Corp | 11,413,022 | ||||||||
9,300 | Japan Airlines Co Ltd | 523,031 | ||||||||
5,100 | Japan Petroleum Exploration Co | 198,671 | ||||||||
958,200 | Japan Tobacco, Inc. | 32,831,348 | ||||||||
160,100 | JFE Holdings Inc | 3,241,173 | ||||||||
18,000 | JSR Corp | 312,945 | ||||||||
1,289,030 | JX Holdings Inc | 6,633,073 | ||||||||
120,920 | K’s Holdings Corp | 3,378,138 | ||||||||
120,380 | Kakaku.com Inc | 1,889,228 | ||||||||
31,000 | Kaneka Corp | 183,488 | ||||||||
62,700 | Kansai Electric Power Co Inc (The) * | 573,752 | ||||||||
1,669,000 | Kawasaki Kisen Kaisha Ltd | 4,017,184 | ||||||||
56,908 | KDDI Corp. | 3,288,443 | ||||||||
478,000 | Kobe Steel Ltd | 777,595 | ||||||||
38,484 | Kohnan Shoji Co Ltd | 404,096 | ||||||||
43,500 | Komatsu Ltd | 981,840 | ||||||||
28,700 | Kuraray Co Ltd | 357,566 | ||||||||
13,900 | Kurita Water Industries Ltd | 312,155 | ||||||||
171,500 | Kyocera Corp | 8,032,712 | ||||||||
615,000 | Leopalace21 Corp * | 3,539,068 | ||||||||
995,600 | Marubeni Corp | 7,189,473 | ||||||||
143,494 | Medipal Holdings Corp | 1,858,184 | ||||||||
37,400 | Mitsubishi Tanabe Pharma Corp | 572,671 | ||||||||
799,600 | Mitsubishi Chemical Holdings Corp | 3,991,453 | ||||||||
788,600 | Mitsubishi Corp | 16,316,605 | ||||||||
1,411,700 | Mitsubishi UFJ Financial Group Inc | 8,136,530 | ||||||||
59,000 | Mitsui Chemicals Inc | 174,279 | ||||||||
921,800 | Mitsui & Co Ltd | 15,038,483 | ||||||||
231,000 | Mitsui Mining & Smelting Co Ltd | 711,694 | ||||||||
623,866 | Mitsui OSK Lines Ltd | 2,286,082 | ||||||||
34,500 | NHK Spring Co Ltd | 330,361 | ||||||||
473,700 | Nippon Light Metal Co Ltd | 757,025 | ||||||||
147,600 | Nippon Paper Industries Co Ltd | 2,382,546 | ||||||||
62,000 | Nippon Electric Glass Co Ltd | 311,958 |
20 | See accompanying notes to the financial statements. |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
392,000 | Nippon Steel Corp | 1,110,147 | ||||||||
273,900 | Nippon Telegraph & Telephone Corp | 18,397,953 | ||||||||
935,000 | Nippon Yusen Kabushiki Kaisha | 2,752,370 | ||||||||
123,308 | Nipro Corp | 1,088,521 | ||||||||
130,000 | Nishi-Nippon City Bank Ltd (The) | 340,350 | ||||||||
3,688,100 | Nissan Motor Co Ltd | 35,426,142 | ||||||||
15,400 | Nisshin Seifun Group Inc | 177,623 | ||||||||
60,200 | Nitori Holdings Co Ltd | 3,613,328 | ||||||||
13,700 | NOK Corp | 296,075 | ||||||||
118,397 | North Pacific Bank Ltd | 480,310 | ||||||||
685,900 | NTT Docomo, Inc. | 11,877,841 | ||||||||
479,000 | Osaka Gas Co Ltd | 1,970,030 | ||||||||
450,300 | Resona Holdings Inc | 2,444,123 | ||||||||
236,500 | Ricoh Co Ltd | 2,567,095 | ||||||||
82,000 | Round One Corp | 533,690 | ||||||||
24,500 | Ryohin Keikaku Co Ltd | 2,752,482 | ||||||||
141,800 | Sekisui House Ltd | 1,783,042 | ||||||||
4,100 | Shimamura Co Ltd | 369,620 | ||||||||
420,000 | Showa Denko KK | 606,060 | ||||||||
13,300 | Showa Shell Sekiyu KK | 142,812 | ||||||||
1,935,700 | Sojitz Corp | 3,204,567 | ||||||||
185,000 | Sumitomo Chemical Co Ltd | 664,159 | ||||||||
57,000 | Sumitomo Heavy Industries Ltd | 294,626 | ||||||||
257,400 | Sumitomo Mitsui Construction Co Ltd * | 314,566 | ||||||||
11,100 | Sumitomo Rubber Industries | 158,751 | ||||||||
697,200 | Sumitomo Corp | 9,007,308 | ||||||||
211,000 | Sumitomo Metal Mining Co Ltd | 3,204,119 | ||||||||
121,400 | Sumitomo Mitsui Financial Group Inc | 4,910,521 | ||||||||
18,500 | Suzuken Co Ltd | 616,339 | ||||||||
216,200 | Takeda Pharmaceutical Co Ltd | 9,876,832 | ||||||||
10,400 | TDK Corp | 518,529 | ||||||||
596,000 | Tokyo Electric Power Co Inc (The) * | 2,151,929 | ||||||||
161,000 | TonenGeneral Sekiyu KK | 1,468,569 | ||||||||
57,000 | Toppan Printing Co Ltd | 418,942 | ||||||||
280,000 | Tosoh Corp | 1,159,458 | ||||||||
202,900 | Toyota Tsusho Corp | 5,360,129 | ||||||||
161,000 | Ube Industries Ltd | 272,607 | ||||||||
44,600 | West Japan Railway Co | 2,110,167 | ||||||||
818,500 | Yamada Denki Co Ltd | 2,629,580 | ||||||||
31,000 | Yokohama Rubber Co Ltd (The) | 275,685 | ||||||||
|
| |||||||||
Total Japan | 355,481,337 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
15,998,662 | BGP Holdings Plc * | — | ||||||||
|
| |||||||||
Netherlands — 1.9% | ||||||||||
423,225 | Aegon NV | 3,346,709 | ||||||||
6,448 | Corbion NV | 108,031 | ||||||||
58,584 | Delta Lloyd NV | 1,411,630 | ||||||||
1,425 | Fugro NV | 51,677 | ||||||||
52,014 | Heineken NV | 3,960,040 |
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
48,581 | ING Groep NV * | 668,613 | ||||||||
584,756 | Koninklijke Ahold NV | 9,990,396 | ||||||||
34,856 | Koninklijke DSM NV | 2,328,784 | ||||||||
2,819,526 | Koninklijke KPN NV * | 9,411,717 | ||||||||
783,970 | PostNL NV * | 3,931,418 | ||||||||
934,497 | SNS REAAL NV * (a) | — | ||||||||
32,139 | Wereldhave NV (REIT) | 2,959,997 | ||||||||
|
| |||||||||
Total Netherlands | 38,169,012 | |||||||||
|
| |||||||||
New Zealand — 0.3% | ||||||||||
383,307 | Chorus Ltd | 562,998 | ||||||||
429,317 | Fletcher Building Ltd | 3,305,849 | ||||||||
1,147,891 | Spark New Zealand Ltd | 2,817,669 | ||||||||
|
| |||||||||
Total New Zealand | 6,686,516 | |||||||||
|
| |||||||||
Norway — 2.2% | ||||||||||
847 | Aker Solutions ASA | 12,882 | ||||||||
52,391 | DNB ASA | 980,463 | ||||||||
5,784 | Fred Olsen Energy ASA | 135,905 | ||||||||
8,701 | Petroleum Geo-Services ASA | 65,581 | ||||||||
846,951 | Statoil ASA | 23,824,558 | ||||||||
103,003 | Storebrand ASA * | 574,030 | ||||||||
90,391 | Subsea 7 SA | 1,506,825 | ||||||||
271,602 | Telenor ASA | 6,239,008 | ||||||||
96,953 | TGS Nopec Geophysical Co ASA | 2,739,342 | ||||||||
162,385 | Yara International ASA | 8,141,670 | ||||||||
|
| |||||||||
Total Norway | 44,220,264 | |||||||||
|
| |||||||||
Portugal — 0.4% | ||||||||||
1,575,181 | EDP-Energias de Portugal SA | 7,632,195 | ||||||||
370,759 | Portugal Telecom SGPS SA | 778,871 | ||||||||
|
| |||||||||
Total Portugal | 8,411,066 | |||||||||
|
| |||||||||
Singapore — 0.5% | ||||||||||
464,600 | Ezion Holdings Ltd | 818,108 | ||||||||
1,183,000 | Ezra Holdings Ltd | 1,060,300 | ||||||||
9,201,000 | Golden Agri-Resources Ltd | 3,756,163 | ||||||||
2,281,000 | Noble Group Ltd | 2,479,717 | ||||||||
1,490,000 | Yangzijiang Shipbuilding Holdings Ltd | 1,389,266 | ||||||||
|
| |||||||||
Total Singapore | 9,503,554 | |||||||||
|
| |||||||||
Spain — 5.9% | ||||||||||
108,096 | ACS Actividades de Construccion y Servicios SA | 4,553,198 | ||||||||
507,693 | Banco Santander SA | 5,058,177 | ||||||||
260,990 | Distribuidora Internacional de Alimentacion SA | 2,195,548 | ||||||||
58,873 | Enagas | 1,963,650 | ||||||||
275,990 | Gas Natural SDG SA | 8,462,211 | ||||||||
4,164,986 | Iberdrola SA | 30,602,084 | ||||||||
126,710 | Mapfre SA | 475,221 |
See accompanying notes to the financial statements. | 21 |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
491,118 | Repsol YPF SA | 12,197,054 | ||||||||
3,435,199 | Telefonica SA | 54,498,692 | ||||||||
|
| |||||||||
Total Spain | 120,005,835 | |||||||||
|
| |||||||||
Sweden — 1.7% | ||||||||||
1,010,780 | Ericsson LM – Class B | 12,595,874 | ||||||||
11,614 | Industrivarden AB – Class C | 209,561 | ||||||||
42,336 | Investor AB | 1,572,245 | ||||||||
54,907 | NCC AB – Class B | 1,751,682 | ||||||||
186,667 | Sandvik AB | 2,330,301 | ||||||||
1,632,660 | TeliaSonera AB | 11,924,694 | ||||||||
330,346 | Volvo AB – Class B | 3,949,627 | ||||||||
|
| |||||||||
Total Sweden | 34,333,984 | |||||||||
|
| |||||||||
Switzerland — 1.8% | ||||||||||
349,797 | ABB Ltd (Registered) | 7,955,929 | ||||||||
109,966 | Holcim Ltd (Registered) | 8,752,376 | ||||||||
57,661 | Novartis AG (Registered) | 5,180,637 | ||||||||
12,576 | Swiss Re AG | 1,031,108 | ||||||||
5,539 | Swisscom AG (Registered) | 3,217,869 | ||||||||
38,924 | Transocean Ltd | 1,499,423 | ||||||||
28,607 | Zurich Insurance Group AG | 8,636,516 | ||||||||
|
| |||||||||
Total Switzerland | 36,273,858 | |||||||||
|
| |||||||||
United Kingdom — 17.6% | ||||||||||
19,723 | Admiral Group Plc | 437,671 | ||||||||
670,730 | AstraZeneca Plc | 51,182,328 | ||||||||
530,112 | Aviva Plc | 4,588,038 | ||||||||
1,113,242 | BAE Systems Plc | 8,238,043 | ||||||||
1,444,287 | Barclays Plc | 5,386,946 | ||||||||
320,845 | BG Group Plc | 6,395,589 | ||||||||
8,169,916 | BP Plc | 65,171,913 | ||||||||
122,538 | Bunzl Plc | 3,349,815 | ||||||||
1,243,993 | Centrica Plc | 6,603,273 | ||||||||
183,828 | Direct Line Insurance Group Plc | 912,354 | ||||||||
788,491 | Dixons Carphone Plc | 4,520,869 | ||||||||
286,753 | Drax Group Plc | 2,987,609 | ||||||||
81,985 | easyJet Plc | 1,817,665 | ||||||||
280,478 | Friends Life Group Ltd | 1,429,955 | ||||||||
471,611 | Glencore Plc | 2,839,785 | ||||||||
689,193 | Home Retail Group Plc | 2,098,106 | ||||||||
1,006,298 | HSBC Holdings Plc | 10,877,268 | ||||||||
322,879 | Imperial Tobacco Group Plc | 14,092,037 | ||||||||
705,143 | ITV Plc | 2,472,252 | ||||||||
440,789 | J Sainsbury Plc | 2,128,286 | ||||||||
389,773 | Kingfisher Plc | 1,967,677 | ||||||||
117,494 | Lancashire Holdings Ltd | 1,222,037 | ||||||||
214,127 | Legal & General Group Plc | 859,876 | ||||||||
403,089 | Marks & Spencer Group Plc | 2,879,240 | ||||||||
35,822 | Next Plc | 4,220,992 | ||||||||
223,115 | Old Mutual Plc | 737,513 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
138,396 | Pearson Plc | 2,553,796 | ||||||||
128,650 | Playtech Ltd | 1,537,644 | ||||||||
1,357,584 | Royal Dutch Shell Plc A Shares (London) | 54,943,665 | ||||||||
871,897 | Royal Dutch Shell Plc B Shares (London) | 36,828,067 | ||||||||
184,653 | RSA Insurance Group Plc | 1,404,611 | ||||||||
90,341 | Sage Group Plc (The) | 590,860 | ||||||||
132,206 | Scottish & Southern Energy Plc | 3,334,412 | ||||||||
67,552 | Spectris Plc | 2,186,151 | ||||||||
484,516 | Standard Life Assurance Plc | 3,095,543 | ||||||||
100,597 | Standard Chartered Plc | 2,027,674 | ||||||||
3,264,964 | Tesco Plc | 12,480,120 | ||||||||
1,095,943 | Thomas Cook Group Plc * | 2,273,647 | ||||||||
16,986 | Trinity Mirror Plc * | 58,140 | ||||||||
4,727,706 | Vodafone Group Plc | 16,248,561 | ||||||||
109,568 | WH Smith Plc | 2,101,539 | ||||||||
388,823 | William Hill Plc | 2,261,171 | ||||||||
1,137,074 | WM Morrison Supermarkets Plc | 3,354,065 | ||||||||
|
| |||||||||
Total United Kingdom | 356,696,803 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,797,334,770) | 1,937,319,642 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 2.2% | ||||||||||
Germany — 2.2% | ||||||||||
149,170 | Porsche Automobil Holding SE | 13,613,907 | ||||||||
139,472 | Volkswagen AG | 31,434,894 | ||||||||
|
| |||||||||
Total Germany | 45,048,801 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $48,186,705) | 45,048,801 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.1% | ||||||||||
France — 0.1% | ||||||||||
422,320 | Peugeot SA Warrants, Expires 04/29/17 * | 894,511 | ||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
47,583 | Sun Hung Kai Properties Ltd Warrants, Expires 04/22/16 * | 117,268 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $344,045) | 1,011,779 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.4% | ||||||||||
United States — 1.4% | ||||||||||
Affiliated Issuers | ||||||||||
1,141,440 | GMO U.S. Treasury Fund | 28,536,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $28,536,000) | 28,536,000 | |||||||||
|
|
22 | See accompanying notes to the financial statements. |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||||
Time Deposits — 0.4% | ||||||||||
AUD | 200,759 | Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 1.87%, due 09/02/14 | 187,499 | |||||||
JPY | 16,699,200 | Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.01%, due 09/02/14 | 160,500 | |||||||
DKK | 110 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/02/14 | 19 | |||||||
EUR | 6,729 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 8,846 | |||||||
NOK | 1,143,402 | DnB Nor Bank (Oslo) Time Deposit, 0.53%, due 09/02/14 | 184,481 |
Par Value | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
USD | 8,292,224 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 8,292,224 | |||||||
|
| |||||||||
Total Time Deposits | 8,833,569 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $8,833,569) | 8,833,569 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $1,883,235,089) | 2,020,749,791 | |||||||||
Other Assets and Liabilities (net) — 0.3% | 6,524,632 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,027,274,423 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/31/2014 | BBH | AUD | 1,595,284 | USD | 1,477,600 | $ | (6,123 | ) | ||||||||||||||
10/31/2014 | BCLY | AUD | 4,417,486 | USD | 4,091,275 | (17,288 | ) | |||||||||||||||
10/31/2014 | BNYM | AUD | 3,940,801 | USD | 3,648,630 | (16,584 | ) | |||||||||||||||
10/31/2014 | BOA | AUD | 1,780,548 | USD | 1,649,298 | (6,733 | ) | |||||||||||||||
10/31/2014 | DB | AUD | 2,157,784 | USD | 1,996,921 | (9,965 | ) | |||||||||||||||
10/31/2014 | MSCI | AUD | 4,276,850 | USD | 3,960,704 | (17,059 | ) | |||||||||||||||
10/31/2014 | SSB | AUD | 4,682,251 | USD | 4,335,694 | (19,118 | ) | |||||||||||||||
10/31/2014 | BBH | CAD | 1,518,699 | USD | 1,384,007 | (10,822 | ) | |||||||||||||||
10/31/2014 | JPM | CAD | 1,476,607 | USD | 1,346,807 | (9,364 | ) | |||||||||||||||
10/31/2014 | BBH | CHF | 3,915,688 | USD | 4,307,403 | 39,740 | ||||||||||||||||
10/31/2014 | BCLY | CHF | 6,274,948 | USD | 6,900,366 | 61,372 | ||||||||||||||||
10/31/2014 | BNYM | CHF | 3,959,649 | USD | 4,355,714 | 40,138 | ||||||||||||||||
10/31/2014 | BOA | CHF | 4,331,100 | USD | 4,763,848 | 43,432 | ||||||||||||||||
10/31/2014 | DB | CHF | 3,939,950 | USD | 4,333,616 | 39,509 | ||||||||||||||||
10/31/2014 | MSCI | CHF | 2,945,194 | USD | 3,239,352 | 29,419 | ||||||||||||||||
10/31/2014 | SSB | CHF | 3,959,649 | USD | 4,355,489 | 39,913 | ||||||||||||||||
10/31/2014 | BBH | GBP | 3,130,740 | USD | 5,274,577 | 79,570 | ||||||||||||||||
10/31/2014 | BCLY | GBP | 5,675,839 | USD | 9,561,916 | 143,687 | ||||||||||||||||
10/31/2014 | BNYM | GBP | 6,081,215 | USD | 10,246,026 | 155,135 | ||||||||||||||||
10/31/2014 | BOA | GBP | 11,855,409 | USD | 19,970,081 | 297,755 | ||||||||||||||||
10/31/2014 | DB | GBP | 7,452,270 | USD | 12,555,957 | 190,000 | ||||||||||||||||
10/31/2014 | MSCI | GBP | 9,155,571 | USD | 15,426,712 | 234,375 | ||||||||||||||||
10/31/2014 | SSB | GBP | 3,536,741 | USD | 5,959,844 | 91,137 | ||||||||||||||||
10/31/2014 | MSCI | JPY | 477,594,298 | USD | 4,669,650 | 77,349 | ||||||||||||||||
10/31/2014 | BCLY | NOK | 6,672,596 | USD | 1,061,515 | (12,788 | ) | |||||||||||||||
10/31/2014 | BOA | NOK | 23,401,951 | USD | 3,722,761 | (45,006 | ) | |||||||||||||||
10/31/2014 | JPM | NOK | 33,844,217 | USD | 5,384,439 | (64,557 | ) | |||||||||||||||
10/31/2014 | SSB | NOK | 6,672,595 | USD | 1,060,815 | (13,488 | ) | |||||||||||||||
10/31/2014 | BOA | NZD | 5,421,795 | USD | 4,577,101 | 68,167 |
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
10/31/2014 | BBH | SEK | 15,818,577 | USD | 2,299,349 | $ | 36,409 | |||||||||||||||
10/31/2014 | BNYM | SEK | 16,203,938 | USD | 2,355,515 | 37,446 | ||||||||||||||||
10/31/2014 | BOA | SEK | 21,031,697 | USD | 3,057,186 | 48,478 | ||||||||||||||||
10/31/2014 | DB | SEK | 16,449,451 | USD | 2,387,335 | 34,144 | ||||||||||||||||
10/31/2014 | JPM | SEK | 15,660,391 | USD | 2,277,226 | 36,915 | ||||||||||||||||
10/31/2014 | SSB | SEK | 15,897,669 | USD | 2,308,727 | 34,472 | ||||||||||||||||
10/31/2014 | BBH | USD | 1,852,633 | EUR | 1,383,770 | (33,750 | ) | |||||||||||||||
10/31/2014 | BBH | USD | 4,410,850 | JPY | 452,906,128 | (55,938 | ) | |||||||||||||||
10/31/2014 | BBH | USD | 2,059,726 | SGD | 2,569,206 | (2,840 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 4,515,284 | CHF | 4,094,943 | (52,253 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 1,249,748 | EUR | 933,421 | (22,822 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 13,408,103 | JPY | 1,376,630,026 | (171,138 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 10,576,784 | SGD | 13,203,422 | (6,224 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 14,997,869 | JPY | 1,540,273,619 | (187,391 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 1,852,396 | EUR | 1,383,769 | (33,514 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 12,112,142 | JPY | 1,243,571,823 | (154,596 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 7,374,543 | SGD | 9,197,936 | (10,745 | ) | |||||||||||||||
10/31/2014 | DB | USD | 2,578,431 | EUR | 1,926,978 | (45,534 | ) | |||||||||||||||
10/31/2014 | DB | USD | 10,371,546 | JPY | 1,065,754,182 | (123,803 | ) | |||||||||||||||
10/31/2014 | DB | USD | 2,691,623 | SGD | 3,362,157 | 95 | ||||||||||||||||
10/31/2014 | JPM | USD | 13,644,312 | JPY | 1,401,062,443 | (172,417 | ) | |||||||||||||||
10/31/2014 | JPM | USD | 4,805,616 | NOK | 29,666,028 | (29,318 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 8,081,582 | JPY | 829,947,512 | (101,234 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 5,443,673 | SGD | 6,792,615 | (5,557 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 6,340,261 | JPY | 650,897,522 | (81,566 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 10,597,281 | SGD | 13,227,124 | (7,746 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 311,376 | |||||||||||||||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 23 |
GMO International Small Companies Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 96.4 | % | ||
Short-Term Investments | 1.7 | |||
Preferred Stocks | 1.5 | |||
Mutual Funds | 1.2 | |||
Rights/Warrants | 0.2 | |||
Other | (1.0 | ) | ||
Forward Currency Contracts | (0.0 | )^ | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
Japan | 22.1 | % | ||
United Kingdom | 20.2 | |||
France | 10.4 | |||
Germany | 8.4 | |||
Italy | 5.6 | |||
Spain | 4.2 | |||
Netherlands | 3.9 | |||
Sweden | 3.9 | |||
Switzerland | 2.4 | |||
South Korea | 1.8 | |||
Brazil | 1.5 | |||
Canada | 1.4 | |||
China | 1.2 | |||
Taiwan | 1.2 | |||
Belgium | 1.1 | |||
Hong Kong | 1.1 | |||
Norway | 1.1 | |||
Denmark | 0.9 | |||
Finland | 0.9 | |||
Russia | 0.9 | |||
Australia | 0.8 | |||
India | 0.7 | |||
Singapore | 0.7 | |||
South Africa | 0.6 | |||
Israel | 0.5 | |||
Greece | 0.4 | |||
Portugal | 0.4 | |||
Turkey | 0.4 | |||
Austria | 0.3 | |||
Ireland | 0.2 | |||
New Zealand | 0.2 | |||
Thailand | 0.2 | |||
Hungary | 0.1 | |||
Indonesia | 0.1 | |||
Philippines | 0.1 | |||
Poland | 0.1 | |||
Malaysia | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Capital Goods | 17.3 | % | ||
Materials | 10.2 | |||
Insurance | 7.1 | |||
Retailing | 6.3 | |||
Utilities | 5.7 | |||
Media | 5.0 | |||
Diversified Financials | 4.9 | |||
Energy | 4.4 | |||
Transportation | 4.3 | |||
Software & Services | 3.7 | |||
Automobiles & Components | 3.5 | |||
Food & Staples Retailing | 3.5 | |||
Consumer Services | 3.2 | |||
Commercial & Professional Services | 2.9 | |||
Consumer Durables & Apparel | 2.7 | |||
Real Estate | 2.7 | |||
Food, Beverage & Tobacco | 2.7 | |||
Technology Hardware & Equipment | 2.6 | |||
Banks | 1.9 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 1.6 | |||
Telecommunication Services | 1.6 | |||
Health Care Equipment & Services | 1.3 | |||
Semiconductors & Semiconductor Equipment | 0.7 | |||
Household & Personal Products | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
24
GMO International Small Companies Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.4% | ||||||||||
Australia — 0.8% | ||||||||||
624,675 | Arrium Ltd | 459,599 | ||||||||
75,938 | Challenger Ltd | 557,284 | ||||||||
112,589 | Downer Edi Ltd | 512,695 | ||||||||
245,484 | Myer Holdings Ltd | 555,279 | ||||||||
151,099 | TABCORP Holdings Ltd | 506,721 | ||||||||
|
| |||||||||
Total Australia | 2,591,578 | |||||||||
|
| |||||||||
Austria — 0.3% | ||||||||||
5,982 | Flughafen Wien AG | 536,370 | ||||||||
1,761,602 | Immofinanz AG (Entitlement Shares) * | — | ||||||||
10,138 | RHI AG | 303,869 | ||||||||
|
| |||||||||
Total Austria | 840,239 | |||||||||
|
| |||||||||
Belgium — 1.1% | ||||||||||
26,269 | Delhaize Group | 1,829,504 | ||||||||
9,375 | GIMV NV | 458,077 | ||||||||
1,741 | Tessenderlo Chemie NV * | 18 | ||||||||
20,720 | Umicore SA | 1,001,518 | ||||||||
|
| |||||||||
Total Belgium | 3,289,117 | |||||||||
|
| |||||||||
Brazil — 0.6% | ||||||||||
23,900 | Companhia de Saneamento de Minas Gerais-COPASA * | 427,072 | ||||||||
69,900 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 443,101 | ||||||||
46,200 | EDP-Energias Do Brasil SA | 233,218 | ||||||||
37,500 | Even Construtora e Incorporadora SA | 113,413 | ||||||||
26,700 | Light SA | 293,420 | ||||||||
103,000 | MRV Engenharia e Participacoes SA | 419,638 | ||||||||
|
| |||||||||
Total Brazil | 1,929,862 | |||||||||
|
| |||||||||
Canada — 1.4% | ||||||||||
30,600 | Blackberry Ltd * | 310,981 | ||||||||
16,300 | DH Corp | 487,516 | ||||||||
16,100 | Dorel Industries Inc – Class B | 544,169 | ||||||||
8,400 | Empire Co Ltd | 583,975 | ||||||||
32,200 | Ensign Energy Services Inc | 483,015 | ||||||||
14,600 | Genworth MI Canada Inc | 516,969 | ||||||||
58,300 | RONA Inc | 766,216 | ||||||||
50,725 | Transcontinental Inc | 704,916 | ||||||||
|
| |||||||||
Total Canada | 4,397,757 | |||||||||
|
| |||||||||
China — 1.1% | ||||||||||
180,000 | Agile Property Holdings Ltd | 140,983 | ||||||||
107,000 | BYD Electronic International Co Ltd | 99,363 | ||||||||
201,000 | China Agri-Industries Holdings Ltd | 81,945 | ||||||||
338,000 | China BlueChemical Ltd – Class H | 165,693 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
452,000 | China Communications Services Corp Ltd – Class H | 217,482 | ||||||||
630,000 | China Shanshui Cement Group Ltd | 231,491 | ||||||||
174,000 | Cosco Pacific Ltd | 243,759 | ||||||||
111,000 | Digital China Holdings Ltd | 107,382 | ||||||||
1,754,000 | GOME Electrical Appliances Holdings Ltd | 312,121 | ||||||||
682,000 | Huabao International Holdings Ltd | 497,947 | ||||||||
159,587 | Inner Mongolia Yitai Coal Co Ltd – Class B | 268,639 | ||||||||
141,000 | Kingboard Chemical Holdings Ltd | 290,969 | ||||||||
66,000 | Shanghai Industrial Holdings Ltd | 221,440 | ||||||||
64,000 | Shenzhen International Holdings Ltd | 85,857 | ||||||||
1,320,173 | Shenzhen Investment Ltd | 418,647 | ||||||||
330,000 | Skyworth Digital Holdings Ltd | 176,646 | ||||||||
|
| |||||||||
Total China | 3,560,364 | |||||||||
|
| |||||||||
Denmark — 0.9% | ||||||||||
9,773 | D/S Norden A/S | 309,953 | ||||||||
22,960 | FLSmidth & Co A/S | 1,229,088 | ||||||||
36,744 | H Lundbeck A/S | 774,001 | ||||||||
7,120 | Jyske Bank A/S (Registered) * | 389,787 | ||||||||
|
| |||||||||
Total Denmark | 2,702,829 | |||||||||
|
| |||||||||
Finland — 0.9% | ||||||||||
14,343 | Cargotec Oyj Class B | 521,174 | ||||||||
24,922 | Kesko Oyj – Class B | 912,159 | ||||||||
5,024 | Metso Oyj | 197,372 | ||||||||
10,621 | Neste Oil Oyj | 207,714 | ||||||||
29,814 | Tieto Oyj | 811,140 | ||||||||
11,535 | YIT Oyj | 106,299 | ||||||||
|
| |||||||||
Total Finland | 2,755,858 | |||||||||
|
| |||||||||
France — 10.0% | ||||||||||
20,854 | Air France – KLM * | 218,430 | ||||||||
68,831 | Alstom SA * | 2,438,211 | ||||||||
23,156 | Casino Guichard-Perrachon SA | 2,765,442 | ||||||||
58,921 | CGG SA * | 528,074 | ||||||||
17,271 | Eiffage SA | 1,119,155 | ||||||||
18,241 | Groupe Steria SCA | 436,220 | ||||||||
10,656 | Imerys SA | 852,347 | ||||||||
3,458 | IPSOS | 103,347 | ||||||||
39,605 | Lagardere SCA | 1,090,812 | ||||||||
23,171 | M6-Metropole Television | 438,221 | ||||||||
18,666 | Neopost SA | 1,246,689 | ||||||||
193,931 | Peugeot SA * | 2,728,411 | ||||||||
13,337 | Plastic Omnium SA | 352,133 | ||||||||
20,577 | Rallye SA | 983,980 | ||||||||
134,598 | Rexel SA | 2,681,159 | ||||||||
36,423 | SCOR SE | 1,115,294 | ||||||||
1,396 | Seb SA | 109,894 |
See accompanying notes to the financial statements. | 25 |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
61,658 | Societe Television Francaise 1 | 927,941 | ||||||||
681,851 | Solocal Group * | 538,203 | ||||||||
137,169 | Suez Environnement SA | 2,529,941 | ||||||||
27,318 | Teleperformance | 1,773,915 | ||||||||
75,895 | UbiSoft Entertainment SA * | 1,261,345 | ||||||||
51,433 | Vallourec SA | 2,298,465 | ||||||||
150,942 | Veolia Environnement SA | 2,772,960 | ||||||||
|
| |||||||||
Total France | 31,310,589 | |||||||||
|
| |||||||||
Germany — 7.8% | ||||||||||
4,843 | Aareal Bank AG | 217,706 | ||||||||
10,391 | Aurubis AG | 511,106 | ||||||||
24,805 | Axel Springer AG | 1,473,746 | ||||||||
14,738 | Bechtle AG | 1,170,494 | ||||||||
19,300 | Bilfinger & Berger SE | 1,472,890 | ||||||||
20,820 | Celesio AG | 707,956 | ||||||||
111,503 | Deutsche Lufthansa AG (Registered) | 1,937,674 | ||||||||
6,609 | Duerr AG | 510,259 | ||||||||
50,294 | Freenet AG | 1,347,609 | ||||||||
18,092 | Hannover Rueck SE | 1,504,888 | ||||||||
95,410 | K+S AG (Registered) | 2,968,633 | ||||||||
53,897 | Kloeckner & Co SE * | 738,137 | ||||||||
16,345 | Leoni AG | 1,010,622 | ||||||||
48,893 | ProSiebenSat.1 Media AG (Registered) | 1,960,602 | ||||||||
25,841 | Rheinmetall AG | 1,401,711 | ||||||||
23,044 | Rhoen-Klinikum AG | 721,876 | ||||||||
23,284 | Salzgitter AG | 870,775 | ||||||||
6,700 | SMA Solar Technology AG * | 215,229 | ||||||||
40,142 | Software AG | 1,038,237 | ||||||||
11,978 | Stada Arzneimittel AG | 478,909 | ||||||||
54,973 | Suedzucker AG | 946,934 | ||||||||
33,959 | TUI AG | 495,983 | ||||||||
913 | Wacker Chemie AG | 108,758 | ||||||||
10,246 | Wincor Nixdorf AG | 545,878 | ||||||||
|
| |||||||||
Total Germany | 24,356,612 | |||||||||
|
| |||||||||
Greece — 0.4% | ||||||||||
111,009 | Alapis Holding Industrial and Commercial SA * | 5,980 | ||||||||
226,175 | Intralot SA * | 527,761 | ||||||||
507,704 | Marfin Investment Group Holdings SA * | 268,632 | ||||||||
49,253 | Motor Oil (Hellas) Corinth Refineries SA | 532,267 | ||||||||
|
| |||||||||
Total Greece | 1,334,640 | |||||||||
|
| |||||||||
Hong Kong — 1.0% | ||||||||||
193,753 | Great Eagle Holdings Ltd | 712,335 | ||||||||
23,500 | Kerry Properties Ltd | 87,153 | ||||||||
259,000 | Kowloon Development Co Ltd | 314,449 | ||||||||
101,000 | Luk Fook Holdings International Ltd | 316,648 | ||||||||
355,200 | Man Wah Holdings Ltd | 569,028 |
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
159,000 | PCCW Ltd | 101,905 | ||||||||
548,000 | Texwinca Holdings Ltd | 498,824 | ||||||||
762,000 | Xinyi Glass Holdings Ltd | 480,633 | ||||||||
53,500 | Yue Yuen Industrial Holdings | 165,451 | ||||||||
|
| |||||||||
Total Hong Kong | 3,246,426 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
116,336 | Magyar Telekom Telecommunications Plc * | 179,275 | ||||||||
|
| |||||||||
India — 0.7% | ||||||||||
67,496 | Bank of India | 308,010 | ||||||||
48,772 | Canara Bank Ltd | 304,906 | ||||||||
31,409 | Hindustan Petroleum Corp Ltd | 238,091 | ||||||||
561,219 | Housing Development & Infrastructure Ltd * | 838,259 | ||||||||
36,336 | Indiabulls Housing Finance Ltd | 226,610 | ||||||||
29,240 | Reliance Infrastructure Ltd * | 337,422 | ||||||||
|
| |||||||||
Total India | 2,253,298 | |||||||||
|
| |||||||||
Indonesia — 0.1% | ||||||||||
2,184,500 | Adaro Energy Tbk PT | 245,946 | ||||||||
42,939,000 | Bakrie & Brothers Tbk PT * | 183,539 | ||||||||
|
| |||||||||
Total Indonesia | 429,485 | |||||||||
|
| |||||||||
Ireland — 0.2% | ||||||||||
430,874 | Fyffes Plc * | 583,674 | ||||||||
|
| |||||||||
Israel — 0.5% | ||||||||||
257,905 | Africa Israel Investments Ltd * | 427,633 | ||||||||
106,621 | Bezeq Israeli Telecommunication Corp Ltd | 201,204 | ||||||||
606,932 | Israel Discount Bank Ltd – Class A * | 1,019,956 | ||||||||
|
| |||||||||
Total Israel | 1,648,793 | |||||||||
|
| |||||||||
Italy — 5.4% | ||||||||||
837,939 | A2A SPA | 919,554 | ||||||||
21,217 | Ansaldo STS SPA | 223,801 | ||||||||
48,876 | Astaldi SPA | 429,388 | ||||||||
50,643 | Autostrada Torino-Milano SPA | 690,723 | ||||||||
81,755 | Banca Popolare dell’ Emilia Romagna SC * | 687,060 | ||||||||
63,369 | Banco Popolare Scarl * | 991,431 | ||||||||
12,137 | Brembo SPA | 430,814 | ||||||||
35,454 | Buzzi Unicem SPA | 538,030 | ||||||||
46,995 | Cementir SPA | 319,100 | ||||||||
55,229 | Danieli & Co SPA – RSP | 1,200,632 | ||||||||
241,960 | Finmeccanica SPA * | 2,268,940 | ||||||||
18,505 | Gtech SPA | 441,252 | ||||||||
141,679 | Hera SPA | 397,982 | ||||||||
459,033 | Iren SPA | 649,623 | ||||||||
120,380 | Italcementi SPA-Di RISP | 870,938 | ||||||||
6,198 | Italmobiliare SPA | 246,496 |
26 | See accompanying notes to the financial statements. |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
393,596 | Mediaset SPA * | 1,627,974 | ||||||||
9,238 | Prysmian SPA | 187,839 | ||||||||
68,705 | Recordati SPA | 1,119,366 | ||||||||
22,094 | Safilo Group SPA * | 458,097 | ||||||||
65,550 | Societa Iniziative Autostradali e Servizi SPA | 740,270 | ||||||||
63,451 | Unione di Banche Italiane ScpA | 496,388 | ||||||||
142,319 | Unipol Gruppo Finanziario SPA | 777,143 | ||||||||
|
| |||||||||
Total Italy | 16,712,841 | |||||||||
|
| |||||||||
Japan — 21.7% | ||||||||||
81,200 | Accordia Golf Co Ltd | 970,870 | ||||||||
8,550 | Adastria Holdings Co Ltd | 171,279 | ||||||||
4,100 | Alfresa Holdings Corp | 243,550 | ||||||||
20,400 | Alpen Co Ltd | 327,159 | ||||||||
13,800 | Aoyama Trading Co Ltd | 341,580 | ||||||||
37,000 | Asatsu-DK, Inc. | 976,385 | ||||||||
68,500 | BIC Camera Inc | 626,977 | ||||||||
16,300 | Brother Industries Ltd | 316,368 | ||||||||
44,000 | Calsonic Kansei Corp | 254,019 | ||||||||
27,000 | Canon Marketing Japan Inc | 540,070 | ||||||||
34,300 | Century Tokyo Leasing Corp | 1,015,837 | ||||||||
33,200 | Chiba Kogyo Bank Ltd (The) | 245,285 | ||||||||
14,000 | Cocokara fine Inc | 370,874 | ||||||||
25,000 | Daicel Chemical Industries Ltd | 277,427 | ||||||||
477,200 | Daiei Inc * | 601,185 | ||||||||
29,100 | Daiichikosho Co Ltd | 848,820 | ||||||||
296,000 | Daikyo Inc | 567,210 | ||||||||
95,500 | DCM Holdings Co Ltd | 648,303 | ||||||||
125,000 | Denki Kagaku Kogyo K K | 423,538 | ||||||||
282,000 | DIC Corp | 643,332 | ||||||||
96,600 | Edion Corp | 611,585 | ||||||||
4,300 | FamilyMart Co Ltd | 180,209 | ||||||||
69,300 | Fuji Oil Co Ltd | 248,791 | ||||||||
15,500 | Fuji Soft Inc | 372,297 | ||||||||
254,000 | Furukawa Co Ltd | 586,504 | ||||||||
100,000 | Furukawa Electric Co Ltd (The) | 215,491 | ||||||||
105,100 | Futaba Industrial Co Ltd | 586,386 | ||||||||
30,900 | Fuyo General Lease Co Ltd | 1,239,329 | ||||||||
217,000 | Godo Steel Ltd | 340,295 | ||||||||
52,300 | Gulliver International Co Ltd | 472,167 | ||||||||
195,000 | Gunze Ltd | 551,270 | ||||||||
198,700 | Hakuhodo DY Holdings Inc | 2,056,202 | ||||||||
227,000 | Hanwa Co Ltd | 895,613 | ||||||||
8,700 | Heiwa Corp | 198,791 | ||||||||
12,800 | Hitachi Chemical Co Ltd | 238,303 | ||||||||
12,600 | Ibiden Co Ltd | 247,802 | ||||||||
366,000 | Ishihara Sangyo Kaisha Ltd * | 323,987 | ||||||||
58,800 | IT Holdings Corp | 1,084,229 | ||||||||
46,900 | Itochu Enex Co Ltd | 338,028 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
24,600 | Izumi Co Ltd | 769,963 | ||||||||
104,000 | JACCS Co Ltd | 606,357 | ||||||||
8,800 | Japan Petroleum Exploration Co | 342,805 | ||||||||
17,500 | K’s Holdings Corp | 488,897 | ||||||||
13,300 | Kaga Electronics Co Ltd | 168,872 | ||||||||
59,500 | Kamei Corp | 439,560 | ||||||||
16,600 | Kanamoto Co Ltd | 758,565 | ||||||||
67,000 | Kaneka Corp | 396,571 | ||||||||
606,000 | Kanematsu Corp | 1,014,426 | ||||||||
393,000 | Kawasaki Kisen Kaisha Ltd | 945,928 | ||||||||
143 | Kenedix Office Investment Corp (REIT) | 791,231 | ||||||||
25,700 | Kewpie Corp | 440,326 | ||||||||
136,000 | Kobe Steel Ltd | 221,240 | ||||||||
69,900 | Kohnan Shoji Co Ltd | 733,975 | ||||||||
10,600 | Komeri Co Ltd | 259,604 | ||||||||
39,700 | Konaka Co Ltd | 263,824 | ||||||||
172,000 | Krosaki Harima Corp | 387,684 | ||||||||
180,000 | Kurabo Industries Ltd | 318,628 | ||||||||
16,300 | Kurita Water Industries Ltd | 366,052 | ||||||||
73,000 | Leopalace21 Corp * | 420,084 | ||||||||
31,200 | Maruha Nichiro Corp | 485,503 | ||||||||
17,200 | Medipal Holdings Corp | 222,732 | ||||||||
4,700 | Miraca Holdings Inc | 218,945 | ||||||||
55,100 | Misawa Homes Co Ltd | 611,834 | ||||||||
220,000 | Mitsubishi Steel Manufacturing Co Ltd | 493,254 | ||||||||
183,000 | Mitsui Chemicals Inc | 540,560 | ||||||||
471,000 | Mitsui Engineering & Shipbuilding Co Ltd | 1,029,022 | ||||||||
180,000 | Mitsui Mining & Smelting Co Ltd | 554,566 | ||||||||
58,000 | Mitsui OSK Lines Ltd | 212,534 | ||||||||
171,000 | Morinaga Milk Industry Co Ltd | 596,460 | ||||||||
21,800 | Namura Shipbuilding Co Ltd | 202,853 | ||||||||
32,500 | NHK Spring Co Ltd | 311,209 | ||||||||
102,000 | Nichias Corp | 681,387 | ||||||||
368,900 | Nippon Coke & Engineering Co Ltd | 404,696 | ||||||||
538,100 | Nippon Light Metal Co Ltd | 859,943 | ||||||||
19,000 | Nippon Paint Co Ltd | 471,120 | ||||||||
13,200 | Nippon Paper Industries Co Ltd | 213,073 | ||||||||
18,000 | Nippon Shokubai Co Ltd | 218,794 | ||||||||
82,000 | Nippon Soda Co Ltd | 433,032 | ||||||||
66,000 | Nippon Steel & Sumikin Texeng | 402,904 | ||||||||
32,000 | Nippon Synthetic Chemical Industry Co Ltd | 246,353 | ||||||||
137,000 | Nippon Electric Glass Co Ltd | 689,328 | ||||||||
113,000 | Nippon Flour Mills Co Ltd | 568,284 | ||||||||
72,000 | Nippon Yusen Kabushiki Kaisha | 211,947 | ||||||||
60,600 | Nipro Corp | 534,956 | ||||||||
80,000 | Nishimatsu Construction Co Ltd | 426,821 | ||||||||
56,200 | Nissan Shatai Co Ltd | 897,282 | ||||||||
44,800 | Nissan Chemical Industries Ltd | 808,500 | ||||||||
42,000 | Nisshin Steel Co Ltd | 447,622 | ||||||||
40,100 | Nisshin Seifun Group Inc | 462,513 |
See accompanying notes to the financial statements. | 27 |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
287,000 | NS United Kaiun Kaisha Ltd | 745,352 | ||||||||
58,000 | NTN Corp | 243,759 | ||||||||
11,000 | Obic Co Ltd | 377,245 | ||||||||
13,400 | Okinawa Electric Power Co | 436,155 | ||||||||
212,100 | Orient Corp * | 489,991 | ||||||||
311 | ORIX JREIT Inc (REIT) | 416,155 | ||||||||
8,100 | Osaka Steel Co Ltd | 159,131 | ||||||||
9,300 | Pigeon Corp | 549,942 | ||||||||
83,000 | Press Kogyo Co Ltd | 333,182 | ||||||||
61,600 | Round One Corp | 400,918 | ||||||||
190,000 | Ryobi Ltd | 567,019 | ||||||||
26,800 | Sanix Inc * | 230,082 | ||||||||
85,000 | Seino Holdings Co Ltd | 797,577 | ||||||||
63,000 | Shindengen Electric Manufacturing Co Ltd | 414,467 | ||||||||
37,700 | Shinko Electric Industries Co Ltd | 275,786 | ||||||||
93,000 | ShinMaywa Industries Ltd | 914,244 | ||||||||
35,600 | Showa Corp | 399,659 | ||||||||
411,000 | Showa Denko KK | 593,073 | ||||||||
58,800 | Sodick Co Ltd | 962,037 | ||||||||
650,400 | Sojitz Corp | 1,076,743 | ||||||||
189,000 | Sumitomo Heavy Industries Ltd | 976,917 | ||||||||
270,400 | Takara Leben Co Ltd | 918,122 | ||||||||
26,000 | Takashimaya Co Ltd | 222,288 | ||||||||
98,000 | Teijin Ltd | 240,255 | ||||||||
25,100 | Toho Holdings Co Ltd | 485,962 | ||||||||
215,000 | Tokuyama Corp | 712,176 | ||||||||
142,000 | Tokyotokeiba Co Ltd | 447,909 | ||||||||
177,000 | Topy Industries Ltd | 342,489 | ||||||||
74,000 | Toshiba TEC Corp | 468,651 | ||||||||
278,000 | Tosoh Corp | 1,151,176 | ||||||||
58,800 | Toyo Tire & Rubber Co Ltd | 961,996 | ||||||||
14,100 | Toyoda Gosei Co Ltd | 268,753 | ||||||||
21,400 | TS Tech Co Ltd | 573,848 | ||||||||
16,300 | Tsumura & Co | 416,818 | ||||||||
2,400 | Tsuruha Holdings Inc | 131,205 | ||||||||
49,400 | T–Gaia Corp | 438,069 | ||||||||
345,000 | Ube Industries Ltd | 584,157 | ||||||||
93,600 | UNY Co Ltd | 526,236 | ||||||||
19,800 | Xebio Co Ltd | 324,432 | ||||||||
273,600 | Yamada Denki Co Ltd | 878,990 | ||||||||
17,600 | Zenkoku Hosho Co Ltd | 471,935 | ||||||||
|
| |||||||||
Total Japan | 67,714,867 | |||||||||
|
| |||||||||
Netherlands — 3.8% | ||||||||||
7,018 | Aalberts Industries NV | 194,771 | ||||||||
22,017 | ASM International NV | 855,657 | ||||||||
38,073 | Boskalis Westminster | 2,193,471 | ||||||||
9,132 | Corio NV REIT | 491,021 | ||||||||
90,137 | Delta Lloyd NV | 2,171,926 |
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
30,310 | Fugro NV | 1,099,172 | ||||||||
16,274 | Koninklijke Ten Cate NV | 402,515 | ||||||||
165,680 | Koninklijke BAM Groep NV | 392,548 | ||||||||
17,638 | Nutreco NV | 678,650 | ||||||||
213,555 | PostNL NV * | 1,070,926 | ||||||||
195,126 | SNS REAAL NV * (a) | — | ||||||||
64,690 | TomTom NV * | 496,845 | ||||||||
1,514 | Wereldhave NV (REIT) | 139,439 | ||||||||
63,961 | Wolters Kluwer NV | 1,772,595 | ||||||||
|
| |||||||||
Total Netherlands | 11,959,536 | |||||||||
|
| |||||||||
New Zealand — 0.2% | ||||||||||
148,388 | Fisher & Paykel Healthcare Corp Ltd | 635,665 | ||||||||
|
| |||||||||
Norway — 1.0% | ||||||||||
13,905 | Aker Solutions ASA | 211,481 | ||||||||
24,774 | Cermaq ASA | 326,427 | ||||||||
19,303 | Fred Olsen Energy ASA | 453,556 | ||||||||
108,296 | Petroleum Geo-Services ASA | 816,253 | ||||||||
141,963 | Storebrand ASA * | 791,152 | ||||||||
24,020 | TGS Nopec Geophysical Co ASA | 678,669 | ||||||||
|
| |||||||||
Total Norway | 3,277,538 | |||||||||
|
| |||||||||
Philippines — 0.1% | ||||||||||
1,255,300 | Lopez Holding Corp | 161,260 | ||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
17,131 | Asseco Poland SA | 226,288 | ||||||||
13,661 | Grupa Lotos SA * | 129,037 | ||||||||
|
| |||||||||
Total Poland | 355,325 | |||||||||
|
| |||||||||
Portugal — 0.4% | ||||||||||
66,492 | Portucel Empresa Produtora de Pasta e Papel SA | 286,929 | ||||||||
625,027 | Sonae | 952,299 | ||||||||
|
| |||||||||
Total Portugal | 1,239,228 | |||||||||
|
| |||||||||
Russia — 0.9% | ||||||||||
44,847 | Severstal OAO GDR (Registered Shares) | 433,572 | ||||||||
62,950 | Tatneft Sponsored ADR | 2,338,146 | ||||||||
|
| |||||||||
Total Russia | 2,771,718 | |||||||||
|
| |||||||||
Singapore — 0.7% | ||||||||||
287,000 | Ho Bee Land Ltd | 503,363 | ||||||||
148,000 | Hong Leong Asia Ltd | 181,159 | ||||||||
849,000 | Swiber Holdings Ltd | 333,216 | ||||||||
667,000 | Vard Holdings Ltd * | 544,393 | ||||||||
400,676 | Wing Tai Holdings Ltd | 599,536 | ||||||||
|
| |||||||||
Total Singapore | 2,161,667 | |||||||||
|
|
28 | See accompanying notes to the financial statements. |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — 0.5% | ||||||||||
91,917 | Aveng Ltd * | 196,729 | ||||||||
8,931 | Barloworld Ltd | 84,873 | ||||||||
105,351 | Gold Fields Ltd | 502,514 | ||||||||
28,527 | Lewis Group Ltd | 160,540 | ||||||||
38,970 | Sibanye Gold Ltd | 91,317 | ||||||||
126,458 | Telkom South Africa Ltd * | 677,707 | ||||||||
|
| |||||||||
Total South Africa | 1,713,680 | |||||||||
|
| |||||||||
South Korea — 1.8% | ||||||||||
7,126 | BS Financial Group Inc | 118,118 | ||||||||
7,308 | Daelim Industrial Co Ltd | 630,475 | ||||||||
5,221 | DGB Financial Group Inc | 91,189 | ||||||||
4,861 | Dongbu Insurance Co Ltd | 293,500 | ||||||||
1,118 | Dongwon Industries Co Ltd | 430,053 | ||||||||
5,582 | GS Engineering & Construction Corp * | 203,061 | ||||||||
11,187 | Hanwha Chem Corp | 181,034 | ||||||||
13,125 | Hanwha Corp | 391,762 | ||||||||
905 | Hyundai Department Store Co Ltd | 141,526 | ||||||||
2,934 | Hyundai Marine & Fire Insurance Co Ltd | 90,149 | ||||||||
5,280 | LF Corp | 158,848 | ||||||||
8,702 | LG International Corp | 239,588 | ||||||||
6,720 | LIG Insurance Co Ltd | 200,495 | ||||||||
4,284 | LS Corp | 295,864 | ||||||||
318 | Namyang Dairy Products Co Ltd | 259,689 | ||||||||
2,999 | SeAH Steel Corp | 276,462 | ||||||||
1,218 | Shinsegae Co Ltd | 280,048 | ||||||||
4,353 | SK Gas Co Ltd | 485,447 | ||||||||
45,824 | SK Networks Co Ltd * | 444,500 | ||||||||
5,419 | Sungwoo Hitech Co Ltd | 91,194 | ||||||||
281 | Taekwang Industrial Co Ltd | 361,056 | ||||||||
|
| |||||||||
Total South Korea | 5,664,058 | |||||||||
|
| |||||||||
Spain — 4.1% | ||||||||||
15,009 | Acciona SA * | 1,201,342 | ||||||||
12,245 | Acerinox SA | 187,652 | ||||||||
63,515 | ACS Actividades de Construccion y Servicios SA | 2,675,366 | ||||||||
11,836 | Corp Financiera Alba SA | 700,701 | ||||||||
27,451 | Ebro Puleva SA | 555,446 | ||||||||
77,875 | Enagas | 2,597,443 | ||||||||
61,182 | Gamesa Corp Tecnologica SA * | 769,793 | ||||||||
74,834 | Indra Sistemas SA | 1,125,409 | ||||||||
205,926 | Mapfre SA | 772,318 | ||||||||
18,587 | Mediaset Espana Comunicacion SA * | 212,957 | ||||||||
20,706 | Obrascon Huarte Lain SA | 758,252 | ||||||||
14,986 | Red Electrica Corp SA | 1,261,471 | ||||||||
|
| |||||||||
Total Spain | 12,818,150 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Sweden — 3.9% | ||||||||||
119,766 | Securitas AB – Class B | 1,310,408 | ||||||||
6,304 | Axfood AB | 313,488 | ||||||||
7,566 | BillerudKorsnas AB | 109,479 | ||||||||
39,967 | Eniro AB * | 111,621 | ||||||||
4,294 | Getinge AB – Class B | 112,277 | ||||||||
5,686 | Hexpol AB | 480,468 | ||||||||
25,730 | Holmen AB – Class B | 821,507 | ||||||||
154,654 | Husqvarna AB – Class B | 1,172,321 | ||||||||
20,864 | Intrum Justitia AB | 648,033 | ||||||||
6,499 | JM AB | 211,864 | ||||||||
67,250 | Meda AB | 904,517 | ||||||||
5,312 | Modern Times Group AB Class B | 200,511 | ||||||||
27,915 | NCC AB – Class B | 890,564 | ||||||||
89,002 | Peab AB | 637,088 | ||||||||
31,325 | SAAB AB – Class B | 845,828 | ||||||||
105,431 | SSAB Svenskt Stal AB Series A * | 975,491 | ||||||||
157,935 | Tele2 AB – B Shares | 1,967,225 | ||||||||
20,377 | Trelleborg AB – Class B | 390,524 | ||||||||
|
| |||||||||
Total Sweden | 12,103,214 | |||||||||
|
| |||||||||
Switzerland — 2.3% | ||||||||||
7,651 | Baloise Holding Ltd | 998,156 | ||||||||
701 | Fischer (George) AG (Registered) | 464,656 | ||||||||
729 | Helvetia Patria Holding (Registered) | 362,935 | ||||||||
17,617 | Logitech International | 242,716 | ||||||||
6,877 | Lonza Group AG (Registered) | 788,624 | ||||||||
2,936 | Panalpina Welttransport Holding AG | 417,296 | ||||||||
10,280 | Sulzer AG | 1,366,465 | ||||||||
10,528 | Swiss Life Holding AG (Registered) | 2,655,982 | ||||||||
|
| |||||||||
Total Switzerland | 7,296,830 | |||||||||
|
| |||||||||
Taiwan — 1.2% | ||||||||||
544,000 | Acer Inc * | 450,319 | ||||||||
209,000 | AmTRAN Technology Co Ltd | 134,930 | ||||||||
110,250 | Coretronic Corp | 183,132 | ||||||||
257,530 | Kenda Rubber Industrial Co Ltd | 548,527 | ||||||||
183,000 | Micro-Star International Co Ltd | 251,470 | ||||||||
209,000 | Powertech Technology Inc | 396,145 | ||||||||
430,000 | ProMOS Technologies Inc * (a) (b) | — | ||||||||
43,000 | Simplo Technology Co Ltd | 241,532 | ||||||||
106,000 | Synnex Technology International Corp | 161,777 | ||||||||
82,000 | Tripod Technology Corp | 166,679 | ||||||||
439,000 | Unimicron Technology Corp | 370,941 | ||||||||
447,000 | Wistron Corp | 523,770 | ||||||||
133,000 | WPG Holdings Co Ltd | 173,329 | ||||||||
|
| |||||||||
Total Taiwan | 3,602,551 | |||||||||
|
|
See accompanying notes to the financial statements. | 29 |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Thailand — 0.2% | ||||||||||
416,400 | Banpu Pcl (Foreign Registered) | 421,143 | ||||||||
17,500 | Electricity Generating Pcl (Foreign Registered) | 93,458 | ||||||||
|
| |||||||||
Total Thailand | 514,601 | |||||||||
|
| |||||||||
Turkey — 0.4% | ||||||||||
947,802 | Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D * | 994,642 | ||||||||
91,548 | Turkiye Sise ve Cam Fabrikalari AS | 123,641 | ||||||||
|
| |||||||||
Total Turkey | 1,118,283 | |||||||||
|
| |||||||||
United Kingdom — 19.8% | ||||||||||
233,221 | 3i Group Plc | 1,524,194 | ||||||||
23,556 | Admiral Group Plc | 522,728 | ||||||||
36,010 | AMEC Plc | 672,868 | ||||||||
130,942 | Amlin Plc | 978,836 | ||||||||
31,671 | Ashmore Group Plc | 185,432 | ||||||||
40,256 | Atkins WS Plc | 931,415 | ||||||||
396,064 | Balfour Beatty Plc | 1,594,622 | ||||||||
151,820 | Beazley Plc | 636,160 | ||||||||
9,310 | Bellway Plc | 246,983 | ||||||||
44,890 | Britvic Plc | 511,754 | ||||||||
151,085 | Cairn Energy Plc * | 450,784 | ||||||||
75,554 | Cape Plc | 389,883 | ||||||||
183,325 | Carillion Plc | 1,025,230 | ||||||||
101,153 | Catlin Group Ltd | 863,656 | ||||||||
133,864 | Centamin Plc * | 142,319 | ||||||||
6,989 | Close Brothers Group Plc | 157,470 | ||||||||
204,643 | Cobham Plc | 1,010,012 | ||||||||
109,828 | Dairy Crest Group Plc | 754,029 | ||||||||
9,283 | DCC Plc | 551,655 | ||||||||
494,478 | Debenhams Plc | 545,541 | ||||||||
231,484 | Direct Line Insurance Group Plc | 1,148,875 | ||||||||
80,980 | Dixons Carphone Plc | 464,305 | ||||||||
87,687 | Drax Group Plc | 913,589 | ||||||||
426,740 | Enterprise Inns Plc * | 886,293 | ||||||||
688,373 | FirstGroup Plc * | 1,454,824 | ||||||||
406,565 | Friends Life Group Ltd | 2,072,781 | ||||||||
22,425 | Go–Ahead Group Plc | 820,346 | ||||||||
146,829 | Greencore Group Plc | 648,880 | ||||||||
46,307 | Greene King Plc | 634,619 | ||||||||
190,713 | Halfords Group Plc | 1,510,785 | ||||||||
233,474 | Henderson Group Plc | 899,586 | ||||||||
713,282 | Home Retail Group Plc | 2,171,440 | ||||||||
97,753 | ICAP Plc | 616,017 | ||||||||
164,119 | Inchcape Plc | 1,841,330 | ||||||||
198,917 | Intermediate Capital Group Plc | 1,349,061 | ||||||||
74,320 | Interserve Plc | 817,151 | ||||||||
76,050 | Investec Plc | 693,296 | ||||||||
53,500 | John Wood Group Plc | 697,892 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
1,962,984 | Johnston Press Plc * | 132,130 | ||||||||
13,684 | Jupiter Fund Management Plc | 85,269 | ||||||||
111,091 | Kazakhmys Plc * | 547,729 | ||||||||
19,684 | Keller Group Plc | 300,563 | ||||||||
186,566 | Ladbrokes Plc | 413,070 | ||||||||
41,540 | Lancashire Holdings Ltd | 432,051 | ||||||||
35,148 | LG Group Holdings Plc | 354,725 | ||||||||
1,101,526 | Man Group Plc | 2,167,028 | ||||||||
414,961 | Marston’s Plc | 1,021,763 | ||||||||
61,744 | Meggitt Plc | 483,217 | ||||||||
86,342 | Micro Focus International Plc | 1,250,247 | ||||||||
96,924 | Mitie Group Plc | 508,834 | ||||||||
278,228 | National Express Group Plc | 1,185,898 | ||||||||
129,091 | Pace Plc | 710,309 | ||||||||
19,047 | Paragon Group of Cos Plc (The) | 109,205 | ||||||||
33,750 | Persimmon Plc (Bonus Shares) | 743,012 | ||||||||
21,112 | Petrofac Ltd | 395,733 | ||||||||
63,383 | Phoenix Group Holdings | 780,926 | ||||||||
59,181 | Playtech Ltd | 707,340 | ||||||||
621,394 | Premier Foods Plc * | 443,215 | ||||||||
104,868 | Premier Oil Plc | 605,988 | ||||||||
14,804 | Provident Financial Plc | 526,195 | ||||||||
603,603 | Punch Taverns Plc * | 91,998 | ||||||||
91,467 | Rexam Plc | 770,629 | ||||||||
260,931 | RSA Insurance Group Plc | 1,984,839 | ||||||||
130,464 | Sage Group Plc (The) | 853,278 | ||||||||
74,244 | Segro Plc (REIT) | 456,448 | ||||||||
98,756 | Serco Group Plc | 510,200 | ||||||||
169,502 | SIG Plc | 525,775 | ||||||||
456,078 | Spirit Pub Co Plc | 569,502 | ||||||||
79,566 | Stagecoach Group Plc | 484,063 | ||||||||
23,482 | TalkTalk Telecom Group Plc | 117,968 | ||||||||
372,896 | Thomas Cook Group Plc * | 773,611 | ||||||||
31,478 | Travis Perkins Plc | 911,982 | ||||||||
252,002 | Trinity Mirror Plc * | 862,557 | ||||||||
132,588 | TUI Travel Plc | 820,284 | ||||||||
168,518 | Tullett Prebon Plc | 757,655 | ||||||||
48,427 | United Utilities Group Plc | 706,055 | ||||||||
113,289 | Vesuvius Plc | 874,850 | ||||||||
71,455 | WH Smith Plc | 1,370,523 | ||||||||
113,553 | William Hill Plc | 660,359 | ||||||||
163,477 | WM Morrison Supermarkets Plc | 482,213 | ||||||||
|
| |||||||||
Total United Kingdom | 61,825,877 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $284,981,852) | 301,057,285 | |||||||||
|
|
30 | See accompanying notes to the financial statements. |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 1.5% | ||||||||||
Brazil — 0.9% | ||||||||||
21,500 | AES Tiete SA | 193,245 | ||||||||
17,100 | Banco do Estado do Rio Grande do Sul SA – Class B | 118,023 | ||||||||
40,600 | Bradespar SA | 370,905 | ||||||||
25,600 | Companhia Energetica de Sao Paulo – Class B | 362,414 | ||||||||
22,200 | Companhia Paranaense de Energia – Class B | 393,322 | ||||||||
129,700 | Eletropaulo Metropolitana SA | 596,788 | ||||||||
78,900 | Metalurgica Gerdau SA | 559,015 | ||||||||
41,000 | Usinas Siderrurgicas de Minas Gerais SA * | 147,992 | ||||||||
|
| |||||||||
Total Brazil | 2,741,704 | |||||||||
|
| |||||||||
Germany — 0.5% | ||||||||||
4,083 | Biotest AG | 460,095 | ||||||||
1,298 | Draegerwerk AG & Co | 123,060 | ||||||||
15,387 | Jungheinrich AG | 941,321 | ||||||||
|
| |||||||||
Total Germany | 1,524,476 | |||||||||
|
| |||||||||
Italy — 0.1% | ||||||||||
91,441 | Unipol Gruppo Finanziario SPA | 458,162 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $4,434,298) | 4,724,342 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.2% | ||||||||||
France — 0.2% | ||||||||||
236,432 | Peugeot SA Warrants, Expires 04/29/17 * | 500,784 | ||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
11,833 | Coastal Contracts Warrants, Expires 07/18/16 * | 7,170 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $288,712) | 507,954 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.2% | ||||||||||
United States — 1.2% | ||||||||||
Affiliated Issuers | ||||||||||
153,968 | GMO U.S. Treasury Fund | 3,849,207 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $3,849,207) | 3,849,207 | |||||||||
|
|
Par Value | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||||
Time Deposits — 1.7% | ||||||||||
USD | 1,563,510 | Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 0.06%, due 09/02/14 | 1,563,510 | |||||||
AUD | 4,086 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.87%, due 09/02/14 | 3,816 | |||||||
CAD | 4,433 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.23%, due 09/02/14 | 4,077 | |||||||
DKK | 112 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/02/14 | 20 | |||||||
EUR | 6,470 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 8,504 | |||||||
GBP | 4,706 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/02/14 | 7,813 | |||||||
JPY | 278,320 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 2,675 | |||||||
ZAR | 16,645 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.20%, due 09/02/14 | 1,560 | |||||||
USD | 1,563,510 | Deustche Bank (Frankfurt) Time Deposit, 0.06%, due 09/02/14 | 1,563,510 | |||||||
USD | 1,563,510 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 1,563,510 | |||||||
USD | 722,389 | JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/02/14 | 722,389 | |||||||
|
| |||||||||
Total Time Deposits | 5,441,384 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $5,441,384) | 5,441,384 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.0% (Cost $298,995,453) | 315,580,172 | |||||||||
Other Assets and Liabilities (net) — (1.0%) | (3,221,452 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $312,358,720 | |||||||||
|
|
See accompanying notes to the financial statements. | 31 |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BOA | AUD | 578,270 | USD | 535,644 | $ | (2,187 | ) | ||||||||||||||
10/31/2014 | JPM | AUD | 280,540 | USD | 259,749 | (1,173 | ) | |||||||||||||||
10/31/2014 | MSCI | AUD | 1,206,049 | USD | 1,116,897 | (4,810 | ) | |||||||||||||||
10/31/2014 | BOA | CAD | 535,186 | USD | 487,786 | (3,748 | ) | |||||||||||||||
10/31/2014 | DB | CAD | 675,233 | USD | 615,549 | (4,610 | ) | |||||||||||||||
10/31/2014 | JPM | CAD | 335,416 | USD | 305,932 | (2,127 | ) | |||||||||||||||
10/31/2014 | MSCI | CAD | 1,828,275 | USD | 1,666,906 | (12,250 | ) | |||||||||||||||
10/31/2014 | SSB | CAD | 312,641 | USD | 285,169 | (1,972 | ) | |||||||||||||||
10/31/2014 | BBH | CHF | 1,251,536 | USD | 1,376,736 | 12,702 | ||||||||||||||||
10/31/2014 | BCLY | CHF | 1,446,625 | USD | 1,590,809 | 14,149 | ||||||||||||||||
10/31/2014 | BNYM | CHF | 1,574,271 | USD | 1,731,738 | 15,958 | ||||||||||||||||
10/31/2014 | BOA | CHF | 801,515 | USD | 881,600 | 8,037 | ||||||||||||||||
10/31/2014 | DB | CHF | 1,102,449 | USD | 1,212,602 | 11,055 | ||||||||||||||||
10/31/2014 | MSCI | CHF | 1,429,932 | USD | 1,572,750 | 14,283 | ||||||||||||||||
10/31/2014 | SSB | CHF | 964,566 | USD | 1,060,992 | 9,723 | ||||||||||||||||
10/31/2014 | BBH | GBP | 567,817 | USD | 956,641 | 14,431 | ||||||||||||||||
10/31/2014 | BCLY | GBP | 1,151,950 | USD | 1,940,656 | 29,162 | ||||||||||||||||
10/31/2014 | BNYM | GBP | 492,774 | USD | 830,258 | 12,571 | ||||||||||||||||
10/31/2014 | BOA | GBP | 492,776 | USD | 830,066 | 12,376 | ||||||||||||||||
10/31/2014 | DB | GBP | 567,379 | USD | 955,949 | 14,466 | ||||||||||||||||
10/31/2014 | MSCI | GBP | 3,283,976 | USD | 5,533,347 | 84,067 | ||||||||||||||||
10/31/2014 | MSCI | JPY | 138,171,530 | USD | 1,350,964 | 22,378 | ||||||||||||||||
10/31/2014 | BBH | NOK | 1,431,359 | USD | 227,752 | (2,700 | ) | |||||||||||||||
10/31/2014 | BCLY | NOK | 2,803,052 | USD | 445,926 | (5,372 | ) | |||||||||||||||
10/31/2014 | BOA | NZD | 1,013,775 | USD | 855,833 | 12,746 |
Settlement | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BNYM | SEK | 3,425,479 | USD | 497,951 | $ | 7,916 | |||||||||||||||
10/31/2014 | DB | SEK | 2,444,836 | USD | 354,823 | 5,075 | ||||||||||||||||
10/31/2014 | MSCI | SEK | 2,444,836 | USD | 355,563 | 5,815 | ||||||||||||||||
10/31/2014 | BBH | USD | 1,608,187 | EUR | 1,201,188 | (29,296 | ) | |||||||||||||||
10/31/2014 | BBH | USD | 950,787 | JPY | 97,626,831 | (12,058 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 1,307,679 | CHF | 1,185,943 | (15,133 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 2,202,368 | JPY | 226,120,400 | (28,110 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 738,435 | SGD | 921,818 | (435 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 1,329,041 | CHF | 1,203,912 | (16,911 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 270,489 | EUR | 202,033 | (4,929 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 2,679,890 | JPY | 275,223,326 | (33,484 | ) | |||||||||||||||
10/31/2014 | BNYM | USD | 933,403 | SGD | 1,164,830 | (849 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 1,014,619 | JPY | 104,172,472 | (12,950 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 1,669,174 | SGD | 2,081,886 | (2,432 | ) | |||||||||||||||
10/31/2014 | DB | USD | 2,121,278 | JPY | 217,977,240 | (25,321 | ) | |||||||||||||||
10/31/2014 | DB | USD | 1,075,897 | SGD | 1,343,924 | 38 | ||||||||||||||||
10/31/2014 | JPM | USD | 1,549,883 | JPY | 159,149,313 | (19,585 | ) | |||||||||||||||
10/31/2014 | JPM | USD | 643,972 | SGD | 803,634 | (588 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 1,333,405 | CHF | 1,203,913 | (21,274 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 1,525,692 | JPY | 156,682,757 | (19,112 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 817,913 | SGD | 1,020,592 | (835 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 324,561 | EUR | 242,430 | (5,902 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 1,786,556 | JPY | 183,409,583 | (22,984 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 341,400 | SGD | 426,123 | (250 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (6,439 | ) | ||||||||||||||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
(b) | Bankrupt issuer. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
32 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 99.4 | % | ||
Short-Term Investments | 0.8 | |||
Mutual Funds | 0.2 | |||
Other | (0.4 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
United States | 89.0 | % | ||
United Kingdom | 4.6 | |||
Switzerland | 3.8 | |||
Japan | 1.1 | |||
Netherlands | 0.7 | |||
Germany | 0.5 | |||
France | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Software & Services | 24.3 | % | ||
Food, Beverage & Tobacco | 14.9 | |||
Health Care Equipment & Services | 12.8 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 10.9 | |||
Technology Hardware & Equipment | 10.5 | |||
Capital Goods | 6.5 | |||
Household & Personal Products | 5.7 | |||
Energy | 3.7 | |||
Food & Staples Retailing | 2.9 | |||
Consumer Durables & Apparel | 2.0 | |||
Consumer Services | 1.7 | |||
Retailing | 1.5 | |||
Telecommunication Services | 1.1 | |||
Materials | 1.0 | |||
Semiconductors & Semiconductor Equipment | 0.5 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
33
GMO Quality Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 99.4% | ||||||||||
Capital Goods — 6.5% | ||||||||||
1,310,500 | 3M Co. | 188,712,000 | ||||||||
1,214,400 | Danaher Corp. | 93,035,184 | ||||||||
354,000 | Dover Corp. | 31,105,980 | ||||||||
1,547,600 | Emerson Electric Co. | 99,077,352 | ||||||||
572,900 | Honeywell International, Inc. | 54,557,267 | ||||||||
834,500 | Illinois Tool Works, Inc. | 73,611,245 | ||||||||
265,800 | Precision Castparts Corp. | 64,871,148 | ||||||||
320,500 | Rockwell Automation, Inc. | 37,373,505 | ||||||||
675,900 | United Technologies Corp. | 72,983,682 | ||||||||
143,000 | WW Grainger, Inc. | 35,206,600 | ||||||||
|
| |||||||||
Total Capital Goods | 750,533,963 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 1.9% | ||||||||||
400 | Coach, Inc. | 14,732 | ||||||||
231,805 | LVMH Moet Hennessy Louis Vuitton SA | 40,242,374 | ||||||||
912,300 | Mattel, Inc. | 31,465,227 | ||||||||
1,327,240 | Nike, Inc. – Class B | 104,254,702 | ||||||||
781,200 | VF Corp. | 50,090,544 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 226,067,579 | |||||||||
|
| |||||||||
Consumer Services — 1.6% | ||||||||||
1,877,658 | Compass Group Plc | 30,560,160 | ||||||||
1,700,600 | McDonald’s Corp. | 159,380,232 | ||||||||
400 | Starbucks Corp. | 31,124 | ||||||||
|
| |||||||||
Total Consumer Services | 189,971,516 | |||||||||
|
| |||||||||
Energy — 3.6% | ||||||||||
2,889,370 | Chevron Corp. | 374,028,947 | ||||||||
472,000 | Exxon Mobil Corp. | 46,945,120 | ||||||||
|
| |||||||||
Total Energy | 420,974,067 | |||||||||
|
| |||||||||
Food & Staples Retailing — 2.9% | ||||||||||
712,500 | Costco Wholesale Corp. | 86,269,500 | ||||||||
1,356,609 | Sysco Corp. | 51,320,518 | ||||||||
2,558,900 | Wal-Mart Stores, Inc. | 193,196,950 | ||||||||
|
| |||||||||
Total Food & Staples Retailing | 330,786,968 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 14.8% | ||||||||||
2,164,765 | British American Tobacco Plc | 127,988,039 | ||||||||
7,699,100 | Coca-Cola Co. (The) | 321,206,452 | ||||||||
901,100 | General Mills, Inc. | 48,100,718 | ||||||||
3,916,312 | Nestle SA (Registered) | 303,781,742 | ||||||||
1,872,211 | PepsiCo, Inc. | 173,160,795 | ||||||||
6,698,930 | Philip Morris International, Inc. | 573,294,429 | ||||||||
616,600 | Reynolds American, Inc. | 36,052,602 | ||||||||
1,804,535 | Unilever NV | 75,041,985 | ||||||||
1,373,614 | Unilever Plc | 60,590,216 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 1,719,216,978 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Health Care Equipment & Services — 12.8% | ||||||||||
3,002,505 | Abbott Laboratories | 126,825,811 | ||||||||
1,112,000 | Baxter International, Inc. | 83,377,760 | ||||||||
484,000 | Becton, Dickinson and Co. | 56,710,280 | ||||||||
1,658,400 | Covidien Plc | 143,998,872 | ||||||||
7,170,380 | Express Scripts Holding Co. * | 530,106,193 | ||||||||
394,100 | Humana, Inc. | 50,736,434 | ||||||||
64,600 | Intuitive Surgical, Inc. * | 30,362,646 | ||||||||
137,500 | McKesson Corp. | 26,816,625 | ||||||||
837,230 | Medtronic, Inc. | 53,457,136 | ||||||||
637,100 | St Jude Medical, Inc. | 41,787,389 | ||||||||
751,300 | Stryker Corp. | 62,590,803 | ||||||||
1,973,244 | UnitedHealth Group, Inc. | 171,040,790 | ||||||||
496,500 | WellPoint, Inc. | 57,847,215 | ||||||||
451,967 | Zimmer Holdings, Inc. | 44,884,843 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 1,480,542,797 | |||||||||
|
| |||||||||
Household & Personal Products — 5.7% | ||||||||||
357,553 | Church & Dwight Co., Inc. | 24,399,417 | ||||||||
1,948,900 | Colgate-Palmolive Co. | 126,152,297 | ||||||||
381,000 | Estee Lauder Cos , Inc. (The) – Class A | 29,272,230 | ||||||||
384,000 | Kimberly-Clark Corp. | 41,472,000 | ||||||||
4,407,600 | Procter & Gamble Co. (The) | 366,315,636 | ||||||||
837,513 | Reckitt Benckiser Group Plc | 73,086,101 | ||||||||
|
| |||||||||
Total Household & Personal Products | 660,697,681 | |||||||||
|
| |||||||||
Materials — 0.9% | ||||||||||
941,400 | Monsanto Co. | 108,872,910 | ||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.9% | ||||||||||
344,900 | Allergan, Inc. | 56,453,232 | ||||||||
947,013 | Amgen, Inc. | 131,994,672 | ||||||||
3,183,225 | AstraZeneca Plc | 242,906,847 | ||||||||
324,800 | Biogen Idec, Inc. * | 111,419,392 | ||||||||
1,110,800 | Bristol-Myers Squibb Co. | 56,262,020 | ||||||||
1,385,600 | Eli Lilly & Co. | 88,068,736 | ||||||||
980 | GlaxoSmithKline Plc | 23,951 | ||||||||
4,275,700 | Johnson & Johnson | 443,518,361 | ||||||||
1,456,811 | Novartis AG (Registered) | 130,889,226 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 1,261,536,437 | |||||||||
|
| |||||||||
Retailing — 1.5% | ||||||||||
1,200,900 | Bed Bath & Beyond, Inc. * | 77,169,834 | ||||||||
368,000 | Genuine Parts Co. | 32,288,320 | ||||||||
1,020,678 | TJX Cos, Inc. (The) | 60,842,616 | ||||||||
|
| |||||||||
Total Retailing | 170,300,770 | |||||||||
|
|
34 | See accompanying notes to the financial statements. |
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Semiconductors & Semiconductor Equipment — 0.5% | ||||||||||
643,700 | Analog Devices, Inc. | 32,905,944 | ||||||||
682,800 | Xilinx, Inc. | 28,848,300 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 61,754,244 | |||||||||
|
| |||||||||
Software & Services — 24.2% | ||||||||||
1,301,900 | Accenture Plc – Class A | 105,532,014 | ||||||||
200 | Adobe Systems, Inc. * | 14,380 | ||||||||
483,600 | Citrix Systems, Inc. * | 33,977,736 | ||||||||
1,253,700 | Cognizant Technology Solutions Corp. – Class A * | 57,331,701 | ||||||||
2,224,300 | eBay, Inc. * | 123,448,650 | ||||||||
609,700 | Google, Inc. – Class A * | 355,064,892 | ||||||||
201,000 | Google, Inc. – Class C * | 114,891,600 | ||||||||
2,891,170 | International Business Machines Corp. | 555,971,991 | ||||||||
559,300 | Intuit, Inc. | 46,522,574 | ||||||||
1,304,600 | Mastercard, Inc. – Class A | 98,901,726 | ||||||||
12,508,300 | Microsoft Corp. | 568,252,069 | ||||||||
13,919,000 | Oracle Corp. | 578,056,070 | ||||||||
723,500 | Paychex, Inc. | 30,133,775 | ||||||||
730,162 | SAP SE | 56,911,956 | ||||||||
1,724,800 | Teradata Corp. * | 78,771,616 | ||||||||
|
| |||||||||
Total Software & Services | 2,803,782,750 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 10.5% | ||||||||||
246,300 | Amphenol Corp. – Class A | 25,371,363 | ||||||||
5,489,326 | Apple, Inc. | 562,655,915 | ||||||||
10,018,131 | Cisco Systems, Inc. | 250,353,094 | ||||||||
4,337,200 | EMC Corp. | 128,077,516 | ||||||||
3,252,158 | Qualcomm, Inc. | 247,489,224 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 1,213,947,112 | |||||||||
|
| |||||||||
Telecommunication Services — 1.1% | ||||||||||
972,300 | KDDI Corp. | 56,184,575 | ||||||||
4,202,899 | NTT Docomo, Inc. | 72,782,216 | ||||||||
|
| |||||||||
Total Telecommunication Services | 128,966,791 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $9,711,404,104) | 11,527,952,563 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.2% | ||||||||||
Affiliated Issuers — 0.2% | ||||||||||
1,019,440 | GMO U.S. Treasury Fund | 25,486,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $25,486,000) | 25,486,000 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||||
MONEY MARKET FUNDS — 0.8% | ||||||||||
89,591,529 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a) | 89,591,529 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $89,591,529) | 89,591,529 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.4% (Cost $9,826,481,633) | 11,643,030,092 | |||||||||
Other Assets and Liabilities (net) — (0.4%) | (42,262,736 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $11,600,767,356 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 35 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 92.7 | % | ||
Preferred Stocks | 5.9 | |||
Short-Term Investments | 1.1 | |||
Mutual Funds | 1.0 | |||
Other | (0.7 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Equity Investments | |||
Japan | 13.4 | % | ||
United States | 11.7 | |||
United Kingdom | 10.6 | |||
Russia | 9.7 | |||
Brazil | 9.5 | |||
Norway | 8.9 | |||
China | 6.4 | |||
France | 6.1 | |||
Spain | 6.1 | |||
Italy | 5.3 | |||
South Africa | 3.8 | |||
Thailand | 2.2 | |||
Austria | 1.1 | |||
Czech Republic | 0.8 | |||
Germany | 0.8 | |||
Malaysia | 0.5 | |||
Colombia | 0.4 | |||
Poland | 0.4 | |||
Denmark | 0.3 | |||
Hungary | 0.3 | |||
Netherlands | 0.3 | |||
Singapore | 0.3 | |||
Sweden | 0.3 | |||
Canada | 0.2 | |||
Turkey | 0.2 | |||
Chile | 0.1 | |||
Indonesia | 0.1 | |||
South Korea | 0.1 | |||
Taiwan | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Energy | 72.5 | % | ||
Capital Goods | 12.0 | |||
Materials | 8.1 | |||
Utilities | 5.8 | |||
Food, Beverage & Tobacco | 1.6 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
36
GMO Resources Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.7% | ||||||||||
Austria — 1.1% | ||||||||||
43,394 | OMV AG | 1,675,648 | ||||||||
14,536 | Verbund AG | 284,824 | ||||||||
|
| |||||||||
Total Austria | 1,960,472 | |||||||||
|
| |||||||||
Brazil — 3.6% | ||||||||||
8,100 | Cosan SA Industria e Comercio | 168,260 | ||||||||
454,000 | Petroleo Brasileiro SA (Petrobras) | 4,490,311 | ||||||||
12,500 | Tractebel Energia SA | 209,459 | ||||||||
106,300 | Vale SA | 1,382,826 | ||||||||
|
| |||||||||
Total Brazil | 6,250,856 | |||||||||
|
| |||||||||
Canada — 0.2% | ||||||||||
13,600 | Total Energy Services Inc | 279,555 | ||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
56,700 | Empresa Nacional de Electricidad SA | 87,211 | ||||||||
|
| |||||||||
China — 6.3% | ||||||||||
2,280,000 | Asian Citrus Holdings Ltd | 485,463 | ||||||||
110,000 | China Longyuan Power Group Corp Class H | 118,883 | ||||||||
78,000 | China Oilfield Services Ltd – Class H | 229,776 | ||||||||
4,836,000 | CNOOC Ltd | 9,692,519 | ||||||||
660,000 | Minmetals Resources Ltd | 240,062 | ||||||||
2,516,000 | Sinofert Holdings Ltd * | 392,678 | ||||||||
|
| |||||||||
Total China | 11,159,381 | |||||||||
|
| |||||||||
Colombia — 0.4% | ||||||||||
361,115 | Ecopetrol SA | 625,131 | ||||||||
|
| |||||||||
Czech Republic — 0.8% | ||||||||||
45,808 | CEZ AS | 1,329,110 | ||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
8,400 | FLSmidth & Co A/S | 449,666 | ||||||||
|
| |||||||||
France — 6.1% | ||||||||||
10,626 | CGG SA * | 95,234 | ||||||||
55,223 | Electricite de France | 1,795,298 | ||||||||
132,841 | Total SA | 8,765,981 | ||||||||
|
| |||||||||
Total France | 10,656,513 | |||||||||
|
| |||||||||
Germany — 0.8% | ||||||||||
46,926 | K+S AG (Registered) | 1,460,078 | ||||||||
|
| |||||||||
Hungary — 0.3% | ||||||||||
9,297 | MOL Hungarian Oil and Gas Plc | 458,217 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Indonesia — 0.1% | ||||||||||
289,600 | Medco Energi Internasional Tbk PT | 90,288 | ||||||||
|
| |||||||||
Italy — 5.2% | ||||||||||
334,592 | ENI SPA | 8,355,109 | ||||||||
32,836 | Saipem SPA * | 779,730 | ||||||||
|
| |||||||||
Total Italy | 9,134,839 | |||||||||
|
| |||||||||
Japan — 13.2% | ||||||||||
2,400 | Asahi Holdings Inc | 42,463 | ||||||||
198,900 | Inpex Corp | 2,851,664 | ||||||||
289,100 | Itochu Corp | 3,678,787 | ||||||||
308,000 | Marubeni Corp | 2,224,144 | ||||||||
258,500 | Mitsubishi Corp | 5,348,520 | ||||||||
296,300 | Mitsui & Co Ltd | 4,833,915 | ||||||||
42,000 | Nittetsu Mining Co Ltd | 184,156 | ||||||||
18,000 | Shinko Plantech Co Ltd | 139,705 | ||||||||
228,800 | Sumitomo Corp | 2,955,927 | ||||||||
59,000 | Sumitomo Metal Mining Co Ltd | 895,938 | ||||||||
|
| |||||||||
Total Japan | 23,155,219 | |||||||||
|
| |||||||||
Malaysia — 0.5% | ||||||||||
341,200 | KNM Group Berhad * | 103,323 | ||||||||
141,000 | SapuraKencana Petroleum Bhd | 188,722 | ||||||||
219,400 | Sime Darby Bhd | 658,485 | ||||||||
|
| |||||||||
Total Malaysia | 950,530 | |||||||||
|
| |||||||||
Netherlands — 0.3% | ||||||||||
13,660 | Fugro NV | 495,371 | ||||||||
|
| |||||||||
Norway — 8.7% | ||||||||||
19,427 | Aker Solutions ASA | 295,465 | ||||||||
105,914 | Austevoll Seafood ASA | 674,873 | ||||||||
142,041 | BW Offshore Ltd | 196,626 | ||||||||
10,959 | Cermaq ASA | 144,398 | ||||||||
9,347 | Fred Olsen Energy ASA | 219,623 | ||||||||
35,256 | Petroleum Geo-Services ASA | 265,733 | ||||||||
15,926 | ProSafe SE | 97,525 | ||||||||
34,114 | Salmar ASA | 634,137 | ||||||||
293,956 | Statoil ASA | 8,268,922 | ||||||||
46,269 | Subsea 7 SA | 771,308 | ||||||||
23,394 | TGS Nopec Geophysical Co ASA | 660,982 | ||||||||
62,206 | Yara International ASA | 3,118,889 | ||||||||
|
| |||||||||
Total Norway | 15,348,481 | |||||||||
|
| |||||||||
Poland — 0.3% | ||||||||||
15,123 | KGHM Polska Miedz SA | 623,290 | ||||||||
|
| |||||||||
Russia — 9.6% | ||||||||||
971,063 | Gazprom OAO Sponsored ADR | 6,944,340 | ||||||||
152,555 | Lukoil OAO Sponsored ADR | 8,494,313 |
See accompanying notes to the financial statements. | 37 |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
95,381 | Rosneft OJSC GDR (Registered) | 582,348 | ||||||||
22,785 | Tatneft Sponsored ADR | 846,301 | ||||||||
|
| |||||||||
Total Russia | 16,867,302 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
525,000 | Golden Agri-Resources Ltd | 214,323 | ||||||||
252,000 | Indofood Agri Resources Ltd | 174,389 | ||||||||
400,000 | Swiber Holdings Ltd | 156,992 | ||||||||
|
| |||||||||
Total Singapore | 545,704 | |||||||||
|
| |||||||||
South Africa — 3.7% | ||||||||||
3,400 | Anglo American Platinum Ltd * | 141,770 | ||||||||
106,222 | Sasol Ltd | 6,173,387 | ||||||||
16,774 | Tongaat Hulett Ltd | 268,909 | ||||||||
|
| |||||||||
Total South Africa | 6,584,066 | |||||||||
|
| |||||||||
South Korea — 0.1% | ||||||||||
343 | Korea Zinc Co Ltd | 142,306 | ||||||||
|
| |||||||||
Spain — 6.0% | ||||||||||
28,955 | Endesa SA | 1,075,691 | ||||||||
602,202 | Iberdrola SA | 4,424,658 | ||||||||
205,325 | Repsol YPF SA | 5,099,304 | ||||||||
|
| |||||||||
Total Spain | 10,599,653 | |||||||||
|
| |||||||||
Sweden — 0.3% | ||||||||||
47,189 | Sandvik AB | 589,095 | ||||||||
|
| |||||||||
Taiwan — 0.1% | ||||||||||
372,000 | Sinon Corp | 215,978 | ||||||||
|
| |||||||||
Thailand — 2.2% | ||||||||||
292,564 | PTT Exploration & Production Pcl (Foreign Registered) | 1,506,639 | ||||||||
230,594 | PTT Pcl (Foreign Registered) | 2,318,732 | ||||||||
|
| |||||||||
Total Thailand | 3,825,371 | |||||||||
|
| |||||||||
Turkey — 0.2% | ||||||||||
162,325 | Gubre Fabrikalari TAS | 326,797 | ||||||||
|
| |||||||||
United Kingdom — 10.5% | ||||||||||
69,657 | BG Group Plc | 1,388,513 | ||||||||
1,050,388 | BP Plc | 8,379,009 | ||||||||
81,708 | Cairn Energy Plc * | 243,788 | ||||||||
117,024 | Enquest Plc * | 234,197 | ||||||||
37,752 | Premier Oil Plc | 218,153 | ||||||||
119,678 | Royal Dutch Shell Plc A Shares (London) | 4,843,566 | ||||||||
72,934 | Royal Dutch Shell Plc B Shares (London) | 3,080,660 | ||||||||
|
| |||||||||
Total United Kingdom | 18,387,886 | |||||||||
|
|
Shares / Par Value | Description | Value ($) | ||||||||
United States — 11.5% | ||||||||||
68,400 | Chevron Corp. | 8,854,380 | ||||||||
16,300 | Chiquita Brands International, Inc. * | 226,570 | ||||||||
34,900 | ConocoPhillips | 2,834,578 | ||||||||
37,000 | Exxon Mobil Corp. | 3,680,020 | ||||||||
31,300 | Marathon Oil Corp. | 1,304,897 | ||||||||
24,800 | Monsanto Co. | 2,868,119 | ||||||||
8,200 | Murphy Oil Corp. | 512,254 | ||||||||
|
| |||||||||
Total United States | 20,280,818 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $152,050,594) | 162,879,184 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 5.9% | ||||||||||
Brazil — 5.9% | ||||||||||
21,500 | AES Tiete SA | 193,246 | ||||||||
40,500 | Companhia Energetica de Sao Paulo – Class B | 573,350 | ||||||||
719,700 | Petroleo Brasileiro SA (Petrobras) | 7,507,257 | ||||||||
173,687 | Vale SA | 2,015,033 | ||||||||
|
| |||||||||
Total Brazil | 10,288,886 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $7,538,769) | 10,288,886 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.0% | ||||||||||
United States — 1.0% | ||||||||||
Affiliated Issuers | ||||||||||
72,640 | GMO U.S. Treasury Fund | 1,816,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,816,000) | 1,816,000 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||||
Time Deposits — 1.0% | ||||||||||
DKK | 111 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, 09/02/14(b) | 20 | |||||||
EUR | 1,084 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 1,424 | |||||||
SGD | 4,651 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 3,723 | |||||||
USD | 874,716 | Citibank (New York) Time Deposit, 0.06%, due 09/02/14 | 874,716 | |||||||
NOK | 387,397 | DnB Nor Bank (Oslo) Time Deposit, 0.53%, due 09/02/14 | 62,504 | |||||||
USD | 814,869 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 814,869 | |||||||
|
| |||||||||
Total Time Deposits | 1,757,256 | |||||||||
|
|
38 | See accompanying notes to the financial statements. |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value | Description | Value ($) | ||||||||
U.S. Government — 0.1% | ||||||||||
130,000 | U.S. Treasury Bill, 0.03%, due 11/28/14 (a) | 129,991 | ||||||||
|
| |||||||||
Total U.S. Government | 129,991 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,887,249) | 1,887,247 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.7% (Cost $163,292,612) | 176,871,317 | |||||||||
Other Assets and Liabilities (net) — (0.7%) | (1,189,231 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $175,682,086 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The rate shown represents yield-to-maturity. |
(b) | Rounds to 0.00%. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 39 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Mutual Funds | 43.7 | % | ||
Short-Term Investments | 0.4 | |||
Written Options | (0.6 | ) | ||
Other | 56.5 | |||
|
| |||
100.0 | % | |||
|
|
40
GMO Risk Premium Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 43.7% | ||||||||||
Affiliated Issuers | ||||||||||
11,721,441 | GMO U.S. Treasury Fund | 293,036,028 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $293,106,000) | 293,036,028 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||||
2,845,523 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a) | 2,845,523 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,845,523) | 2,845,523 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 44.1% (Cost $295,951,523) | 295,881,551 | |||||||||
Other Assets and Liabilities (net) — 55.9% | 375,238,863 | (b) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $671,120,414 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Written Options
Index Options
Number of | Expiration Date | Descriptions | Premiums | Market Value | ||||||||||||
Put | 632 | 09/19/2014 | Euro STOXX 50, Strike 3,025 | $ | 674,958 | $ | (93,584 | ) | ||||||||
Put | 1,232 | 09/19/2014 | Euro STOXX 50, Strike 3,075 | 924,138 | (314,079 | ) | ||||||||||
Put | 6,473 | 09/19/2014 | Euro STOXX 50, Strike 3,100 | 5,127,439 | (2,045,532 | ) | ||||||||||
Put | 216 | 09/19/2014 | Euro STOXX 50, Strike 3,200 | 199,413 | (180,420 | ) | ||||||||||
Put | 49 | 09/19/2014 | FTSE 100, Strike 6,600 | 116,265 | (13,565 | ) | ||||||||||
Put | 708 | 09/19/2014 | FTSE 100, Strike 6,725 | 885,671 | (403,175 | ) | ||||||||||
Put | 131 | 09/19/2014 | FTSE 100, Strike 6,750 | 168,458 | (86,892 | ) | ||||||||||
Put | 28 | 09/19/2014 | FTSE 100, Strike 6,825 | 33,176 | (29,657 | ) | ||||||||||
Put | 127 | 09/20/2014 | S&P 500, Strike 1,905 | 484,706 | (31,115 | ) | ||||||||||
Put | 497 | 09/20/2014 | S&P 500, Strike 1,955 | 992,301 | (328,020 | ) | ||||||||||
Put | 200 | 09/20/2014 | S&P 500, Strike 1,960 | 519,316 | (144,000 | ) | ||||||||||
Put | 165 | 09/20/2014 | S&P 500, Strike 1,990 | 344,286 | (227,865 | ) | ||||||||||
Put | 120 | 09/20/2014 | S&P 500, Strike 2,000 | 289,990 | (212,400 | ) | ||||||||||
|
|
|
| |||||||||||||
$ | 10,760,117 | $ | (4,110,304 | ) | ||||||||||||
|
|
|
|
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(b) | Amount primarily comprised of cash collateral related to the Fund’s use of options (See “Derivative financial instruments”). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 41 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 93.7 | % | ||
Preferred Stocks | 5.1 | |||
Short-Term Investments | 0.5 | |||
Mutual Funds | 0.4 | |||
Rights/Warrants | 0.1 | |||
Forward Currency Contracts | (0.0 | )^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
France | 18.1 | % | ||
United Kingdom | 15.5 | |||
Germany | 14.7 | |||
Japan | 13.4 | |||
Italy | 6.4 | |||
Spain | 6.1 | |||
South Korea | 3.5 | |||
Russia | 3.0 | |||
China | 2.6 | |||
Brazil | 2.2 | |||
Finland | 1.6 | |||
Switzerland | 1.6 | |||
Netherlands | 1.5 | |||
Norway | 1.5 | |||
Sweden | 1.3 | |||
Belgium | 1.0 | |||
Australia | 0.9 | |||
Israel | 0.9 | |||
Denmark | 0.6 | |||
Taiwan | 0.6 | |||
Hong Kong | 0.5 | |||
Austria | 0.4 | |||
Canada | 0.4 | |||
Ireland | 0.3 | |||
Portugal | 0.3 | |||
Singapore | 0.3 | |||
Czech Republic | 0.2 | |||
Greece | 0.2 | |||
New Zealand | 0.2 | |||
Poland | 0.1 | |||
South Africa | 0.1 | |||
Malta | 0.0 | |||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
Industry Group Summary | % of Equity Investments** | |||
Energy | 22.5 | % | ||
Telecommunication Services | 12.8 | |||
Automobiles & Components | 11.0 | |||
Utilities | 10.6 | |||
Capital Goods | 7.5 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 6.3 | |||
Technology Hardware & Equipment | 6.0 | |||
Materials | 5.5 | |||
Insurance | 3.6 | |||
Banks | 2.7 | |||
Food, Beverage & Tobacco | 2.2 | |||
Food & Staples Retailing | 1.8 | |||
Transportation | 1.6 | |||
Retailing | 1.4 | |||
Consumer Services | 1.2 | |||
Software & Services | 0.7 | |||
Real Estate | 0.7 | |||
Diversified Financials | 0.6 | |||
Media | 0.5 | |||
Health Care Equipment & Services | 0.4 | |||
Consumer Durables & Apparel | 0.2 | |||
Household & Personal Products | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
42
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.7% | ||||||||||
Australia — 0.9% | ||||||||||
127,122 | BlueScope Steel Ltd * | 655,466 | ||||||||
22,927 | CSL Ltd | 1,583,306 | ||||||||
8,509 | Macquarie Group Ltd | 463,955 | ||||||||
164,205 | Telstra Corp Ltd | 853,420 | ||||||||
18,332 | Westpac Banking Corp | 600,892 | ||||||||
|
| |||||||||
Total Australia | 4,157,039 | |||||||||
|
| |||||||||
Austria — 0.4% | ||||||||||
88,088 | Immofinanz AG (Entitlement Shares) * | — | ||||||||
23,089 | OMV AG | 891,576 | ||||||||
20,331 | Voestalpine AG | 872,781 | ||||||||
|
| |||||||||
Total Austria | 1,764,357 | |||||||||
|
| |||||||||
Belgium — 1.0% | ||||||||||
26,968 | Ageas | 905,162 | ||||||||
31,419 | Belgacom SA | 1,120,011 | ||||||||
25,687 | Delhaize Group | 1,788,971 | ||||||||
16,400 | KBC Groep NV * | 935,068 | ||||||||
|
| |||||||||
Total Belgium | 4,749,212 | |||||||||
|
| |||||||||
Brazil — 0.6% | ||||||||||
30,100 | Banco do Brasil SA | 470,493 | ||||||||
140,600 | Electrobras (Centro) | 511,901 | ||||||||
186,600 | Petroleo Brasileiro SA (Petrobras) | 1,845,577 | ||||||||
|
| |||||||||
Total Brazil | 2,827,971 | |||||||||
|
| |||||||||
Canada — 0.4% | ||||||||||
3,300 | Canadian Pacific Railway Ltd | 661,001 | ||||||||
10,500 | Magna International Inc – Class A | 1,190,509 | ||||||||
|
| |||||||||
Total Canada | 1,851,510 | |||||||||
|
| |||||||||
China — 2.5% | ||||||||||
404,500 | China Mobile Ltd | 5,023,510 | ||||||||
2,104,000 | China Petroleum & Chemical Corp – Class H | 2,127,674 | ||||||||
279,000 | China Shenhua Energy Co Ltd – Class H | 806,330 | ||||||||
1,326,000 | CNOOC Ltd | 2,657,626 | ||||||||
936,000 | PetroChina Co Ltd – Class H | 1,330,016 | ||||||||
|
| |||||||||
Total China | 11,945,156 | |||||||||
|
| |||||||||
Czech Republic — 0.2% | ||||||||||
28,615 | CEZ AS | 830,258 | ||||||||
|
| |||||||||
Denmark — 0.6% | ||||||||||
920 | AP Moeller – Maersk A/S – Class B | 2,311,214 | ||||||||
6,665 | Coloplast A/S – Class B | 554,361 | ||||||||
|
| |||||||||
Total Denmark | 2,865,575 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Finland — 1.6% | ||||||||||
61,999 | Fortum Oyj | 1,557,523 | ||||||||
620,689 | Nokia Oyj | 5,212,818 | ||||||||
38,039 | UPM–Kymmene Oyj | 572,564 | ||||||||
|
| |||||||||
Total Finland | 7,342,905 | |||||||||
|
| |||||||||
France — 17.8% | ||||||||||
110,511 | Air France – KLM * | 1,157,519 | ||||||||
23,647 | Alstom SA * | 837,651 | ||||||||
127,804 | ArcelorMittal | 1,857,593 | ||||||||
25,786 | AXA | 639,848 | ||||||||
18,479 | BNP Paribas | 1,248,683 | ||||||||
39,673 | Bouygues SA | 1,458,090 | ||||||||
43,660 | Carrefour SA | 1,515,189 | ||||||||
25,847 | Cie Generale des Etablissements Michelin – Class B (Registered) | 2,859,364 | ||||||||
52,005 | Compagnie de Saint-Gobain | 2,642,093 | ||||||||
67,003 | Credit Agricole SA | 994,356 | ||||||||
33,538 | Electricite de France | 1,090,319 | ||||||||
272,503 | GDF Suez | 6,716,792 | ||||||||
16,002 | GDF Suez VVPR Strip * | 21 | ||||||||
20,452 | Lafarge SA | 1,568,328 | ||||||||
438,929 | Orange | 6,644,069 | ||||||||
93,594 | Peugeot SA * | 1,316,772 | ||||||||
39,902 | Renault SA | 3,126,871 | ||||||||
91,045 | Sanofi | 9,977,839 | ||||||||
28,847 | Schneider Electric SA | 2,440,415 | ||||||||
47,400 | Societe Generale | 2,404,161 | ||||||||
340,090 | Total SA | 22,442,035 | ||||||||
58,625 | Veolia Environnement SA | 1,077,002 | ||||||||
56,393 | Vinci SA | 3,688,704 | ||||||||
230,741 | Vivendi SA | 6,008,298 | ||||||||
|
| |||||||||
Total France | 83,712,012 | |||||||||
|
| |||||||||
Germany — 12.6% | ||||||||||
23,188 | Allianz SE (Registered) | 3,959,897 | ||||||||
110,547 | BASF SE | 11,396,676 | ||||||||
50,055 | Bayerische Motoren Werke AG | 5,841,788 | ||||||||
16,170 | Celesio AG | 549,839 | ||||||||
2,860 | Continental AG | 612,098 | ||||||||
129,055 | Daimler AG (Registered) | 10,586,983 | ||||||||
39,507 | Deutsche Lufthansa AG (Registered) | 686,544 | ||||||||
29,285 | Deutsche Post AG (Registered) | 960,140 | ||||||||
276,871 | Deutsche Telekom AG (Registered) | 4,149,510 | ||||||||
13,366 | Duerr AG | 1,031,943 | ||||||||
443,367 | E.ON AG | 8,069,306 | ||||||||
18,703 | Freenet AG | 501,140 | ||||||||
6,046 | Hannover Rueck SE | 502,905 | ||||||||
27,558 | K+S AG (Registered) | 857,453 | ||||||||
5,987 | Leoni AG | 370,180 | ||||||||
4,974 | Merck KGaA | 434,016 |
See accompanying notes to the financial statements. | 43 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
20,478 | Metro AG * | 721,317 | ||||||||
7,822 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 1,570,455 | ||||||||
125,820 | RWE AG | 4,933,841 | ||||||||
6,328 | Salzgitter AG | 236,654 | ||||||||
5,757 | Volkswagen AG | 1,293,479 | ||||||||
|
| |||||||||
Total Germany | 59,266,164 | |||||||||
|
| |||||||||
Greece — 0.2% | ||||||||||
33,784 | OPAP SA | 541,055 | ||||||||
29,228 | Public Power Corp SA * | 425,731 | ||||||||
|
| |||||||||
Total Greece | 966,786 | |||||||||
|
| |||||||||
Hong Kong — 0.5% | ||||||||||
139,000 | Galaxy Entertainment Group Ltd | 1,045,686 | ||||||||
136,800 | Sands China Ltd | 890,608 | ||||||||
17,000 | Swire Pacific Ltd | 229,163 | ||||||||
|
| |||||||||
Total Hong Kong | 2,165,457 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
53,331 | CRH Plc | 1,229,157 | ||||||||
16,028 | Smurfit Kappa Group Plc | 363,769 | ||||||||
|
| |||||||||
Total Ireland | 1,592,926 | |||||||||
|
| |||||||||
Israel — 0.9% | ||||||||||
45,900 | Check Point Software Technologies Ltd * | 3,259,818 | ||||||||
20,781 | Teva Pharmaceutical Industries Ltd | 1,091,149 | ||||||||
|
| |||||||||
Total Israel | 4,350,967 | |||||||||
|
| |||||||||
Italy — 6.3% | ||||||||||
747,890 | A2A SPA | 820,734 | ||||||||
31,917 | Azimut Holding SPA | 831,731 | ||||||||
3,603 | Danieli & Co SPA – RSP | 78,326 | ||||||||
1,430,332 | Enel SPA | 7,576,001 | ||||||||
359,822 | ENI SPA | 8,985,128 | ||||||||
22,211 | Exor SPA | 884,578 | ||||||||
135,201 | Fiat SPA * | 1,322,272 | ||||||||
192,080 | Finmeccanica SPA * | 1,801,198 | ||||||||
278,930 | Mediaset SPA * | 1,153,698 | ||||||||
105,112 | Mediolanum SPA | 782,805 | ||||||||
16,849 | Saipem SPA * | 400,099 | ||||||||
2,593,300 | Telecom Italia SPA * | 2,991,575 | ||||||||
1,340,255 | Telecom Italia SPA-Di RISP | 1,234,210 | ||||||||
119,443 | Unipol Gruppo Finanziario SPA | 652,227 | ||||||||
|
| |||||||||
Total Italy | 29,514,582 | |||||||||
|
| |||||||||
Japan — 13.2% | ||||||||||
39,525 | Accordia Golf Co Ltd | 472,582 | ||||||||
4,200 | Asatsu-DK, Inc. | 110,833 | ||||||||
34,300 | Canon Inc | 1,119,331 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
3,900 | Central Japan Railway Co | 546,831 | ||||||||
63,000 | Cosmo Oil Co Ltd | 118,162 | ||||||||
19,100 | Daito Trust Construction Co Ltd | 2,364,371 | ||||||||
7,300 | FujiFilm Holdings Corp | 220,418 | ||||||||
83,000 | Fuji Electric Co Ltd | 401,959 | ||||||||
76,700 | Fuji Heavy Industries Ltd | 2,184,436 | ||||||||
28,800 | Hakuhodo DY Holdings Inc | 298,030 | ||||||||
54,000 | Hanwa Co Ltd | 213,053 | ||||||||
124,400 | Haseko Corp | 1,030,707 | ||||||||
69,500 | Honda Motor Co Ltd | 2,359,264 | ||||||||
19,600 | Idemitsu Kosan Co Ltd | 430,188 | ||||||||
78,700 | Inpex Corp | 1,128,336 | ||||||||
209,000 | Itochu Corp | 2,659,518 | ||||||||
197,900 | Japan Tobacco, Inc. | 6,780,760 | ||||||||
23,100 | JFE Holdings Inc | 467,652 | ||||||||
188,100 | JX Holdings Inc | 967,922 | ||||||||
14,760 | K’s Holdings Corp | 412,350 | ||||||||
58,500 | Kansai Electric Power Co Inc (The) * | 535,319 | ||||||||
16,900 | Kao Corp | 729,055 | ||||||||
33,000 | KDDI Corp. | 1,906,913 | ||||||||
57,800 | Kyocera Corp | 2,707,235 | ||||||||
83,800 | Leopalace21 Corp * | 482,234 | ||||||||
231,000 | Marubeni Corp | 1,668,108 | ||||||||
44,000 | Mazda Motor Corp | 1,041,044 | ||||||||
29,300 | Medipal Holdings Corp | 379,422 | ||||||||
89,500 | Mitsubishi Chemical Holdings Corp | 446,767 | ||||||||
125,400 | Mitsubishi Corp | 2,594,601 | ||||||||
140,200 | Mitsui & Co Ltd | 2,287,259 | ||||||||
120,000 | Mitsui OSK Lines Ltd | 439,726 | ||||||||
13,500 | Nagase & Co | 165,867 | ||||||||
48,700 | Nippon Telegraph & Telephone Corp | 3,271,195 | ||||||||
72,000 | Nippon Yusen Kabushiki Kaisha | 211,947 | ||||||||
740,000 | Nissan Motor Co Ltd | 7,108,090 | ||||||||
9,200 | Nitori Holdings Co Ltd | 552,203 | ||||||||
111,200 | NTT Docomo Inc | 1,925,668 | ||||||||
92,200 | Resona Holdings Inc | 500,440 | ||||||||
16,400 | Ricoh Co Ltd | 178,014 | ||||||||
3,900 | Ryohin Keikaku Co Ltd | 438,150 | ||||||||
2,200 | Shimamura Co Ltd | 198,333 | ||||||||
13,600 | SoftBank Corp | 982,671 | ||||||||
309,200 | Sojitz Corp | 511,883 | ||||||||
127,500 | Sumitomo Corp | 1,647,206 | ||||||||
27,000 | Sumitomo Metal Mining Co Ltd | 410,006 | ||||||||
129,000 | Sumitomo Mitsui Trust Holdings Inc | 529,562 | ||||||||
6,200 | Suzuken Co Ltd | 206,557 | ||||||||
20,600 | Takeda Pharmaceutical Co Ltd | 941,086 | ||||||||
189,000 | Tosoh Corp | 782,634 | ||||||||
52,200 | Toyota Tsusho Corp | 1,378,998 | ||||||||
30,660 | USS Co Ltd | 505,780 | ||||||||
43,300 | Yamada Denki Co Ltd | 139,109 | ||||||||
|
| |||||||||
Total Japan | 62,089,785 | |||||||||
|
|
44 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Malta — 0.0% | ||||||||||
1,718,063 | BGP Holdings Plc * | — | ||||||||
|
| |||||||||
Netherlands — 1.5% | ||||||||||
191,716 | Aegon NV | 1,516,020 | ||||||||
23,915 | Delta Lloyd NV | 576,252 | ||||||||
2,979 | Fugro NV | 108,031 | ||||||||
54,456 | ING Groep NV * | 749,470 | ||||||||
126,063 | Koninklijke Ahold NV | 2,153,752 | ||||||||
54,793 | Koninklijke BAM Groep NV | 129,822 | ||||||||
588,916 | Koninklijke KPN NV * | 1,965,831 | ||||||||
|
| |||||||||
Total Netherlands | 7,199,178 | |||||||||
|
| |||||||||
New Zealand — 0.2% | ||||||||||
301,434 | Spark New Zealand Ltd | 739,915 | ||||||||
|
| |||||||||
Norway — 1.5% | ||||||||||
159,573 | Statoil ASA | 4,488,756 | ||||||||
37,292 | Telenor ASA | 856,640 | ||||||||
32,186 | Yara International ASA | 1,613,744 | ||||||||
|
| |||||||||
Total Norway | 6,959,140 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
30,519 | Polski Koncern Naftowy Orlen SA | 376,703 | ||||||||
|
| |||||||||
Portugal — 0.3% | ||||||||||
323,725 | EDP-Energias de Portugal SA | 1,568,539 | ||||||||
|
| |||||||||
Russia — 2.8% | ||||||||||
687,089 | Gazprom OAO Sponsored ADR | 4,913,563 | ||||||||
114,731 | Lukoil OAO Sponsored ADR | 6,388,261 | ||||||||
105,267 | Surgutneftegas Sponsored ADR | 728,863 | ||||||||
33,408 | Tatneft Sponsored ADR | 1,240,870 | ||||||||
|
| |||||||||
Total Russia | 13,271,557 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
2,459,000 | Golden Agri-Resources Ltd | 1,003,848 | ||||||||
145,670 | Singapore Telecommunications Ltd | 453,447 | ||||||||
|
| |||||||||
Total Singapore | 1,457,295 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
50,368 | Telkom South Africa Ltd * | 269,930 | ||||||||
|
| |||||||||
South Korea — 2.1% | ||||||||||
2,217 | Hyundai Mobis | 643,130 | ||||||||
18,670 | KT Corp | 645,132 | ||||||||
6,182 | Samsung Electronics Co Ltd | 7,527,151 | ||||||||
5,772 | SK Holdings Co Ltd | 914,269 | ||||||||
|
| |||||||||
Total South Korea | 9,729,682 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Spain — 6.0% | ||||||||||
29,885 | ACS Actividades de Construccion y Servicios SA | 1,258,810 | ||||||||
122,598 | Banco Santander SA | 1,221,451 | ||||||||
64,859 | Distribuidora Internacional de Alimentacion SA | 545,619 | ||||||||
22,039 | Enagas | 735,089 | ||||||||
35,361 | Ferrovial SA | 719,739 | ||||||||
85,201 | Gas Natural SDG SA | 2,612,373 | ||||||||
13,135 | Grifols SA | 611,875 | ||||||||
856,057 | Iberdrola SA | 6,289,848 | ||||||||
118,135 | Repsol YPF SA | 2,933,916 | ||||||||
720,578 | Telefonica SA | 11,431,814 | ||||||||
|
| |||||||||
Total Spain | 28,360,534 | |||||||||
|
| |||||||||
Sweden — 1.3% | ||||||||||
134,116 | Ericsson LM – Class B | 1,671,292 | ||||||||
15,638 | Investor AB | 580,753 | ||||||||
23,475 | Swedbank AB – Class A | 598,335 | ||||||||
331,240 | TeliaSonera AB | 2,419,325 | ||||||||
49,426 | Volvo AB – Class B | 590,939 | ||||||||
|
| |||||||||
Total Sweden | 5,860,644 | |||||||||
|
| |||||||||
Switzerland — 1.6% | ||||||||||
23,664 | Holcim Ltd (Registered) | 1,883,457 | ||||||||
17,491 | Novartis AG (Registered) | 1,571,505 | ||||||||
3,166 | Swiss Life Holding AG (Registered) | 798,712 | ||||||||
850 | Swisscom AG (Registered) | 493,805 | ||||||||
16,265 | Transocean Ltd | 626,557 | ||||||||
6,659 | Zurich Insurance Group AG | 2,010,367 | ||||||||
|
| |||||||||
Total Switzerland | 7,384,403 | |||||||||
|
| |||||||||
Taiwan — 0.6% | ||||||||||
839,000 | Compal Electronics Inc | 745,736 | ||||||||
398,720 | Hon Hai Precision Industry Co Ltd | 1,363,823 | ||||||||
421,270 | Wistron Corp | 493,621 | ||||||||
|
| |||||||||
Total Taiwan | 2,603,180 | |||||||||
|
| |||||||||
United Kingdom — 15.3% | ||||||||||
30,154 | Amlin Plc | 225,412 | ||||||||
14,027 | Associated British Foods Plc | 667,235 | ||||||||
173,224 | AstraZeneca Plc | 13,218,445 | ||||||||
247,022 | BAE Systems Plc | 1,827,974 | ||||||||
55,298 | Balfour Beatty Plc | 222,639 | ||||||||
309,295 | Barclays Plc | 1,153,618 | ||||||||
1,686,439 | BP Plc | 13,452,826 | ||||||||
25,821 | Bunzl Plc | 705,867 | ||||||||
149,732 | Centrica Plc | 794,797 | ||||||||
153,565 | Cobham Plc | 757,918 | ||||||||
50,056 | Drax Group Plc | 521,521 | ||||||||
24,214 | easyJet Plc | 536,841 |
See accompanying notes to the financial statements. | 45 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
32,951 | Halfords Group Plc | 261,030 | ||||||||
110,495 | Home Retail Group Plc | 336,379 | ||||||||
39,292 | Imperial Tobacco Group Plc | 1,714,897 | ||||||||
40,924 | Inchcape Plc | 459,146 | ||||||||
282,467 | Legal & General Group Plc | 1,134,311 | ||||||||
919,021 | Lloyds Banking Group Plc * | 1,164,970 | ||||||||
20,600 | Marks & Spencer Group Plc | 147,145 | ||||||||
24,682 | Next Plc | 2,908,339 | ||||||||
51,479 | Prudential Plc | 1,240,902 | ||||||||
313,692 | Royal Dutch Shell Plc A Shares (London) | 12,695,633 | ||||||||
184,693 | Royal Dutch Shell Plc B Shares (London) | 7,801,250 | ||||||||
420,452 | Tesco Plc | 1,607,151 | ||||||||
437,692 | Thomas Cook Group Plc * | 908,037 | ||||||||
134,373 | TUI Travel Plc | 831,327 | ||||||||
778,253 | Vodafone Group Plc | 2,674,763 | ||||||||
5,696 | Whitbread Plc | 415,352 | ||||||||
106,984 | William Hill Plc | 622,158 | ||||||||
77,807 | WM Morrison Supermarkets Plc | 229,510 | ||||||||
32,257 | WPP Plc | 676,944 | ||||||||
|
| |||||||||
Total United Kingdom | 71,914,337 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $351,487,880) | 439,687,699 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 5.1% | ||||||||||
Brazil — 1.6% | ||||||||||
131,600 | Centrais Eletricas Brasileiras SA – Class B | 726,049 | ||||||||
24,500 | Companhia Paranaense de Energia – Class B | 434,072 | ||||||||
150,200 | Companhia Energetica de Minas Gerais | 1,285,607 | ||||||||
25,000 | Metalurgica Gerdau SA | 177,128 | ||||||||
374,200 | Petroleo Brasileiro SA (Petrobras) | 3,903,315 | ||||||||
43,100 | Telefonica Brasil SA | 921,302 | ||||||||
|
| |||||||||
Total Brazil | 7,447,473 | |||||||||
|
| |||||||||
Germany — 1.9% | ||||||||||
30,589 | Porsche Automobil Holding SE | 2,791,686 | ||||||||
28,009 | Volkswagen AG | 6,312,808 | ||||||||
|
| |||||||||
Total Germany | 9,104,494 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
61,000 | Surgutneftegaz Sponsored ADR | 439,200 | ||||||||
|
| |||||||||
South Korea — 1.5% | ||||||||||
6,715 | Samsung Electronics Co Ltd | 6,762,060 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $21,570,226) | 23,753,227 | |||||||||
|
|
Shares / Par Value | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.1% | ||||||||||
France — 0.1% | ||||||||||
126,356 | Peugeot SA Warrants, Expires 04/29/17 * | 267,633 | ||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
5,333 | Sun Hung Kai Properties Ltd Warrants, Expires 04/22/16 * | 13,143 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $111,021) | 280,776 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.4% | ||||||||||
United States — 0.4% | ||||||||||
Affiliated Issuers | ||||||||||
82,560 | GMO U.S. Treasury Fund | 2,064,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,064,000) | 2,064,000 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||||
Time Deposits — 0.2% | ||||||||||
CAD | 982 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.23%, due 09/02/14 | 903 | |||||||
DKK | 109 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/02/14 (a) | 19 | |||||||
EUR | 1,524 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 2,003 | |||||||
JPY | 1,794,400 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 17,247 | |||||||
SGD | 14,567 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 11,663 | |||||||
ZAR | 49,483 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.20%, due 09/02/14 | 4,639 | |||||||
NOK | 215,428 | DnB Nor Bank (Oslo) Time Deposit, 0.53%, due 09/02/14 | 34,758 | |||||||
USD | 951,090 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 951,090 | |||||||
|
| |||||||||
Total Time Deposits | 1,022,322 | |||||||||
|
| |||||||||
U.S. Government — 0.3% | ||||||||||
1,548,000 | U.S. Treasury Bill, 0.12%, due 10/16/14 (b) | 1,547,974 | ||||||||
|
| |||||||||
Total U.S. Government | 1,547,974 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,570,296) | 2,570,296 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $377,803,423) | 468,355,998 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 1,030,368 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $469,386,366 | |||||||||
|
|
46 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BCLY | AUD | 1,469,230 | USD | 1,360,734 | $ | (5,750 | ) | ||||||||||||||
10/31/2014 | BNYM | AUD | 916,665 | USD | 848,703 | (3,858 | ) | |||||||||||||||
10/31/2014 | BOA | AUD | 1,124,993 | USD | 1,042,066 | (4,254 | ) | |||||||||||||||
10/31/2014 | MSCI | AUD | 420,053 | USD | 389,003 | (1,675 | ) | |||||||||||||||
10/31/2014 | BBH | CAD | 571,199 | USD | 520,540 | (4,070 | ) | |||||||||||||||
10/31/2014 | BOA | CAD | 611,753 | USD | 557,572 | (4,285 | ) | |||||||||||||||
10/31/2014 | MSCI | CAD | 945,866 | USD | 862,381 | (6,338 | ) | |||||||||||||||
10/31/2014 | BBH | CHF | 1,082,655 | USD | 1,190,961 | 10,988 | ||||||||||||||||
10/31/2014 | BCLY | CHF | 1,320,519 | USD | 1,452,134 | 12,915 | ||||||||||||||||
10/31/2014 | BOA | CHF | 1,082,655 | USD | 1,190,830 | 10,857 | ||||||||||||||||
10/31/2014 | DB | CHF | 2,313,437 | USD | 2,544,587 | 23,199 | ||||||||||||||||
10/31/2014 | MSCI | CHF | 428,566 | USD | 471,370 | 4,281 | ||||||||||||||||
10/31/2014 | BBH | GBP | 1,686,365 | USD | 2,841,137 | 42,860 |
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BCLY | GBP | 770,084 | USD | 1,297,337 | $ | 19,495 | |||||||||||||||
10/31/2014 | BOA | GBP | 2,885,096 | USD | 4,859,858 | 72,461 | ||||||||||||||||
10/31/2014 | DB | GBP | 1,807,797 | USD | 3,045,867 | 46,091 | ||||||||||||||||
10/31/2014 | MSCI | GBP | 2,413,803 | USD | 4,067,146 | 61,791 | ||||||||||||||||
10/31/2014 | BBH | USD | 1,140,642 | EUR | 851,969 | (20,779 | ) | |||||||||||||||
10/31/2014 | BBH | USD | 3,873,233 | JPY | 397,703,570 | (49,120 | ) | |||||||||||||||
10/31/2014 | BCLY | USD | 4,407,562 | JPY | 452,531,013 | (56,257 | ) | |||||||||||||||
10/31/2014 | BOA | USD | 4,283,187 | JPY | 439,761,191 | (54,670 | ) | |||||||||||||||
10/31/2014 | DB | USD | 841,753 | EUR | 629,080 | (14,865 | ) | |||||||||||||||
10/31/2014 | DB | USD | 2,394,374 | JPY | 246,039,880 | (28,581 | ) | |||||||||||||||
10/31/2014 | MSCI | USD | 2,118,418 | JPY | 217,553,390 | (26,537 | ) | |||||||||||||||
10/31/2014 | SSB | USD | 2,464,482 | JPY | 253,006,143 | (31,705 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (7,806 | ) | ||||||||||||||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Rate rounds to 0.00%. |
(b) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 47 |
GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund)
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 98.8 | % | ||
Short-Term Investments | 1.2 | |||
Mutual Funds | 0.4 | |||
Other | (0.4 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments* | |||
Software & Services | 21.7 | % | ||
Energy | 13.6 | |||
Health Care Equipment & Services | 12.3 | |||
Food, Beverage & Tobacco | 9.7 | |||
Technology Hardware & Equipment | 8.4 | |||
Retailing | 6.7 | |||
Capital Goods | 6.2 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 5.9 | |||
Household & Personal Products | 4.3 | |||
Banks | 3.2 | |||
Food & Staples Retailing | 2.4 | |||
Consumer Durables & Apparel | 1.9 | |||
Consumer Services | 1.4 | |||
Materials | 1.1 | |||
Semiconductors & Semiconductor Equipment | 0.6 | |||
Transportation | 0.4 | |||
Commercial & Professional Services | 0.1 | |||
Automobiles & Components | 0.1 | |||
Media | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
48
GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund)
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.8% | ||||||||||
Automobiles & Components — 0.1% | ||||||||||
129,200 | Gentex Corp. | 3,817,860 | ||||||||
|
| |||||||||
Banks — 3.2% | ||||||||||
3,418,700 | JPMorgan Chase & Co. | 203,241,715 | ||||||||
855,800 | Wells Fargo & Co. | 44,022,352 | ||||||||
|
| |||||||||
Total Banks | 247,264,067 | |||||||||
|
| |||||||||
Capital Goods — 6.1% | ||||||||||
890,100 | 3M Co. | 128,174,400 | ||||||||
216,600 | Ametek, Inc. | 11,466,804 | ||||||||
29,200 | Applied Industrial Technologies, Inc. | 1,422,332 | ||||||||
38,300 | Clarcor, Inc. | 2,420,943 | ||||||||
772,500 | Danaher Corp. | 59,181,225 | ||||||||
115,400 | Donaldson Co., Inc. | 4,830,644 | ||||||||
165,500 | Dover Corp. | 14,542,485 | ||||||||
1,043,200 | Emerson Electric Co. | 66,785,664 | ||||||||
176,123 | Fastenal Co. | 7,974,849 | ||||||||
38,400 | Flowserve Corp. | 2,914,176 | ||||||||
111,900 | Honeywell International, Inc. | 10,656,237 | ||||||||
52,700 | Hubbell, Inc. – Class B | 6,371,430 | ||||||||
523,100 | Illinois Tool Works, Inc. | 46,142,651 | ||||||||
34,500 | MSC Industrial Direct Co., Inc. – Class A | 3,109,830 | ||||||||
95,000 | Pall Corp. | 8,015,150 | ||||||||
154,900 | Precision Castparts Corp. | 37,804,894 | ||||||||
156,100 | Rockwell Automation, Inc. | 18,202,821 | ||||||||
37,900 | Rockwell Collins, Inc. | 2,917,542 | ||||||||
66,000 | Roper Industries, Inc. | 9,936,960 | ||||||||
17,500 | Snap-on, Inc. | 2,186,625 | ||||||||
20,300 | Toro Co. (The) | 1,249,059 | ||||||||
11,200 | Valmont Industries, Inc. | 1,576,400 | ||||||||
72,000 | Wabtec Corp. | 6,001,920 | ||||||||
64,700 | WW Grainger, Inc. | 15,929,140 | ||||||||
|
| |||||||||
Total Capital Goods | 469,814,181 | |||||||||
|
| |||||||||
Commercial & Professional Services — 0.1% | ||||||||||
33,700 | Copart, Inc. * | 1,160,291 | ||||||||
92,200 | Equifax, Inc. | 7,261,672 | ||||||||
12,200 | Rollins, Inc. | 362,950 | ||||||||
|
| |||||||||
Total Commercial Services & Supplies | 8,784,913 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 1.9% | ||||||||||
250,600 | Coach, Inc. | 9,229,598 | ||||||||
43,800 | Fossil Group, Inc. * | 4,436,502 | ||||||||
55,700 | Garmin Ltd. | 3,026,181 | ||||||||
92,600 | Hasbro, Inc. | 4,875,853 | ||||||||
413,400 | Mattel, Inc. | 14,258,166 | ||||||||
797,880 | Nike, Inc. – Class B | 62,673,474 | ||||||||
48,300 | Polaris Industries, Inc. | 7,021,854 |
Shares | Description | Value ($) | ||||||||
Consumer Durables & Apparel — continued | ||||||||||
50,900 | Ralph Lauren Corp. | 8,612,280 | ||||||||
44,400 | Steven Madden Ltd. * | 1,509,156 | ||||||||
1,200 | Taylor Morrison Home Corp. – Class A * | 23,808 | ||||||||
47,500 | Tupperware Brands Corp. | 3,479,850 | ||||||||
422,900 | VF Corp. | 27,116,348 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 146,263,070 | |||||||||
|
| |||||||||
Consumer Services — 1.4% | ||||||||||
96,457 | Apollo Education Group, Inc. * | 2,678,611 | ||||||||
11,800 | Buffalo Wild Wings, Inc. * | �� | 1,743,450 | |||||||
2,400 | Capella Education Co. | 156,264 | ||||||||
41,300 | Grand Canyon Education, Inc. * | 1,785,812 | ||||||||
1,056,100 | McDonald’s Corp. | 98,977,692 | ||||||||
10,900 | Panera Bread Co. – Class A * | 1,634,346 | ||||||||
87,400 | Texas Roadhouse, Inc. | 2,323,966 | ||||||||
|
| |||||||||
Total Consumer Services | 109,300,141 | |||||||||
|
| |||||||||
Energy — 13.5% | ||||||||||
433,900 | Apache Corp. | 44,184,037 | ||||||||
2,848,444 | Chevron Corp. | 368,731,076 | ||||||||
1,552,900 | ConocoPhillips | 126,126,538 | ||||||||
32,600 | Denbury Resources, Inc. | 561,372 | ||||||||
195,800 | Devon Energy Corp. | 14,767,236 | ||||||||
3,222,400 | Exxon Mobil Corp. | 320,499,904 | ||||||||
243,600 | Hess Corp. | 24,627,960 | ||||||||
966,100 | Marathon Oil Corp. | 40,276,709 | ||||||||
233,300 | Murphy Oil Corp. | 14,574,251 | ||||||||
4,300 | Newfield Exploration Co. * | 192,726 | ||||||||
734,000 | Occidental Petroleum Corp. | 76,137,820 | ||||||||
97,200 | Oceaneering International, Inc. | 6,761,232 | ||||||||
8,500 | Stone Energy Corp. * | 299,115 | ||||||||
2,800 | Whiting Petroleum Corp. * | 259,448 | ||||||||
21,400 | WPX Energy, Inc. * | 569,668 | ||||||||
|
| |||||||||
Total Energy | 1,038,569,092 | |||||||||
|
| |||||||||
Food & Staples Retailing — 2.4% | ||||||||||
419,000 | Costco Wholesale Corp. | 50,732,520 | ||||||||
454,600 | Sysco Corp. | 17,197,518 | ||||||||
34,600 | United Natural Foods, Inc. * | 2,224,434 | ||||||||
1,488,878 | Wal-Mart Stores, Inc. | 112,410,289 | ||||||||
|
| |||||||||
Total Food & Staples Retailing | 182,564,761 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 9.6% | ||||||||||
80,850 | Brown-Forman Corp. – Class B | 7,491,561 | ||||||||
5,387,300 | Coca-Cola Co. (The) | 224,758,156 | ||||||||
112,900 | General Mills, Inc. | 6,026,602 | ||||||||
96,900 | Hershey Co. (The) | 8,858,598 | ||||||||
130,600 | Hormel Foods Corp. | 6,618,808 | ||||||||
18,600 | Lancaster Colony Corp. | 1,644,426 |
See accompanying notes to the financial statements. | 49 |
GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Food, Beverage & Tobacco — continued | ||||||||||
680 | Lorillard, Inc. | 40,596 | ||||||||
121,100 | McCormick & Co., Inc. (Non Voting) | 8,439,459 | ||||||||
79,100 | Monster Beverage Corp. * | 6,993,231 | ||||||||
719,075 | PepsiCo, Inc. | 66,507,247 | ||||||||
4,508,403 | Philip Morris International, Inc. | 385,829,128 | ||||||||
300,500 | Reynolds American, Inc. | 17,570,235 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 740,778,047 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 12.2% | ||||||||||
1,641,900 | Abbott Laboratories | 69,353,856 | ||||||||
656,200 | Baxter International, Inc. | 49,201,876 | ||||||||
237,700 | Becton, Dickinson and Co. | 27,851,309 | ||||||||
203,260 | Cerner Corp. * | 11,719,972 | ||||||||
761,807 | Covidien Plc | 66,147,702 | ||||||||
89,170 | CR Bard, Inc. | 13,236,395 | ||||||||
82,700 | Edwards Lifesciences Corp. * | 8,208,802 | ||||||||
5,301,950 | Express Scripts Holding Co. * | 391,973,163 | ||||||||
107,500 | Henry Schein, Inc. * | 12,866,675 | ||||||||
212,700 | Humana, Inc. | 27,382,998 | ||||||||
26,700 | IDEXX Laboratories, Inc. * | 3,309,999 | ||||||||
29,060 | Intuitive Surgical, Inc. * | 13,658,490 | ||||||||
43,900 | Laboratory Corp. of America Holdings * | 4,707,397 | ||||||||
63,600 | Masimo Corp. * | 1,427,184 | ||||||||
53,000 | Mednax, Inc. * | 3,034,250 | ||||||||
411,400 | Medtronic, Inc. | 26,267,890 | ||||||||
7,800 | MWI Veterinary Supply, Inc. * | 1,107,990 | ||||||||
17,800 | Owens & Minor, Inc. | 612,320 | ||||||||
48,200 | Patterson Cos., Inc. | 1,941,014 | ||||||||
72,700 | ResMed, Inc. | 3,856,735 | ||||||||
45,600 | Sirona Dental Systems, Inc. * | 3,716,856 | ||||||||
405,500 | Stryker Corp. | 33,782,205 | ||||||||
337,000 | St Jude Medical, Inc. | 22,103,830 | ||||||||
1,243,974 | UnitedHealth Group, Inc. | 107,827,666 | ||||||||
114,700 | Varian Medical Systems, Inc. * | 9,751,794 | ||||||||
92,300 | WellPoint, Inc. | 10,753,873 | ||||||||
151,525 | Zimmer Holdings, Inc. | 15,047,948 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 940,850,189 | |||||||||
|
| |||||||||
Household & Personal Products — 4.2% | ||||||||||
141,100 | Church & Dwight Co., Inc. | 9,628,664 | ||||||||
1,207,120 | Colgate-Palmolive Co. | 78,136,878 | ||||||||
137,300 | Estee Lauder Cos., Inc. (The) – Class A | 10,548,759 | ||||||||
132,400 | Herbalife Ltd. | 6,749,752 | ||||||||
2,653,200 | Procter & Gamble Co. (The) | 220,507,452 | ||||||||
5,100 | WD-40 Co. | 350,370 | ||||||||
|
| |||||||||
Total Household & Personal Products | 325,921,875 | |||||||||
|
| |||||||||
Materials — 1.1% | ||||||||||
53,900 | AptarGroup, Inc. | 3,457,685 | ||||||||
30,200 | International Flavors & Fragrances, Inc. | 3,068,018 |
Shares | Description | Value ($) | ||||||||
Materials — continued | ||||||||||
586,200 | Monsanto Co. | 67,794,030 | ||||||||
124,900 | Sigma-Aldrich Corp. | 12,989,600 | ||||||||
|
| |||||||||
Total Materials | 87,309,333 | |||||||||
|
| |||||||||
Media — 0.1% | ||||||||||
41,300 | Scripps Networks Interactive, Inc. – Class A | 3,292,023 | ||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.8% | ||||||||||
173,600 | Allergan, Inc. | 28,414,848 | ||||||||
373,800 | Amgen, Inc. | 52,100,244 | ||||||||
162,390 | Biogen Idec, Inc. * | 55,706,266 | ||||||||
476,800 | Eli Lilly & Co. | 30,305,408 | ||||||||
2,561,400 | Johnson & Johnson | 265,694,022 | ||||||||
23,500 | Mettler-Toledo International, Inc. * | 6,356,280 | ||||||||
26,700 | Techne Corp. | 2,550,384 | ||||||||
83,100 | Waters Corp. * | 8,595,033 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 449,722,485 | |||||||||
|
| |||||||||
Retailing — 6.6% | ||||||||||
1,180,785 | Amazon.com, Inc. * | 400,333,347 | ||||||||
780,800 | Bed Bath & Beyond, Inc. * | 50,174,208 | ||||||||
11,100 | Buckle, Inc. (The) | 545,898 | ||||||||
178,200 | Genuine Parts Co. | 15,635,268 | ||||||||
24,900 | Hibbett Sports, Inc. * | 1,131,207 | ||||||||
134,300 | Ross Stores, Inc. | 10,128,906 | ||||||||
81,000 | Tiffany & Co. | 8,176,140 | ||||||||
321,917 | TJX Cos, Inc. (The) | 19,189,472 | ||||||||
87,300 | Urban Outfitters, Inc. * | 3,473,667 | ||||||||
|
| |||||||||
Total Retailing | 508,788,113 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.5% | ||||||||||
351,800 | Analog Devices, Inc. | 17,984,016 | ||||||||
212,000 | Linear Technology Corp. | 9,563,320 | ||||||||
23,400 | Synaptics, Inc. * | 1,921,140 | ||||||||
291,500 | Xilinx, Inc. | 12,315,875 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 41,784,351 | |||||||||
|
| |||||||||
Software & Services — 21.4% | ||||||||||
832,300 | Accenture Plc – Class A | 67,466,238 | ||||||||
112,400 | Akamai Technologies, Inc. * | 6,791,208 | ||||||||
68,800 | Ansys, Inc. * | 5,593,440 | ||||||||
325,300 | CA, Inc. | 9,186,472 | ||||||||
215,900 | Citrix Systems, Inc. * | 15,169,134 | ||||||||
720,200 | Cognizant Technology Solutions Corp. – Class A * | 32,934,746 | ||||||||
1,464,600 | eBay, Inc. * | 81,285,300 | ||||||||
28,300 | FactSet Research Systems, Inc. | 3,605,420 | ||||||||
29,000 | Gartner, Inc. * | 2,163,110 | ||||||||
6,900 | Global Payments, Inc. | 501,768 |
50 | See accompanying notes to the financial statements. |
GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Software & Services — continued | ||||||||||
402,120 | Google, Inc. – Class A * | 234,178,603 | ||||||||
148,020 | Google, Inc. – Class C * | 84,608,232 | ||||||||
72,400 | Informatica Corp. * | 2,465,582 | ||||||||
1,322,656 | International Business Machines Corp. | 254,346,749 | ||||||||
286,900 | Intuit, Inc. | 23,864,342 | ||||||||
78,700 | Jack Henry & Associates, Inc. | 4,549,647 | ||||||||
598,920 | Mastercard, Inc. – Class A | 45,404,125 | ||||||||
67,800 | Micros Systems, Inc. * | 4,608,366 | ||||||||
8,026,957 | Microsoft Corp. | 364,664,657 | ||||||||
29,000 | NetScout Systems, Inc. * | 1,336,030 | ||||||||
44,500 | NeuStar, Inc. – Class A * | 1,312,305 | ||||||||
7,968,715 | Oracle Corp. | 330,940,734 | ||||||||
327,700 | Paychex, Inc. | 13,648,705 | ||||||||
94,400 | Red Hat, Inc. * | 5,750,848 | ||||||||
7,000 | Syntel, Inc. * | 625,590 | ||||||||
1,152,894 | Teradata Corp. * | 52,652,669 | ||||||||
193,300 | Total System Services, Inc. | 6,081,218 | ||||||||
|
| |||||||||
Total Software & Services | 1,655,735,238 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 8.2% | ||||||||||
121,300 | Amphenol Corp. – Class A | 12,495,113 | ||||||||
1,922,860 | Apple, Inc. | 197,093,150 | ||||||||
6,555,780 | Cisco Systems, Inc. | 163,828,942 | ||||||||
14,800 | Dolby Laboratories, Inc. – Class A * | 689,384 | ||||||||
2,507,500 | EMC Corp. | 74,046,475 | ||||||||
72,200 | F5 Networks, Inc. * | 8,966,518 | ||||||||
42,263 | Hewlett-Packard Co. | 1,605,994 | ||||||||
120,200 | NetApp, Inc. | 5,067,632 | ||||||||
2,269,200 | Qualcomm, Inc. | 172,686,120 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 636,479,328 | |||||||||
|
| |||||||||
Transportation — 0.4% | ||||||||||
169,700 | CH Robinson Worldwide, Inc. | 11,583,722 | ||||||||
220,500 | Expeditors International of Washington, Inc. | 9,106,650 | ||||||||
46,400 | Heartland Express, Inc. | 1,088,080 | ||||||||
20,800 | JB Hunt Transport Services, Inc. | 1,571,440 | ||||||||
53,100 | Knight Transportation, Inc. | 1,346,085 | ||||||||
38,700 | Landstar System, Inc. | 2,626,375 | ||||||||
|
| |||||||||
Total Transportation | 27,322,352 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $6,824,257,438) | 7,624,361,419 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.4% | ||||||||||
Affiliated Issuers — 0.4% | ||||||||||
1,330,520 | GMO U.S. Treasury Fund | 33,263,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $33,263,000) | 33,263,000 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.2% | ||||||||||
Short-Term Investments — 1.2% | ||||||||||
92,464,543 | State Street Premier Treasury Money Market Fund-Premier Class, 0.00% (a) | 92,464,543 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $92,464,543) | 92,464,543 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.4% (Cost $6,949,984,981) | 7,750,088,962 | |||||||||
Other Assets and Liabilities (net) — (0.4%) | (27,715,126 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $7,722,373,836 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 51 |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
ADR - American Depositary Receipt
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
ETF - Exchange-Traded Fund
GDR - Global Depository Receipt
NVDR - Non-Voting Depository Receipt
REIT - Real Estate Investment Trust
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co.
BCLY - Barclays Bank plc
BNYM - Bank of New York Mellon
BOA - Bank of America, N.A.
DB - Deutsche Bank AG
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
ZAR - South African Rand
52 | See accompanying notes to the financial statements. |
Statements of Assets and Liabilities — August 31, 2014 (Unaudited)
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | International Small Companies Fund | Quality Fund | ||||||||||||||||
Assets: |
| |||||||||||||||||||
Investments in unaffiliated issuers, at value (Note 2)(a) | $ | 451,855,581 | $ | 13,905,977,057 | $ | 1,992,213,791 | $ | 311,730,965 | $ | 11,617,544,092 | ||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(b) | 5,254,617 | 55,074,000 | 28,536,000 | 3,849,207 | 25,486,000 | |||||||||||||||
Foreign currency, at value (Note 2)(c) | 55,815 | 203 | 651 | 229,169 | 9,197 | |||||||||||||||
Receivable for investments sold | 228,445 | 739,635 | 3,136,000 | — | 45,359,617 | |||||||||||||||
Receivable for Fund shares sold | — | 43,573,521 | 116,673 | — | 3,192,757 | |||||||||||||||
Dividends and interest receivable | 982,594 | 24,667,928 | 3,594,598 | 576,174 | 22,525,722 | |||||||||||||||
Foreign taxes receivable | 150,337 | 9,818,642 | 1,917,327 | 168,873 | 13,571,264 | |||||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 352,891 | 12,059,238 | 1,858,657 | 306,948 | — | |||||||||||||||
Receivable for foreign currency sold | 21 | 4,775 | 656 | — | — | |||||||||||||||
Due from broker (Note 2) | 7,165 | — | — | — | — | |||||||||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 57,443 | 466,329 | 123,659 | 55,521 | 175,792 | |||||||||||||||
Miscellaneous receivable | 212 | 2,181 | 454 | 29 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total assets | 458,945,121 | 14,052,383,509 | 2,031,498,466 | 316,916,886 | 11,727,864,441 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities: | ||||||||||||||||||||
Foreign currency due to custodian | — | 833,603 | 73,273 | — | — | |||||||||||||||
Payable for investments purchased | 226,907 | 8,402,574 | 168,570 | 3,849,000 | 22,106,508 | |||||||||||||||
Payable for Fund shares repurchased | — | 842,749 | 1,172,962 | — | 99,834,363 | |||||||||||||||
Accrued capital gain taxes payable (Note 2) | 3,010 | — | — | — | — | |||||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||||||
Management fee | 172,529 | 5,871,320 | 649,262 | 157,506 | 3,219,134 | |||||||||||||||
Shareholder service fee | 45,501 | 1,135,086 | 173,557 | 39,376 | 1,093,593 | |||||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 270 | — | — | — | — | |||||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 256,280 | 10,803,609 | 1,547,281 | 313,387 | — | |||||||||||||||
Payable to agents unaffiliated with the Manager | 62 | 1,519 | 248 | 31 | 1,302 | |||||||||||||||
Payable to Trustees and related expenses | 121 | 3,590 | 1,178 | 144 | 5,587 | |||||||||||||||
Accrued expenses | 122,641 | 1,500,745 | 437,712 | 198,722 | 836,598 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liabilities | 827,321 | 29,394,795 | 4,224,043 | 4,558,166 | 127,097,085 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets | $ | 458,117,800 | $ | 14,022,988,714 | $ | 2,027,274,423 | $ | 312,358,720 | $ | 11,600,767,356 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(a) Cost of investments – unaffiliated issuers: | $ | 399,875,756 | $ | 13,001,218,838 | $ | 1,854,699,089 | $ | 295,146,246 | $ | 9,800,995,633 | ||||||||||
(b) Cost of investments – affiliated issuers: | $ | 5,254,617 | $ | 55,074,000 | $ | 28,536,000 | $ | 3,849,207 | $ | 25,486,000 | ||||||||||
(c) Cost of foreign currency: | $ | 55,955 | $ | 203 | $ | 651 | $ | 228,102 | $ | 9,801 |
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | International Small Companies Fund | Quality Fund | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 414,669,387 | $ | 12,529,848,367 | $ | 2,080,457,687 | $ | 266,263,158 | $ | 8,797,658,976 | ||||||||||
Accumulated undistributed net investment income | 6,205,962 | 230,708,943 | 36,195,920 | 2,130,834 | 94,388,072 | |||||||||||||||
Accumulated net realized gain (loss) | (14,821,617 | ) | 357,016,211 | (227,102,364 | ) | 27,397,379 | 892,259,618 | |||||||||||||
Net unrealized appreciation | 52,064,068 | 905,415,193 | 137,723,180 | 16,567,349 | 1,816,460,690 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 458,117,800 | $ | 14,022,988,714 | $ | 2,027,274,423 | $ | 312,358,720 | $ | 11,600,767,356 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class II shares | $ | — | $ | 126,931,029 | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class III shares | $ | 171,127,254 | $ | 1,277,414,859 | $ | 563,071,843 | $ | 312,358,720 | $ | 5,771,775,786 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class IV shares | $ | 286,990,546 | $ | 12,618,642,826 | $ | 1,171,263,518 | $ | — | $ | 1,732,201,329 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class V shares | $ | — | $ | — | $ | — | $ | — | $ | 841,634,693 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class VI shares | $ | — | $ | — | $ | 292,939,062 | $ | — | $ | 3,255,155,548 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares outstanding: | ||||||||||||||||||||
Class II | — | 4,930,135 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class III | 6,798,841 | 49,082,382 | 16,728,051 | 34,663,529 | 237,725,182 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class IV | 11,393,624 | 485,470,795 | 34,817,585 | — | 71,263,441 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class V | — | — | — | — | 34,635,928 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class VI | — | — | 8,715,181 | — | 134,009,222 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value per share: | ||||||||||||||||||||
Class II | $ | — | $ | 25.75 | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class III | $ | 25.17 | $ | 26.03 | $ | 33.66 | $ | 9.01 | $ | 24.28 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class IV | $ | 25.19 | $ | 25.99 | $ | 33.64 | $ | — | $ | 24.31 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class V | $ | — | $ | — | $ | — | $ | — | $ | 24.30 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class VI | $ | — | $ | — | $ | 33.61 | $ | — | $ | 24.29 | ||||||||||
|
|
|
|
|
|
|
|
|
|
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund* | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated issuers, at value (Note 2)(a) | $ | 175,055,317 | $ | 2,845,523 | $ | 466,291,998 | $ | 7,716,825,962 | ||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(b) | 1,816,000 | 293,036,028 | 2,064,000 | 33,263,000 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 73,288 | — | 154,209 | — | ||||||||||||
Receivable for investments sold | — | 1,098,891 | 2,000,608 | 8,308,211 | ||||||||||||
Receivable for Fund shares sold | — | — | 113,126 | 85,914 | ||||||||||||
Dividends and interest receivable | 418,097 | 12,289 | 826,270 | 17,373,163 | ||||||||||||
Foreign taxes receivable | 7,217 | — | 317,166 | 1,326,459 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | — | 304,938 | — | ||||||||||||
Receivable for foreign currency sold | — | — | 71 | — | ||||||||||||
Due from broker (Note 2) | — | 378,744,500 | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 11,205 | 18,814 | 56,234 | 115,460 | ||||||||||||
Miscellaneous receivable | 47 | 208 | 140 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 177,381,171 | 675,756,253 | 472,128,760 | 7,777,298,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | 1,498,993 | — | — | 49,078,805 | ||||||||||||
Payable for Fund shares repurchased | — | 138,816 | 2,000,000 | 2,958,964 | ||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||
Management fee | 73,567 | 262,146 | 197,642 | 2,013,813 | ||||||||||||
Shareholder service fee | 16,904 | 33,170 | 59,292 | 395,952 | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | — | 312,744 | — | ||||||||||||
Written options outstanding, at value (Note 4)(d) | — | 4,110,304 | — | — | ||||||||||||
Payable to agents unaffiliated with the Manager | 31 | 93 | 62 | 837 | ||||||||||||
Payable to Trustees and related expenses | 170 | 321 | 138 | 3,073 | ||||||||||||
Accrued expenses | 109,420 | 90,989 | 172,516 | 472,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 1,699,085 | 4,635,839 | 2,742,394 | 54,924,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 175,682,086 | $ | 671,120,414 | $ | 469,386,366 | $ | 7,722,373,836 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – unaffiliated issuers: | $ | 161,476,612 | $ | 2,845,523 | $ | 375,739,423 | $ | 6,916,721,981 | ||||||||
(b) Cost of investments – affiliated issuers: | $ | 1,816,000 | $ | 293,106,000 | $ | 2,064,000 | $ | 33,263,000 | ||||||||
(c) Cost of foreign currency: | $ | 73,132 | $ | — | $ | 155,228 | $ | — | ||||||||
(d) Premiums on written options: | $ | — | $ | 10,760,117 | $ | — | $ | — |
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund* | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 150,448,632 | $ | 632,346,432 | $ | 389,942,957 | $ | 6,387,875,231 | ||||||||
Accumulated undistributed net investment income (loss) | 3,994,247 | — | 8,777,272 | 67,054,273 | ||||||||||||
Distributions in excess of net investment income | — | — | — | — | ||||||||||||
Accumulated net realized gain (loss) | 7,661,287 | 32,194,213 | (19,860,389 | ) | 467,316,168 | |||||||||||
Net unrealized appreciation | 13,577,920 | 6,579,769 | 90,526,526 | 800,128,164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 175,682,086 | $ | 671,120,414 | $ | 469,386,366 | $ | 7,722,373,836 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III shares | $ | 52,311,324 | $ | 7,111,771 | $ | 469,386,366 | $ | 370,754,069 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV shares | $ | 123,370,762 | $ | 8,662,737 | $ | — | $ | 241,846,427 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI shares | $ | — | $ | 655,345,906 | $ | — | $ | 7,109,773,340 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 2,205,227 | 660,058 | 26,121,137 | 20,495,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 5,207,511 | 802,601 | — | 13,390,701 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 60,712,000 | — | 394,312,305 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 23.72 | $ | 10.77 | $ | 17.97 | $ | 18.09 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 23.69 | $ | 10.79 | $ | — | $ | 18.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 10.79 | $ | — | $ | 18.03 | ||||||||
|
|
|
|
|
|
|
|
* | Formerly GMO U.S. Core Equity Fund. |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited)
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | International Small Companies Fund | Quality Fund | ||||||||||||||||
Investment Income: |
| |||||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | $ | 8,000,078 | $ | 311,169,576 | $ | 48,910,481 | $ | 6,777,512 | $ | 138,538,553 | ||||||||||
Dividends from affiliated issuers (Note 10) | 1,186 | 7,611 | 3,237 | 426 | 7,779 | |||||||||||||||
Interest | 1,823 | 45,035 | 5,517 | 1,261 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment income | 8,003,087 | 311,222,222 | 48,919,235 | 6,779,199 | 138,546,332 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: |
| |||||||||||||||||||
Management fee (Note 5) | 1,031,349 | 34,932,514 | 4,099,996 | 1,024,032 | 19,869,408 | |||||||||||||||
Shareholder service fee – Class II (Note 5) | — | 146,544 | — | — | — | |||||||||||||||
Shareholder service fee – Class III (Note 5) | 130,007 | 1,098,287 | 439,685 | 256,008 | 4,323,532 | |||||||||||||||
Shareholder service fee – Class IV (Note 5) | 142,517 | 5,568,930 | 564,570 | — | 1,009,731 | |||||||||||||||
Shareholder service fee – Class V (Note 5) | — | — | — | — | 340,005 | |||||||||||||||
Shareholder service fee – Class VI (Note 5) | — | — | 87,188 | — | 977,365 | |||||||||||||||
Audit and tax fees | 45,937 | 84,456 | 49,772 | 60,720 | 54,832 | |||||||||||||||
Custodian and fund accounting agent fees | 198,904 | 2,428,984 | 604,072 | 213,992 | 825,240 | |||||||||||||||
Legal fees | 6,716 | 121,808 | 21,988 | 4,968 | 110,216 | |||||||||||||||
Registration fees | 2,300 | 21,584 | 9,016 | 2,024 | 13,800 | |||||||||||||||
Transfer agent fees | 19,872 | 28,612 | 25,852 | 13,984 | — | |||||||||||||||
Trustees fees and related expenses (Note 5) | 2,413 | 72,286 | 11,040 | 1,840 | 64,216 | |||||||||||||||
Miscellaneous | 15,100 | 63,782 | 27,676 | 21,896 | 42,990 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses | 1,595,115 | 44,567,787 | 5,940,855 | 1,599,464 | 27,631,335 | |||||||||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (279,220 | ) | (2,706,508 | ) | (725,604 | ) | (294,492 | ) | (1,023,159 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses | 1,315,895 | 41,861,279 | 5,215,251 | 1,304,972 | 26,608,176 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | 6,687,192 | 269,360,943 | 43,703,984 | 5,474,227 | 111,938,156 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b) | 34,565,292 | 735,163,068 | 146,766,498 | 31,032,099 | 920,244,540 | |||||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 241 | 2,557 | — | 149 | 3,159 | |||||||||||||||
Futures contracts | 267,197 | — | — | — | — | |||||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (434,805 | ) | (17,439,189 | ) | (2,950,836 | ) | (488,808 | ) | 88,864 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized gain (loss) | 34,397,925 | 717,726,436 | 143,815,662 | 30,543,440 | 920,336,563 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(c) | (21,064,646 | ) | (1,012,136,442 | ) | (191,394,002 | ) | (46,146,228 | ) | (139,546,538 | ) | ||||||||||
Futures contracts | 11,160 | — | — | — | — | |||||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 524,121 | 17,878,188 | 2,827,346 | 465,229 | (833,385 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net unrealized gain (loss) | (20,529,365 | ) | (994,258,254 | ) | (188,566,656 | ) | (45,680,999 | ) | (140,379,923 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized and unrealized gain (loss) | 13,868,560 | (276,531,818 | ) | (44,750,994 | ) | (15,137,559 | ) | 779,956,640 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 20,555,752 | $ | (7,170,875 | ) | $ | (1,047,010 | ) | $ | (9,663,332 | ) | $ | 891,894,796 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(a) Withholding tax: | $ | 753,082 | $ | 35,780,599 | $ | 5,841,137 | $ | 668,942 | $ | 1,953,927 | ||||||||||
(b) Foreign capital gains tax on net realized gain (loss) | $ | — | $ | — | $ | — | $ | (218 | ) | $ | — | |||||||||
(c) Foreign capital gains tax on net change in unrealized appreciation (depreciation) | $ | 3,010 | $ | — | $ | — | $ | — | $ | — |
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited) — (Continued)
Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund* | |||||||||||||
Investment Income: |
| |||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | $ | 5,067,950 | $ | — | $ | 10,837,188 | $ | 84,767,444 | ||||||||
Dividends from affiliated issuers (Note 10) | 341 | 74,600 | 1,387 | 9,351 | ||||||||||||
Interest | 669 | 8 | 1,480 | 2,659 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 5,068,960 | 74,608 | 10,840,055 | 84,779,454 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 527,514 | 1,705,467 | 1,222,406 | 12,100,153 | ||||||||||||
Shareholder service fee – Class III (Note 5) | 54,230 | 5,555 | 366,722 | 352,303 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 69,350 | 14,251 | — | 132,336 | ||||||||||||
Shareholder service fee – Class V (Note 5) | — | — | — | 84,553 | ** | |||||||||||
Shareholder service fee – Class VI (Note 5) | — | 198,571 | — | 1,890,128 | ||||||||||||
Audit and tax fees | 36,187 | 30,636 | 48,300 | 47,358 | ||||||||||||
Custodian and fund accounting agent fees | 102,304 | 62,192 | 235,520 | 518,972 | ||||||||||||
Legal fees | 4,600 | 6,716 | 6,992 | 66,700 | ||||||||||||
Registration fees | 6,986 | 9,778 | 1,980 | 268,200 | ||||||||||||
Transfer agent fees | 19,872 | — | 13,984 | — | ||||||||||||
Trustees fees and related expenses (Note 5) | 1,196 | 4,140 | 2,484 | 44,855 | ||||||||||||
Miscellaneous | 8,096 | 7,088 | 22,582 | 25,085 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 830,335 | 2,044,394 | 1,920,970 | 15,530,643 | ||||||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (64,785 | ) | (115,858 | ) | (317,173 | ) | (910,144 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 765,550 | 1,928,536 | 1,603,797 | 14,620,499 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 4,303,410 | (1,853,928 | ) | 9,236,258 | 70,158,955 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | 8,972,964 | — | 33,656,665 | 627,934,772 | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 43 | 11,130 | 254 | 3,682 | ||||||||||||
Written options | — | 34,916,187 | — | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 54,459 | 41,203 | (1,112,342 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 9,027,466 | 34,968,520 | 32,544,577 | 627,938,454 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | 9,694,311 | — | (37,646,412 | ) | (145,222,071 | ) | ||||||||||
Written options | — | 2,582,028 | — | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (1,537 | ) | (3,998 | ) | 437,071 | (59,040 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized gain (loss) | 9,692,774 | 2,578,030 | (37,209,341 | ) | (145,281,111 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 18,720,240 | 37,546,550 | (4,664,764 | ) | 482,657,343 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 23,023,650 | $ | 35,692,622 | $ | 4,571,494 | $ | 552,816,298 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 790,573 | $ | — | $ | 1,371,961 | $ | — |
* | Formerly GMO U.S. Core Equity Fund. |
** | Class V liquidated on July 30, 2014. |
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Developed World Stock Fund | International Equity Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 6,687,192 | $ | 9,450,171 | $ | 269,360,943 | $ | 462,376,744 | ||||||||
Net realized gain (loss) | 34,397,925 | 45,074,273 | 717,726,436 | 1,140,345,115 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (20,529,365 | ) | 42,454,351 | (994,258,254 | ) | 1,375,715,806 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 20,555,752 | 96,978,795 | (7,170,875 | ) | 2,978,437,665 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | — | — | (2,096,268 | ) | (2,897,674 | ) | ||||||||||
Class III | (1,615,466 | ) | (2,807,498 | ) | (24,138,717 | ) | (32,375,293 | ) | ||||||||
Class IV | (2,760,371 | ) | (4,478,100 | ) | (205,971,043 | ) | (251,250,369 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (4,375,837 | ) | (7,285,598 | ) | (232,206,028 | ) | (286,523,336 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | — | — | (10,387,174 | ) | (63,475,036 | ) | ||||||||||
Class III | (5,609,122 | ) | (9,758,050 | ) | (257,240,351 | ) | (325,625,377 | ) | ||||||||
Class IV | 2,760,371 | 4,471,639 | 908,790,560 | 2,242,413,275 | ||||||||||||
Class M* | — | — | — | (12,304,996 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (2,848,751 | ) | (5,286,411 | ) | 641,163,035 | 1,841,007,866 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 6,242 | 11,313 | — | — | ||||||||||||
Class IV | 10,299 | 17,630 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 16,541 | 28,943 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (2,832,210 | ) | (5,257,468 | ) | 641,163,035 | 1,841,007,866 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 13,347,705 | 84,435,729 | 401,786,132 | 4,532,922,195 | ||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 444,770,095 | 360,334,366 | 13,621,202,582 | 9,088,280,387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 458,117,800 | $ | 444,770,095 | $ | 14,022,988,714 | $ | 13,621,202,582 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 6,205,962 | $ | 3,894,607 | $ | 230,708,943 | $ | 193,554,028 | ||||||||
|
|
|
|
|
|
|
|
* | Class M liquidated on March 27, 2013. |
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Large/Mid Cap Equity Fund | International Small Companies Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 43,703,984 | $ | 114,151,253 | $ | 5,474,227 | $ | 5,682,802 | ||||||||
Net realized gain (loss) | 143,815,662 | 410,305,593 | 30,543,440 | 61,944,793 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (188,566,656 | ) | 167,233,338 | (45,680,999 | ) | 27,915,019 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (1,047,010 | ) | 691,690,184 | (9,663,332 | ) | 95,542,614 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (9,735,036 | ) | (28,169,029 | ) | (469,542 | ) | (16,821,072 | ) | ||||||||
Class IV | (20,406,755 | ) | (67,488,285 | ) | — | — | ||||||||||
Class VI | (5,455,783 | ) | (38,097,989 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (35,597,574 | ) | (133,755,303 | ) | (469,542 | ) | (16,821,072 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | (14,156,081 | ) | — | (30,076,247 | ) | (6,602,273 | ) | |||||||||
Class IV | (29,304,154 | ) | — | — | — | |||||||||||
Class VI | (7,744,291 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (51,204,526 | ) | — | (30,076,247 | ) | (6,602,273 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (10,056,297 | ) | (138,591,918 | ) | (30,414,525 | ) | (3,199,041 | ) | ||||||||
Class IV | (42,594,863 | ) | (401,686,451 | ) | — | — | ||||||||||
Class VI | (12,966,223 | ) | (2,335,478,223 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (65,617,383 | ) | (2,875,756,592 | ) | (30,414,525 | ) | (3,199,041 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 294,157 | 210,862 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (65,617,383 | ) | (2,875,756,592 | ) | (30,120,368 | ) | (2,988,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (153,466,493 | ) | (2,317,821,711 | ) | (70,329,489 | ) | 69,131,090 | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 2,180,740,916 | 4,498,562,627 | 382,688,209 | 313,557,119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,027,274,423 | $ | 2,180,740,916 | $ | 312,358,720 | $ | 382,688,209 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 36,195,920 | $ | 28,089,510 | $ | 2,130,834 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | — | $ | — | $ | (2,873,851 | ) | |||||||
|
|
|
|
|
|
|
|
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Quality Fund | Resources Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 111,938,156 | $ | 283,068,440 | $ | 4,303,410 | $ | 4,303,283 | ||||||||
Net realized gain (loss) | 920,336,563 | 2,257,699,493 | 9,027,466 | 2,510,131 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (140,379,923 | ) | (260,773,061 | ) | 9,692,774 | 2,978,631 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 891,894,796 | 2,279,994,872 | 23,023,650 | 9,792,045 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (26,687,189 | ) | (118,691,386 | ) | (166,849 | ) | (1,446,887 | ) | ||||||||
Class IV | (8,423,690 | ) | (50,692,652 | ) | (456,082 | ) | (2,587,331 | ) | ||||||||
Class V | (4,214,881 | ) | (6,932,214 | ) | — | — | ||||||||||
Class VI | (15,836,982 | ) | (97,143,981 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (55,162,742 | ) | (273,460,233 | ) | (622,931 | ) | (4,034,218 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | (562,460,320 | ) | (537,513,943 | ) | (618,297 | ) | (870,197 | ) | ||||||||
Class IV | (174,121,110 | ) | (222,766,723 | ) | (1,460,075 | ) | (1,558,527 | ) | ||||||||
Class V | (82,555,308 | ) | (30,388,992 | ) | — | — | ||||||||||
Class VI | (312,568,180 | ) | (415,961,923 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (1,131,704,918 | ) | (1,206,631,581 | ) | (2,078,372 | ) | (2,428,724 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | 188,643,346 | (1,343,996,398 | ) | (37,158,399 | ) | (26,061,108 | ) | |||||||||
Class IV | (362,641,991 | ) | (56,839,658 | ) | (27,691,907 | ) | 138,120,646 | |||||||||
Class V | 216,050,718 | 156,145,402 | — | — | ||||||||||||
Class VI | (357,525,389 | ) | (700,847,320 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (315,473,316 | ) | (1,945,537,974 | ) | (64,850,306 | ) | 112,059,538 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 56,638 | 224,376 | ||||||||||||
Class IV | — | — | 149,516 | 150,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 206,154 | 374,581 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions | (315,473,316 | ) | (1,945,537,974 | ) | (64,644,152 | ) | 112,434,119 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (610,446,180 | ) | (1,145,634,916 | ) | (44,321,805 | ) | 115,763,222 | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 12,211,213,536 | 13,356,848,452 | 220,003,891 | 104,240,669 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 11,600,767,356 | $ | 12,211,213,536 | $ | 175,682,086 | $ | 220,003,891 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 94,388,072 | $ | 37,612,658 | $ | 3,994,247 | $ | 313,768 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 61 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Risk Premium Fund | Tax-Managed International Equities Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | (1,853,928 | ) | $ | (3,483,715 | ) | $ | 9,236,258 | $ | 17,416,698 | ||||||
Net realized gain (loss) | 34,968,520 | 48,874,055 | 32,544,577 | 48,099,355 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 2,578,030 | 1,234,682 | (37,209,341 | ) | 53,033,578 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 35,692,622 | 46,625,022 | 4,571,494 | 118,549,631 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | — | — | (5,737,511 | ) | (12,920,366 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | — | (5,737,511 | ) | (12,920,366 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | (212,589 | ) | (407,126 | ) | — | — | ||||||||||
Class IV | (987,600 | ) | (1,142,024 | ) | — | — | ||||||||||
Class VI | (21,454,815 | ) | (40,033,457 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (22,655,004 | ) | (41,582,607 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (532,058 | ) | 639,782 | (15,113,073 | ) | (98,969,201 | ) | |||||||||
Class IV | (20,187,814 | ) | 19,930,107 | — | — | |||||||||||
Class VI | (88,127,068 | ) | 109,307,716 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (108,846,940 | ) | 129,877,605 | (15,113,073 | ) | (98,969,201 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 2,822 | 2,240 | — | — | ||||||||||||
Class IV | 8,423 | 5,358 | — | — | ||||||||||||
Class VI | 269,272 | 220,039 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 280,517 | 227,637 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (108,566,423 | ) | 130,105,242 | (15,113,073 | ) | (98,969,201 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (95,528,805 | ) | 135,147,657 | (16,279,090 | ) | 6,660,064 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 766,649,219 | 631,501,562 | 485,665,456 | 479,005,392 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 671,120,414 | $ | 766,649,219 | $ | 469,386,366 | $ | 485,665,456 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | — | $ | — | $ | 8,777,272 | $ | 5,278,525 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (562,053 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
U.S. Equity Allocation Fund* | ||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 70,158,955 | $ | 37,406,207 | ||||
Net realized gain (loss) | 627,938,454 | 420,009,433 | ||||||
Change in net unrealized appreciation (depreciation) | (145,281,111 | ) | (100,431,618 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 552,816,298 | 356,984,022 | ||||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class III | (884,479 | ) | (3,262,900 | ) | ||||
Class IV | (492,368 | ) | (863,090 | ) | ||||
Class V** | (457,462 | ) | — | |||||
Class VI | (15,479,143 | ) | (23,889,696 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (17,313,452 | ) | (28,015,686 | ) | ||||
|
|
|
| |||||
Net realized gains | ||||||||
Class III | (11,186,821 | ) | — | |||||
Class IV | (5,658,264 | ) | — | |||||
Class V** | (5,160,021 | ) | — | |||||
Class VI | (162,588,054 | ) | — | |||||
|
|
|
| |||||
Total distributions from net realized gains | (184,593,160 | ) | — | |||||
|
|
|
| |||||
Net share transactions (Note 9): | ||||||||
Class III | (137,397,736 | ) | 264,006,648 | |||||
Class IV | (59,762,725 | ) | 233,445,094 | |||||
Class V** | (267,575,387 | ) | 257,045,957 | |||||
Class VI | (283,449,556 | ) | 5,553,853,782 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | (748,185,404 | ) | 6,308,351,481 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (397,275,718 | ) | 6,637,319,817 | |||||
Net assets: | ||||||||
Beginning of period | 8,119,649,554 | 1,482,329,737 | ||||||
|
|
|
| |||||
End of period | $ | 7,722,373,836 | $ | 8,119,649,554 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 67,054,273 | $ | 14,208,770 | ||||
|
|
|
|
* | Formerly GMO U.S. Core Equity Fund |
** | Class V liquidated on July 30, 2014. |
See accompanying notes to the financial statements. | 63 |
GMO Trust Funds
(For a share outstanding throughout each period)
DEVELOPED WORLD STOCK FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.28 | $ | 19.41 | $ | 18.35 | $ | 19.24 | $ | 16.28 | $ | 11.34 | $ | 24.30 | $ | 19.42 | $ | 18.36 | $ | 19.26 | $ | 16.30 | $ | 11.35 | ||||||||||||||||||||||||||||||||||||
|
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|
|
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|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.36 | 0.51 | 0.44 | 0.43 | 0.33 | 0.29 | 0.37 | 0.52 | 0.44 | 0.44 | 0.34 | 0.30 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.77 | 4.75 | 1.12 | (0.78 | )(b) | 3.09 | 5.03 | 0.76 | 4.76 | 1.13 | (0.79 | )(b) | 3.09 | 5.04 | ||||||||||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 1.13 | 5.26 | 1.56 | (0.35 | ) | 3.42 | 5.32 | 1.13 | 5.28 | 1.57 | (0.35 | ) | 3.43 | 5.34 | ||||||||||||||||||||||||||||||||||||||||||||||
|
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|
|
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|
|
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|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.24 | ) | (0.39 | ) | (0.50 | ) | (0.54 | ) | (0.46 | ) | (0.38 | ) | (0.24 | ) | (0.40 | ) | (0.51 | ) | (0.55 | ) | (0.47 | ) | (0.39 | ) | ||||||||||||||||||||||||||||||||||||
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|
|
|
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|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.24 | ) | (0.39 | ) | (0.50 | ) | (0.54 | ) | (0.46 | ) | (0.38 | ) | (0.24 | ) | (0.40 | ) | (0.51 | ) | (0.55 | ) | (0.47 | ) | (0.39 | ) | ||||||||||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 25.17 | $ | 24.28 | $ | 19.41 | $ | 18.35 | $ | 19.24 | $ | 16.28 | $ | 25.19 | $ | 24.30 | $ | 19.42 | $ | 18.36 | $ | 19.26 | $ | 16.30 | ||||||||||||||||||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||||||||||||
Total Return(c) | 4.64 | %** | 27.29 | % | 8.68 | % | (1.64 | )% | 21.41 | % | 47.03 | % | 4.66 | %** | 27.39 | % | 8.74 | % | (1.61 | )% | 21.44 | % | 47.16 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 171,127 | $ | 170,532 | $ | 145,072 | $ | 147,629 | $ | 210,780 | $ | 171,842 | $ | 286,991 | $ | 274,238 | $ | 215,262 | $ | 197,989 | $ | 201,121 | $ | 165,445 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.61 | %*(d) | 0.61 | %(d) | 0.60 | %(d) | 0.60 | %(d)(e) | 0.60 | %(d)(e) | 0.60 | %(e) | 0.56 | %(d)* | 0.56 | %(d) | 0.55 | %(d) | 0.55 | %(d)(e) | 0.55 | %(d)(e) | 0.55 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 2.89 | %* | 2.31 | % | 2.38 | % | 2.40 | % | 1.93 | % | 1.93 | % | 2.93 | %* | 2.37 | % | 2.40 | % | 2.42 | % | 1.98 | % | 1.94 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 42 | %** | 64 | % | 50 | % | 56 | % | 34 | % | 47 | % | 42 | %** | 64 | % | 50 | % | 56 | % | 34 | % | 47 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.12 | %* | 0.10 | % | 0.11 | % | 0.11 | % | 0.11 | % | 0.11 | % | 0.12 | %* | 0.10 | % | 0.11 | % | 0.11 | % | 0.11 | % | 0.11 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts:† | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.01 | $ | 0.01 | $ | 0.00 | (f) | $ | 0.02 | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.00 | (f) | — | (g) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
(g) | The class received no purchase premiums or redemption fees. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
64 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.16 | $ | 20.94 | $ | 20.18 | $ | 23.07 | $ | 19.35 | $ | 13.86 | $ | 26.44 | $ | 21.16 | $ | 20.39 | $ | 23.31 | $ | 19.56 | $ | 14.00 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.51 | 0.80 | 0.56 | 0.63 | 0.48 | 0.41 | 0.52 | 0.86 | 0.56 | 0.65 | 0.47 | 0.42 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.49 | ) | 4.88 | 0.85 | (2.83 | )(b) | 3.51 | 5.68 | (0.49 | ) | 4.90 | 0.88 | (2.86 | )(b) | 3.58 | 5.76 | ||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.02 | 5.68 | 1.41 | (2.20 | ) | 3.99 | 6.09 | 0.03 | 5.76 | 1.44 | (2.21 | ) | 4.05 | 6.18 | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.43 | ) | (0.46 | ) | (0.65 | ) | (0.69 | ) | (0.27 | ) | (0.60 | ) | (0.44 | ) | (0.48 | ) | (0.67 | ) | (0.71 | ) | (0.30 | ) | (0.62 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.43 | ) | (0.46 | ) | (0.65 | ) | (0.69 | ) | (0.27 | ) | (0.60 | ) | (0.44 | ) | (0.48 | ) | (0.67 | ) | (0.71 | ) | (0.30 | ) | (0.62 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 25.75 | $ | 26.16 | $ | 20.94 | $ | 20.18 | $ | 23.07 | $ | 19.35 | $ | 26.03 | $ | 26.44 | $ | 21.16 | $ | 20.39 | $ | 23.31 | $ | 19.56 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 0.03 | %** | 27.41 | % | 7.23 | % | (9.51 | )% | 20.79 | % | 44.05 | % | 0.05 | %** | 27.53 | % | 7.30 | % | (9.47 | )% | 20.88 | % | 44.21 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 126,931 | $ | 139,401 | $ | 169,056 | $ | 292,379 | $ | 217,090 | $ | 394,009 | $ | 1,277,415 | $ | 1,555,509 | $ | 1,540,203 | $ | 1,812,184 | $ | 2,257,078 | $ | 1,925,104 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.72 | %*(d) | 0.72 | %(d)(e) | 0.72 | %(d)(e) | 0.72 | %(d)(e) | 0.72 | %(d)(e) | 0.72 | %(e) | 0.65 | %*(d) | 0.65 | %(d)(e) | 0.65 | %(d)(e) | 0.65 | %(d)(e) | 0.65 | %(d)(e) | 0.65 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.80 | %* | 3.47 | % | 2.87 | % | 3.04 | % | 2.36 | % | 2.21 | % | 3.87 | %* | 3.62 | % | 2.82 | % | 3.09 | % | 2.30 | % | 2.19 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 35 | %** | 48 | % | 40 | % | 37 | % | 40 | % | 40 | % | 35 | %** | 48 | % | 40 | % | 37 | % | 40 | % | 40 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.04 | %* | 0.04 | % | 0.04 | % | 0.05 | % | 0.05 | % | 0.05 | % | 0.04 | %* | 0.04 | % | 0.04 | % | 0.05 | % | 0.05 | % | 0.05 | % |
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.41 | $ | 21.14 | $ | 20.37 | $ | 23.30 | $ | 19.55 | $ | 14.00 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.52 | 0.89 | 0.54 | 0.62 | 0.48 | 0.43 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.49 | ) | 4.88 | 0.91 | (2.83 | )(b) | 3.58 | 5.75 | ||||||||||||||||||||||
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Total from investment operations | 0.03 | 5.77 | 1.45 | (2.21 | ) | 4.06 | 6.18 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.45 | ) | (0.50 | ) | (0.68 | ) | (0.72 | ) | (0.31 | ) | (0.63 | ) | ||||||||||||||||||
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Total distributions | (0.45 | ) | (0.50 | ) | (0.68 | ) | (0.72 | ) | (0.31 | ) | (0.63 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 25.99 | $ | 26.41 | $ | 21.14 | $ | 20.37 | $ | 23.30 | $ | 19.55 | ||||||||||||||||||
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Total Return(c) | 0.04 | %** | 27.60 | % | 7.39 | % | (9.43 | )% | 20.96 | % | 44.22 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 12,618,643 | $ | 11,926,293 | $ | 7,366,819 | $ | 5,047,058 | $ | 3,458,202 | $ | 2,779,470 | ||||||||||||||||||
Net expenses to average daily net assets | 0.59 | %*(d) | 0.59 | %(d)(e) | 0.59 | %(d)(e) | 0.59 | %(d)(e) | 0.59 | %(d)(e) | 0.59 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.85 | %* | 3.74 | % | 2.70 | % | 3.00 | % | 2.32 | % | 2.25 | % | ||||||||||||||||||
Portfolio turnover rate | 35 | %** | 48 | % | 40 | % | 37 | % | 40 | % | 40 | % | ||||||||||||||||||
Fees and expenses reimbursed and/ or waived by the Manager to average daily net assets: | 0.04 | %* | 0.04 | % | 0.04 | % | 0.05 | % | 0.05 | % | 0.05 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 65 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL LARGE/MID CAP EQUITY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 35.20 | $ | 28.96 | $ | 27.50 | $ | 30.77 | $ | 25.63 | $ | 18.15 | $ | 35.18 | $ | 28.94 | $ | 27.48 | $ | 30.75 | $ | 25.62 | $ | 18.14 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.71 | 1.18 | 0.77 | 0.87 | 0.62 | 0.55 | 0.73 | 1.17 | 0.80 | 0.90 | 0.61 | 0.64 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.77 | ) | 6.56 | 1.62 | (3.15 | ) | 5.11 | 7.79 | (0.78 | ) | 6.60 | 1.60 | (3.17 | ) | 5.13 | 7.71 | ||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | (0.06 | ) | 7.74 | 2.39 | (2.28 | ) | 5.73 | 8.34 | (0.05 | ) | 7.77 | 2.40 | (2.27 | ) | 5.74 | 8.35 | ||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.60 | ) | (1.50 | ) | (0.93 | ) | (0.99 | ) | (0.59 | ) | (0.86 | ) | (0.61 | ) | (1.53 | ) | (0.94 | ) | (1.00 | ) | (0.61 | ) | (0.87 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.88 | ) | — | — | — | — | — | (0.88 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (1.48 | ) | (1.50 | ) | (0.93 | ) | (0.99 | ) | (0.59 | ) | (0.86 | ) | (1.49 | ) | (1.53 | ) | (0.94 | ) | (1.00 | ) | (0.61 | ) | (0.87 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 33.66 | $ | 35.20 | $ | 28.96 | $ | 27.50 | $ | 30.77 | $ | 25.63 | $ | 33.64 | $ | 35.18 | $ | 28.94 | $ | 27.48 | $ | 30.75 | $ | 25.62 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | (0.33 | )%** | 27.30 | % | 8.93 | % | (7.25 | )% | 22.61 | % | 45.97 | % | (0.31 | )%** | 27.40 | % | 9.00 | % | (7.19 | )% | 22.68 | % | 46.04 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 563,072 | $ | 598,840 | $ | 621,870 | $ | 885,023 | $ | 857,774 | $ | 1,017,207 | $ | 1,171,264 | $ | 1,262,615 | $ | 1,394,919 | $ | 1,078,912 | $ | 1,235,303 | $ | 797,730 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.53 | %(c)* | 0.53 | %(c)(d) | 0.53 | %(c)(d) | 0.53 | %(c)(d) | 0.53 | %(c)(d) | 0.53 | %(d) | 0.47 | %(c)* | 0.47 | %(c)(d) | 0.47 | %(c)(d) | 0.47 | %(c)(d) | 0.47 | %(c)(d) | 0.47 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.98 | %* | 3.70 | % | 2.87 | % | 3.10 | % | 2.28 | % | 2.22 | % | 4.12 | %* | 3.69 | % | 2.93 | % | 3.18 | % | 2.24 | % | 2.65 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 42 | %** | 54 | % | 47 | % | 34 | % | 40 | % | 48 | % | 42 | %** | 54 | % | 47 | % | 34 | % | 40 | % | 48 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.07 | %* | 0.06 | % | 0.05 | % | 0.04 | % | 0.05 | % | 0.05 | % | 0.07 | %* | 0.06 | % | 0.05 | % | 0.05 | % | 0.05 | % |
| 0.05 | % |
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 35.15 | $ | 28.91 | $ | 27.46 | $ | 30.72 | $ | 25.60 | $ | 18.13 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.70 | 1.58 | 0.79 | 0.92 | 0.61 | 0.52 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.74 | ) | 6.17 | 1.61 | (3.17 | ) | 5.13 | 7.83 | ||||||||||||||||||||||
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Total from investment operations | (0.04 | ) | 7.75 | 2.40 | (2.25 | ) | 5.74 | 8.35 | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.62 | ) | (1.51 | ) | (0.95 | ) | (1.01 | ) | (0.62 | ) | (0.88 | ) | ||||||||||||||||||
From net realized gains | (0.88 | ) | — | — | — | — | — | |||||||||||||||||||||||
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Total distributions | (1.50 | ) | (1.51 | ) | (0.95 | ) | (1.01 | ) | (0.62 | ) | (0.88 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 33.61 | $ | 35.15 | $ | 28.91 | $ | 27.46 | $ | 30.72 | $ | 25.60 | ||||||||||||||||||
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Total Return(b) | (0.29 | )%** | 27.39 | % | 9.01 | % | (7.13 | )% | 22.69 | % | 46.11 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 292,939 | $ | 319,285 | $ | 2,481,773 | $ | 2,247,969 | $ | 3,507,677 | $ | 2,288,572 | ||||||||||||||||||
Net expenses to average daily net assets | 0.44 | %(c)* | 0.44 | %(c)(d) | 0.44 | %(c)(d) | 0.44 | %(c)(d) | 0.44 | %(c)(d) | 0.44 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.91 | %* | 5.24 | % | 2.89 | % | 3.25 | % | 2.25 | % | 2.08 | % | ||||||||||||||||||
Portfolio turnover rate | 42 | %** | 54 | % | 47 | % | 34 | % | 40 | % | 48 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.07 | %* | 0.05 | % | 0.05 | % | 0.05 | % | 0.05 | % | 0.05 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
66 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL SMALL COMPANIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.23 | $ | 8.34 | $ | 7.44 | $ | 8.48 | $ | 6.63 | $ | 4.20 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.16 | 0.15 | 0.18 | 0.17 | 0.14 | 0.08 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.43 | ) | 2.37 | 1.02 | (0.84 | ) | 1.88 | 2.50 | ||||||||||||||||||||||
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Total from investment operations | (0.27 | ) | 2.52 | 1.20 | (0.67 | ) | 2.02 | 2.58 | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.45 | ) | (0.30 | ) | (0.37 | ) | (0.17 | ) | (0.15 | ) | ||||||||||||||||||
From net realized gains | (0.94 | ) | (0.18 | ) | — | — | — | — | ||||||||||||||||||||||
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Total distributions | (0.95 | ) | (0.63 | ) | (0.30 | ) | (0.37 | ) | (0.17 | ) | (0.15 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 9.01 | $ | 10.23 | $ | 8.34 | $ | 7.44 | $ | 8.48 | $ | 6.63 | ||||||||||||||||||
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Total Return(b) | (2.84 | )%** | 31.30 | % | 16.75 | % | (8.05 | )% | 31.11 | % | 61.64 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 312,359 | $ | 382,688 | $ | 313,557 | $ | 368,374 | $ | 467,733 | $ | 1,160,294 | ||||||||||||||||||
Net expenses to average daily net assets | 0.76 | %*(c) | 0.77 | %(c)(d) | 0.76 | %(c)(d) | 0.76 | %(c)(d) | 0.76 | %(c)(d) | 0.75 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.21 | %* | 1.63 | % | 2.50 | % | 2.28 | % | 1.91 | % | 1.17 | % | ||||||||||||||||||
Portfolio turnover rate | 45 | %** | 79 | % | 76 | % | 90 | % | 55 | % | 58 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.17 | %* | 0.15 | % | 0.17 | % | 0.14 | % | 0.12 | % | 0.09 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.01 | $ | 0.00 | (d) | $ | 0.01 | $ | 0.05 | $ | 0.02 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 67 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.08 | $ | 23.81 | $ | 23.41 | $ | 20.81 | $ | 18.99 | $ | 14.17 | $ | 25.10 | $ | 23.83 | $ | 23.42 | $ | 20.83 | $ | 19.01 | $ | 14.19 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.23 | 0.51 | 0.47 | 0.43 | 0.36 | 0.33 | 0.24 | 0.53 | 0.49 | 0.44 | 0.38 | 0.34 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.67 | 3.70 | 2.24 | 2.58 | 1.82 | 4.83 | 1.67 | 3.70 | 2.24 | 2.57 | 1.81 | 4.83 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.90 | 4.21 | 2.71 | 3.01 | 2.18 | 5.16 | 1.91 | 4.23 | 2.73 | 3.01 | 2.19 | 5.17 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.12 | ) | (0.53 | ) | (0.51 | ) | (0.41 | ) | (0.36 | ) | (0.34 | ) | (0.12 | ) | (0.55 | ) | (0.52 | ) | (0.42 | ) | (0.37 | ) | (0.35 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (2.58 | ) | (2.41 | ) | (1.80 | ) | — | — | — | (2.58 | ) | (2.41 | ) | (1.80 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (2.70 | ) | (2.94 | ) | (2.31 | ) | (0.41 | ) | (0.36 | ) | (0.34 | ) | (2.70 | ) | (2.96 | ) | (2.32 | ) | (0.42 | ) | (0.37 | ) | (0.35 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 24.28 | $ | 25.08 | $ | 23.81 | $ | 23.41 | $ | 20.81 | $ | 18.99 | $ | 24.31 | $ | 25.10 | $ | 23.83 | $ | 23.42 | $ | 20.83 | $ | 19.01 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 7.70 | %** | 18.38 | % | 12.39 | % | 14.71 | % | 11.67 | % | 36.73 | % | 7.74 | %** | 18.43 | % | 12.47 | % | 14.70 | % | 11.71 | % | 36.73 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 5,771,776 | $ | 5,747,512 | $ | 6,682,281 | $ | 6,539,510 | $ | 5,288,776 | $ | 4,119,119 | $ | 1,732,201 | $ | 2,134,444 | $ | 2,079,055 | $ | 2,035,597 | $ | 1,662,542 | $ | 1,132,006 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.48 | %*(c) | 0.48 | %(c)(d) | 0.48 | %(c)(d) | 0.48 | %(c)(d) | 0.48 | %(c)(d) | 0.48 | %(d) | 0.44 | %*(c) | 0.44 | %(c)(d) | 0.44 | %(c)(d) | 0.44 | %(c)(d) | 0.44 | %(c)(d) | 0.44 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 1.82 | %* | 2.04 | % | 2.02 | % | 2.01 | % | 1.88 | % | 1.88 | % | 1.85 | %* | 2.07 | % | 2.09 | % | 2.04 | % | 1.95 | % | 1.97 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 26 | %** | 48 | % | 34 | % | 40 | % | 32 | % | 28 | % | 26 | %** | 48 | % | 34 | % | 40 | % | 32 | % | 28 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.02 | %* | 0.01 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | %* | 0.01 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | ||||||||||||||||||||||||||||||||||||
Class V Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.10 | $ | 23.82 | $ | 23.42 | $ | 20.82 | $ | 19.00 | $ | 14.17 | $ | 25.09 | $ | 23.82 | $ | 23.41 | $ | 20.82 | $ | 19.00 | $ | 14.18 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.24 | 0.56 | 0.48 | 0.44 | 0.38 | 0.34 | 0.24 | 0.54 | 0.49 | 0.45 | 0.38 | 0.35 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.67 | 3.68 | 2.25 | 2.58 | 1.81 | 4.84 | 1.67 | 3.70 | 2.25 | 2.57 | 1.81 | 4.82 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.91 | 4.24 | 2.73 | 3.02 | 2.19 | 5.18 | 1.91 | 4.24 | 2.74 | 3.02 | 2.19 | 5.17 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.55 | ) | (0.53 | ) | (0.42 | ) | (0.37 | ) | (0.35 | ) | (0.13 | ) | (0.56 | ) | (0.53 | ) | (0.43 | ) | (0.37 | ) | (0.35 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (2.58 | ) | (2.41 | ) | (1.80 | ) | — | — | — | (2.58 | ) | (2.41 | ) | (1.80 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (2.71 | ) | (2.96 | ) | (2.33 | ) | (0.42 | ) | (0.37 | ) | (0.35 | ) | (2.71 | ) | (2.97 | ) | (2.33 | ) | (0.43 | ) | (0.37 | ) | (0.35 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 24.30 | $ | 25.10 | $ | 23.82 | $ | 23.42 | $ | 20.82 | $ | 19.00 | $ | 24.29 | $ | 25.09 | $ | 23.82 | $ | 23.41 | $ | 20.82 | $ | 19.00 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 7.73 | %** | 18.49 | % | 12.45 | % | 14.74 | % | 11.73 | % | 36.87 | % | 7.73 | %** | 18.50 | % | 12.53 | % | 14.76 | % | 11.77 | % | 36.81 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 841,635 | $ | 653,307 | $ | 455,097 | $ | 578,367 | $ | 371,927 | $ | 551,272 | $ | 3,255,156 | $ | 3,675,950 | $ | 4,140,416 | $ | 9,816,202 | $ | 8,913,391 | $ | 9,156,696 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.42 | %*(c) | 0.42 | %(c)(d) | 0.41 | %(c)(d) | 0.42 | %(c)(d) | 0.42 | %(c)(d) | 0.42 | %(d) | 0.39 | %*(c) | 0.39 | %(c)(d) | 0.38 | %(c)(d) | 0.39 | %(c)(d) | 0.39 | %(c)(d) | 0.39 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 1.91 | %* | 2.22 | % | 2.05 | % | 2.08 | % | 1.96 | % | 1.98 | % | 1.91 | %* | 2.13 | % | 2.10 | % | 2.09 | % | 1.99 | % | 2.00 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 26 | %** | 48 | % | 34 | % | 40 | % | 32 | % | 28 | % | 26 | %** | 48 | % | 34 | % | 40 | % | 32 | % | 28 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/ or waived by the Manager to average daily net assets: | 0.02 | %* | 0.01 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | %* | 0.01 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
68 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RESOURCES FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | Period from December 28, 2011 (commencement of operations) through February 29, 2012 | Six Months Ended August 31, 2014 (Unaudited) | Period from March 20, 2013 (commencement of operations) through February 28, 2014 | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.88 | $ | 21.59 | $ | 22.96 | $ | 20.00 | $ | 21.86 | $ | 21.40 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.49 | 0.51 | 0.32 | 0.03 | 0.47 | 0.45 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.71 | 0.45 | (1.25 | )(b) | 2.93 | 1.73 | 0.70 | |||||||||||||||||||||||
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Total from investment operations | 2.20 | 0.96 | (0.93 | ) | 2.96 | 2.20 | 1.15 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.40 | ) | (0.20 | ) | — | (0.09 | ) | (0.42 | ) | |||||||||||||||||||
From net realized gains | (0.28 | ) | (0.27 | ) | (0.24 | ) | — | (0.28 | ) | (0.27 | ) | |||||||||||||||||||
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Total distributions | (0.36 | ) | (0.67 | ) | (0.44 | ) | — | (0.37 | ) | (0.69 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 23.72 | $ | 21.88 | $ | 21.59 | $ | 22.96 | $ | 23.69 | $ | 21.86 | ||||||||||||||||||
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Total Return(c) | 10.04 | %** | 4.54 | % | (4.00 | )% | 14.80 | %** | 10.06 | %** | 5.48 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 52,311 | $ | 81,646 | $ | 104,241 | $ | 8,101 | $ | 123,371 | $ | 138,358 | ||||||||||||||||||
Net expenses to average daily net assets | 0.76 | %*(d) | 0.75 | %(d)(e) | 0.77 | %(d) | 0.75 | %* | 0.71 | %*(d) | 0.70 | %(d)(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 4.21 | %* | 2.36 | % | 1.48 | % | 0.78 | %* | 4.01 | %* | 2.23 | % | ||||||||||||||||||
Portfolio turnover rate | 64 | %** | 40 | % | 51 | % | 15 | %** | 64 | %** | 40 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.06 | %* | 0.10 | % | 0.73 | % | 7.69 | %* | 0.06 | %* | 0.11 | % | ||||||||||||||||||
Redemption fees consisted of the following per share amounts:† | $ | 0.02 | $ | 0.06 | $ | 0.22 | $ | 0.06 | $ | 0.03 | $ | 0.03 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 69 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RISK PREMIUM FUND
Class III Shares | Class IV Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | ||||||||||||||||||||||||||||||||||||||||
2014 | 2013(b) | 2014 | 2013(c) | 2014 | 2013(d) | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.58 | $ | 10.53 | $ | 10.27 | $ | 10.60 | $ | 10.54 | $ | 10.30 | $ | 10.60 | $ | 10.53 | $ | 10.00 | |||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | (0.03 | ) | (0.06 | ) | (0.01 | ) | (0.03 | ) | (0.06 | ) | (0.01 | ) | (0.03 | ) | (0.05 | ) | (0.01 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.55 | 0.71 | 0.27 | 0.55 | 0.72 | 0.25 | 0.55 | 0.72 | 0.54 | ||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.52 | 0.65 | 0.26 | 0.52 | 0.66 | 0.24 | 0.52 | 0.67 | 0.53 | ||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||
From net realized gains | (0.33 | ) | (0.60 | ) | — | (0.33 | ) | (0.60 | ) | — | (0.33 | ) | (0.60 | ) | — | ||||||||||||||||||||||||||||||
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Total distributions | (0.33 | ) | (0.60 | ) | — | (0.33 | ) | (0.60 | ) | — | (0.33 | ) | (0.60 | ) | — | ||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 10.77 | $ | 10.58 | $ | 10.53 | $ | 10.79 | $ | 10.60 | $ | 10.54 | $ | 10.79 | $ | 10.60 | $ | 10.53 | |||||||||||||||||||||||||||
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Total Return(e) | 4.96 | %** | 6.42 | % | 2.53 | %** | 4.95 | %** | 6.51 | % | 2.33 | %** | 4.95 | %** | 6.61 | % | 5.30 | %** | |||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 7,112 | $ | 7,489 | $ | 6,793 | $ | 8,663 | $ | 28,964 | $ | 8,244 | $ | 655,346 | $ | 730,196 | $ | 616,464 | |||||||||||||||||||||||||||
Net expenses to average daily net assets(f) | 0.60 | %* | 0.60 | %(g) | 0.60 | %(g)* | 0.55 | %* | 0.55 | %(g) | 0.55 | %(g)* | 0.51 | %* | 0.51 | %(g) | 0.51 | %(g)* | |||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | (0.58 | )%* | (0.57 | )% | (0.56 | )%* | (0.53 | )%* | (0.52 | )% | (0.51 | )%* | (0.49 | )%* | (0.48 | )% | (0.46 | )%* | |||||||||||||||||||||||||||
Portfolio turnover rate | 24 | %** | 0 | % | 0 | %** | 24 | %** | 0 | % | 0 | %** | 24 | %** | 0 | % | 0 | %** | |||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.03 | %* | 0.05 | % | 0.08 | %* | 0.03 | %* | 0.05 | % | 0.07 | %* | 0.03 | %* | 0.05 | % | 0.10 | %* | |||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.01 | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.02 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | Period from December 14, 2012 (commencement of operations) through February 28, 2013. |
(c) | Period from December 17, 2012 (commencement of operations) through February 28, 2013. |
(d) | Period from November 15, 2012 (commencement of operations) through February 28, 2013. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
70 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
TAX-MANAGED INTERNATIONAL EQUITIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.03 | $ | 14.56 | $ | 13.80 | $ | 15.41 | $ | 12.97 | $ | 9.28 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.35 | 0.57 | 0.39 | 0.43 | 0.30 | 0.26 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19 | ) | 3.37 | 0.83 | (1.59 | ) | 2.47 | 3.80 | ||||||||||||||||||||||
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Total from investment operations | 0.16 | 3.94 | 1.22 | (1.16 | ) | 2.77 | 4.06 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.22 | ) | (0.47 | ) | (0.46 | ) | (0.45 | ) | (0.33 | ) | (0.37 | ) | ||||||||||||||||||
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Total distributions | (0.22 | ) | (0.47 | ) | (0.46 | ) | (0.45 | ) | (0.33 | ) | (0.37 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 17.97 | $ | 18.03 | $ | 14.56 | $ | 13.80 | $ | 15.41 | $ | 12.97 | ||||||||||||||||||
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Total Return(b) | 0.85 | %** | 27.37 | % | 8.99 | % | (7.35 | )% | 21.51 | % | 43.60 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 469,386 | $ | 485,665 | $ | 479,005 | $ | 505,282 | $ | 599,876 | $ | 547,178 | ||||||||||||||||||
Net expenses to average daily net assets | 0.66 | %(c)* | 0.66 | %(c) | 0.67 | %(c)(d) | 0.65 | %(c)(d) | 0.65 | %(c)(d) | 0.65 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.78 | %* | 3.54 | % | 2.83 | % | 3.02 | % | 2.20 | % | 2.08 | % | ||||||||||||||||||
Portfolio turnover rate | 40 | %** | 49 | % | 54 | % | 48 | % | 40 | % | 49 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.13 | %* | 0.10 | % | 0.12 | % | 0.11 | % | 0.11 | % | 0.09 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 71 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. EQUITY ALLOCATION FUND (FORMERLY U.S. CORE EQUITY FUND)
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.27 | $ | 14.51 | $ | 13.06 | $ | 12.00 | $ | 10.57 | $ | 7.65 | $ | 17.24 | $ | 14.48 | $ | 13.04 | $ | 11.98 | $ | 10.55 | $ | 7.63 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.15 | 0.28 | 0.26 | 0.22 | 0.18 | 0.17 | 0.16 | 0.29 | 0.27 | 0.22 | 0.18 | 0.17 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.13 | 2.77 | 1.47 | 1.08 | 1.43 | 2.93 | 1.13 | 2.77 | 1.46 | 1.08 | 1.43 | 2.93 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.28 | 3.05 | 1.73 | 1.30 | 1.61 | 3.10 | 1.29 | 3.06 | 1.73 | 1.30 | 1.61 | 3.10 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.29 | ) | (0.28 | ) | (0.24 | ) | (0.18 | ) | (0.18 | ) | (0.04 | ) | (0.30 | ) | (0.29 | ) | (0.24 | ) | (0.18 | ) | (0.18 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.43 | ) | — | — | — | — | — | (0.43 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.46 | ) | (0.29 | ) | (0.28 | ) | (0.24 | ) | (0.18 | ) | (0.18 | ) | (0.47 | ) | (0.30 | ) | (0.29 | ) | (0.24 | ) | (0.18 | ) | (0.18 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 18.09 | $ | 17.27 | $ | 14.51 | $ | 13.06 | $ | 12.00 | $ | 10.57 | $ | 18.06 | $ | 17.24 | $ | 14.48 | $ | 13.04 | $ | 11.98 | $ | 10.55 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 7.45 | %** | 21.11 | % | 13.40 | % | 11.00 | % | 15.42 | % | 40.85 | % | 7.48 | %** | 21.21 | % | 13.40 | % | 11.05 | % | 15.47 | % | 41.04 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 370,754 | $ | 488,982 | $ | 188,363 | $ | 259,751 | $ | 393,523 | $ | 519,309 | $ | 241,846 | $ | 288,782 | $ | 44,849 | $ | 52,486 | $ | 163,627 | $ | 415,267 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.46 | %(c)* | 0.46 | %(c)(d) | 0.46 | %(c)(d) | 0.46 | %(c)(d) | 0.46 | %(c)(d) | 0.46 | %(d) | 0.41 | %(c)* | 0.41 | %(c)(d) | 0.41 | %(c)(d) | 0.41 | %(c)(d) | 0.41 | %(c)(d) | 0.41 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 1.68 | %* | 1.71 | % | 1.95 | % | 1.82 | % | 1.68 | % | 1.73 | % | 1.76 | %* | 1.75 | % | 2.01 | % | 1.88 | % | 1.68 | % | 1.76 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 38 | %** | 74 | % | 79 | % | 61 | % | 96 | % | 52 | % | 38 | %** | 74 | % | 79 | % | 61 | % | 96 | % | 52 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.02 | %* | 0.02 | % | 0.02 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.02 | %* | 0.02 | % | 0.02 | % | 0.03 | % | 0.03 | % | 0.03 | % |
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.21 | $ | 14.47 | $ | 13.02 | $ | 11.97 | $ | 10.54 | $ | 7.63 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.16 | 0.30 | 0.28 | 0.23 | 0.20 | 0.17 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.13 | 2.74 | 1.46 | 1.07 | 1.42 | 2.93 | ||||||||||||||||||||||||
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Total from investment operations | 1.29 | 3.04 | 1.74 | 1.30 | 1.62 | 3.10 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.30 | ) | (0.29 | ) | (0.25 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||||||||
From net realized gains | (0.43 | ) | — | — | — | — | — | |||||||||||||||||||||||
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Total distributions | (0.47 | ) | (0.30 | ) | (0.29 | ) | (0.25 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 18.03 | $ | 17.21 | $ | 14.47 | $ | 13.02 | $ | 11.97 | $ | 10.54 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | 7.51 | %** | 21.14 | % | 13.56 | % | 11.06 | % | 15.59 | % | 40.96 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 7,109,773 | $ | 7,082,304 | $ | 1,249,117 | $ | 1,095,053 | $ | 1,129,978 | $ | 1,069,030 | ||||||||||||||||||
Net expenses to average daily net assets | 0.37 | %(c)* | 0.37 | %(c)(d) | 0.37 | %(c)(d) | 0.37 | %(c)(d) | 0.37 | %(c)(d) | 0.37 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 1.81 | %* | 1.85 | % | 2.08 | % | 1.93 | % | 1.80 | % | 1.80 | % | ||||||||||||||||||
Portfolio turnover rate | 38 | %** | 74 | % | 79 | % | 61 | % | 96 | % | 52 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.02 | %* | 0.02 | % | 0.02 | % | 0.03 | % | 0.03 | % | 0.03 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
72 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2014 (Unaudited)
1. | Organization |
Each of Developed World Stock Fund, International Equity Fund, International Large/Mid Cap Equity Fund, International Small Companies Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund and U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).
The Funds may invest in U.S. Treasury Fund and money market funds that are unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”).
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Principal Investment Objective | ||
Developed World Stock Fund | MSCI World Index | High total return | ||
International Equity Fund | MSCI EAFE Index | High total return | ||
International Large/Mid Cap Equity Fund | MSCI EAFE Index | High total return | ||
International Small Companies Fund | MSCI EAFE Small Cap Index | High total return | ||
Quality Fund | Not Applicable | Total return | ||
Resources Fund | MSCI ACWI Commodity Producers Index | Total return | ||
Risk Premium Fund | Not Applicable | Total return | ||
Tax-Managed International Equities Fund | MSCI EAFE Index (after tax) | High after-tax total return | ||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | S&P 500 Index | High total return |
Developed World Stock Fund, International Large/Mid Cap Equity Fund, International Small Companies Fund and Risk Premium Fund currently limit subscriptions.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
Portfolio valuation
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See
73
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2014. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market price for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.
As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2014 is as follows:
Securities and Derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | ||||||
Developed World Stock Fund | < 1% | 52% | ||||||
International Equity Fund | — | 96% | ||||||
International Large/Mid Cap Equity Fund | 0% | * | 97% | |||||
International Small Companies Fund | 0% | * | 96% | |||||
Quality Fund | — | 11% | ||||||
Resources Fund | — | 87% | ||||||
Risk Premium Fund | — | (1)% | ||||||
Tax-Managed International Equities Fund | — | 98% | ||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | — | — |
* | Represents the interest in securities that were determined to have a value of zero at August 31, 2014. |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
74
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2014, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations with a remaining maturity of greater than sixty days, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of sixty days or less valued at amortized cost; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2014:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Developed World Stock Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 188,308 | $ | — | $ | 188,308 | ||||||||
Austria | — | 1,247,166 | — | 1,247,166 | ||||||||||||
Belgium | — | 1,270,163 | — | 1,270,163 | ||||||||||||
Brazil | 457,099 | 2,594,418 | — | 3,051,517 | ||||||||||||
Canada | 183,768 | — | — | 183,768 | ||||||||||||
China | 313,068 | 5,467,636 | — | 5,780,704 | ||||||||||||
Czech Republic | — | 627,307 | — | 627,307 | ||||||||||||
Denmark | — | 1,951,758 | — | 1,951,758 | ||||||||||||
Egypt | — | 195,937 | — | 195,937 | ||||||||||||
Finland | — | 2,953,896 | — | 2,953,896 | ||||||||||||
France | — | 45,140,163 | — | 45,140,163 | ||||||||||||
Germany | — | 31,145,276 | — | 31,145,276 | ||||||||||||
Hong Kong | — | 103,934 | — | 103,934 | ||||||||||||
Hungary | — | 97,563 | — | 97,563 | ||||||||||||
India | 330,650 | 31,562 | — | 362,212 | ||||||||||||
Indonesia | 193,452 | 593,178 | — | 786,630 | ||||||||||||
Ireland | — | 931,403 | — | 931,403 | ||||||||||||
Israel | 1,427,502 | — | — | 1,427,502 | ||||||||||||
Italy | — | 13,230,030 | — | 13,230,030 | ||||||||||||
Japan | — | 34,778,884 | — | 34,778,884 | ||||||||||||
Malaysia | — | 78,528 | — | 78,528 | ||||||||||||
75
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Developed World Stock Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mexico | $ | 427,094 | $ | — | $ | — | $ | 427,094 | ||||||||
Netherlands | 52,824 | 3,126,938 | — | 3,179,762 | ||||||||||||
Nigeria | — | 24,552 | — | 24,552 | ||||||||||||
Norway | — | 3,973,251 | — | 3,973,251 | ||||||||||||
Panama | 49,192 | — | — | 49,192 | ||||||||||||
Peru | 208,368 | — | — | 208,368 | ||||||||||||
Philippines | 15,168 | 183,055 | — | 198,223 | ||||||||||||
Poland | — | 1,050,317 | — | 1,050,317 | ||||||||||||
Portugal | — | 963,188 | — | 963,188 | ||||||||||||
Qatar | — | 58,104 | — | 58,104 | ||||||||||||
Russia | 124,329 | 7,808,532 | — | 7,932,861 | ||||||||||||
Singapore | — | 529,326 | — | 529,326 | ||||||||||||
South Africa | — | 917,961 | 4 | 917,965 | ||||||||||||
South Korea | — | 6,684,973 | — | 6,684,973 | ||||||||||||
Spain | — | 14,102,047 | — | 14,102,047 | ||||||||||||
Sweden | — | 3,187,575 | — | 3,187,575 | ||||||||||||
Switzerland | — | 3,060,825 | — | 3,060,825 | ||||||||||||
Taiwan | 115,514 | 2,320,780 | 1,612,397 | 4,048,691 | ||||||||||||
Thailand | — | 1,417,576 | — | 1,417,576 | ||||||||||||
Turkey | — | 1,258,721 | 56,844 | 1,315,565 | ||||||||||||
United Kingdom | 47,368 | 35,349,682 | — | 35,397,050 | ||||||||||||
United States | 200,529,518 | — | — | 200,529,518 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 204,474,914 | 228,644,513 | 1,669,245 | 434,788,672 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 705,930 | 1,702,863 | — | 2,408,793 | ||||||||||||
Germany | — | 4,911,160 | — | 4,911,160 | ||||||||||||
Russia | — | 1,282,669 | — | 1,282,669 | ||||||||||||
South Korea | — | 2,549,881 | — | 2,549,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 705,930 | 10,446,573 | — | 11,152,503 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Thailand | — | 20,872 | — | 20,872 | ||||||||||||
United States | 2,399,958 | — | — | 2,399,958 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 2,399,958 | 20,872 | — | 2,420,830 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 68,821 | — | — | 68,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 68,821 | — | — | 68,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 5,254,617 | — | — | 5,254,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 5,254,617 | — | — | 5,254,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 3,424,755 | — | — | 3,424,755 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 216,328,995 | 239,111,958 | 1,669,245 | 457,110,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 352,891 | — | 352,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 216,328,995 | $ | 239,464,849 | $ | 1,669,245 | $ | 457,463,089 | ||||||||
|
|
|
|
|
|
|
| |||||||||
76
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Developed World Stock Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (256,280 | ) | $ | — | $ | (256,280 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | — | (105 | ) | — | (105 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (256,385 | ) | $ | — | $ | (256,385 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 149,930,699 | $ | — | $ | 149,930,699 | ||||||||
Austria | — | 60,201,325 | 0 | ** | 60,201,325 | |||||||||||
Belgium | — | 107,816,510 | — | 107,816,510 | ||||||||||||
Canada | 74,287,927 | — | — | 74,287,927 | ||||||||||||
Denmark | — | 105,438,630 | — | 105,438,630 | ||||||||||||
Finland | — | 195,827,141 | — | 195,827,141 | ||||||||||||
France | — | 2,619,814,931 | — | 2,619,814,931 | ||||||||||||
Germany | — | 1,932,924,282 | — | 1,932,924,282 | ||||||||||||
Hong Kong | — | 145,444,345 | — | 145,444,345 | ||||||||||||
Ireland | — | 60,663,416 | — | 60,663,416 | ||||||||||||
Israel | 115,542,438 | 57,399,886 | — | 172,942,324 | ||||||||||||
Italy | — | 771,945,289 | — | 771,945,289 | ||||||||||||
Japan | — | 2,507,626,719 | — | 2,507,626,719 | ||||||||||||
Malta | — | — | 0 | ** | 0 | ** | ||||||||||
Netherlands | — | 269,677,116 | — | 269,677,116 | ||||||||||||
New Zealand | — | 41,550,313 | — | 41,550,313 | ||||||||||||
Norway | — | 311,854,637 | — | 311,854,637 | ||||||||||||
Portugal | — | 51,657,762 | — | 51,657,762 | ||||||||||||
Singapore | — | 85,739,492 | — | 85,739,492 | ||||||||||||
Spain | — | 798,078,918 | — | 798,078,918 | ||||||||||||
Sweden | — | 224,377,220 | — | 224,377,220 | ||||||||||||
Switzerland | — | 225,327,800 | — | 225,327,800 | ||||||||||||
United Kingdom | — | 2,428,155,527 | — | 2,428,155,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 189,830,365 | 13,151,451,958 | — | 13,341,282,323 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 298,027,914 | — | 298,027,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 298,027,914 | — | 298,027,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 8,394,216 | — | — | 8,394,216 | ||||||||||||
Hong Kong | 735,446 | — | — | 735,446 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 9,129,662 | — | — | 9,129,662 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 55,074,000 | — | — | 55,074,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 55,074,000 | — | — | 55,074,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 151,824,332 | 105,712,826 | — | 257,537,158 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 405,858,359 | 13,555,192,698 | 0 | ** | 13,961,051,057 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 12,059,238 | — | 12,059,238 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 405,858,359 | $ | 13,567,251,936 | $ | 0 | ** | $ | 13,973,110,295 | |||||||
|
|
|
|
|
|
|
| |||||||||
77
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Equity Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (10,803,609 | ) | $ | — | $ | (10,803,609 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 24,371,242 | $ | — | $ | 24,371,242 | ||||||||
Austria | — | 8,487,637 | — | 8,487,637 | ||||||||||||
Belgium | — | 15,963,651 | — | 15,963,651 | ||||||||||||
Canada | 2,370,136 | — | — | 2,370,136 | ||||||||||||
Denmark | — | 13,594,327 | — | 13,594,327 | ||||||||||||
Finland | — | 31,879,131 | — | 31,879,131 | ||||||||||||
France | — | 385,693,899 | — | 385,693,899 | ||||||||||||
Germany | — | 284,696,864 | — | 284,696,864 | ||||||||||||
Hong Kong | — | 21,552,970 | — | 21,552,970 | ||||||||||||
Ireland | — | 7,472,500 | — | 7,472,500 | ||||||||||||
Israel | 18,202,426 | 7,329,413 | — | 25,531,839 | ||||||||||||
Italy | — | 105,923,217 | — | 105,923,217 | ||||||||||||
Japan | — | 355,481,337 | — | 355,481,337 | ||||||||||||
Malta | — | — | 0 | ** | 0 | ** | ||||||||||
Netherlands | — | 38,169,012 | 0 | ** | 38,169,012 | |||||||||||
New Zealand | — | 6,686,516 | — | 6,686,516 | ||||||||||||
Norway | — | 44,220,264 | — | 44,220,264 | ||||||||||||
Portugal | — | 8,411,066 | — | 8,411,066 | ||||||||||||
Singapore | — | 9,503,554 | — | 9,503,554 | ||||||||||||
Spain | — | 120,005,835 | — | 120,005,835 | ||||||||||||
Sweden | — | 34,333,984 | — | 34,333,984 | ||||||||||||
Switzerland | — | 36,273,858 | — | 36,273,858 | ||||||||||||
United Kingdom | — | 356,696,803 | — | 356,696,803 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 20,572,562 | 1,916,747,080 | — | 1,937,319,642 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 45,048,801 | — | 45,048,801 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 45,048,801 | — | 45,048,801 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 894,511 | — | — | 894,511 | ||||||||||||
Hong Kong | 117,268 | — | — | 117,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 1,011,779 | — | — | 1,011,779 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 28,536,000 | — | — | 28,536,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 28,536,000 | — | — | 28,536,000 | �� | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 8,833,569 | — | — | 8,833,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 58,953,910 | 1,961,795,881 | 0 | ** | 2,020,749,791 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,858,657 | — | 1,858,657 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 58,953,910 | $ | 1,963,654,538 | $ | 0 | ** | $ | 2,022,608,448 | |||||||
|
|
|
|
|
|
|
| |||||||||
78
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Large/Mid Cap Equity Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,547,281 | ) | $ | — | $ | (1,547,281 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,547,281 | ) | $ | — | $ | (1,547,281 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Small Companies Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 2,591,578 | $ | — | $ | 2,591,578 | ||||||||
Austria | — | 840,239 | 0 | ** | 840,239 | |||||||||||
Belgium | — | 3,289,099 | 18 | 3,289,117 | ||||||||||||
Brazil | — | 1,929,862 | — | 1,929,862 | ||||||||||||
Canada | 4,397,757 | — | — | 4,397,757 | ||||||||||||
China | — | 3,560,364 | — | 3,560,364 | ||||||||||||
Denmark | — | 2,702,829 | — | 2,702,829 | ||||||||||||
Finland | — | 2,755,858 | — | 2,755,858 | ||||||||||||
France | — | 31,310,589 | — | 31,310,589 | ||||||||||||
Germany | — | 24,356,612 | — | 24,356,612 | ||||||||||||
Greece | — | 1,328,660 | 5,980 | 1,334,640 | ||||||||||||
Hong Kong | — | 3,246,426 | — | 3,246,426 | ||||||||||||
Hungary | — | 179,275 | — | 179,275 | ||||||||||||
India | — | 2,253,298 | — | 2,253,298 | ||||||||||||
Indonesia | — | 429,485 | — | 429,485 | ||||||||||||
Ireland | — | 583,674 | — | 583,674 | ||||||||||||
Israel | — | 1,648,793 | — | 1,648,793 | ||||||||||||
Italy | — | 16,712,841 | — | 16,712,841 | ||||||||||||
Japan | — | 67,714,867 | — | 67,714,867 | ||||||||||||
Netherlands | — | 11,959,536 | 0 | ** | 11,959,536 | |||||||||||
New Zealand | — | 635,665 | — | 635,665 | ||||||||||||
Norway | — | 3,277,538 | — | 3,277,538 | ||||||||||||
Philippines | — | 161,260 | — | 161,260 | ||||||||||||
Poland | — | 355,325 | — | 355,325 | ||||||||||||
Portugal | — | 1,239,228 | — | 1,239,228 | ||||||||||||
Russia | — | 2,771,718 | — | 2,771,718 | ||||||||||||
Singapore | — | 2,161,667 | — | 2,161,667 | ||||||||||||
South Africa | — | 1,713,680 | — | 1,713,680 | ||||||||||||
South Korea | — | 5,664,058 | — | 5,664,058 | ||||||||||||
Spain | — | 12,818,150 | — | 12,818,150 | ||||||||||||
Sweden | — | 12,103,214 | — | 12,103,214 | ||||||||||||
Switzerland | — | 7,296,830 | — | 7,296,830 | ||||||||||||
Taiwan | — | 3,602,551 | 0 | ** | 3,602,551 | |||||||||||
Thailand | — | 514,601 | — | 514,601 | ||||||||||||
Turkey | — | 1,118,283 | — | 1,118,283 | ||||||||||||
United Kingdom | — | 61,825,877 | — | 61,825,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 4,397,757 | 296,653,530 | 5,998 | 301,057,285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 2,741,704 | — | 2,741,704 | ||||||||||||
Germany | — | 1,524,476 | — | 1,524,476 | ||||||||||||
Italy | — | 458,162 | — | 458,162 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 4,724,342 | — | 4,724,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
79
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Small Companies Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Rights/Warrants | ||||||||||||||||
France | $ | 500,784 | $ | — | $ | — | $ | 500,784 | ||||||||
Malaysia | 7,170 | — | — | 7,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 507,954 | — | — | 507,954 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 3,849,207 | — | — | 3,849,207 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 3,849,207 | — | — | 3,849,207 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 5,441,384 | — | — | 5,441,384 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 14,196,302 | 301,377,872 | 5,998 | 315,580,172 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 306,948 | — | 306,948 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 14,196,302 | $ | 301,684,820 | $ | 5,998 | $ | 315,887,120 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (313,387 | ) | $ | — | $ | (313,387 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Quality Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | 40,242,374 | $ | — | $ | 40,242,374 | ||||||||
Germany | — | 56,911,956 | — | 56,911,956 | ||||||||||||
Japan | — | 128,966,791 | — | 128,966,791 | ||||||||||||
Netherlands | — | 75,041,985 | — | 75,041,985 | ||||||||||||
Switzerland | — | 434,670,968 | — | 434,670,968 | ||||||||||||
United Kingdom | — | 535,155,314 | — | 535,155,314 | ||||||||||||
United States | 10,256,963,175 | — | — | 10,256,963,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 10,256,963,175 | 1,270,989,388 | — | 11,527,952,563 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 25,486,000 | — | — | 25,486,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 25,486,000 | — | — | 25,486,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Term Investments | 89,591,529 | — | — | 89,591,529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 10,372,040,704 | 1,270,989,388 | — | 11,643,030,092 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,372,040,704 | $ | 1,270,989,388 | $ | — | $ | 11,643,030,092 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Austria | $ | — | $ | 1,960,472 | $ | — | $ | 1,960,472 | ||||||||
Brazil | — | 6,250,856 | — | 6,250,856 | ||||||||||||
Canada | 279,555 | — | — | 279,555 | ||||||||||||
Chile | — | 87,211 | — | 87,211 | ||||||||||||
China | — | 11,159,381 | — | 11,159,381 | ||||||||||||
Colombia | 625,131 | — | — | 625,131 | ||||||||||||
Czech Republic | — | 1,329,110 | — | 1,329,110 | ||||||||||||
80
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Resources Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Denmark | $ | — | $ | 449,666 | $ | — | $ | 449,666 | ||||||||
France | — | 10,656,513 | — | 10,656,513 | ||||||||||||
Germany | — | 1,460,078 | — | 1,460,078 | ||||||||||||
Hungary | — | 458,217 | — | 458,217 | ||||||||||||
Indonesia | — | 90,288 | — | 90,288 | ||||||||||||
Italy | — | 9,134,839 | — | 9,134,839 | ||||||||||||
Japan | — | 23,155,219 | — | 23,155,219 | ||||||||||||
Malaysia | — | 950,530 | — | 950,530 | ||||||||||||
Netherlands | — | 495,371 | — | 495,371 | ||||||||||||
Norway | — | 15,348,481 | — | 15,348,481 | ||||||||||||
Poland | — | 623,290 | — | 623,290 | ||||||||||||
Russia | — | 16,867,302 | — | 16,867,302 | ||||||||||||
Singapore | — | 545,704 | — | 545,704 | ||||||||||||
South Africa | — | 6,584,066 | — | 6,584,066 | ||||||||||||
South Korea | — | 142,306 | — | 142,306 | ||||||||||||
Spain | — | 10,599,653 | — | 10,599,653 | ||||||||||||
Sweden | — | 589,095 | — | 589,095 | ||||||||||||
Taiwan | — | 215,978 | — | 215,978 | ||||||||||||
Thailand | — | 3,825,371 | — | 3,825,371 | ||||||||||||
Turkey | — | 326,797 | — | 326,797 | ||||||||||||
United Kingdom | — | 18,387,886 | — | 18,387,886 | ||||||||||||
United States | 20,280,818 | — | — | 20,280,818 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 21,185,504 | 141,693,680 | — | 162,879,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 10,288,886 | — | 10,288,886 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 10,288,886 | — | 10,288,886 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 1,816,000 | — | — | 1,816,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,816,000 | — | — | 1,816,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 1,887,247 | — | — | 1,887,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 24,888,751 | 151,982,566 | — | 176,871,317 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 24,888,751 | $ | 151,982,566 | $ | — | $ | 176,871,317 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 293,036,028 | $ | — | $ | — | $ | 293,036,028 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 293,036,028 | — | — | 293,036,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 2,845,523 | — | — | 2,845,523 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 295,881,551 | — | — | 295,881,551 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 295,881,551 | $ | — | $ | — | $ | 295,881,551 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (943,400 | ) | $ | (3,166,904 | ) | $ | — | $ | (4,110,304 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
81
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 4,157,039 | $ | — | $ | 4,157,039 | ||||||||
Austria | — | 1,764,357 | 0 | ** | 1,764,357 | |||||||||||
Belgium | — | 4,749,212 | — | 4,749,212 | ||||||||||||
Brazil | — | 2,827,971 | — | 2,827,971 | ||||||||||||
Canada | 1,851,510 | — | — | 1,851,510 | ||||||||||||
China | — | 11,945,156 | — | 11,945,156 | ||||||||||||
Czech Republic | — | 830,258 | — | 830,258 | ||||||||||||
Denmark | — | 2,865,575 | — | 2,865,575 | ||||||||||||
Finland | — | 7,342,905 | — | 7,342,905 | ||||||||||||
France | — | 83,711,991 | 21 | 83,712,012 | ||||||||||||
Germany | — | 59,266,164 | — | 59,266,164 | ||||||||||||
Greece | — | 966,786 | — | 966,786 | ||||||||||||
Hong Kong | — | 2,165,457 | — | 2,165,457 | ||||||||||||
Ireland | — | 1,592,926 | — | 1,592,926 | ||||||||||||
Israel | 3,259,818 | 1,091,149 | — | 4,350,967 | ||||||||||||
Italy | — | 29,514,582 | — | 29,514,582 | ||||||||||||
Japan | — | 62,089,785 | — | 62,089,785 | ||||||||||||
Malta | — | — | 0 | ** | 0 | ** | ||||||||||
Netherlands | — | 7,199,178 | — | 7,199,178 | ||||||||||||
New Zealand | — | 739,915 | — | 739,915 | ||||||||||||
Norway | — | 6,959,140 | — | 6,959,140 | ||||||||||||
Poland | — | 376,703 | — | 376,703 | ||||||||||||
Portugal | — | 1,568,539 | — | 1,568,539 | ||||||||||||
Russia | — | 13,271,557 | — | 13,271,557 | ||||||||||||
Singapore | — | 1,457,295 | — | 1,457,295 | ||||||||||||
South Africa | — | 269,930 | — | 269,930 | ||||||||||||
South Korea | — | 9,729,682 | — | 9,729,682 | ||||||||||||
Spain | — | 28,360,534 | — | 28,360,534 | ||||||||||||
Sweden | — | 5,860,644 | — | 5,860,644 | ||||||||||||
Switzerland | — | 7,384,403 | — | 7,384,403 | ||||||||||||
Taiwan | — | 2,603,180 | — | 2,603,180 | ||||||||||||
United Kingdom | — | 71,914,337 | — | 71,914,337 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 5,111,328 | 434,576,350 | 21 | 439,687,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 7,447,473 | — | 7,447,473 | ||||||||||||
Germany | — | 9,104,494 | — | 9,104,494 | ||||||||||||
Russia | 439,200 | — | — | 439,200 | ||||||||||||
South Korea | — | 6,762,060 | — | 6,762,060 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 439,200 | 23,314,027 | — | 23,753,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 267,633 | — | — | 267,633 | ||||||||||||
Hong Kong | 13,143 | — | — | 13,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 280,776 | — | — | 280,776 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 2,064,000 | — | — | 2,064,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 2,064,000 | — | — | 2,064,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 1,022,322 | 1,547,974 | — | 2,570,296 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 8,917,626 | 459,438,351 | 21 | 468,355,998 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
82
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Tax-Managed International Equities Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 304,938 | $ | — | $ | 304,938 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,917,626 | $ | 459,743,289 | $ | 21 | $ | 468,660,936 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (312,744 | ) | $ | — | $ | (312,744 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | 7,624,361,419 | $ | — | $ | — | $ | 7,624,361,419 | ||||||||
Mutual Funds | 33,263,000 | — | — | 33,263,000 | ||||||||||||
Short-Term Investments | 92,464,543 | — | — | 92,464,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 7,750,088,962 | — | — | 7,750,088,962 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,750,088,962 | $ | — | $ | — | $ | 7,750,088,962 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
* | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
** | Represents the interest in securities that were determined to have a value of zero at August 31, 2014. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2014, there were no material transfers between Level 1 and Level 2.
83
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2014 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3* | Transfer out of Level 3* | Balances as of August 31, 2014 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2014 | |||||||||||||||||||||||||||||||
Developed World Stock Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
South Africa | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 4 | ** | $ | — | $ | 4 | $ | — | |||||||||||||||||||
Taiwan | 1,546,622 | — | (223,157 | ) | — | 20,187 | 268,745 | — | — | 1,612,397 | 268,745 | |||||||||||||||||||||||||||||
Turkey | — | — | — | — | — | — | 56,844 | ** | — | 56,844 | — | |||||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
South Korea | — | 673 | (673 | ) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 1,546,622 | $ | 673 | $ | (223,830 | ) | $ | — | $ | 20,187 | $ | 268,745 | $ | 56,848 | $ | — | $ | 1,669,245 | $ | 268,745 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
United Kingdom | $ | — | $ | 611 | $ | (611 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | — | $ | 611 | $ | (611 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
International Small Companies Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Belgium | $ | 19 | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | — | $ | — | $ | 18 | $ | (1 | ) | ||||||||||||||||||
Greece | 6,282 | — | — | — | — | (302 | ) | — | — | 5,980 | (302 | ) | ||||||||||||||||||||||||||||
Indonesia | 184,938 | — | — | — | — | (1,399 | ) | — | (183,539 | )** | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 191,239 | $ | — | $ | — | $ | — | $ | — | $ | (1,702 | ) | $ | — | $ | (183,539 | ) | $ | 5,998 | $ | (303 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
China | $ | — | $ | — | $ | (147,074 | ) | $ | — | $ | (14,715 | ) | $ | — | $ | 161,789 | ** *** | $ | — | $ | — | $ | — | |||||||||||||||||
France | 22 | — | — | — | — | (1 | ) | — | — | 21 | (1 | ) | ||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
United Kingdom | — | 4,561 | (4,561 | ) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
South Korea | — | 9,975 | (9,975 | ) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 22 | $ | 14,536 | $ | (161,610 | ) | $ | — | $ | (14,715 | ) | $ | (1 | ) | $ | 161,789 | $ | — | $ | 21 | $ | (1 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
* | Unless separately noted, the Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
** | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
*** | Security transferred into Level 3 is shown at cost. |
84
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of August 31, 2014 were as follows:
Fund Name | Level 3 securities | |||
Developed World Stock Fund | < 1% | |||
International Equity Fund | 0% | * | ||
International Large/Mid Cap Equity Fund | 0% | * | ||
International Small Companies Fund | < 1% | |||
Quality Fund | — | |||
Resources Fund | — | |||
Risk Premium Fund | — | |||
Tax-Managed International Equities Fund | < 1% | |||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | — |
* | Represents the interest in securities that were determined to have a value of zero at August 31, 2014. |
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Taxes and distributions
Each Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute substantially all of its net investment income, if any, and all of its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.
Each Fund intends to distribute net investment income, if any, semi-annually. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Foreign taxes paid by each Fund may be treated, to the extent permissible under the Code and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2014, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
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Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
U.S. Equity Allocation Fund’s holdings consisted of securities contributed to it in a previous year. The aggregate value of these securities significantly exceeded their aggregate tax basis at the time of contribution. U.S. GAAP and tax accounting differences related to these holdings were recognized by U.S. Equity Allocation Fund on securities sold during the period ended August 31, 2014. In addition, U.S. GAAP and tax accounting differences are expected to be recognized upon sale in subsequent periods, as applicable.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 28, 2014, the Funds listed below elected to defer to March 1, 2014 late-year ordinary losses as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | |||
Developed World Stock Fund | — | |||
International Equity Fund | — | |||
International Large/Mid Cap Equity Fund | — | |||
International Small Companies Fund | — | |||
Quality Fund | — | |||
Resources Fund | — | |||
Risk Premium Fund | (562,053) | |||
Tax-Managed International Equities Fund | — | |||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | — |
As of February 28, 2014, the Funds listed below had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2014, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Long- Term ($) | |||||||||||||||||||
Fund Name | Expiration Date 2/28/2018 | Expiration Date 2/28/2019 | No Expiration Date | Total Short- Term ($) | No Expiration | |||||||||||||||
Developed World Stock Fund | (32,823,601) | (13,491,492) | — | (46,315,093) | — | |||||||||||||||
International Equity Fund | (103,378,059) | (163,539,321) | — | (266,917,380) | — | |||||||||||||||
International Large/Mid Cap Equity Fund | (287,458,464) | (47,181,759) | — | (334,640,223) | — | |||||||||||||||
International Small Companies Fund | — | — | — | — | — | |||||||||||||||
Quality Fund | — | — | — | — | — | |||||||||||||||
Resources Fund | — | — | — | — | — | |||||||||||||||
Risk Premium Fund | — | — | — | — | — | |||||||||||||||
Tax-Managed International Equities Fund | (51,114,552) | — | — | (51,114,552) | — | |||||||||||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | (258,819,155) | — | — | (258,819,155) | — |
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As of August 31, 2014, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Developed World Stock Fund | 407,599,205 | 58,710,457 | (9,199,464) | 49,510,993 | ||||||||||||
International Equity Fund | 13,167,083,677 | 1,253,254,646 | (459,287,266) | 793,967,380 | ||||||||||||
International Large/Mid Cap Equity Fund | 1,918,916,004 | 171,543,764 | (69,709,977) | 101,833,787 | ||||||||||||
International Small Companies Fund | 305,041,494 | 33,440,617 | (22,901,939) | 10,538,678 | ||||||||||||
Quality Fund | 9,840,610,076 | 1,832,188,103 | (29,768,087) | 1,802,420,016 | ||||||||||||
Resources Fund | 164,296,423 | 15,217,147 | (2,642,253) | 12,574,894 | ||||||||||||
Risk Premium Fund | 295,951,523 | — | (69,972) | (69,972 | ) | |||||||||||
Tax-Managed International Equities Fund | 379,915,416 | 98,345,396 | (9,904,814) | 88,440,582 | ||||||||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | 6,865,204,630 | 1,016,335,037 | (131,450,705) | 884,884,332 |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
Expenses
Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).
Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent except for Quality Fund, U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) and Risk Premium Fund. For Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street Bank and Trust Company (“State Street”) serves as the custodian and fund accounting agent. State Street serves as the transfer agent for all Funds. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of
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Operations. Prior to December 31, 2012 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance the Funds maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when they use portfolio securities to redeem their shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
As of August 31, 2014, the premium on cash purchases and the fee on cash redemptions were as follows:
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | International Small Companies Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | ||||||||||
Purchase Premium | 0.25% | — | — | 0.50% | — | 0.30% | 0.15% | — | — | |||||||||
Redemption Fee | 0.25% | — | — | 0.50% | — | 0.30% | 0.15% | — | — |
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3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | International Small Companies Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | ||||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | X | |||||||||
Market Risk – Fixed Income Investments | X | |||||||||||||||||
Credit Risk | X | |||||||||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | X | |||||||||
Smaller Company Risk | X | X | X | X | X | X | X | X | ||||||||||
Derivatives Risk | X | X | X | X | X | X | X | X | X | |||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | ||||||||||
Currency Risk | X | X | X | X | X | X | X | X | ||||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | X | |||||||||
Leveraging Risk | X | X | X | X | X | X | X | X | ||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | X | |||||||||
Commodities Risk | X | |||||||||||||||||
Merger Arbitrage Risk | X | |||||||||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | |||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | |||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | X | |||||||||
Fund of Funds Risk | ||||||||||||||||||
Non-Diversified Funds | X | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed as well as the risk that investments made through underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through its underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
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• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation of those investments. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Because of Risk Premium Fund’s emphasis on selling put options on stock indices, its net asset value is expected to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform the equity markets on which its puts were written when those markets rise sharply because the Fund’s lack of exposure to the upside of those markets.
Fixed Income Investments. Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Illiquidity Risk” below for more information about these risks.
A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations.
The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.
The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. There can be no assurance, however, that the value of inflation-indexed bonds will change in the same proportion as changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Market risk for fixed income securities denominated in foreign currencies is also affected by currency risk. See “Currency Risk” below.
Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions, and may have
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to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.
U.S. government securities historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.
As described under “Market Risk – Asset-Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk – Asset-Backed Securities” above.
The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by their effective duration.
Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted instruments generally are considered speculative and may involve substantial risks not normally associated with investments in healthier companies including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if it all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, a Fund may lose a substantial portion or all of its investment or it may be required to accept cash or instruments with a value less than the Fund’s original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.
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• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.
Risk Premium Fund’s ability to use options as part of its investment program depends on the liquidity of those instruments. In addition, a liquid market may not exist when Risk Premium Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by Risk Premium Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If Risk Premium Fund receives a redemption request and is unable to close out an option that it has sold, the Fund may temporarily be leveraged in relation to its assets.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may have inexperienced managers or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that changes in their value may not move as expected relative to changes in the value of the assets, rates or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund will typically not receive the collateral for one or more days after the collateral is requested by the Fund.
The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.
Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.
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A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.
There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.
Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some of the rules are not yet final), its ultimate impact remains unclear.
Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
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These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. Some Funds, particularly Risk Premium Fund, are permitted to write options. The market price of written options will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time prior to the option’s expiration, the writer of an American-style option has no control over when it may be required to fulfill its obligations as a writer of the option. (This risk is not present when writing a European-style option because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO may constitute such a group. These limits could restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders at ordinary income tax rates. Due to Risk Premium Fund’s primary investment strategy of selling put options on various stock indices, a substantial portion of that Fund’s income could consist of short-term capital gains.
Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund.
In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third-party. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
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A Fund and/or its shareholders may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).
U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of GMO’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.
Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).
• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad
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sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.
A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, country (e.g., Taiwan or Japan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.
Because Resources Fund concentrates its investments in the natural resources sector, it is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector may be more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry-wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over supplies or for the products they sell, which can affect their profitability. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, the natural resource sector can be significantly affected by import controls, worldwide competition, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.
Because Risk Premium Fund can have substantial exposure through a limited number of options contracts and because the Fund’s exposures may relate to relatively few stock indices, the Fund is subject to focused investment risk.
• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions may not be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
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Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will still have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and may continue to be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives positions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of the funds held in the omnibus account for the relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodity Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives Risk” above for a discussion of certain specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• MERGER ARBITRAGE RISK. Some Funds may engage in merger arbitrage transactions, where a Fund will purchase securities at prices below GMO’s anticipated value of the cash, securities or other consideration to be paid or exchanged for such securities upon successful completion of a proposed merger, exchange offer, tender offer, or other similar transaction. Such purchase price may be substantially in excess of the market price of the securities prior to the announcement of the merger, exchange offer, tender offer, or other similar transaction.
If a Fund purchases securities in anticipation of a proposed merger, exchange offer, tender offer, or other similar transaction, and that transaction later appears unlikely to be consummated or in fact is not consummated or is delayed, the market price of the security purchased by the Fund may decline sharply and result in losses to the Fund if such securities are sold, transferred or exchanged for securities or cash, the value of which is less than the purchase price. There is typically asymmetry in the risk/reward payout of merger arbitrage strategies – the losses that can occur in the event of deal break-ups can far exceed the gains to be had if deals close successfully. The consummation of mergers, exchange offers, tender
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offers, and similar transactions can be prevented or delayed by a variety of factors, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.
Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical in nature. During periods when merger activity is low, it may be difficult or impossible to identify opportunities for profit or to identify a sufficient number of such opportunities to provide diversification among potential merger transactions. Merger arbitrage strategies are also subject to the risk of overall market movements. To the extent that a general increase or decline in equity market values affects the securities involved in a merger arbitrage position differently, the position may be exposed to loss.
In conjunction with merger arbitrage transactions, a Fund may make short sales of securities in an effort to maximize risk-adjusted returns. For example, when the terms of a proposed acquisition call for an exchange of securities, a Fund may sell short the securities of the acquiring company in order to protect against a decline in the market value of those securities prior to the acquisition’s completion. A Fund also may employ a variety of hedging strategies to protect against market fluctuations or other risks, and may use derivatives otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers.
At any given time, a Fund can become improperly hedged, which can lead to inadvertent market-related losses. Also, a Fund may not be able to hedge against market fluctuations or other risks, and market movements can result in losses to the Fund even if the proposed transaction is consummated. In addition, a Fund may sell short securities expected to be issued in a merger or exchange offer in anticipation of the short position being covered by delivery of such security when issued. If the merger or exchange offer is not consummated, the Fund may be forced to cover its short position by acquiring, converting, or exchanging securities to replace the borrowed securities at a time when the securities sold short have appreciated in value, thus resulting in a loss.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, a default by the U.S. government or a downgrade of its credit rating would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the United States and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• LARGE SHAREHOLDER RISK. If a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains
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(if any) and may limit or prevent a Fund’s use of tax equalization. In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future in tax legislation and regulation.
For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors or limitations in those analyses and models could affect a Fund’s performance. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual
obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.
With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its NAV, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of underlying funds, including wholly owned subsidiaries, other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies, are exposed to the risk that the underlying Funds will not perform as expected.
Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.
The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Because some underlying Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.
Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.
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• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers and/or foreign currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Developed World Stock Fund |
• | Quality Fund |
• | Resources Fund |
• | Risk Premium Fund |
• | Tax-Managed International Equities Fund |
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political or other positions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). While GMO expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate
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transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2014, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivatives and Objective for Use | Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | International Small Companies Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | |||||||||||||||||||||
Forward currency contracts | ||||||||||||||||||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | X | |||||||||||||||||||||||
To manage against anticipated currency exchange rate changes | X | X | X | X | X | |||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Adjust exposure to certain securities markets | X | |||||||||||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | |||||||||||||||||||||||||||
Options (Written) | ||||||||||||||||||||||||||||
Used written put option contracts as a substitute for direct equity investment | X | |||||||||||||||||||||||||||
Rights and/or warrants | ||||||||||||||||||||||||||||
Received as a result of corporate actions | X | X | X | X | X | X |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE
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close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
For the period ended August 31, 2014, investment activity in options contracts written by the Funds was as follows:
Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Risk Premium Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | 10,202 | $ | 11,920,737 | — | — | $ | — | ||||||||||||||||
Options written | — | 63,360 | 70,722,147 | — | — | — | ||||||||||||||||||
Options bought back | — | (28,666 | ) | (28,929,156 | ) | — | — | — | ||||||||||||||||
Options expired | — | (34,318 | ) | (42,953,611 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | 10,578 | $ | 10,760,117 | — | — | $ | — | ||||||||||||||||
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Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.
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Swap contracts
The Funds may enter into various types of swap contracts, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
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Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure:
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2014 and the Statements of Operations for the period ended August 31, 2014^:
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Developed World Stock Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 68,821 | $ | — | $ | — | $ | — | $ | 68,821 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 352,891 | — | — | 352,891 | ||||||||||||||||||
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Total | $ | — | $ | 68,821 | $ | 352,891 | $ | — | $ | — | $ | 421,712 | ||||||||||||
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Derivatives not subject to Master Agreements | $ | — | $ | 68,821 | $ | — | $ | — | $ | — | $ | 68,821 | ||||||||||||
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| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 352,891 | $ | — | $ | — | $ | 352,891 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (256,280 | ) | $ | — | $ | — | $ | (256,280 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts* | — | (105 | ) | — | — | — | (105 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (105 | ) | $ | (256,280 | ) | $ | — | $ | — | $ | (256,385 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (105 | ) | $ | (256,280 | ) | $ | — | $ | — | $ | (256,385 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (50,683 | ) | $ | — | $ | — | $ | — | $ | (50,683 | ) | ||||||||||
Forward Currency Contracts | — | — | (420,307 | ) | — | — | (420,307 | ) | ||||||||||||||||
Futures Contracts | — | 267,197 | — | — | — | 267,197 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 216,514 | $ | (420,307 | ) | $ | — | $ | — | $ | (203,793 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (13,012 | ) | $ | — | $ | — | $ | — | $ | (13,012 | ) | ||||||||||
Forward Currency Contracts | — | — | 539,233 | — | — | 539,233 | ||||||||||||||||||
Futures Contracts | — | 11,160 | — | — | — | 11,160 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (1,852 | ) | $ | 539,233 | $ | — | $ | — | $ | 537,381 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 9,129,662 | $ | — | $ | — | $ | — | $ | 9,129,662 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 12,059,238 | — | — | 12,059,238 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 9,129,662 | $ | 12,059,238 | $ | — | $ | — | $ | 21,188,900 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 9,129,662 | $ | — | $ | — | $ | — | $ | 9,129,662 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 12,059,238 | $ | — | $ | — | $ | 12,059,238 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
104
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
International Equity Fund (continued) | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (10,803,609 | ) | $ | — | $ | — | $ | (10,803,609 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (10,803,609 | ) | $ | — | $ | — | $ | (10,803,609 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (10,803,609 | ) | $ | — | $ | — | $ | (10,803,609 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 1,348,169 | $ | — | $ | — | $ | — | $ | 1,348,169 | ||||||||||||
Forward Currency Contracts | — | — | (17,054,947 | ) | — | — | (17,054,947 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,348,169 | $ | (17,054,947 | ) | $ | — | $ | — | $ | (15,706,778 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 4,265,971 | $ | — | $ | — | $ | — | $ | 4,265,971 | ||||||||||||
Forward Currency Contracts | — | — | 18,835,652 | — | — | 18,835,652 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 4,265,971 | $ | 18,835,652 | $ | — | $ | — | $ | 23,101,623 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 1,011,779 | $ | — | $ | — | $ | — | $ | 1,011,779 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 1,858,657 | — | — | 1,858,657 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,011,779 | $ | 1,858,657 | $ | — | $ | — | $ | 2,870,436 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 1,011,779 | $ | — | $ | — | $ | — | $ | 1,011,779 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 1,858,657 | $ | — | $ | — | $ | 1,858,657 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (1,547,281 | ) | $ | — | $ | — | $ | (1,547,281 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (1,547,281 | ) | $ | — | $ | — | $ | (1,547,281 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (1,547,281 | ) | $ | — | $ | — | $ | (1,547,281 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 735,929 | $ | — | $ | — | $ | — | $ | 735,929 | ||||||||||||
Forward Currency Contracts | — | — | (3,003,152 | ) | — | — | (3,003,152 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 735,929 | $ | (3,003,152 | ) | $ | — | $ | — | $ | (2,267,223 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 667,734 | $ | — | $ | — | — | $ | 667,734 | |||||||||||||
Forward Currency Contracts | — | — | 3,082,054 | — | — | 3,082,054 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 667,734 | $ | 3,082,054 | $ | — | $ | — | $ | 3,749,788 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Small Companies Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 507,954 | $ | — | $ | — | $ | — | $ | 507,954 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 306,948 | — | — | 306,948 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 507,954 | $ | 306,948 | $ | — | $ | — | $ | 814,902 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 507,954 | $ | — | $ | — | $ | — | $ | 507,954 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 306,948 | $ | — | $ | — | $ | 306,948 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
105
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
International Small Companies Fund (continued) | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (313,387 | ) | $ | — | $ | — | $ | (313,387 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (313,387 | ) | $ | — | $ | — | $ | (313,387 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (313,387 | ) | $ | — | $ | — | $ | (313,387 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | (291,180 | ) | $ | — | $ | — | $ | — | $ | (291,180 | ) | ||||||||||
Forward Currency Contracts | — | — | (474,003 | ) | — | — | (474,003 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (291,180 | ) | $ | (474,003 | ) | $ | — | $ | — | $ | (765,183 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 213,608 | $ | — | $ | — | $ | — | $ | 213,608 | ||||||||||||
Forward Currency Contracts | — | — | 482,945 | — | — | 482,945 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 213,608 | $ | 482,945 | $ | — | $ | — | $ | 696,553 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Resources Fund | ||||||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 14 | $ | — | $ | — | $ | — | $ | 14 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 14 | $ | — | $ | — | $ | — | $ | 14 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Risk Premium Fund | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Written Options, at value | $ | — | $ | (4,110,304 | ) | $ | — | $ | — | $ | — | $ | (4,110,304 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (4,110,304 | ) | $ | — | $ | — | $ | — | $ | (4,110,304 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (4,110,304 | ) | $ | — | $ | — | $ | — | $ | (4,110,304 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Written Options | $ | — | $ | 34,916,187 | $ | — | $ | — | $ | — | $ | 34,916,187 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 34,916,187 | $ | — | $ | — | $ | — | $ | 34,916,187 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Written Options | $ | — | $ | 2,582,028 | $ | — | $ | — | $ | — | $ | 2,582,028 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 2,582,028 | $ | — | $ | — | $ | — | $ | 2,582,028 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 280,776 | $ | — | $ | — | $ | — | $ | 280,776 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 304,938 | — | — | 304,938 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 280,776 | $ | 304,938 | $ | — | $ | — | $ | 585,714 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 280,776 | $ | — | $ | — | $ | — | $ | 280,776 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 304,938 | $ | — | $ | — | $ | 304,938 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (312,744 | ) | $ | — | $ | — | $ | (312,744 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (312,744 | ) | $ | — | $ | — | $ | (312,744 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (312,744 | ) | $ | — | $ | — | $ | (312,744 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
106
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Tax-Managed International Equities Fund (continued) | ||||||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 150,152 | $ | — | $ | — | $ | — | $ | 150,152 | ||||||||||||
Forward Currency Contracts | — | — | (1,074,841 | ) | — | — | (1,074,841 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 150,152 | $ | (1,074,841 | ) | $ | — | $ | — | $ | (924,689 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 169,755 | $ | — | $ | — | $ | — | $ | 169,755 | ||||||||||||
Forward Currency Contracts | — | — | 471,610 | — | — | 471,610 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 169,755 | $ | 471,610 | $ | — | $ | — | $ | 641,365 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
* | The table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statements of Assets and Liabilities. |
The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. If termination events were triggered by a Fund on August 31, 2014, that Fund may be required to potentially settle positions at the amounts noted in the Schedule of Investments. For more information about other uncertainties and risks, see “Investment and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2014, if any.
107
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2014:
Developed World Stock Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 40,922 | $ | — | $ | 40,922 | $ | — | ||||||||
Bank of New York Mellon | 19,807 | — | 19,807 | — | ||||||||||||
Barclays Bank plc | 21,635 | — | 21,635 | — | ||||||||||||
Brown Brothers Harriman & Co. | 42,946 | — | (25,626 | ) | 17,320 | |||||||||||
Deutsche Bank AG | 200,996 | — | (8,711 | ) | 192,285 | |||||||||||
Morgan Stanley & Co. International PLC | 21,439 | — | 21,439 | — | ||||||||||||
State Street Bank and Trust Company | 5,146 | — | 5,146 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 352,891 | $ | — | $ | 74,612 | $ | 209,605 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 44,337 | $ | — | $ | (40,922 | ) | $ | 3,415 | |||||||
Bank of New York Mellon | 40,381 | — | (19,807 | ) | 20,574 | |||||||||||
Barclays Bank plc | 51,556 | — | (21,635 | ) | 29,921 | |||||||||||
Brown Brothers Harriman & Co. | 25,626 | — | 25,626 | — | ||||||||||||
Deutsche Bank AG | 8,711 | — | 8,711 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 27,977 | — | (21,439 | ) | 6,538 | |||||||||||
State Street Bank and Trust Company | 57,692 | — | (5,146 | ) | 52,546 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 256,280 | $ | — | $ | (74,612 | ) | $ | 112,994 | |||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 1,781,237 | $ | — | $ | (1,651,499 | ) | $ | 129,738 | |||||||
Bank of New York Mellon | 1,856,442 | — | (1,430,159 | ) | 426,283 | |||||||||||
Barclays Bank plc | 1,711,290 | — | (969,588 | ) | 741,702 | |||||||||||
Brown Brothers Harriman & Co. | 1,302,149 | — | (868,637 | ) | 433,512 | |||||||||||
Deutsche Bank AG | 1,253,044 | — | 1,253,044 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 1,504,006 | — | (1,495,668 | ) | 8,338 | |||||||||||
Morgan Stanley & Co. International PLC | 1,375,269 | — | 1,375,269 | — | ||||||||||||
State Street Bank and Trust Company | 1,275,801 | — | 1,275,801 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,059,238 | $ | — | $ | (2,511,437 | ) | $ | 1,739,573 | |||||||
|
|
|
|
|
|
|
| |||||||||
108
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
International Equity Fund (continued)
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 1,651,499 | $ | — | $ | 1,651,499 | $ | — | ||||||||
Bank of New York Mellon | 1,430,159 | — | 1,430,159 | — | ||||||||||||
Barclays Bank plc | 969,588 | — | 969,588 | — | ||||||||||||
Brown Brothers Harriman & Co. | 868,637 | — | 868,637 | — | ||||||||||||
Deutsche Bank AG | 1,637,013 | — | (1,253,044 | ) | 383,969 | |||||||||||
JPMorgan Chase Bank, N.A. | 1,495,668 | — | 1,495,668 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 1,415,811 | — | (1,375,269 | ) | 40,542 | |||||||||||
State Street Bank and Trust Company | 1,335,234 | — | (1,275,801 | ) | 59,433 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,803,609 | $ | — | $ | 2,511,437 | $ | 483,944 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Large/Mid Cap Equity Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 457,832 | $ | — | $ | (250,594 | ) | $ | 207,238 | |||||||
Bank of New York Mellon | 232,719 | — | (203,975 | ) | 28,744 | |||||||||||
Barclays Bank plc | 205,059 | — | 205,059 | — | ||||||||||||
Brown Brothers Harriman & Co. | 155,719 | — | (109,473 | ) | 46,246 | |||||||||||
Deutsche Bank AG | 263,748 | — | (179,302 | ) | 84,446 | |||||||||||
JPMorgan Chase Bank, N.A. | 36,915 | — | 36,915 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 341,143 | — | (123,850 | ) | 217,293 | |||||||||||
State Street Bank and Trust Company | 165,522 | — | (121,918 | ) | 43,604 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,858,657 | $ | — | $ | (747,138 | ) | $ | 627,571 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 250,594 | $ | — | $ | 250,594 | $ | — | ||||||||
Bank of New York Mellon | 203,975 | — | 203,975 | — | ||||||||||||
Barclays Bank plc | 282,513 | — | (205,059 | ) | 77,454 | |||||||||||
Brown Brothers Harriman & Co. | 109,473 | — | 109,473 | — | ||||||||||||
Deutsche Bank AG | 179,302 | — | 179,302 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 275,656 | — | (36,915 | ) | 238,741 | |||||||||||
Morgan Stanley & Co. International PLC | 123,850 | — | 123,850 | — | ||||||||||||
State Street Bank and Trust Company | 121,918 | — | 121,918 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,547,281 | $ | — | $ | 747,138 | $ | 316,195 | ||||||||
|
|
|
|
|
|
|
| |||||||||
109
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
International Small Companies Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 33,159 | $ | — | $ | (21,317 | ) | $ | 11,842 | |||||||
Bank of New York Mellon | 36,445 | — | 36,445 | — | ||||||||||||
Barclays Bank plc | 43,311 | — | 43,311 | — | ||||||||||||
Brown Brothers Harriman & Co. | 27,133 | — | 27,133 | — | ||||||||||||
Deutsche Bank AG | 30,634 | — | (29,931 | ) | 703 | |||||||||||
Morgan Stanley & Co. International PLC | 126,543 | — | (58,281 | ) | 68,262 | |||||||||||
State Street Bank and Trust Company | 9,723 | — | 9,723 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 306,948 | $ | — | $ | 7,083 | $ | 80,807 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 21,317 | $ | — | $ | 21,317 | $ | — | ||||||||
Bank of New York Mellon | 56,173 | — | (36,445 | ) | 19,728 | |||||||||||
Barclays Bank plc | 49,050 | — | (43,311 | ) | 5,739 | |||||||||||
Brown Brothers Harriman & Co. | 44,054 | — | (27,133 | ) | 16,921 | |||||||||||
Deutsche Bank AG | 29,931 | — | 29,931 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 23,473 | — | — | 23,473 | ||||||||||||
Morgan Stanley & Co. International PLC | 58,281 | — | 58,281 | — | ||||||||||||
State Street Bank and Trust Company | 31,108 | — | (9,723 | ) | 21,385 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 313,387 | $ | — | $ | (7,083 | ) | $ | 87,246 | |||||||
|
|
|
|
|
|
|
| |||||||||
Tax-Managed International Equities Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 83,318 | $ | — | $ | (63,209 | ) | $ | 20,109 | |||||||
Barclays Bank plc | 32,410 | — | 32,410 | — | ||||||||||||
Brown Brothers Harriman & Co. | 53,848 | — | 53,848 | — | ||||||||||||
Deutsche Bank AG | 69,290 | — | (43,446 | ) | 25,844 | |||||||||||
Morgan Stanley & Co. International PLC | 66,072 | — | (34,550 | ) | 31,522 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 304,938 | $ | — | $ | (54,947 | ) | $ | 77,475 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 63,209 | $ | — | $ | 63,209 | $ | — | ||||||||
Bank of New York Mellon | 3,858 | — | — | 3,858 | ||||||||||||
Barclays Bank plc | 62,007 | — | (32,410 | ) | 29,597 | |||||||||||
Brown Brothers Harriman & Co. | 73,969 | — | (53,848 | ) | 20,121 | |||||||||||
Deutsche Bank AG | 43,446 | — | 43,446 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 34,550 | — | 34,550 | — | ||||||||||||
State Street Bank and Trust Company | 31,705 | — | — | 31,705 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 312,744 | $ | — | $ | 54,947 | $ | 85,281 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
110
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The following tables present the Funds’ exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2014:
Developed World Stock Fund
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Goldman Sachs & Co. – Futures | $ | 270 | $ | (270 | ) | $ | — | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 270 | $ | (270 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley & Co. Incorporated – Options | $ | 4,110,304 | $ | (4,110,304 | ) | $ | — | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,110,304 | $ | (4,110,304 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants) or number of contracts (options) outstanding at each month-end, was as follows for the period ended August 31, 2014:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Options | Rights and/or Warrants ($) | ||||||||||||
Developed World Stock Fund | 72,076,541 | 1,142,690 | — | 80,509 | ||||||||||||
International Equity Fund | 2,998,167,629 | — | — | 8,978,161 | ||||||||||||
International Large/Mid Cap Equity Fund | 485,619,275 | — | — | 1,132,470 | ||||||||||||
International Small Companies Fund | 89,351,649 | — | — | 586,785 | ||||||||||||
Quality Fund | — | — | — | — | ||||||||||||
Resources Fund | — | — | — | 19,934 | ||||||||||||
Risk Premium Fund | — | — | 10,564 | — | ||||||||||||
Tax-Managed International Equities Fund | 73,720,609 | — | — | 266,227 | ||||||||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | — | — | — | — |
111
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | International Small Companies Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | ||||||||||
Management Fee | 0.45% | 0.50% | 0.38% | 0.60% | 0.33% | 0.50% | 0.45% | 0.50% | 0.31% |
In addition, each class of shares of certain Funds (except Class M shares of International Equity Fund Class M (formerly International Intrinsic Value Fund) and U.S. Equity Allocation Fund Class M (formerly U.S. Core Equity Fund) which liquidated on March 27, 2013 and January 31, 2013, respectively)) pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class M shares of a Fund pay the Manager an administration fee, which is used by the Manager to defray its expenses (or the expenses of a third-party) in providing administration and record keeping services to certain marketplaces where Class M shares of each Fund may be purchased. The Manager may pay part or all of the administration fee to third parties for providing administration and record keeping services. In some cases, these third parties also receive compensation from the Fund’s distributor pursuant to the Trust’s Distribution and Service (12b-1) Plan. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class II | Class III | Class IV | Class V | Class VI | |||||||||||||||
Developed World Stock Fund | 0.15% | 0.10% | ||||||||||||||||||
International Equity Fund | 0.22% | 0.15% | 0.09% | |||||||||||||||||
International Large/Mid Cap Equity Fund | 0.15% | 0.09% | 0.055% | |||||||||||||||||
International Small Companies Fund | 0.15% | |||||||||||||||||||
Quality Fund | 0.15% | 0.105% | 0.085% | 0.055% | ||||||||||||||||
Resources Fund | 0.15% | 0.10% | 0.085% | * | 0.055% | * | ||||||||||||||
Risk Premium Fund | 0.15% | 0.10% | 0.085% | * | 0.055% | |||||||||||||||
Tax-Managed International Equities Fund | 0.15% | |||||||||||||||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | 0.15% | 0.10% | 0.085% | * | 0.055% |
* | Class is offered but has no shareholders as of August 31, 2014. |
For each Fund other than Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Resources Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
112
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
For each Fund that pays GMO a management fee, GMO has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2015 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplement support agreement.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2014 is shown in the table below and included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with the Manager ($) | ||||||
Developed World Stock Fund | 2,413 | 368 | ||||||
International Equity Fund | 72,286 | 9,108 | ||||||
International Large/Mid Cap Equity Fund | 11,040 | 1,472 | ||||||
International Small Companies Fund | 1,840 | 184 | ||||||
Quality Fund | 64,216 | 8,279 | ||||||
Resources Fund | 1,196 | 184 | ||||||
Risk Premium Fund | 4,140 | 552 | ||||||
Tax-Managed International Equities Fund | 2,484 | 368 | ||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | 44,855 | 4,784 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2014, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Total Indirect Expenses | |||||||||
Developed World Stock Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
International Equity Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
International Large/Mid Cap Equity Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
International Small Companies Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Quality Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Resources Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Risk Premium Fund | 0.001% | 0.000% | 0.001% | |||||||||
Tax-Managed International Equities Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
U.S. Equity Allocation fund (formerly U.S. Core Equity Fund) | < 0.001% | 0.000% | < 0.001% |
113
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2014 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Developed World Stock Fund | — | 189,322,227 | — | 190,729,953 | ||||||||||||
International Equity Fund | — | 5,277,595,298 | — | 4,773,714,649 | ||||||||||||
International Large/Mid Cap Equity Fund | — | 897,352,507 | — | 998,014,978 | ||||||||||||
International Small Companies Fund | — | 150,854,213 | — | 203,936,928 | ||||||||||||
Quality Fund | — | 3,067,412,241 | — | 4,365,525,039 | ||||||||||||
Resources Fund | — | 131,410,900 | — | 194,188,130 | ||||||||||||
Risk Premium Fund | — | 83,868,000 | — | 69,085,000 | ||||||||||||
Tax-Managed International Equities Fund | — | 191,389,156 | — | 201,324,596 | ||||||||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | — | 2,976,856,735 | — | 3,824,721,741 |
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
8. | Principal shareholders and related parties as of August 31, 2014. |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion | ||||||||||||
Developed World Stock Fund | 3 | 91.29 | % | 0.04 | % | — | ||||||||||
International Equity Fund | 3 | * | 35.52 | % | 0.05 | % | 89.01 | % | ||||||||
International Large/Mid Cap Equity Fund | 2 | 23.48 | % | 0.01 | % | 0.29 | % | |||||||||
International Small Companies Fund | 3 | 63.80 | % | 0.09 | % | — | ||||||||||
Quality Fund | — | — | 0.28 | % | — | |||||||||||
Resources Fund | 1 | 48.55 | % | 3.99 | % | 9.57 | % | |||||||||
Risk Premium Fund | 4 | ** | 93.95 | % | 0.01 | % | 99.95 | % | ||||||||
Tax-Managed International Equities Fund | 1 | 16.29 | % | 1.00 | % | — | ||||||||||
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | 4 | ** | 56.63 | % | < 0.01 | % | 87.07 | % |
* | Two of the shareholders are other funds of the Trust. |
** | Three of the shareholders are other funds of the Trust. |
114
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Developed World Stock Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 39,569 | $ | 1,007,419 | 81,378 | $ | 1,812,743 | ||||||||||
Shares repurchased | (263,272 | ) | (6,616,541 | ) | (534,343 | ) | (11,570,793 | ) | ||||||||
Redemption fees | — | 6,242 | — | 11,313 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (223,703 | ) | $ | (5,602,880 | ) | (452,965 | ) | $ | (9,746,737 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 108,378 | $ | 2,760,371 | 200,559 | $ | 4,478,100 | ||||||||||
Shares repurchased | — | — | (277 | ) | (6,461 | ) | ||||||||||
Redemption fees | — | 10,299 | — | 17,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 108,378 | $ | 2,770,670 | 200,282 | $ | 4,489,269 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 276,550 | $ | 7,250,224 | 1,424,266 | $ | 35,369,649 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 71,325 | 1,902,229 | 111,902 | 2,595,102 | ||||||||||||
Shares repurchased | (745,953 | ) | (19,539,627 | ) | (4,281,645 | ) | (101,439,787 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (398,078 | ) | $ | (10,387,174 | ) | (2,745,477 | ) | $ | (63,475,036 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: | ||||||||||||||||
Shares sold | 3,460,542 | $ | 92,999,342 | 23,948,118 | $ | 589,292,369 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 779,817 | 21,023,847 | 1,218,214 | 28,749,130 | ||||||||||||
Shares repurchased | (13,989,591 | ) | (371,263,540 | ) | (39,116,291 | ) | (943,666,876 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (9,749,232 | ) | $ | (257,240,351 | ) | (13,949,959 | ) | $ | (325,625,377 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 82,228,221 | $ | 2,200,544,955 | 295,394,802 | $ | 6,955,499,874 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 7,615,257 | 205,002,714 | 10,639,750 | 250,388,262 | ||||||||||||
Shares repurchased | (56,027,058 | ) | (1,496,757,109 | ) | (202,916,759 | ) | (4,963,474,861 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 33,816,420 | $ | 908,790,560 | 103,117,793 | $ | 2,242,413,275 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Shares sold | — | $ | — | — | $ | — | ||||||||||
Class M:* | ||||||||||||||||
Shares sold | — | $ | — | 11,217 | $ | 239,035 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | (596,232 | ) | (12,544,031 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | — | $ | — | (585,015 | ) | $ | (12,304,996 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 194,476 | $ | 6,811,954 | 2,604,617 | $ | 90,759,832 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 621,937 | 21,693,177 | 807,518 | 25,869,185 | ||||||||||||
Shares repurchased | (1,099,372 | ) | (38,561,428 | ) | (7,877,000 | ) | (255,220,935 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (282,959 | ) | $ | (10,056,297 | ) | (4,464,865 | ) | $ | (138,591,918 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
115
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Large/Mid Cap Equity Fund (continued) | ||||||||||||||||
Class IV: | ||||||||||||||||
Shares sold | 568,414 | $ | 19,911,842 | 5,403,159 | $ | 185,258,681 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,426,016 | 49,710,909 | 1,969,052 | 63,045,580 | ||||||||||||
Shares repurchased | (3,067,714 | ) | (112,217,614 | ) | (19,682,690 | ) | (649,990,712 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,073,284 | ) | $ | (42,594,863 | ) | (12,310,479 | ) | $ | (401,686,451 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 403,873 | $ | 14,003,069 | 9,066,238 | $ | 301,514,446 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 378,067 | 13,168,054 | 1,218,468 | 38,003,453 | ||||||||||||
Shares repurchased | (1,149,753 | ) | (40,137,346 | ) | (87,049,584 | ) | (2,674,996,122 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (367,813 | ) | $ | (12,966,223 | ) | (76,764,878 | ) | $ | (2,335,478,223 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Small Companies Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 28,271 | $ | 270,593 | 2,633,525 | $ | 23,455,913 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,031,974 | 28,106,395 | 2,272,779 | 20,646,534 | ||||||||||||
Shares repurchased | (5,813,032 | ) | (58,791,513 | ) | (5,092,387 | ) | (47,301,488 | ) | ||||||||
Purchase premiums | — | 779 | — | 46,233 | ||||||||||||
Redemption fees | — | 293,378 | — | 164,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,752,787 | ) | $ | (30,120,368 | ) | (186,083 | ) | $ | (2,988,179 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Quality Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 7,947,586 | $ | 201,116,265 | 20,360,306 | $ | 512,757,069 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 23,373,664 | 560,967,921 | 25,168,153 | 607,852,263 | ||||||||||||
Shares repurchased | (22,767,995 | ) | (573,440,840 | ) | (97,051,568 | ) | (2,464,605,730 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,553,255 | $ | 188,643,346 | (51,523,109 | ) | $ | (1,343,996,398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 649,997 | $ | 16,160,568 | 53,185,490 | (a) | $ | 1,344,642,103 | (a) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 6,715,377 | 161,370,510 | 10,091,224 | 243,740,238 | ||||||||||||
Shares repurchased | (21,134,768 | ) | (540,173,069 | ) | (65,504,615 | ) | (1,645,221,999 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (13,769,394 | ) | $ | (362,641,991 | ) | (2,227,901 | ) | $ | (56,839,658 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | 9,995,822 | $ | 257,492,359 | 14,836,788 | $ | 355,177,332 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,599,870 | 86,468,885 | 1,512,787 | 36,540,387 | ||||||||||||
Shares repurchased | (4,988,236 | ) | (127,910,526 | ) | (9,422,968 | ) | (235,572,317 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,607,456 | $ | 216,050,718 | 6,926,607 | $ | 156,145,402 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 1,769,180 | $ | 44,312,200 | 40,483,976 | (b) | $ | 1,012,560,445 | (b) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 13,559,558 | 325,564,975 | 20,891,060 | 504,056,208 | ||||||||||||
Shares repurchased | (27,855,805 | ) | (727,402,564 | ) | (88,692,480 | ) | (2,217,463,973 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (12,527,067 | ) | $ | (357,525,389 | ) | (27,317,444 | ) | $ | (700,847,320 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
116
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Resources Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 3,334,058 | $ | 70,137,083 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 32,715 | 785,146 | 95,558 | 2,032,105 | ||||||||||||
Shares repurchased | (1,558,924 | ) | (37,943,545 | ) | (4,525,296 | ) | (98,230,296 | ) | ||||||||
Purchase premiums | — | 683 | — | 214,228 | ||||||||||||
Redemption fees | — | 55,955 | — | 10,148 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,526,209 | ) | $ | (37,101,761 | ) | (1,095,680 | ) | $ | (25,836,732 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Six Months Ended August 31, 2014 (Unaudited) | Period from March 20, 2013 (commencement of operations) through February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class IV: | ||||||||||||||||
Shares sold | 28,539 | $ | 618,154 | 6,206,967 | $ | 135,518,310 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 77,339 | 1,853,827 | 181,697 | 3,854,959 | ||||||||||||
Shares repurchased | (1,228,810 | ) | (30,163,888 | ) | (58,221 | ) | (1,252,623 | ) | ||||||||
Purchase premiums | — | 1,163 | — | 132,842 | ||||||||||||
Redemption fees | — | 148,353 | — | 17,363 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,122,932 | ) | $ | (27,542,391 | ) | 6,330,443 | $ | 138,270,851 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Risk Premium Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 49,454 | $ | 509,422 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 19,924 | 212,589 | 39,647 | 407,126 | ||||||||||||
Shares repurchased | (67,661 | ) | (744,647 | ) | (26,441 | ) | (276,766 | ) | ||||||||
Purchase premiums | — | 402 | — | 1,774 | ||||||||||||
Redemption fees | — | 2,420 | — | 466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (47,737 | ) | $ | (529,236 | ) | 62,660 | $ | 642,022 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 240,412 | $ | 2,618,086 | 1,888,445 | $ | 19,281,035 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 92,386 | 987,600 | 111,037 | 1,142,024 | ||||||||||||
Shares repurchased | (2,263,588 | ) | (23,793,500 | ) | (48,519 | ) | (492,952 | ) | ||||||||
Purchase premiums | — | 1,840 | — | 3,577 | ||||||||||||
Redemption fees | — | 6,583 | — | 1,781 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,930,790 | ) | $ | (20,179,391 | ) | 1,950,963 | $ | 19,935,465 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 2,582,290 | $ | 28,372,102 | 9,483,575 | $ | 100,728,384 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,006,998 | 21,454,815 | 3,894,970 | 40,033,457 | ||||||||||||
Shares repurchased | (12,796,057 | ) | (137,953,985 | ) | (2,984,066 | ) | (31,454,125 | ) | ||||||||
Purchase premium fees | — | 39,421 | — | 174,824 | ||||||||||||
Redemption fees | — | 229,851 | — | 45,215 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,206,769 | ) | $ | (87,857,796 | ) | 10,394,479 | $ | 109,527,755 | ||||||||
|
|
|
|
|
|
|
| |||||||||
117
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 64,063 | $ | 1,172,630 | 105,318 | $ | 1,555,908 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 141,934 | 2,625,780 | 377,884 | 6,183,177 | ||||||||||||
Shares repurchased | (1,027,141 | ) | (18,911,483 | ) | (6,445,201 | ) | (106,708,286 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (821,144 | ) | $ | (15,113,073 | ) | (5,961,999 | ) | $ | (98,969,201 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund) | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 557,939 | $ | 9,602,344 | 6,397,933 | $ | 109,258,316 | ||||||||||
Shares issued to shareholders in merger transaction | — | — | 15,110,659 | 257,485,628 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 667,096 | 11,941,020 | 183,052 | 3,018,979 | ||||||||||||
Shares repurchased | (9,047,980 | ) | (158,941,100 | ) | (6,356,793 | ) | (105,756,275 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,822,945 | ) | $ | (137,397,736 | ) | 15,334,851 | $ | 264,006,648 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 27,732 | $ | 480,308 | 7,742,755 | $ | 131,968,171 | ||||||||||
Shares issued to shareholders in merger transaction | — | — | 10,324,339 | 175,617,009 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 339,537 | 6,067,537 | 47,424 | 780,958 | ||||||||||||
Shares repurchased | (3,728,208 | ) | (66,310,570 | ) | (4,459,715 | ) | (74,921,044 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,360,939 | ) | $ | (59,762,725 | ) | 13,654,803 | $ | 233,445,094 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V:** | ||||||||||||||||
Shares sold | — | $ | — | 2,669,000 | $ | 45,834,662 | ||||||||||
Shares issued to shareholders in merger transaction | — | — | 13,668,949 | 232,508,829 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 314,353 | 5,617,482 | — | — | ||||||||||||
Shares repurchased | (15,372,225 | ) | (273,192,869 | ) | (1,280,077 | ) | (21,297,534 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (15,057,872 | ) | $ | (267,575,387 | ) | 15,057,872 | $ | 257,045,957 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 55,432,807 | $ | 996,385,536 | 69,757,018 | $ | 1,177,823,745 | ||||||||||
Shares issued to shareholders in merger transaction | — | — | 352,709,509 | 5,989,007,468 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 9,981,076 | 178,062,398 | 1,454,040 | 23,889,696 | ||||||||||||
Shares repurchased | (82,620,042 | ) | (1,457,897,490 | ) | (98,754,176 | ) | (1,636,867,127 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,206,159 | ) | $ | (283,449,556 | ) | 325,166,391 | $ | 5,553,853,782 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) | 6,495,158 shares and $167,185,390 were purchased in-kind. |
(b) | 5,372,627 shares and $128,352,069 were purchased in-kind. |
* | Class M liquidated on March 27, 2013. |
** | Class V liquidated on July 30, 2014. |
118
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
10. | Investments in affiliated issuers |
A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2014 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Developed World Stock Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 6,376,617 | $ | 9,074,000 | $ | 10,196,000 | $ | 1,186 | $ | 241 | $ | 5,254,617 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Equity Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | — | $ | 266,267,000 | $ | 211,193,000 | $ | 7,611 | $ | 2,557 | $ | 55,074,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 28,348,000 | $ | 91,482,000 | $ | 91,294,000 | $ | 3,237 | $ | — | $ | 28,536,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Small Companies Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | — | $ | 29,383,000 | $ | 25,533,793 | $ | 426 | $ | 149 | $ | 3,849,207 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Quality Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | — | $ | 392,605,000 | $ | 367,119,000 | $ | 7,779 | $ | 3,159 | $ | 25,486,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Resources Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 2,187,000 | $ | 5,846,000 | $ | 6,217,000 | $ | 341 | $ | 43 | $ | 1,816,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Risk Premium Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 278,253,028 | $ | 83,868,000 | $ | 69,085,000 | $ | 74,600 | $ | 11,130 | $ | 293,036,028 | ||||||||||||
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Tax-Managed International Equities Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 7,151,275 | $ | 14,488,000 | $ | 19,575,275 | $ | 1,387 | $ | 254 | $ | 2,064,000 | ||||||||||||
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U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund) | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 6,649,952 | $ | 281,343,000 | $ | 254,729,952 | $ | 9,351 | $ | 3,682 | $ | 33,263,000 | ||||||||||||
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* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through August 31, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015. |
11. | Subsequent events |
Subsequent to August 31, 2014, GMO Risk Premium Fund received redemption requests in the amount of $203,339,586.
119
GMO Trust Funds
Board Review of Management Agreements
August 31, 2014 (Unaudited)
GMO Developed World Stock Fund
Approval of renewal of management agreement for GMO Developed World Stock Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
120
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO International Equity Fund
Approval of renewal of management agreement for GMO International Equity Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
121
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO International Large/Mid Cap Equity Fund
Approval of renewal of management agreement for GMO International Large/Mid Cap Equity Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics, to fees received by the Manager for providing sub-advisory services to funds managed by third parties, and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds and accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
122
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO International Small Companies Fund
Approval of renewal of management agreement for GMO International Small Companies Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
123
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Quality Fund
Approval of renewal of management agreement for GMO Quality Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
124
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Resources Fund
Approval of renewal of management agreement for GMO Resources Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
125
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Risk Premium Fund
Approval of renewal of management agreement for GMO Risk Premium Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees considered that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
126
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Tax-Managed International Equities Fund
Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
127
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO U.S. Equity Allocation Fund
Approval of renewal of management agreement for GMO U.S. Equity Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics, to fees received by the Manager for providing sub-advisory services to funds managed by third parties, and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds and accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
128
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2014 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2014.
As a shareholder of the Funds, you may in incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2014 through August 31, 2014.
Actual Expenses
This section of the table for the class below provides information about actual account values and actual expenses. you may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for the class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
GMO Developed World Stock Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,046.40 | $3.15 | $1,000.00 | $1,022.13 | $3.11 | 0.61% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,046.60 | $2.89 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
GMO International Equity Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,000.30 | $3.63 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Class III | $1,000.00 | $1,000.50 | $3.28 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,000.40 | $2.97 | $1,000.00 | $1,022.23 | $3.01 | 0.59% | |||||||||||||||||||||
GMO International Large/Mid Cap Equity Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $996.70 | $2.67 | $1,000.00 | $1,022.53 | $2.70 | 0.53% | |||||||||||||||||||||
Class IV | $1,000.00 | $996.90 | $2.37 | $1,000.00 | $1,022.84 | $2.40 | 0.47% | |||||||||||||||||||||
Class VI | $1,000.00 | $997.10 | $2.21 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
GMO International Small Companies Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $971.60 | $3.78 | $1,000.00 | $1,021.37 | $3.87 | 0.76% | |||||||||||||||||||||
GMO Quality Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,077.00 | $2.51 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,077.40 | $2.30 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
Class V | $1,000.00 | $1,077.30 | $2.20 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,077.30 | $2.04 | $1,000.00 | $1,023.24 | $1.99 | 0.39% | |||||||||||||||||||||
GMO Resources Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,100.40 | $4.02 | $1,000.00 | $1,021.37 | $3.87 | 0.76% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,100.60 | $3.76 | $1,000.00 | $1,021.63 | $3.62 | 0.71% |
129
GMO Trust Funds
(A Series of GMO Trust)
Fund Expenses — (Continued)
August 31, 2014 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
GMO Risk Premium Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,049.60 | $3.10 | $1,000.00 | $1,022.18 | $3.06 | 0.60% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,049.50 | $2.84 | $1,000.00 | $1,022.43 | $2.80 | 0.55% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,049.50 | $2.63 | $1,000.00 | $1,022.63 | $2.60 | 0.51% | |||||||||||||||||||||
GMO Tax-Managed International Equities Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,008.50 | $3.34 | $1,000.00 | $1,021.88 | $3.36 | 0.66% | |||||||||||||||||||||
GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund) |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,074.50 | $2.41 | $1,000.00 | $1,022.89 | $2.35 | 0.46% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,074.80 | $2.14 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,075.10 | $1.94 | $1,000.00 | $1,023.34 | $1.89 | 0.37% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2014, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
130
GMO Trust
Semiannual Report
August 31, 2014
Emerging Countries Fund
Emerging Domestic Opportunities Fund
Emerging Markets Fund
Taiwan Fund
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivative risk.
1 | ||||
2 | ||||
7 | ||||
8 | ||||
11 | ||||
12 | ||||
20 | ||||
21 | ||||
22 | ||||
23 | ||||
25 | ||||
26 | ||||
28 | ||||
33 | ||||
62 | ||||
66 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 86.6 | % | ||
Preferred Stocks | 10.9 | |||
Investment Funds | 1.3 | |||
Mutual Funds | 0.5 | |||
Short-Term Investments | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
South Korea | 18.4 | % | ||
China | 14.3 | |||
Brazil | 12.5 | |||
Russia | 12.2 | |||
Taiwan | 9.3 | |||
India | 7.9 | |||
Poland | 3.6 | |||
Czech Republic | 3.5 | |||
Thailand | 3.5 | |||
Indonesia | 3.2 | |||
Egypt | 2.3 | |||
South Africa | 2.3 | |||
Turkey | 2.3 | |||
Peru | 1.0 | |||
Mexico | 0.9 | |||
Philippines | 0.9 | |||
United States** | 0.6 | |||
United Kingdom** | 0.4 | |||
Malaysia | 0.2 | |||
Panama | 0.2 | |||
Qatar | 0.2 | |||
France** | 0.1 | |||
Norway** | 0.1 | |||
Switzerland** | 0.1 | |||
Hungary | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
** | Includes companies that derive more than 50% of their revenues or profits from emerging markets. |
Industry Group Summary | % of Equity Investments*** | |||
Banks | 23.1 | % | ||
Energy | 15.7 | |||
Telecommunication Services | 15.2 | |||
Technology Hardware & Equipment | 11.6 | |||
Materials | 9.2 | |||
Utilities | 7.0 | |||
Automobiles & Components | 5.8 | |||
Capital Goods | 2.6 | |||
Media | 1.5 | |||
Real Estate | 1.1 | |||
Software & Services | 1.1 | |||
Food, Beverage & Tobacco | 0.9 | |||
Consumer Durables & Apparel | 0.8 | |||
Insurance | 0.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.6 | |||
Diversified Financials | 0.5 | |||
Transportation | 0.5 | |||
Consumer Services | 0.4 | |||
Health Care Equipment & Services | 0.4 | |||
Food & Staples Retailing | 0.4 | |||
Household & Personal Products | 0.4 | |||
Semiconductors & Semiconductor Equipment | 0.3 | |||
Retailing | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
*** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
1
GMO Emerging Countries Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 86.6% | ||||||||||
Brazil — 6.3% | ||||||||||
1,700 | Banco Bradesco SA | 30,393 | ||||||||
123,860 | Banco do Brasil SA | 1,936,056 | ||||||||
13,305 | Banco Santander Brasil SA | 91,890 | ||||||||
42,095 | Banco Santander Brasil SA ADR | 289,193 | ||||||||
1,500 | BR Malls Participacoes SA | 15,593 | ||||||||
6,900 | BR Properties SA | 45,928 | ||||||||
7,100 | Brasil Brokers Participacoes SA | 11,482 | ||||||||
5,201 | CETIP SA | 75,860 | ||||||||
4,404 | Cielo SA | 82,552 | ||||||||
14,900 | Companhia de Saneamento Basico do Estado de Sao Paulo | 142,377 | ||||||||
11,689 | Companhia de Saneamento Basico do Estado de Sao Paulo ADR | 110,344 | ||||||||
25,200 | Companhia Siderurgica Nacional SA | 110,549 | ||||||||
19,200 | Companhia Siderurgica Nacional SA Sponsored ADR | 83,904 | ||||||||
3,000 | Cosan Ltd – Class A | 43,500 | ||||||||
1,400 | Cosan SA Industria e Comercio | 29,082 | ||||||||
1,500 | CPFL Energia SA | 15,137 | ||||||||
700 | CPFL Energia SA ADR | 14,098 | ||||||||
7,900 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 50,079 | ||||||||
11,495 | Duratex SA | 51,711 | ||||||||
18,100 | Klabin SA | 91,935 | ||||||||
4,455 | Localiza Rent a Car SA | 79,308 | ||||||||
3,300 | LPS Brasil Consultoria de Imoveis SA | 16,217 | ||||||||
3,500 | Multiplan Empreendimentos Imobiliarios SA | 90,232 | ||||||||
2,000 | Multiplus SA | 29,305 | ||||||||
3,400 | Raia Drogasil SA | 33,111 | ||||||||
19,100 | Tim Participacoes SA | 107,083 | ||||||||
600 | Tractebel Energia SA | 10,054 | ||||||||
1,000 | Ultrapar Participacoes SA | 25,772 | ||||||||
|
| |||||||||
Total Brazil | 3,712,745 | |||||||||
|
| |||||||||
China — 13.9% | ||||||||||
728,802 | Agricultural Bank of China Ltd – Class H | 337,465 | ||||||||
5,500 | Anhui Conch Cement Co Ltd – Class H | 19,856 | ||||||||
495 | Baidu Inc Sponsored ADR * | 106,187 | ||||||||
2,307,000 | Bank of China Ltd – Class H | 1,068,105 | ||||||||
3,450 | Beijing Enterprises Holdings Ltd | 29,726 | ||||||||
3,000 | Biostime International Holdings Ltd | 11,121 | ||||||||
48,000 | Brilliance China Automotive Holdings Ltd | 88,566 | ||||||||
18,000 | China Cinda Asset Management Co Ltd * | 9,169 | ||||||||
569,160 | China Communications Services Corp Ltd –Class H | 273,855 | ||||||||
1,729,720 | China Construction Bank – Class H | 1,282,897 | ||||||||
9,560 | China Gas Holdings Ltd | 17,021 | ||||||||
6,000 | China Mengniu Dairy Co Ltd | 27,776 | ||||||||
126,334 | China Mobile Ltd | 1,568,950 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
1,182 | China Mobile Ltd Sponsored ADR | 73,615 | ||||||||
5,600 | China Overseas Land & Investment Ltd | 15,743 | ||||||||
22,000 | China Resources Land Ltd | 50,290 | ||||||||
60,000 | China Shenhua Energy Co Ltd – Class H | 173,404 | ||||||||
1,181,900 | China Telecom Corp Ltd – Class H | 726,156 | ||||||||
300 | China Telecom Corp Ltd ADR | 18,453 | ||||||||
221,000 | CNOOC Ltd | 442,938 | ||||||||
449 | CNOOC Ltd ADR | 89,845 | ||||||||
19,800 | Dongfeng Motor Group Co Ltd – Class H | 36,719 | ||||||||
38,000 | Huaneng Power International Inc – Class H | 45,840 | ||||||||
1,740,000 | Industrial and Commercial Bank of China Ltd –Class H | 1,151,503 | ||||||||
19,000 | Inner Mongolia Yitai Coal Co Ltd – Class B | 31,983 | ||||||||
2,000 | Kerry Logistics Network Ltd | 3,291 | ||||||||
84,400 | People’s Insurance Co Group of China Ltd | 35,177 | ||||||||
56,000 | PICC Property & Casualty Co Ltd – Class H | 92,809 | ||||||||
14,000 | Shanghai Industrial Holdings Ltd | 46,972 | ||||||||
13,000 | Shenzhou International Group Holdings Ltd | 40,619 | ||||||||
900 | TAL Education Group ADR * | 30,780 | ||||||||
100 | Vipshop Holdings Ltd * | 19,663 | ||||||||
165,000 | Yangzijiang Shipbuilding Holdings Ltd | 153,845 | ||||||||
12,000 | Zhejiang Expressway Co Ltd – Class H | 12,013 | ||||||||
7,000 | Zhuzhou CSR Times Electric Co Ltd – Class H | 24,196 | ||||||||
|
| |||||||||
Total China | 8,156,548 | |||||||||
|
| |||||||||
Czech Republic — 3.5% | ||||||||||
52,889 | CEZ AS | 1,534,564 | ||||||||
1,040 | Komercni Banka AS | 241,693 | ||||||||
3,575 | Pegas Nonwovens SA | 106,687 | ||||||||
282 | Philip Morris CR AS | 139,101 | ||||||||
|
| |||||||||
Total Czech Republic | 2,022,045 | |||||||||
|
| |||||||||
Egypt — 2.2% | ||||||||||
14,835 | Alexandria Mineral Oils Co | 163,999 | ||||||||
36,806 | ElSwedy Electric Co * | 195,433 | ||||||||
14,643 | Global Telecom Holding GDR * | 52,635 | ||||||||
1,398,375 | Orascom Telecom Media And Technology Holding SAE * | 244,847 | ||||||||
19,791 | Oriental Weavers Co | 125,837 | ||||||||
34,712 | Sidi Kerir Petrochemicals Co | 97,353 | ||||||||
131,908 | South Valley Cement | 154,061 | ||||||||
125,763 | Telecom Egypt Co | 252,801 | ||||||||
|
| |||||||||
Total Egypt | 1,286,966 | |||||||||
|
| |||||||||
France — 0.1% | ||||||||||
696 | Casino Guichard-Perrachon SA | 83,121 | ||||||||
|
| |||||||||
Hungary — 0.0% | ||||||||||
6,522 | Magyar Telekom Telecommunications Plc * | 10,051 | ||||||||
519 | OTP Bank Plc | 8,976 | ||||||||
|
| |||||||||
Total Hungary | 19,027 | |||||||||
|
|
2 | See accompanying notes to the financial statements. |
GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — 7.7% | ||||||||||
5,817 | Aban Offshore Ltd | 68,012 | ||||||||
12,598 | Aurobindo Pharma Ltd | 170,146 | ||||||||
10,940 | Axis Bank Ltd (a) | 71,602 | ||||||||
10,801 | Bank of Baroda (a) | 155,575 | ||||||||
11,428 | Bank of India | 52,150 | ||||||||
26,686 | Bharat Heavy Electricals Ltd | 105,164 | ||||||||
1,069 | Cadila Healthcare Ltd | 21,254 | ||||||||
35,394 | Cairn India Ltd | 190,687 | ||||||||
4,023 | Canara Bank Ltd | 25,150 | ||||||||
3,537 | CESC Ltd | 40,433 | ||||||||
2,377 | Coal India Ltd | 14,001 | ||||||||
95 | Credit Analysis & Research Ltd | 1,997 | ||||||||
3,192 | Dewan Housing Finance Corp Ltd | 18,870 | ||||||||
50,458 | DLF Ltd | 147,981 | ||||||||
1,517 | Emami Ltd | 16,436 | ||||||||
5,853 | Federal Bank Ltd | 11,679 | ||||||||
13,950 | GAIL India Ltd | 102,054 | ||||||||
50,976 | HDFC Bank Ltd (a) | 710,936 | ||||||||
800 | HDFC Bank Ltd ADR | 39,752 | ||||||||
1,468 | Hero MotoCorp Ltd | 63,185 | ||||||||
40,896 | Hindalco Industries Ltd | 114,841 | ||||||||
1,713 | Housing Development Finance Corp Ltd | 30,335 | ||||||||
1,938 | ICICI Bank Ltd | 49,706 | ||||||||
2,400 | ICICI Bank Ltd Sponsored ADR | 128,400 | ||||||||
12,990 | IDFC Ltd (a) | 31,011 | ||||||||
114 | IFCI Ltd | 63 | ||||||||
4,070 | India Cements Ltd | 7,605 | ||||||||
1,465 | Indiabulls Housing Finance Ltd | 9,136 | ||||||||
3,162 | Indiabulls Real Estate Ltd | 3,615 | ||||||||
7,279 | Indian Oil Corp Ltd | 43,193 | ||||||||
2,394 | ING Vysya Bank Ltd (a) | 24,809 | ||||||||
40,975 | Jaiprakash Associates Ltd * | 31,745 | ||||||||
7,163 | Jindal Steel & Power Ltd | 27,600 | ||||||||
12,542 | Kajaria Ceramics Ltd | 135,236 | ||||||||
6,649 | Lupin Ltd (a) | 141,139 | ||||||||
4,265 | Mahindra & Mahindra Ltd | 99,069 | ||||||||
1,620 | Maruti Suzuki India Ltd * (a) | 74,543 | ||||||||
1,069 | Max India Ltd | 5,798 | ||||||||
25,799 | Mphasis Ltd | 190,132 | ||||||||
55,060 | NTPC Ltd | 124,884 | ||||||||
5,459 | Oriental Bank of Commerce | 23,579 | ||||||||
6,767 | Punjab National Bank Ltd (a) | 105,913 | ||||||||
1,938 | Reliance Capital Ltd * | 16,976 | ||||||||
54,110 | Reliance Communications Ltd * | 103,890 | ||||||||
7,073 | Reliance Infrastructure Ltd * | 81,621 | ||||||||
1,871 | Rural Electrification Corp Ltd | 8,308 | ||||||||
32,493 | Sesa Sterlite Ltd | 148,978 | ||||||||
1,760 | Sesa Sterlite Ltd ADR | 32,366 | ||||||||
20 | State Bank of India | 814 | ||||||||
23,539 | Steel Authority of India Ltd | 31,505 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
3,632 | Sun TV Network Ltd | 21,294 | ||||||||
804 | Supreme Industries Ltd | 7,880 | ||||||||
4,909 | Syndicate Bank | 9,705 | ||||||||
11,656 | Tata Motors Ltd | 100,976 | ||||||||
600 | Tata Motors Ltd Sponsored ADR | 28,914 | ||||||||
40,780 | Tata Power Co Ltd | 58,250 | ||||||||
13,893 | Tata Steel Ltd | 117,880 | ||||||||
5,824 | Tech Mahindra Ltd | 226,418 | ||||||||
32 | Torrent Power Ltd | 71 | ||||||||
523 | Ultratech Cement Ltd | 22,022 | ||||||||
612 | Union Bank of India | 2,098 | ||||||||
859 | Unitech Ltd * | 311 | ||||||||
7,827 | Yes Bank Ltd | 73,728 | ||||||||
|
| |||||||||
Total India | 4,523,421 | |||||||||
|
| |||||||||
Indonesia — 3.1% | ||||||||||
400,000 | ACE Hardware Indonesia Tbk PT | 31,968 | ||||||||
547,200 | Astra International Tbk PT | 354,295 | ||||||||
194,816 | Bank Danamon Indonesia Tbk PT | 62,432 | ||||||||
77,472 | Bank Mandiri Persero Tbk PT | 69,124 | ||||||||
44,400 | Bank Rakyat Indonesia Persero Tbk PT | 41,923 | ||||||||
24,000 | First Real Estate Investment Trust | 23,330 | ||||||||
685,000 | Global Mediacom Tbk PT | 113,308 | ||||||||
114,000 | Indosat Tbk PT * | 37,336 | ||||||||
850,800 | Media Nusantara Citra Tbk PT | 204,020 | ||||||||
25,800 | Perusahaan Gas Negara Persero Tbk PT | 12,793 | ||||||||
986,800 | Telekomunikasi Indonesia Persero Tbk PT | 225,553 | ||||||||
14,000 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 644,840 | ||||||||
|
| |||||||||
Total Indonesia | 1,820,922 | |||||||||
|
| |||||||||
Malaysia — 0.2% | ||||||||||
37,812 | CIMB Group Holdings Berhad | 88,532 | ||||||||
4,922 | Hong Leong Bank Berhad | 22,483 | ||||||||
|
| |||||||||
Total Malaysia | 111,015 | |||||||||
|
| |||||||||
Mexico — 0.9% | ||||||||||
5,000 | Alsea SA * | 17,283 | ||||||||
165,200 | America Movil SAB de CV – Class L | 203,014 | ||||||||
18,096 | Cemex SA de CV CPO * | 23,982 | ||||||||
5,120 | Cemex SAB de CV Sponsored ADR * | 67,738 | ||||||||
6,500 | Embotelladoras Arca SAB de CV | 47,718 | ||||||||
20,000 | Fibra Uno Administracion SA de CV (REIT) | 72,051 | ||||||||
12,381 | Grupo Financiero Banorte SAB de CV – Class O | 87,285 | ||||||||
|
| |||||||||
Total Mexico | 519,071 | |||||||||
|
| |||||||||
Norway — 0.1% | ||||||||||
3,423 | Telenor ASA | 78,630 | ||||||||
|
| |||||||||
Panama — 0.2% | ||||||||||
800 | Copa Holdings SA – Class A | 98,384 | ||||||||
|
|
See accompanying notes to the financial statements. | 3 |
GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Peru — 1.0% | ||||||||||
34,037 | Companhia de Minas Buenaventura SA ADR | 495,579 | ||||||||
2,100 | Southern Copper Corp | 68,901 | ||||||||
|
| |||||||||
Total Peru | 564,480 | |||||||||
|
| |||||||||
Philippines — 0.9% | ||||||||||
21,050 | BDO Unibank Inc | 43,691 | ||||||||
1,750 | GT Capital Holdings Inc | 37,747 | ||||||||
1,771,300 | Lopez Holding Corp | 227,548 | ||||||||
19,100 | Manila Water Co Inc | 13,146 | ||||||||
972 | Philippine Long Distance Telephone Co | 76,356 | ||||||||
45,000 | Puregold Price Club Inc | 37,368 | ||||||||
31,310 | Robinsons Retail Holdings Inc | 44,603 | ||||||||
3,120 | San Miguel Corp | 5,655 | ||||||||
2,340 | Semirara Mining & Power Corp | 21,736 | ||||||||
|
| |||||||||
Total Philippines | 507,850 | |||||||||
|
| |||||||||
Poland — 3.5% | ||||||||||
918 | Bank Pekao SA | 51,770 | ||||||||
354 | Jastrzebska Spolka Weglowa SA * | 3,705 | ||||||||
1,704 | Jeronimo Martins SGPS SA | 23,112 | ||||||||
46,078 | KGHM Polska Miedz SA | 1,899,090 | ||||||||
7,811 | PGE SA | 53,198 | ||||||||
|
| |||||||||
Total Poland | 2,030,875 | |||||||||
|
| |||||||||
Qatar — 0.2% | ||||||||||
9,430 | Qatar Gas Transport Co Nakilat | 60,874 | ||||||||
1,055 | Qatar National Bank | 58,613 | ||||||||
|
| |||||||||
Total Qatar | 119,487 | |||||||||
|
| |||||||||
Russia — 8.2% | ||||||||||
6,700 | CTC Media Inc | 60,836 | ||||||||
2,106 | Eurasia Drilling Co Ltd GDR | 60,928 | ||||||||
44,716 | Gazprom Neft – Class S * | 170,525 | ||||||||
6,614 | Gazprom Neft JSC Sponsored ADR | 127,547 | ||||||||
164,779 | Gazprom OAO Sponsored ADR | 1,178,380 | ||||||||
46,022 | KamAZ * | 42,833 | ||||||||
17,669 | Lukoil OAO Sponsored ADR | 983,816 | ||||||||
1,583 | Mail.ru Group Ltd GDR (Registered Shares) * | 42,554 | ||||||||
744 | MegaFon OAO GDR | 21,057 | ||||||||
7,672 | Mobile Telesystems Sponsored ADR | 141,548 | ||||||||
13,117 | Moscow Exchange | 22,456 | ||||||||
258 | NovaTek OAO GDR | 25,965 | ||||||||
10,552 | Rosneft OJSC GDR (Registered) | 64,425 | ||||||||
66,071 | Sberbank Sponsored ADR | 539,554 | ||||||||
1,448 | Sistema JSFC Sponsored GDR (Registered Shares) | 32,923 | ||||||||
80,183 | Surgutneftegas Sponsored ADR | 555,183 | ||||||||
17,680 | Tatneft Sponsored GDR | 656,687 | ||||||||
7,100 | VimpelCom Ltd Sponsored ADR | 60,492 | ||||||||
|
| |||||||||
Total Russia | 4,787,709 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Africa — 2.3% | ||||||||||
158,017 | African Bank Investments Ltd (b) | 15 | ||||||||
5,053 | Coronation Fund Managers Ltd | 47,442 | ||||||||
4,374 | Discovery Ltd | 40,337 | ||||||||
4,324 | Exxaro Resources Ltd | 61,365 | ||||||||
19,394 | Growthpoint Properties Ltd | 45,836 | ||||||||
3,513 | Kumba Iron Ore Ltd | 105,310 | ||||||||
8,557 | Life Healthcare Group Holdings Ltd | 35,926 | ||||||||
11,493 | MTN Group Ltd | 259,977 | ||||||||
3,140 | Naspers Ltd-N Shares | 400,513 | ||||||||
793 | Sasol Ltd | 46,087 | ||||||||
300 | Sasol Ltd Sponsored ADR | 17,574 | ||||||||
49,055 | Telkom South Africa Ltd * | 262,893 | ||||||||
481 | Vodacom Group Ltd | 5,801 | ||||||||
|
| |||||||||
Total South Africa | 1,329,076 | |||||||||
|
| |||||||||
South Korea — 16.6% | ||||||||||
239 | CJ Corp | 42,208 | ||||||||
1,990 | Daewoo Securities Co Ltd * | 23,179 | ||||||||
14,102 | DGB Financial Group Inc | 246,302 | ||||||||
3,330 | Dongbu Insurance Co Ltd | 201,061 | ||||||||
510 | Doosan Heavy Industries and Construction Co | 14,524 | ||||||||
3,628 | GS Holdings | 154,083 | ||||||||
11,834 | Hana Financial Group Inc | 497,005 | ||||||||
14,727 | Hanwha Corp | 439,579 | ||||||||
1,855 | Hyundai Mobis | 538,118 | ||||||||
1,548 | Hyundai Motor Co | 355,853 | ||||||||
66 | Hyundai Wia Corp | 14,524 | ||||||||
43,925 | Industrial Bank of Korea | 762,996 | ||||||||
5,103 | INTOPS Co Ltd | 85,607 | ||||||||
1,330 | Kangwon Land Inc | 47,325 | ||||||||
14,666 | Kia Motors Corp | 885,648 | ||||||||
36 | Korea Zinc Co Ltd | 14,936 | ||||||||
340 | KT Corp | 11,749 | ||||||||
28,800 | KT Corp Sponsored ADR | 492,480 | ||||||||
3,403 | Kwangju Bank * | 38,115 | ||||||||
5,201 | Kyongnam Bank * | 69,801 | ||||||||
78 | LG Chem Ltd | 20,749 | ||||||||
84 | Lotte Chemical Corp | 13,558 | ||||||||
138 | Lotte Shopping Co Ltd | 45,199 | ||||||||
23,790 | Samho International Co Ltd * | 398,917 | ||||||||
233 | Samsung Electro Mechanics Co Ltd | 12,624 | ||||||||
196 | Samsung Electronics Co Ltd GDR | 119,421 | ||||||||
2,108 | Samsung Engineering Co Ltd * | 132,941 | ||||||||
147 | Samsung SDI Co Ltd | 21,986 | ||||||||
1,589 | Samsung Electronics Co Ltd | 1,934,753 | ||||||||
384 | Shinhan Financial Group Co Ltd | 19,893 | ||||||||
5,794 | SK Innovation Co Ltd | 538,080 | ||||||||
29,239 | SK Telecom Co Ltd ADR | 874,831 | ||||||||
366 | SK Holdings Co Ltd | 57,973 | ||||||||
44,858 | Woori Finance Holdings Co Ltd * | 608,867 | ||||||||
|
| |||||||||
Total South Korea | 9,734,885 | |||||||||
|
|
4 | See accompanying notes to the financial statements. |
GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — 0.1% | ||||||||||
383 | Holcim Ltd (Registered) | 30,484 | ||||||||
|
| |||||||||
Taiwan — 9.0% | ||||||||||
10,000 | Advanced Semiconductor Engineering Inc | 12,573 | ||||||||
9,000 | Advantech Co Ltd | 84,536 | ||||||||
61,000 | Asustek Computer Inc | 638,344 | ||||||||
19,000 | Catcher Technology Co Ltd * | 192,728 | ||||||||
118,884 | Chunghwa Telecom Co Ltd | 370,366 | ||||||||
915,577 | Compal Electronics Inc | 813,801 | ||||||||
11,000 | Delta Electronics Inc | 77,343 | ||||||||
45,745 | E.Sun Financial Holding Co Ltd | 30,095 | ||||||||
27,914 | Far EasTone Telecommunications Co Ltd | 59,454 | ||||||||
17,640 | Foxconn Technology Co Ltd | 44,285 | ||||||||
5,000 | Giant Manufacturing Co Ltd | 41,606 | ||||||||
230,832 | Hon Hai Precision Industry Co Ltd | 789,561 | ||||||||
89,000 | HTC Corp * | 409,766 | ||||||||
91,451 | Lite-On Technology Corp | 151,669 | ||||||||
2,176 | MediaTek Inc | 36,367 | ||||||||
52,722 | Mega Financial Holding Co Ltd | 45,491 | ||||||||
34,000 | Pegatron Corp | 72,096 | ||||||||
21,000 | Pou Chen Corp | 24,312 | ||||||||
6,100 | Powertech Technology Inc | 11,562 | ||||||||
830,200 | ProMOS Technologies Inc * (b) | — | ||||||||
80,715 | Quanta Computer Inc | 227,951 | ||||||||
25,000 | Siliconware Precision Industries Co | 36,861 | ||||||||
353,863 | Taishin Financial Holding Co Ltd | 179,920 | ||||||||
25,308 | Taiwan Mobile Co Ltd | 80,653 | ||||||||
4,600 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 96,324 | ||||||||
35,880 | TPK Holding Co Ltd | 243,875 | ||||||||
430,193 | Wistron Corp | 504,076 | ||||||||
2,000 | Wowprime Corp | 24,342 | ||||||||
|
| |||||||||
Total Taiwan | 5,299,957 | |||||||||
|
| |||||||||
Thailand — 3.4% | ||||||||||
7,573 | Advanced Info Service Pcl (Foreign Registered) | 49,586 | ||||||||
2,200 | Airports of Thailand Pcl (Foreign Registered) | 16,328 | ||||||||
324,000 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 197,860 | ||||||||
700 | Bangkok Life Assurance Pcl NVDR | 1,841 | ||||||||
334,600 | Banpu Pcl (Foreign Registered) | 338,411 | ||||||||
77,900 | Electricity Generating Pcl (Foreign Registered) | 416,023 | ||||||||
184,095 | Hemaraj Land and Development Pcl (Foreign Registered) | 24,803 | ||||||||
30,100 | Intouch Holdings Pcl (Foreign Registered) (a) | 65,267 | ||||||||
827 | PTT Exploration & Production Pcl (Foreign Registered) | 4,259 | ||||||||
67,722 | PTT Pcl (Foreign Registered) | 680,977 | ||||||||
83,000 | Quality Houses Pcl (Foreign Registered) | 11,555 |
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
26,180 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a) | 47,769 | ||||||||
234,400 | Sansiri Pcl (Foreign Registered) | 15,280 | ||||||||
43,400 | Thai Oil Pcl (Foreign Registered) | 70,343 | ||||||||
15,900 | Tisco Financial Group Pcl (Foreign Registered) | 21,907 | ||||||||
74,400 | TTW Pcl (Foreign Registered) | 29,137 | ||||||||
56,160 | VGI Global Media Pcl (Foreign Registered) | 23,391 | ||||||||
|
| |||||||||
Total Thailand | 2,014,737 | |||||||||
|
| |||||||||
Turkey — 2.3% | ||||||||||
45,395 | Akbank TAS | 173,060 | ||||||||
13,936 | Arcelik AS | 83,492 | ||||||||
6,623 | Dogus Otomotiv Servis ve Ticaret AS | 26,831 | ||||||||
46,702 | Emlak Konut Gayrimenkul Yatirim | 58,676 | ||||||||
4,152 | Haci Omer Sabanci Holding AS | 19,220 | ||||||||
2,846 | KOC Holding AS | 14,538 | ||||||||
2,353 | Koza Altin Isletmeleri AS | 25,269 | ||||||||
441 | Pegasus Hava Tasimaciligi AS * | 5,487 | ||||||||
11,080 | Tofas Turk Otomobil Fabrikasi AS | 68,201 | ||||||||
72,715 | Turk Telekomunikasyon AS | 210,588 | ||||||||
882 | Turk Traktor ve Ziraat Makineleri AS | 29,962 | ||||||||
14,576 | Turkcell Iletisim Hizmetleri AS * | 85,523 | ||||||||
600 | Turkcell Iletisim Hizmetleri AS ADR * | 8,856 | ||||||||
15,776 | Turkiye Garanti Bankasi AS | 61,787 | ||||||||
102,624 | Turkiye IS Bankasi – Class C | 265,007 | ||||||||
14,497 | Turkiye Vakiflar Bankasi TAO – Class D | 33,399 | ||||||||
4,728 | Turkiye Halk Bankasi AS | 34,681 | ||||||||
4,530 | Ulker Biskuvi Sanayi AS | 33,509 | ||||||||
40,838 | Yapi ve Kredi Bankasi AS | 90,910 | ||||||||
|
| |||||||||
Total Turkey | 1,328,996 | |||||||||
|
| |||||||||
United Kingdom — 0.4% | ||||||||||
1,941 | British American Tobacco Plc | 114,758 | ||||||||
2,828 | Unilever Plc | 124,744 | ||||||||
200 | Unilever Plc Sponsored ADR | 8,812 | ||||||||
|
| |||||||||
Total United Kingdom | 248,314 | |||||||||
|
| |||||||||
United States — 0.5% | ||||||||||
2,856 | Colgate-Palmolive Co. | 184,869 | ||||||||
90 | Tupperware Brands Corp. | 6,593 | ||||||||
1,700 | Yum! Brands, Inc. | 123,131 | ||||||||
|
| |||||||||
Total United States | 314,593 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $50,066,264) | 50,743,338 | |||||||||
|
|
See accompanying notes to the financial statements. | 5 |
GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 10.9% | ||||||||||
Brazil — 5.8% | ||||||||||
1,000 | Banco Bradesco SA ADR | 18,244 | ||||||||
28,300 | Banco do Estado do Rio Grande do Sul SA –Class B | 195,325 | ||||||||
42,400 | Bradespar SA | 387,349 | ||||||||
57,183 | Companhia Energetica de Minas Gerais | 489,447 | ||||||||
47,745 | Companhia Energetica de Minas Gerais Sponsored ADR | 410,129 | ||||||||
2,000 | Companhia Energetica de Sao Paulo – Class B | 28,314 | ||||||||
9,300 | Gerdau SA | 53,843 | ||||||||
3,200 | Gerdau SA Sponsored ADR | 18,528 | ||||||||
7,353 | Gol Linhas Aereas Inteligentes SA ADR | 45,221 | ||||||||
2,104 | Itau Unibanco Holding SA ADR | 37,872 | ||||||||
114,107 | Itausa-Investimentos Itau SA | 555,625 | ||||||||
38,000 | Metalurgica Gerdau SA | 269,234 | ||||||||
13,800 | Telefonica Brasil SA | 294,988 | ||||||||
22,500 | Telefonica Brasil SA ADR | 481,500 | ||||||||
3,600 | Tim Participacoes SA ADR | 100,728 | ||||||||
3,030 | Vale SA Sponsored ADR | 35,299 | ||||||||
|
| |||||||||
Total Brazil | 3,421,646 | |||||||||
|
| |||||||||
Russia — 3.7% | ||||||||||
97,954 | Sberbank * | 145,589 | ||||||||
1,135,693 | Surgutneftegaz OJSC * | 835,552 | ||||||||
542 | Transneft * | 1,190,897 | ||||||||
|
| |||||||||
Total Russia | 2,172,038 | |||||||||
|
| |||||||||
South Korea — 1.4% | ||||||||||
3,733 | Hyundai Motor Co | 578,224 | ||||||||
214 | Samsung Electronics Co Ltd (Non-Voting) | 215,500 | ||||||||
7 | Samsung Electronics Co Ltd GDR (Registered) | 3,482 | ||||||||
|
| |||||||||
Total South Korea | 797,206 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $5,423,169) | 6,390,890 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 1.3% | ||||||||||
Thailand — 0.4% | ||||||||||
452,200 | BTS Rail Mass Transit Growth Infrastructure Fund | 145,844 | ||||||||
367,300 | TRUE Telecommunication Growth Infrastructure Fund (Foreign Registered) | 117,309 | ||||||||
|
| |||||||||
Total Thailand | 263,153 | |||||||||
|
| |||||||||
United States — 0.9% | ||||||||||
11,089 | iShares MSCI Emerging Markets ETF | 499,670 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $773,261) | 762,823 | |||||||||
|
|
Shares / Par Value | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Thailand — 0.0% | ||||||||||
14,040 | VGI Global Media PCL Warrants, Expires 08/01/18 * | 1,099 | ||||||||
|
| |||||||||
Total RIGHTS/WARRANTS (COST $0) | 1,099 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.5% | ||||||||||
United States — 0.5% | ||||||||||
Affiliated Issuers | ||||||||||
10,647 | GMO U.S. Treasury Fund | 266,167 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $266,167) | 266,167 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Time Deposits — 0.1% | ||||||||||
HKD | 125,130 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 16,146 | |||||||
ZAR | 46,692 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.20%, due 09/02/14 | 4,377 | |||||||
USD | 55,803 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 55,803 | |||||||
|
| |||||||||
Total Time Deposits | 76,326 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $76,326) | 76,326 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.4% (Cost $56,605,187) | 58,240,643 | |||||||||
Other Assets and Liabilities (net) — 0.6% | 345,588 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $58,586,231 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 22.
6 | See accompanying notes to the financial statements. |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 85.3 | % | ||
Investment Funds | 11.9 | |||
Mutual Funds | 2.4 | |||
Preferred Stocks | 1.2 | |||
Short-Term Investments | 0.5 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | (1.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
China | 14.7 | % | ||
India | 13.4 | |||
United States*** | 12.0 | |||
Thailand | 8.1 | |||
Brazil | 6.6 | |||
Mexico | 6.0 | |||
United Kingdom*** | 4.8 | |||
Indonesia | 4.8 | |||
Philippines | 4.5 | |||
Switzerland*** | 3.2 | |||
Taiwan | 3.0 | |||
South Africa | 2.3 | |||
Qatar | 2.2 | |||
Malaysia | 1.9 | |||
Panama | 1.8 | |||
Poland | 1.7 | |||
Norway*** | 1.5 | |||
France*** | 1.4 | |||
Russia | 1.4 | |||
Belgium | 1.3 | |||
Turkey | 0.9 | |||
United Arab Emirates | 0.7 | |||
Germany | 0.6 | |||
Vietnam | 0.6 | |||
Nigeria | 0.6 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
^ | Rounds to 0.0%. |
Industry Group Summary | % of Equity Investments** | |||
Banks | 16.8 | % | ||
Food, Beverage & Tobacco | 12.7 | |||
Transportation | 7.3 | |||
Telecommunication Services | 5.8 | |||
Food & Staples Retailing | 5.6 | |||
Health Care Equipment & Services | 5.0 | |||
Household & Personal Products | 4.3 | |||
Capital Goods | 4.2 | |||
Consumer Services | 4.0 | |||
Automobiles & Components | 4.0 | |||
Diversified Financials | 3.9 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 3.6 | |||
Materials | 3.5 | |||
Utilities | 3.3 | |||
Software & Services | 3.1 | |||
Real Estate | 3.1 | |||
Technology Hardware & Equipment | 2.3 | |||
Media | 1.9 | |||
Consumer Durables & Apparel | 1.7 | |||
Energy | 1.6 | |||
Retailing | 1.2 | |||
Insurance | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
*** | Includes companies that derive at least 50% of their revenues or profits from emerging markets. |
7
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 85.3% | ||||||||||
Belgium — 1.3% | ||||||||||
319,089 | Anheuser-Busch InBev NV | 35,595,329 | ||||||||
|
| |||||||||
Brazil — 5.3% | ||||||||||
940,000 | BR Malls Participacoes SA | 9,771,633 | ||||||||
2,536,689 | CETIP SA | 36,999,283 | ||||||||
587,600 | Cielo SA | 11,014,383 | ||||||||
2,643,075 | Localiza Rent a Car SA | 47,052,284 | ||||||||
3,494,321 | LPS Brasil Consultoria de Imoveis SA | 17,171,111 | ||||||||
2,783,800 | Raia Drogasil SA | 27,110,494 | ||||||||
|
| |||||||||
Total Brazil | 149,119,188 | |||||||||
|
| |||||||||
China — 8.8% | ||||||||||
227,100 | Baidu Inc Sponsored ADR * | 48,717,492 | ||||||||
1,759,900 | Beijing Enterprises Holdings Ltd | 15,163,689 | ||||||||
1,634,000 | Biostime International Holdings Ltd | 6,057,187 | ||||||||
24,675,900 | Brilliance China Automotive Holdings Ltd | 45,530,130 | ||||||||
7,326,000 | China Gas Holdings Ltd | 13,043,574 | ||||||||
3,119,600 | China Mengniu Dairy Co Ltd | 14,441,572 | ||||||||
10,170,000 | Chow Tai Fook Jewellery Group Ltd | 14,692,881 | ||||||||
17,727,000 | Huaneng Power International Inc –Class H | 21,384,132 | ||||||||
6,255,000 | Shenzhou International Group Holdings Ltd | 19,544,118 | ||||||||
460,731 | TAL Education Group * | 15,757,000 | ||||||||
5,740,440 | Tong Ren Tang Technologies Co Ltd | 8,057,598 | ||||||||
62,600 | Vipshop Holdings Ltd * | 12,309,038 | ||||||||
3,443,500 | Zhuzhou CSR Times Electric Co Ltd – Class H | 11,902,597 | ||||||||
|
| |||||||||
Total China | 246,601,008 | |||||||||
|
| |||||||||
France — 1.3% | ||||||||||
315,311 | Casino Guichard-Perrachon SA | 37,656,513 | ||||||||
|
| |||||||||
Germany — 0.6% | ||||||||||
152,274 | Bayerische Motoren Werke AG | 17,771,500 | ||||||||
|
| |||||||||
India — 13.2% | ||||||||||
2,358,052 | Ashoka Buildcon Ltd | 4,943,956 | ||||||||
6,612,462 | Century Plyboards India Ltd | 9,825,293 | ||||||||
909,920 | CESC Ltd | 10,401,719 | ||||||||
328,086 | Colgate-Palmolive India Ltd | 8,342,791 | ||||||||
519,860 | Credit Analysis & Research Ltd | 10,928,146 | ||||||||
335,999 | Emami Ltd | 3,640,326 | ||||||||
4,791,502 | Federal Bank Ltd | 9,560,993 | ||||||||
2,159,132 | Gayatri Projects Ltd (b) | 4,960,985 | ||||||||
4,021,736 | HDFC Bank Ltd (a) | 56,089,055 | ||||||||
277,900 | HDFC Bank Ltd ADR | 13,808,851 | ||||||||
984,002 | ICICI Bank Ltd | 25,237,756 | ||||||||
289,554 | ICICI Bank Ltd Sponsored ADR | 15,491,139 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
1,401,413 | India Cements Ltd | 2,618,489 | ||||||||
1,282,426 | Indiabulls Housing Finance Ltd | 7,997,857 | ||||||||
1,608,782 | ING Vysya Bank Ltd (a) | 16,671,789 | ||||||||
981,648 | J Kumar Infraprojects Ltd * | 5,279,566 | ||||||||
2,603,319 | Jindal Steel & Power Ltd | 10,030,964 | ||||||||
12,523 | Kaveri Seed Co Ltd | 186,974 | ||||||||
3,836,684 | KSK Energy Ventures Ltd * | 5,954,563 | ||||||||
3,362,406 | Lupin Ltd (a) | 71,374,175 | ||||||||
807,998 | Maruti Suzuki India Ltd * (a) | 37,179,434 | ||||||||
10,720 | Power Grid Corp of India Ltd | 22,803 | ||||||||
719,385 | Repco Home Finance Ltd (a) | 5,239,894 | ||||||||
3,334,166 | SAW Ltd | 4,265,669 | ||||||||
1,457,446 | Sun TV Network Ltd | 8,544,978 | ||||||||
1,160,839 | Supreme Industries Ltd | 11,376,764 | ||||||||
1,491,725 | Techno Electric & Engineering Co Ltd | 6,384,601 | ||||||||
873,660 | Torrent Power Ltd | 1,925,378 | ||||||||
|
| |||||||||
Total India | 368,284,908 | |||||||||
|
| |||||||||
Indonesia — 4.7% | ||||||||||
41,696,159 | Bank Mandiri Persero Tbk PT | 37,203,409 | ||||||||
25,124,100 | Bank Rakyat Indonesia Persero Tbk PT | 23,722,679 | ||||||||
821,900 | Kalbe Farma Tbk PT | 116,663 | ||||||||
29,951,200 | Media Nusantara Citra Tbk PT | 7,182,223 | ||||||||
22,249,300 | Perusahaan Gas Negara Persero Tbk PT | 11,032,320 | ||||||||
197,653,500 | Sumber Alfaria Trijaya Tbk PT | 8,618,096 | ||||||||
146,680,100 | Telekomunikasi Indonesia Persero Tbk PT | 33,526,656 | ||||||||
43,595,400 | Tempo Scan Pacific Tbk PT | 10,618,667 | ||||||||
|
| |||||||||
Total Indonesia | 132,020,713 | |||||||||
|
| |||||||||
Malaysia — 1.9% | ||||||||||
15,787,707 | CIMB Group Holdings Berhad | 36,964,712 | ||||||||
22,234,644 | Media Prima Bhd | 16,085,961 | ||||||||
|
| |||||||||
Total Malaysia | 53,050,673 | |||||||||
|
| |||||||||
Mexico — 5.9% | ||||||||||
3,806,500 | Alsea SA * | 13,157,229 | ||||||||
5,674,032 | Cemex SA de CV CPO * | 7,519,527 | ||||||||
2,667,748 | Cemex SAB de CV Sponsored ADR * | 35,294,306 | ||||||||
3,237,200 | Embotelladoras Arca SAB de CV | 23,765,171 | ||||||||
9,622,400 | Fibra Uno Administracion SA de CV (REIT) | 34,665,438 | ||||||||
5,992,037 | Grupo Financiero Banorte SAB de CV – Class O | 42,243,363 | ||||||||
1,371,624 | Infraestructura Energetica Nova SAB de CV | 8,256,963 | ||||||||
|
| |||||||||
Total Mexico | 164,901,997 | |||||||||
|
| |||||||||
Nigeria — 0.5% | ||||||||||
2,415,401 | Nestle Nigeria Plc | 15,276,412 | ||||||||
|
|
8 | See accompanying notes to the financial statements. |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Norway — 1.5% | ||||||||||
1,785,907 | Telenor ASA | 41,024,325 | ||||||||
|
| |||||||||
Panama — 1.8% | ||||||||||
398,548 | Copa Holdings SA – Class A | 49,013,433 | ||||||||
|
| |||||||||
Philippines — 4.5% | ||||||||||
10,594,630 | BDO Unibank Inc | 21,989,964 | ||||||||
20,891,035 | GMA Holdings Inc | 3,306,297 | ||||||||
814,979 | GT Capital Holdings Inc | 17,578,915 | ||||||||
17,617,600 | Manila Water Co Inc | 12,125,943 | ||||||||
137,345 | Philippine Long Distance Telephone Co | 10,789,239 | ||||||||
64,300 | Philippine Long Distance Telephone Co Sponsored ADR | 4,876,512 | ||||||||
20,303,500 | Puregold Price Club Inc | 16,860,158 | ||||||||
17,728,880 | Robinsons Retail Holdings Inc | 25,255,978 | ||||||||
1,252,727 | Semirara Mining & Power Corp | 11,636,570 | ||||||||
|
| |||||||||
Total Philippines | 124,419,576 | |||||||||
|
| |||||||||
Poland — 1.7% | ||||||||||
564,145 | Bank Pekao SA | 31,814,518 | ||||||||
1,183,371 | Jeronimo Martins SGPS SA | 16,050,192 | ||||||||
|
| |||||||||
Total Poland | 47,864,710 | |||||||||
|
| |||||||||
Qatar — 2.1% | ||||||||||
4,576,049 | Qatar Gas Transport Co Nakilat | 29,540,337 | ||||||||
546,001 | Qatar National Bank | 30,334,272 | ||||||||
|
| |||||||||
Total Qatar | 59,874,609 | |||||||||
|
| |||||||||
Russia — 1.4% | ||||||||||
1,053,589 | Global Ports Investments Plc | 8,210,544 | ||||||||
899,798 | Lenta Ltd * | 10,250,219 | ||||||||
696,607 | Mail.ru Group Ltd GDR (Registered Shares) * | 18,726,165 | ||||||||
|
| |||||||||
Total Russia | 37,186,928 | |||||||||
|
| |||||||||
South Africa — 2.3% | ||||||||||
2,866,029 | Coronation Fund Managers Ltd | 26,908,557 | ||||||||
2,101,727 | Discovery Ltd | 19,382,120 | ||||||||
4,333,386 | Life Healthcare Group Holdings Ltd | 18,193,662 | ||||||||
|
| |||||||||
Total South Africa | 64,484,339 | |||||||||
|
| |||||||||
Switzerland — 3.1% | ||||||||||
212,146 | Holcim Ltd (Registered) | 16,885,051 | ||||||||
901,903 | Nestle SA (Registered) | 69,959,163 | ||||||||
|
| |||||||||
Total Switzerland | 86,844,214 | |||||||||
|
| |||||||||
Taiwan — 3.0% | ||||||||||
1,506,000 | Advantech Co Ltd | 14,145,731 | ||||||||
22,647,706 | E.Sun Financial Holding Co Ltd | 14,899,437 | ||||||||
2,254,000 | Giant Manufacturing Co Ltd | 18,756,168 | �� |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
29,905,000 | Mega Financial Holding Co Ltd | 25,803,499 | ||||||||
832,403 | Wowprime Corp | 10,131,097 | ||||||||
|
| |||||||||
Total Taiwan | 83,735,932 | |||||||||
|
| |||||||||
Thailand — 4.3% | ||||||||||
3,718,050 | Advanced Info Service Pcl (Foreign Registered) | 24,344,974 | ||||||||
1,385,100 | Airports of Thailand Pcl (Foreign Registered) | 10,280,104 | ||||||||
154,000 | Bangkok Bank Pcl NVDR | 988,384 | ||||||||
43,102,550 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 26,321,854 | ||||||||
3,104,900 | Bangkok Life Assurance Pcl NVDR | 8,164,792 | ||||||||
8,396,800 | Chularat Hospital Pcl (Foreign Registered) | 4,655,316 | ||||||||
11,840,700 | Intouch Holdings Pcl (Foreign Registered) (a) | 25,674,538 | ||||||||
3,040,300 | Intouch Holdings Pcl | 6,544,165 | ||||||||
165,600 | Tisco Financial Group Pcl (Foreign Registered) | 228,161 | ||||||||
30,230,044 | VGI Global Media Pcl (Foreign Registered) | 12,590,734 | ||||||||
|
| |||||||||
Total Thailand | 119,793,022 | |||||||||
|
| |||||||||
Turkey — 0.9% | ||||||||||
467,623 | Pegasus Hava Tasimaciligi AS * | 5,818,283 | ||||||||
334,492 | Turk Traktor ve Ziraat Makineleri AS | 11,362,802 | ||||||||
1,080,422 | Ulker Biskuvi Sanayi AS | 7,992,036 | ||||||||
|
| |||||||||
Total Turkey | 25,173,121 | |||||||||
|
| |||||||||
United Arab Emirates — 0.7% | ||||||||||
963,889 | Al Noor Hospitals Group Plc | 18,217,179 | ||||||||
|
| |||||||||
United Kingdom — 4.7% | ||||||||||
1,007,161 | British American Tobacco Plc | 59,546,673 | ||||||||
14,900 | British American Tobacco Plc Sponsored ADR | 1,764,458 | ||||||||
220,528 | Unilever Plc Sponsored ADR | 9,716,464 | ||||||||
1,367,892 | Unilever Plc | 60,337,834 | ||||||||
|
| |||||||||
Total United Kingdom | 131,365,429 | |||||||||
|
| |||||||||
United States — 9.2% | ||||||||||
1,371,201 | Abbott Laboratories | 57,919,530 | ||||||||
1,502,146 | Colgate-Palmolive Co. | 97,233,911 | ||||||||
240,500 | Cummins, Inc. | 34,898,955 | ||||||||
51,298 | Tupperware Brands Corp. | 3,758,091 | ||||||||
855,200 | Yum! Brands, Inc. | 61,942,136 | ||||||||
|
| |||||||||
Total United States | 255,752,623 | |||||||||
|
| |||||||||
Vietnam — 0.6% | ||||||||||
3,069,432 | Viet Nam Dairy Products JSC | 16,072,139 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $2,248,091,964) | 2,381,099,820 | |||||||||
|
|
See accompanying notes to the financial statements. | 9 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 1.2% | ||||||||||
Brazil — 1.2% | ||||||||||
674,600 | Banco Bradesco SA | 12,307,645 | ||||||||
444,400 | Gol Linhas Aereas Inteligentes SA * | 2,753,553 | ||||||||
2,785,049 | Gol Linhas Aereas Inteligentes SA ADR | 17,128,052 | ||||||||
|
| |||||||||
Total Brazil | 32,189,250 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $24,124,337) | 32,189,250 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 11.9% | ||||||||||
China — 5.5% | ||||||||||
3,812,800 | iShares China Large-Cap ETF | 154,304,016 | ||||||||
|
| |||||||||
Thailand — 3.7% | ||||||||||
135,799,684 | BTS Rail Mass Transit Growth Infrastructure Fund | 43,798,128 | ||||||||
15,523,100 | CPN Commercial Growth Leasehold Property Fund | 5,250,778 | ||||||||
34,421,700 | TICON Industrial Growth Leasehold Property Fund (b) | 11,205,047 | ||||||||
133,901,100 | TRUE Telecommunication Growth Infrastructure Fund | 42,765,689 | ||||||||
|
| |||||||||
Total Thailand | 103,019,642 | |||||||||
|
| |||||||||
United States — 2.7% | ||||||||||
1,649,987 | iShares MSCI Emerging Markets ETF | 74,348,414 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $340,886,446) | 331,672,072 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Thailand — 0.0% | ||||||||||
7,557,511 | VGI Global Media PCL Warrants, Expires 08/01/18 * | 591,540 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 591,540 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.4% | ||||||||||
United States — 2.4% | ||||||||||
Affiliated Issuers | ||||||||||
2,688,747 | GMO U.S. Treasury Fund | 67,218,668 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $67,218,668) | 67,218,668 | |||||||||
|
|
Par Value | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||||
Time Deposits — 0.5% | ||||||||||
USD | 5,185,358 | Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 0.06%, due 09/02/14 | 5,185,358 | |||||||
GBP | 11 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/02/14 | 19 | |||||||
HKD | 12,645,296 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 1,631,640 | |||||||
ZAR | 4,962 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.20%, due 09/02/14 | 465 | |||||||
USD | 5,577,210 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 5,577,210 | |||||||
|
| |||||||||
Total Time Deposits | 12,394,692 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $12,394,692) | 12,394,692 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.3% (Cost $2,692,716,107) | 2,825,166,042 | |||||||||
Other Assets and Liabilities (net) — (1.3%) | (35,126,179 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,790,039,863 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | Affiliated company (Note 10). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 22.
10 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 85.0 | % | ||
Preferred Stocks | 11.3 | |||
Investment Funds | 2.3 | |||
Mutual Funds | 0.6 | |||
Short-Term Investments | 0.2 | |||
Swap Contracts | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary* | % of Investments | |||
China | 18.9 | % | ||
Brazil | 15.6 | |||
Russia | 12.7 | |||
South Korea | 12.5 | |||
Taiwan | 9.9 | |||
India | 7.8 | |||
Thailand | 4.0 | |||
Turkey | 3.7 | |||
Poland | 3.2 | |||
South Africa | 2.6 | |||
Indonesia | 2.1 | |||
Czech Republic | 2.0 | |||
Mexico | 1.2 | |||
Peru | 0.6 | |||
Egypt | 0.5 | |||
Philippines | 0.5 | |||
United States** | 0.5 | |||
United Kingdom** | 0.4 | |||
Hungary | 0.2 | |||
Malaysia | 0.2 | |||
Panama | 0.2 | |||
Qatar | 0.2 | |||
France** | 0.1 | |||
Nigeria | 0.1 | |||
Norway** | 0.1 | |||
Switzerland** | 0.1 | |||
United Arab Emirates | 0.1 | |||
Sri Lanka | 0.0 | ^ | ||
Vietnam | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
** | Includes companies that derive at least 50% of their revenues or profits from emerging markets. |
Industry Group Summary | % of Equity Investments*** | |||
Banks | 21.6 | % | ||
Energy | 16.6 | |||
Telecommunication Services | 13.8 | |||
Technology Hardware & Equipment | 11.9 | |||
Utilities | 9.8 | |||
Materials | 7.6 | |||
Automobiles & Components | 4.3 | |||
Capital Goods | 2.4 | |||
Real Estate | 1.8 | |||
Diversified Financials | 1.6 | |||
Semiconductors & Semiconductor Equipment | 1.3 | |||
Media | 1.2 | |||
Food, Beverage & Tobacco | 1.0 | |||
Software & Services | 0.9 | |||
Transportation | 0.8 | |||
Insurance | 0.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.7 | |||
Health Care Equipment & Services | 0.4 | |||
Food & Staples Retailing | 0.4 | |||
Consumer Durables & Apparel | 0.4 | |||
Household & Personal Products | 0.4 | |||
Consumer Services | 0.3 | |||
Retailing | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
*** | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
11
GMO Emerging Markets Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 85.0% | ||||||||||
Brazil — 8.1% | ||||||||||
1,193,500 | Aes Tiete SA | 9,015,897 | ||||||||
13,880,700 | Banco do Brasil SA | 216,969,262 | ||||||||
1,178,900 | Banco Santander Brasil SA | 8,141,967 | ||||||||
4,074,300 | Banco Santander Brasil SA ADR | 27,990,441 | ||||||||
237,200 | BR Malls Participacoes SA | 2,465,778 | ||||||||
4,692,300 | Brasil Brokers Participacoes SA | 7,588,173 | ||||||||
610,643 | CETIP SA | 8,906,631 | ||||||||
674,500 | Cia de Saneamento de Minas Gerais-COPASA * | 12,052,714 | ||||||||
67,044 | Cia de Transmissao de Energia Eletrica Paulista * | 979,379 | ||||||||
149,300 | Cielo SA | 2,798,583 | ||||||||
1,883,000 | Companhia de Saneamento Basico do Estado de Sao Paulo | 17,993,018 | ||||||||
2,484,436 | Companhia de Saneamento Basico do Estado de Sao Paulo ADR | 23,453,076 | ||||||||
3,690,000 | Companhia Siderurgica Nacional SA | 16,187,536 | ||||||||
3,355,700 | Companhia Siderurgica Nacional SA Sponsored ADR | 14,664,409 | ||||||||
1,795,200 | Cosan Ltd – Class A | 26,030,400 | ||||||||
641,000 | Cosan SA Industria e Comercio | 13,315,390 | ||||||||
1,277,773 | CPFL Energia SA | 12,894,747 | ||||||||
427,100 | CPFL Energia SA ADR | 8,601,794 | ||||||||
2,050,809 | Duratex SA | 9,225,663 | ||||||||
3,775,600 | EDP-Energias Do Brasil SA | 19,059,317 | ||||||||
1,347,400 | Equatorial Energia SA | 15,830,520 | ||||||||
619,071 | Grendene SA | 4,494,038 | ||||||||
815,937 | Grupo BTG Pactual | 13,705,263 | ||||||||
3,375,774 | Klabin SA | 17,146,549 | ||||||||
2,706,409 | Light SA | 29,742,087 | ||||||||
624,956 | Localiza Rent a Car SA | 11,125,529 | ||||||||
1,100,400 | LPS Brasil Consultoria de Imoveis SA | 5,407,371 | ||||||||
452,300 | Multiplus SA | 6,627,402 | ||||||||
558,500 | Raia Drogasil SA | 5,439,044 | ||||||||
3,246,600 | Tim Participacoes SA | 18,201,845 | ||||||||
1,303,600 | Tractebel Energia SA | 21,844,108 | ||||||||
2,359,751 | Transmissora Alianca de Energia Eletrica SA | 24,604,239 | ||||||||
251,571 | Ultrapar Participacoes SA | 6,483,418 | ||||||||
|
| |||||||||
Total Brazil | 638,985,588 | |||||||||
|
| |||||||||
China — 18.2% | ||||||||||
157,938,440 | Agricultural Bank of China Ltd – Class H | 73,132,016 | ||||||||
6,955,998 | Angang Steel Co Ltd – Class A | 3,816,984 | ||||||||
1,193,938 | Anhui Conch Cement Co Ltd | 3,357,746 | ||||||||
8,528,000 | Anton Oilfield Services Group | 3,660,219 | ||||||||
54,460 | Baidu Inc Sponsored ADR * | 11,682,759 | ||||||||
369,956,582 | Bank of China Ltd – Class H | 171,284,162 | ||||||||
408,590 | Beijing Enterprises Holdings Ltd | 3,520,502 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
418,500 | Biostime International Holdings Ltd | 1,551,366 | ||||||||
5,856,000 | Brilliance China Automotive Holdings Ltd | 10,805,054 | ||||||||
14,249,400 | Changsha Zoomlion Heavy Industry Science and Technology Development Co Ltd – Class H | 8,818,788 | ||||||||
235,999 | Changyou.com Ltd ADR * | 5,678,136 | ||||||||
28,752,550 | China Communications Construction Co Ltd – Class H | 20,945,931 | ||||||||
56,405,700 | China Communications Services Corp Ltd – Class H | 27,139,919 | ||||||||
14,376,656 | China Construction Bank – Class A | 9,431,758 | ||||||||
269,435,906 | China Construction Bank – Class H | 199,834,977 | ||||||||
8,145,160 | China Everbright Ltd | 15,440,417 | ||||||||
1,760,587 | China Gas Holdings Ltd | 3,134,637 | ||||||||
1,860,088 | China Life Insurance Co Ltd – Class A | 4,531,446 | ||||||||
758,060 | China Mengniu Dairy Co Ltd | 3,509,289 | ||||||||
16,946,237 | China Mobile Ltd | 210,456,354 | ||||||||
610,800 | China Mobile Ltd Sponsored ADR | 38,040,624 | ||||||||
12,416,400 | China Overseas Land & Investment Ltd | 34,905,258 | ||||||||
2,631,227 | China Pacific Insurance Group Co Ltd –Class A | 8,246,590 | ||||||||
4,792,390 | China Railway Construction Corp Ltd –Class A | 3,971,628 | ||||||||
6,281,520 | China Railway Construction Corp Ltd –Class H | 6,020,372 | ||||||||
6,700,830 | China Railway Group Ltd – Class H | 3,456,206 | ||||||||
1,346,000 | China Resources Land Ltd | 3,076,847 | ||||||||
9,555,050 | China Shenhua Energy Co Ltd – Class H | 27,614,792 | ||||||||
104,726,800 | China Telecom Corp Ltd – Class H | 64,343,866 | ||||||||
32,900 | China Telecom Corp Ltd ADR | 2,023,679 | ||||||||
2,500,600 | Chow Tai Fook Jewellery Group Ltd | 3,612,686 | ||||||||
1,912,726 | CITIC Securities Co Ltd – Class A | 4,014,475 | ||||||||
32,158,170 | CNOOC Ltd | 64,452,785 | ||||||||
6,820 | CNOOC Ltd ADR | 1,364,682 | ||||||||
17,571,320 | Dongfeng Motor Group Co Ltd – Class H | 32,585,812 | ||||||||
12,291,250 | Geely Automobile Holdings Ltd | 4,721,686 | ||||||||
4,294,400 | Huaneng Power International Inc –Class H | 5,180,347 | ||||||||
18,097,781 | Industrial and Commercial Bank of China Ltd – Class A | 10,194,322 | ||||||||
279,411,347 | Industrial and Commercial Bank of China Ltd – Class H | 184,909,811 | ||||||||
3,853,918 | Jiangsu Expressway Co Ltd | 3,751,383 | ||||||||
8,541,000 | Jiangxi Copper Co Ltd | 15,130,768 | ||||||||
618,813 | Kweichow Moutai Co Ltd | 15,916,017 | ||||||||
26,857,800 | Lonking Holdings Ltd | 4,678,408 | ||||||||
1,569,900 | New China Life Insurance Co Ltd | 5,612,977 | ||||||||
1,269,000 | People’s Insurance Co Group of China Ltd | 528,901 | ||||||||
8,484,000 | PICC Property & Casualty Co Ltd –Class H | 14,060,611 | ||||||||
811,855 | Ping An Insurance (Group) Co of China Ltd – Class A | 5,618,543 |
12 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
1,525,000 | Shenzhou International Group Holdings Ltd | 4,764,953 | ||||||||
2,200 | Sina Corp * | 101,596 | ||||||||
108,906 | TAL Education Group ADR * | 3,724,585 | ||||||||
1,462,880 | Tong Ren Tang Technologies Co Ltd | 2,053,379 | ||||||||
15,200 | Vipshop Holdings Ltd * | 2,988,776 | ||||||||
1,255,339 | Weichai Power Co Ltd – Class A | 4,186,134 | ||||||||
46,343,780 | Yangzijiang Shipbuilding Holdings Ltd | 43,210,636 | ||||||||
13,124,000 | Yanzhou Coal Mining Co Ltd – Class H | 11,030,266 | ||||||||
38,800 | Yanzhou Coal Mining Co Ltd Sponsored ADR | 324,756 | ||||||||
844,000 | Zhuzhou CSR Times Electric Co Ltd –Class H | 2,917,320 | ||||||||
|
| |||||||||
Total China | 1,435,068,937 | |||||||||
|
| |||||||||
Czech Republic — 1.9% | ||||||||||
4,764,200 | CEZ AS | 138,232,268 | ||||||||
20,728 | Komercni Banka AS | 4,817,126 | ||||||||
60,645 | Pegas Nonwovens SA | 1,809,801 | ||||||||
5,688 | Philip Morris CR AS | 2,805,702 | ||||||||
|
| |||||||||
Total Czech Republic | 147,664,897 | |||||||||
|
| |||||||||
Egypt — 0.5% | ||||||||||
150,835 | Alexandria Mineral Oils Co | 1,667,465 | ||||||||
2,668,686 | Global Telecom Holding GDR * | 9,592,755 | ||||||||
33,357,178 | Orascom Telecom Media and Technology Holding SAE * | 5,840,642 | ||||||||
2,019,668 | Sidi Kerir Petrochemicals Co | 5,664,330 | ||||||||
1,082,530 | South Valley Cement | 1,264,334 | ||||||||
8,484,471 | Telecom Egypt Co | 17,054,926 | ||||||||
|
| |||||||||
Total Egypt | 41,084,452 | |||||||||
|
| |||||||||
France — 0.1% | ||||||||||
75,109 | Casino Guichard-Perrachon SA | 8,970,011 | ||||||||
|
| |||||||||
Hungary — 0.2% | ||||||||||
8,559,666 | Magyar Telekom Telecommunications Plc * | 13,190,524 | ||||||||
17,292 | MOL Hungarian Oil and Gas Plc | 852,263 | ||||||||
137,418 | OTP Bank Plc | 2,376,651 | ||||||||
|
| |||||||||
Total Hungary | 16,419,438 | |||||||||
|
| |||||||||
India — 7.5% | ||||||||||
1,280,179 | Aban Offshore Ltd | 14,967,824 | ||||||||
1,273,365 | Allahabad Bank | 2,395,043 | ||||||||
5,038,333 | Andhra Bank | 5,980,431 | ||||||||
7,222,553 | Ashok Leyland Ltd * | 4,376,047 | ||||||||
489,678 | Ashoka Buildcon Ltd | 1,026,672 | ||||||||
1,270,026 | Aurobindo Pharma Ltd | 17,152,695 | ||||||||
1,136,066 | Bank of Baroda (a) | 16,363,663 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
1,314,368 | Bank of India | 5,997,958 | ||||||||
97,365 | Bayer Cropscience Ltd | 3,827,982 | ||||||||
3,028,855 | Bharat Heavy Electricals Ltd | 11,936,135 | ||||||||
335,272 | Biocon Ltd | 2,577,774 | ||||||||
2,934,531 | Cairn India Ltd | 15,809,917 | ||||||||
3,411,056 | Canara Bank Ltd | 21,324,781 | ||||||||
1,191,978 | Century Plyboards India Ltd | 1,771,131 | ||||||||
235,625 | CESC Ltd | 2,693,539 | ||||||||
280,027 | Coal India Ltd | 1,649,405 | ||||||||
86,629 | Colgate-Palmolive India Ltd | 2,202,860 | ||||||||
132,140 | Credit Analysis & Research Ltd | 2,777,758 | ||||||||
3,920,708 | DLF Ltd | 11,498,440 | ||||||||
205,522 | Emami Ltd | 2,226,694 | ||||||||
1,744,721 | Federal Bank Ltd | 3,481,427 | ||||||||
1,579,864 | GAIL India Ltd | 11,557,785 | ||||||||
41,692 | Grasim Industries Ltd (a) | 2,338,613 | ||||||||
6,250,163 | HDFC Bank Ltd (a) | 87,167,764 | ||||||||
122,639 | Hero MotoCorp Ltd | 5,278,595 | ||||||||
4,699,404 | Hindalco Industries Ltd | 13,196,558 | ||||||||
8,012,886 | Housing Development & Infrastructure Ltd * | 11,968,367 | ||||||||
32,423 | ICICI Bank Ltd | 831,588 | ||||||||
215,700 | ICICI Bank Ltd Sponsored ADR | 11,539,950 | ||||||||
962,385 | IDFC Ltd (a) | 2,297,522 | ||||||||
452,880 | India Cements Ltd | 846,190 | ||||||||
557,656 | Indiabulls Housing Finance Ltd | 3,477,825 | ||||||||
1,544,366 | Indiabulls Real Estate Ltd | 1,765,412 | ||||||||
408,495 | ING Vysya Bank Ltd (a) | 4,233,229 | ||||||||
169,793 | J Kumar Infraprojects Ltd * | 913,192 | ||||||||
2,654,189 | Jai Balaji Industries Ltd * | 946,262 | ||||||||
6,259,336 | Jaiprakash Associates Ltd * | 4,849,307 | ||||||||
655,957 | Jindal Steel & Power Ltd | 2,527,497 | ||||||||
475,173 | Karnataka Bank Ltd | 961,748 | ||||||||
1,111,804 | Kiri Industries Ltd * (b) | 2,434,331 | ||||||||
1,002,655 | KSK Energy Ventures Ltd * | 1,556,128 | ||||||||
800,323 | Lupin Ltd (a) | 16,988,547 | ||||||||
475,099 | Mahindra & Mahindra Ltd | 11,035,792 | ||||||||
195,115 | Maruti Suzuki India Ltd (a) | 8,978,073 | ||||||||
880,552 | Mphasis Ltd | 6,489,440 | ||||||||
6,421,493 | NMDC Ltd | 18,004,179 | ||||||||
7,269,548 | NTPC Ltd | 16,488,343 | ||||||||
518,838 | Oil India Ltd | 5,256,579 | ||||||||
1,765,206 | Oriental Bank of Commerce | 7,624,590 | ||||||||
203,258 | Power Finance Corp | 840,938 | ||||||||
929 | Power Grid Corp of India Ltd | 1,976 | ||||||||
2,214,526 | Punjab National Bank Ltd (a) | 34,660,374 | ||||||||
7,023,441 | Reliance Communications Ltd * | 13,484,808 | ||||||||
819,225 | Reliance Infrastructure Ltd * | 9,453,653 | ||||||||
196,924 | Repco Home Finance Ltd (a) | 1,434,366 | ||||||||
2,734,469 | Rural Electrification Corp Ltd | 12,142,057 |
See accompanying notes to the financial statements. | 13 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
944,749 | SAW Ltd | 1,208,694 | ||||||||
3,833,225 | Sesa Sterlite Ltd | 17,575,011 | ||||||||
144,520 | Sesa Sterlite Ltd ADR | 2,657,723 | ||||||||
1,635 | State Bank of India | 66,510 | ||||||||
364,435 | Sun TV Network Ltd | 2,136,675 | ||||||||
271,329 | Supreme Industries Ltd | 2,659,151 | ||||||||
3,570,972 | Syndicate Bank | 7,059,641 | ||||||||
1,503,204 | Tata Global Beverages Ltd | 3,748,565 | ||||||||
1,668,649 | Tata Motors Ltd | 14,455,512 | ||||||||
48,300 | Tata Motors Ltd Sponsored ADR | 2,327,577 | ||||||||
5,250,654 | Tata Power Co Ltd | 7,500,003 | ||||||||
1,598,624 | Tata Steel Ltd | 13,564,095 | ||||||||
672,886 | Tech Mahindra Ltd | 26,159,612 | ||||||||
383,856 | Techno Electric & Engineering Co Ltd | 1,642,908 | ||||||||
318,741 | Yes Bank Ltd | 3,002,424 | ||||||||
|
| |||||||||
Total India | 591,373,855 | |||||||||
|
| |||||||||
Indonesia — 1.7% | ||||||||||
12,551,185 | Astra International Tbk PT | 8,126,495 | ||||||||
52,639,500 | Bakrie Telecom Tbk PT * | 225,003 | ||||||||
10,030,918 | Bank Mandiri Persero Tbk PT | 8,950,089 | ||||||||
6,051,304 | Bank Rakyat Indonesia Persero Tbk PT | 5,713,763 | ||||||||
1,275,960 | First Real Estate Investment Trust | 1,240,323 | ||||||||
43,779,069 | Gajah Tunggal Tbk PT | 6,625,277 | ||||||||
17,741,607 | Global Mediacom Tbk PT | 2,934,700 | ||||||||
43,928,418 | Harum Energy Tbk PT | 8,075,970 | ||||||||
3,120,291 | Indo Tambangraya Megah Tbk PT | 7,516,341 | ||||||||
67,900 | Kalbe Farma Tbk PT | 9,638 | ||||||||
7,796,632 | Media Nusantara Citra Tbk PT | 1,869,613 | ||||||||
51,441,995 | MNC Investama Tbk PT | 1,657,880 | ||||||||
5,554,400 | Perusahaan Gas Negara Persero Tbk PT | 2,754,150 | ||||||||
41,237,880 | Sumber Alfaria Trijaya Tbk PT | 1,798,056 | ||||||||
3,396,180 | Tambang Batubara Bukit Asam Persero Tbk PT | 3,880,677 | ||||||||
178,147,292 | Telekomunikasi Indonesia Persero Tbk PT | 40,719,109 | ||||||||
655,600 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 30,196,936 | ||||||||
11,099,285 | Tempo Scan Pacific Tbk PT | 2,703,487 | ||||||||
|
| |||||||||
Total Indonesia | 134,997,507 | |||||||||
|
| |||||||||
Malaysia — 0.2% | ||||||||||
3,868,607 | CIMB Group Holdings Berhad | 9,057,803 | ||||||||
578,150 | Hong Leong Bank Berhad | 2,640,934 | ||||||||
5,705,295 | Lion Industries Corp Berhad | 1,158,092 | ||||||||
5,835,714 | Media Prima Bhd | 4,221,928 | ||||||||
|
| |||||||||
Total Malaysia | 17,078,757 | |||||||||
|
| |||||||||
Mexico — 1.1% | ||||||||||
918,760 | Alsea SA * | 3,175,709 | ||||||||
241,800 | America Movil SAB de CV | 5,926,518 |
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
36,178,400 | America Movil SAB de CV – Class L | 44,459,586 | ||||||||
3,364,826 | Cemex SA de CV CPO * | 4,459,245 | ||||||||
431,392 | Cemex SAB de CV Sponsored ADR * | 5,707,316 | ||||||||
783,900 | Embotelladoras Arca SAB de CV | 5,754,824 | ||||||||
2,313,800 | Fibra Uno Administracion SA de CV (REIT) | 8,335,643 | ||||||||
1,417,400 | Grupo Financiero Banorte SAB de CV –Class O | 9,992,552 | ||||||||
394,400 | Infraestructura Energetica Nova SAB de CV | 2,374,227 | ||||||||
|
| |||||||||
Total Mexico | 90,185,620 | |||||||||
|
| |||||||||
Nigeria — 0.0% | ||||||||||
590,100 | Nestle Nigeria Plc | 3,732,138 | ||||||||
|
| |||||||||
Norway — 0.1% | ||||||||||
434,279 | Telenor ASA | 9,975,885 | ||||||||
|
| |||||||||
Panama — 0.2% | ||||||||||
105,539 | Copa Holdings SA – Class A | 12,979,186 | ||||||||
|
| |||||||||
Peru — 0.6% | ||||||||||
1,616,671 | Companhia de Minas Buenaventura SA ADR | 23,538,730 | ||||||||
604,927 | Southern Copper Corp. | 19,847,655 | ||||||||
|
| |||||||||
Total Peru | 43,386,385 | |||||||||
|
| |||||||||
Philippines — 0.5% | ||||||||||
2,560,764 | BDO Unibank Inc | 5,315,062 | ||||||||
11,938,877 | First Gen Corp * | 6,599,450 | ||||||||
2,150,200 | GMA Holdings Inc | 340,299 | ||||||||
199,232 | GT Capital Holdings Inc | 4,297,390 | ||||||||
21,023,750 | Lopez Holding Corp | 2,700,786 | ||||||||
4,545,400 | Manila Water Co Inc | 3,128,534 | ||||||||
49,912 | Philippine Long Distance Telephone Co Sponsored ADR | 3,785,326 | ||||||||
4,953,888 | Puregold Price Club Inc | 4,113,741 | ||||||||
4,259,200 | Robinsons Retail Holdings Inc | 6,067,516 | ||||||||
314,765 | Semirara Mining & Power Corp | 2,923,849 | ||||||||
|
| |||||||||
Total Philippines | 39,271,953 | |||||||||
|
| |||||||||
Poland — 3.1% | ||||||||||
729,557 | Asseco Poland SA | 9,636,906 | ||||||||
137,145 | Bank Pekao SA | 7,734,186 | ||||||||
429,091 | Jastrzebska Spolka Weglowa SA * | 4,491,451 | ||||||||
291,818 | Jeronimo Martins SGPS SA | 3,957,960 | ||||||||
4,506,566 | KGHM Polska Miedz SA | 185,736,696 | ||||||||
4,272,561 | PGE SA | 29,099,073 | ||||||||
3,703,730 | Synthos SA | 5,330,597 | ||||||||
|
| |||||||||
Total Poland | 245,986,869 | |||||||||
|
|
14 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Qatar — 0.2% | ||||||||||
1,093,901 | Qatar Gas Transport Co Nakilat | 7,061,595 | ||||||||
131,007 | Qatar National Bank | 7,278,378 | ||||||||
|
| |||||||||
Total Qatar | 14,339,973 | |||||||||
|
| |||||||||
Russia — 9.1% | ||||||||||
847,563 | Aeroflot-Russian Airlines * | 1,072,160 | ||||||||
480,845 | Bashneft OAO – Class S | 25,198,778 | ||||||||
1,562,020 | CTC Media Inc | 14,183,142 | ||||||||
86,863 | Eurasia Drilling Co Ltd GDR | 2,513,010 | ||||||||
1,176,875 | Gazprom Neft – Class S * | 4,488,013 | ||||||||
770,500 | Gazprom Neft JSC Sponsored ADR | 14,858,639 | ||||||||
25,857,120 | Gazprom OAO Sponsored ADR | 184,911,402 | ||||||||
269,991 | Global Ports Investments Plc | 2,104,021 | ||||||||
348,171 | Globaltrans Investment Plc Sponsored GDR | 3,188,379 | ||||||||
38,142 | Lenta Ltd * | 434,502 | ||||||||
3,035,348 | Lukoil OAO Sponsored ADR | 169,009,193 | ||||||||
169,347 | Mail.ru Group Ltd GDR (Registered) * | 4,552,380 | ||||||||
144,358 | MegaFon OAO GDR | 4,085,682 | ||||||||
806,500 | Mobile Telesystems Sponsored ADR | 14,879,925 | ||||||||
508,014 | Moscow Exchange | 869,720 | ||||||||
25,548 | NovaTek OAO GDR | 2,571,159 | ||||||||
6,857,215 | Rosneft OJSC GDR (Registered) | 41,866,664 | ||||||||
9,083,018 | Sberbank Sponsored ADR | 74,174,386 | ||||||||
423,923 | Sistema JSFC Sponsored GDR (Registered) | 9,638,659 | ||||||||
12,294,421 | Surgutneftegas Sponsored ADR | 85,125,907 | ||||||||
1,198,431 | Tatneft Sponsored GDR | 44,513,220 | ||||||||
1,565,100 | VimpelCom Ltd Sponsored ADR | 13,334,652 | ||||||||
13,478 | Volga Gas Plc * | 26,271 | ||||||||
|
| |||||||||
Total Russia | 717,599,864 | |||||||||
|
| |||||||||
South Africa — 2.5% | ||||||||||
9,364,130 | African Bank Investments Ltd (c) | 878 | ||||||||
3,335,449 | Capital Property Fund (REIT) | 3,736,891 | ||||||||
689,517 | Coronation Fund Managers Ltd | 6,473,734 | ||||||||
511,229 | Discovery Ltd | 4,714,552 | ||||||||
1,445,051 | Investec Ltd | 13,042,623 | ||||||||
924,629 | Kumba Iron Ore Ltd | 27,717,770 | ||||||||
1,056,988 | Life Healthcare Group Holdings Ltd | 4,437,750 | ||||||||
2,006,827 | MTN Group Ltd | 45,395,298 | ||||||||
419,614 | Naspers Ltd-N Shares | 53,522,616 | ||||||||
5,341,786 | Telkom South Africa Ltd * | 28,627,414 | ||||||||
201,082 | Vodacom Group Ltd | 2,425,129 | ||||||||
490,595 | Wilson Bayly Holmes-Ovcon Ltd | 6,379,484 | ||||||||
|
| |||||||||
Total South Africa | 196,474,139 | |||||||||
|
| |||||||||
South Korea — 10.7% | ||||||||||
359,480 | DGB Financial Group Inc | 6,278,578 | ||||||||
109,568 | Dongbu Insurance Co Ltd | 6,615,564 | ||||||||
97,902 | GS Holdings | 4,157,948 |
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
797,887 | Hana Financial Group Inc | 33,509,760 | ||||||||
599,791 | Hankook Tire WorldwideCo Ltd | 12,931,303 | ||||||||
586,117 | Hanwha Corp | 17,494,720 | ||||||||
107,024 | Hyundai Marine & Fire Insurance Co Ltd | 3,288,398 | ||||||||
191,881 | Hyundai Mobis | 55,662,812 | ||||||||
122,879 | Hyundai Motor Co | 28,247,358 | ||||||||
578,950 | Iljin Holdings Co Ltd | 3,753,406 | ||||||||
2,521,532 | Industrial Bank of Korea | 43,800,096 | ||||||||
1,423,294 | Kia Motors Corp | 85,949,660 | ||||||||
89,713 | Kolon Industries Inc | 5,322,607 | ||||||||
4,402 | Korea Zinc Co Ltd | 1,826,333 | ||||||||
812,311 | KT Corp | 28,068,968 | ||||||||
1,204,200 | KT Corp Sponsored ADR | 20,591,820 | ||||||||
13,417 | Kwangju Bank * | 150,277 | ||||||||
11,722 | Kyongnam Bank * | 157,318 | ||||||||
119,791 | LIG Insurance Co Ltd | 3,574,024 | ||||||||
492,821 | Magnachip Semiconductor Corp * | 6,076,483 | ||||||||
71,014 | S-Oil Corp | 3,281,299 | ||||||||
21,237 | Samsung Electronics Co Ltd GDR (Registered) | 12,939,458 | ||||||||
151,624 | Samsung Engineering Co Ltd * | 9,562,152 | ||||||||
202,178 | Samsung Electronics Co Ltd | 246,170,213 | ||||||||
18,279 | SFA Engineering Corp | 793,800 | ||||||||
672,921 | SK Innovation Co Ltd | 62,493,102 | ||||||||
182,655 | SK Telecom Co Ltd | 49,358,534 | ||||||||
1,577,100 | SK Telecom Co Ltd ADR | 47,186,832 | ||||||||
2,218,430 | Tong Yang Securities Inc * | 6,602,652 | ||||||||
2,951,925 | Woori Finance Holdings Co Ltd * | 40,067,123 | ||||||||
|
| |||||||||
Total South Korea | 845,912,598 | |||||||||
|
| |||||||||
Sri Lanka — 0.0% | ||||||||||
43,935,867 | Anilana Hotels & Properties Ltd * (b) | 2,158,687 | ||||||||
|
| |||||||||
Switzerland — 0.1% | ||||||||||
51,886 | Holcim Ltd (Registered) | 4,129,693 | ||||||||
|
| |||||||||
Taiwan — 10.1% | ||||||||||
1,242,933 | Advantech Co Ltd | 11,674,765 | ||||||||
5,317,940 | AmTRAN Technology Co Ltd | 3,433,247 | ||||||||
7,620,920 | Asustek Computer Inc | 79,750,313 | ||||||||
507,350 | Catcher Technology Co Ltd * | 5,146,337 | ||||||||
4,651,000 | China Man-Made Fiber Corp * | 1,474,652 | ||||||||
13,310,630 | China Petrochemical Development Corp * | 4,746,880 | ||||||||
3,035,800 | Chong Hong Construction Co Ltd * | 8,270,593 | ||||||||
7,328,529 | Chunghwa Telecom Co Ltd | 22,830,943 | ||||||||
87,849,111 | Compal Electronics Inc | 78,083,774 | ||||||||
982,590 | Delta Electronics Inc | 6,908,726 | ||||||||
32,311,374 | E.Sun Financial Holding Co Ltd | 21,256,956 | ||||||||
4,272,084 | Far EasTone Telecommunications Co Ltd | 9,099,110 | ||||||||
6,630,256 | Foxconn Technology Co Ltd | 16,645,064 |
See accompanying notes to the financial statements. | 15 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
547,410 | Giant Manufacturing Co Ltd | 4,555,152 | ||||||||
6,073,965 | Highwealth Construction Corp | 10,758,127 | ||||||||
33,988,143 | Hon Hai Precision Industry Co Ltd | 116,256,524 | ||||||||
6,601,000 | HTC Corp * | 30,391,774 | ||||||||
19,684,827 | Lite-On Technology Corp | 32,646,834 | ||||||||
1,488,748 | Makalot Industrial Co Ltd | 7,351,305 | ||||||||
273,030 | MediaTek Inc | 4,563,091 | ||||||||
7,187,040 | Mega Financial Holding Co Ltd | 6,201,330 | ||||||||
617,810 | Novatek Microelectronics Corp Ltd | 3,171,989 | ||||||||
9,650,470 | Pegatron Corp | 20,463,386 | ||||||||
942,680 | Phison Electronics Corp | 6,824,992 | ||||||||
16,595,811 | Powertech Technology Inc | 31,456,241 | ||||||||
22,791,150 | Quanta Computer Inc | 64,365,456 | ||||||||
8,094,870 | Radiant Opto-Electronics Corp | 34,965,426 | ||||||||
3,345,720 | Realtek Semiconductor Corp | 12,196,428 | ||||||||
2,243,880 | Simplo Technology Co Ltd | 12,603,948 | ||||||||
913,060 | Synnex Technology International Corp | 1,393,508 | ||||||||
11,737,680 | Taishin Financial Holding Co Ltd | 5,967,972 | ||||||||
567,286 | Taiwan Mobile Co Ltd | 1,807,863 | ||||||||
2,397,152 | Taiwan Surface Mounting Technology Corp | 3,811,390 | ||||||||
4,492,830 | TPK Holding Co Ltd | 30,537,546 | ||||||||
2,791,160 | Tripod Technology Corp | 5,673,510 | ||||||||
2,680,060 | Unimicron Technology Corp | 2,264,568 | ||||||||
54,820,205 | Wistron Corp | 64,235,265 | ||||||||
206,513 | Wowprime Corp | 2,513,450 | ||||||||
2,659,050 | WPG Holdings Co Ltd | 3,465,348 | ||||||||
2,526,670 | Yungtay Engineering Co Ltd | 6,260,546 | ||||||||
|
| |||||||||
Total Taiwan | 796,024,329 | |||||||||
|
| |||||||||
Thailand — 3.8% | ||||||||||
891,924 | Advanced Info Service Pcl (Foreign Registered) | 5,840,122 | ||||||||
341,000 | Airports of Thailand Pcl (Foreign Registered) | 2,530,875 | ||||||||
17,137,266 | Bangchak Petroleum Pcl (Foreign Registered) | 18,389,065 | ||||||||
55,500 | Bangkok Bank Pcl NVDR | 356,203 | ||||||||
38,385,160 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 23,441,040 | ||||||||
231,100 | Bangkok Life Assurance Pcl NVDR | 607,712 | ||||||||
61,220,743 | Banpu Pcl (Foreign Registered) | 61,918,029 | ||||||||
439,300 | Chularat Hospital Pcl (Foreign Registered) | 243,555 | ||||||||
4,914,071 | Electricity Generating Pcl (Foreign Registered) | 26,243,472 | ||||||||
4,622,601 | Glow Energy Pcl (Foreign Registered) | 12,686,108 | ||||||||
3,482,351 | Intouch Holdings Pcl (Foreign Registered) (a) | 7,550,884 | ||||||||
1,498,118 | PTT Exploration & Production Pcl (Foreign Registered) | 7,714,974 | ||||||||
7,158,734 | PTT Pcl (Foreign Registered) | 71,984,455 |
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
5,325,702 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a) | 9,717,464 | ||||||||
10,046,250 | Saha Pathana Inter-Holding Pcl (Foreign Registered) | 8,021,227 | ||||||||
128,608,517 | Sansiri Pcl (Foreign Registered) | 8,383,874 | ||||||||
12,212,183 | Thai Oil Pcl (Foreign Registered) | 19,793,715 | ||||||||
1,277,600 | Tisco Financial Group Pcl (Foreign Registered) | 1,760,253 | ||||||||
32,890,750 | TTW Pcl (Foreign Registered) | 12,880,976 | ||||||||
7,374,934 | VGI Global Media Pcl (Foreign Registered) | 3,071,641 | ||||||||
|
| |||||||||
Total Thailand | 303,135,644 | |||||||||
|
| |||||||||
Turkey — 3.5% | ||||||||||
5,612,755 | Akbank TAS | 21,397,546 | ||||||||
20,964,850 | Asya Katilim Bankasi AS * | 12,027,025 | ||||||||
1,692,710 | Aygaz AS | 7,518,485 | ||||||||
1,750,814 | Dogus Otomotiv Servis ve Ticaret AS | 7,092,997 | ||||||||
12,169,021 | EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 11,708,310 | ||||||||
8,240,735 | Emlak Konut Gayrimenkul Yatirim (REIT) | 10,353,642 | ||||||||
4,681,431 | Gubre Fabrikalari TAS | 9,424,776 | ||||||||
742,290 | Haci Omer Sabanci Holding AS | 3,436,182 | ||||||||
5,073,401 | Ipek Dogal Enerji Kaynaklari Ve Uretim AS * | 5,227,089 | ||||||||
1,103,125 | Koza Altin Isletmeleri AS | 11,846,313 | ||||||||
10,623,874 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 11,097,616 | ||||||||
217,001 | Pegasus Hava Tasimaciligi AS * | 2,699,981 | ||||||||
8,649,296 | Tekfen Holding AS * | 21,735,243 | ||||||||
343,507 | Tupras-Turkiye Petrol Rafineriler AS | 8,065,391 | ||||||||
7,836,077 | Turk Telekomunikasyon AS | 22,693,808 | ||||||||
199,036 | Turk Traktor ve Ziraat Makineleri AS | 6,761,318 | ||||||||
4,277,595 | Turkcell Iletisim Hizmetleri AS * | 25,098,236 | ||||||||
61,700 | Turkcell Iletisim Hizmetleri AS ADR * | 910,692 | ||||||||
2,012,118 | Turkiye Garanti Bankasi AS | 7,880,476 | ||||||||
16,374,332 | Turkiye IS Bankasi – Class C | 42,283,676 | ||||||||
2,873,154 | Turkiye Vakiflar Bankasi TAO – Class D | 6,619,351 | ||||||||
345,245 | Turkiye Halk Bankasi AS | 2,532,453 | ||||||||
272,749 | Ulker Biskuvi Sanayi AS | 2,017,563 | ||||||||
7,842,144 | Yapi ve Kredi Bankasi AS | 17,457,523 | ||||||||
|
| |||||||||
Total Turkey | 277,885,692 | |||||||||
|
| |||||||||
United Arab Emirates — 0.1% | ||||||||||
236,372 | Al Noor Hospitals Group Plc | 4,467,351 | ||||||||
20,731,176 | Dana Gas PJSC * | 3,956,553 | ||||||||
3,401,294 | Eshraq Properties Co PJSC * | 1,260,564 | ||||||||
|
| |||||||||
Total United Arab Emirates | 9,684,468 | |||||||||
|
|
16 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — 0.4% | ||||||||||
225,415 | British American Tobacco Plc | 13,327,277 | ||||||||
10,277 | British American Tobacco Plc Sponsored ADR | 1,217,002 | ||||||||
47,000 | Unilever Plc Sponsored ADR | 2,070,820 | ||||||||
327,619 | Unilever Plc | 14,451,302 | ||||||||
|
| |||||||||
Total United Kingdom | 31,066,401 | |||||||||
|
| |||||||||
United States — 0.5% | ||||||||||
352,924 | Colgate-Palmolive Co. | 22,844,771 | ||||||||
12,197 | Tupperware Brands Corp. | 893,552 | ||||||||
201,956 | Yum! Brands, Inc. | 14,627,673 | ||||||||
|
| |||||||||
Total United States | 38,365,996 | |||||||||
|
| |||||||||
Vietnam — 0.0% | ||||||||||
568,188 | Viet Nam Dairy Products JSC | 2,975,142 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $6,507,647,549) | 6,716,914,104 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 11.3% | ||||||||||
Brazil — 6.9% | ||||||||||
3,333,900 | AES Tiete SA | 29,965,632 | ||||||||
138,600 | Banco Bradesco SA | 2,528,668 | ||||||||
2,930,600 | Banco do Estado do Rio Grande do Sul SA – Class B | 20,226,835 | ||||||||
1,227,648 | Bradespar SA | 11,215,279 | ||||||||
946,320 | Companhia de Transmissao de Energia Eletrica Paulista | 13,785,792 | ||||||||
6,680,120 | Companhia Energetica de Minas Gerais Sponsored ADR | 57,382,231 | ||||||||
1,134,000 | Companhia Energetica de Sao Paulo –Class B | 16,053,813 | ||||||||
1,030,600 | Companhia Paranaense de Energia –Class B | 18,259,368 | ||||||||
914,600 | Companhia Paranaense de Energia Sponsored ADR | 16,279,880 | ||||||||
8,055,423 | Companhia Energetica de Minas Gerais | 68,948,807 | ||||||||
4,258,700 | Eletropaulo Metropolitana SA | 19,595,537 | ||||||||
1,981,416 | Gerdau SA | 11,471,589 | ||||||||
2,248,788 | Gerdau SA Sponsored ADR | 13,020,482 | ||||||||
652,187 | Gol Linhas Aereas Inteligentes SA * | 4,041,025 | ||||||||
807,321 | Gol Linhas Aereas Inteligentes SA ADR | 4,965,024 | ||||||||
360,473 | Itau Unibanco Holding SA ADR | 6,488,514 | ||||||||
11,585,269 | Itausa-Investimentos Itau SA | 56,412,523 | ||||||||
4,109,781 | Metalurgica Gerdau SA | 29,118,216 | ||||||||
19,050,616 | Oi SA | 12,340,135 | ||||||||
1,437,603 | Oi SA ADR | 963,194 | ||||||||
1,950,000 | Telefonica Brasil SA | 41,683,047 | ||||||||
3,315,230 | Telefonica Brasil SA ADR | 70,945,922 | ||||||||
716,400 | Tim Participacoes SA ADR | 20,044,872 | ||||||||
|
| |||||||||
Total Brazil | 545,736,385 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Russia — 3.1% | ||||||||||
26,390,687 | Sberbank * | 39,224,478 | ||||||||
149,945,823 | Surgutneftegaz OJSC * | 110,318,141 | ||||||||
12,100 | Surgutneftegaz Sponsored ADR | 87,120 | ||||||||
43,420 | Transneft * | 95,403,601 | ||||||||
|
| |||||||||
Total Russia | 245,033,340 | |||||||||
|
| |||||||||
South Korea — 1.3% | ||||||||||
231,360 | Hyundai Motor Co | 35,836,564 | ||||||||
115,292 | Hyundai Motor Co | 17,063,142 | ||||||||
48,589 | Samsung Electronics Co Ltd (Non-Voting) | 48,929,523 | ||||||||
713 | Samsung Electronics Co Ltd GDR | 354,685 | ||||||||
|
| |||||||||
Total South Korea | 102,183,914 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $770,572,849) | 892,953,639 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 2.3% | ||||||||||
China — 0.0% | ||||||||||
245,374 | The China A Share Fund Ltd –Class S2 * (c) (d) | 2,285,902 | ||||||||
|
| |||||||||
India — 0.1% | ||||||||||
10,189 | Fire Capital Mauritius Private Fund * (c) (d) | 8,101,470 | ||||||||
1,371,900 | TDA India Technology Fund II LP * (c) (d) | 458,139 | ||||||||
|
| |||||||||
Total India | 8,559,609 | |||||||||
|
| |||||||||
Poland — 0.0% | ||||||||||
1,749,150 | Templeton EE FD * (c) (d) | 199,562 | ||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
5,452,004 | NCH Eagle Fund LP * (c) (d) | 3,015,291 | ||||||||
2,769 | Steep Rock Russia Fund LP * (c) (d) | 2,828,583 | ||||||||
|
| |||||||||
Total Russia | 5,843,874 | |||||||||
|
| |||||||||
Thailand — 0.4% | ||||||||||
29,537,975 | BTS Rail Mass Transit Growth Infrastructure Fund | 9,526,591 | ||||||||
3,188,962 | CPN Commercial Growth Leasehold Property Fund | 1,078,685 | ||||||||
2,666,100 | TICON Industrial Growth Leasehold Property Fund | 867,876 | ||||||||
55,402,600 | TRUE Telecommunication Growth Infrastructure Fund | 17,694,629 | ||||||||
|
| |||||||||
Total Thailand | 29,167,781 | |||||||||
|
| |||||||||
United States — 1.7% | ||||||||||
3,035,450 | iShares MSCI Emerging Markets ETF | 136,777,377 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $186,312,511) | 182,834,105 | |||||||||
|
|
See accompanying notes to the financial statements. | 17 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value / Shares | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Thailand — 0.0% | ||||||||||
2,053,983 | VGI Global Media PCL Warrants, Expires 08/01/18 * | 160,769 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 160,769 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.6% | ||||||||||
United States — 0.6% | ||||||||||
Affiliated Issuers | ||||||||||
1,821,645 | GMO U.S. Treasury Fund | 45,541,125 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $45,541,125) | 45,541,125 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Time Deposits — 0.2% | ||||||||||
HKD | 28,016,610 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/02/14 | 3,615,023 |
Par Value | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
ZAR | 15,596,151 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.20%, due 09/02/14 | 1,462,196 | |||||||
USD | 6,458,992 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 6,458,992 | |||||||
|
| |||||||||
Total Time Deposits | 11,536,211 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $11,536,211) | 11,536,211 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.4% (Cost $7,521,610,245) | 7,849,939,953 | |||||||||
Other Assets and Liabilities (net) — 0.6% | 50,061,536 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $7,900,001,489 | |||||||||
|
|
Additional information on each restricted security is as follows:
Issuer Description | Acquisition Date | Acquisition Cost | Value as a Percentage of Fund’s Net Assets | Value as of August 31, 2014 | ||||||||
The China A Share Fund Ltd – Class S2 | 4/23/10 | $ | 2,453,738 | 0.03% | $ | 2,285,902 | ||||||
Fire Capital Mauritius Private Fund | 12/12/06-10/26/09 | 10,189,080 | 0.10% | 8,101,470 | ||||||||
NCH Eagle Fund LP | 4/6/09 | 5,452,004 | 0.04% | 3,015,291 | ||||||||
Steep Rock Russia Fund LP | 12/22/06-5/13/09 | 2,250,000 | 0.04% | 2,828,583 | ||||||||
TDA India Technology Fund II LP | 2/23/00-3/23/04 | — | 0.01% | 458,139 | ||||||||
Templeton EE FD | 12/05/97-6/24/02 | 471,720 | 0.00% | 199,562 | ||||||||
|
| |||||||||||
$ | 16,888,947 | |||||||||||
|
|
18 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Swap Contracts
Total Return Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund (Pays)/Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
6,868,000 | USD | 11/5/2014 | CSI | Depreciation of Total Return on Acer Inc + (3 Month BBA USD LIBOR minus 4.00%) | Appreciation of Total Return on Acer Inc | $ | 184,017 | |||||||||||
4,944,000 | USD | 11/25/2014 | CSI | Depreciation of Total Return on Acer Inc + (3 Month BBA USD LIBOR minus 4.00%) | Appreciation of Total Return on Acer Inc | 23,778 | ||||||||||||
34,350,400 | USD | 9/16/2014 | CSI | Depreciation of Total Return on Astra International + (3 Month BBA USD LIBOR minus 4.00%) | Appreciation of Total Return on Astra International | 2,163,168 | ||||||||||||
27,488,182 | USD | 9/8/2014 | MSCI | Depreciation of Total Return on Asustek Computer + (Monthly Fed Funds Rate minus 1.00%) | Appreciation of Total Return on Asustek Computer | 1,698,792 | ||||||||||||
2,222,950 | USD | 9/10/2014 | CSI | Depreciation of Total Return on HTC Corp + (3 Month BBA USD LIBOR minus 4.00%) | Appreciation of Total Return on HTC Corp | (86,900 | ) | |||||||||||
1,866,840 | USD | 9/10/2014 | CSI | Depreciation of Total Return on HTC Corp + (3 Month BBA USD LIBOR minus 4.00%) | Appreciation of Total Return on HTC Corp | (10,729 | ) | |||||||||||
6,349,755 | USD | 9/10/2014 | CSI | Depreciation of Total Return on HTC Corp + (3 Month BBA USD LIBOR minus 4.00%) | Appreciation of Total Return on HTC Corp | (103,414 | ) | |||||||||||
15,045,100 | USD | 11/20/2014 | CSI | Depreciation of Total Return on HTC Corp + (3 Month BBA USD LIBOR minus 3.00%) | Appreciation of Total Return on HTC Corp | 1,068,620 | ||||||||||||
|
| |||||||||||||||||
$ | 4,937,332 | |||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
|
|
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | Affiliated company (Note 10). |
(c) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
(d) | Private placement securities are restricted as to resale. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 22.
See accompanying notes to the financial statements. | 19 |
(A Series of GMO Trust)
Investme nt Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 96.5 | % | ||
Investment Funds | 0.9 | |||
Mutual Funds | 0.5 | |||
Short-Term Investments | 0.1 | |||
Other | 2.0 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Sector Summary | % of Equity Investments* | |||
Electronic Equipment, Instruments & Components | 29.6 | % | ||
Technology Hardware, Storage & Peripherals | 22.5 | |||
Semiconductors & Semiconductor Equipment | 18.9 | |||
Banks | 7.1 | |||
Real Estate Management & Development | 4.4 | |||
Diversified Telecommunication Services | 3.7 | |||
Wireless Telecommunication Services | 3.3 | |||
Chemicals | 2.7 | |||
Textiles, Apparel & Luxury Goods | 2.0 | |||
Machinery | 1.7 | |||
Leisure Products | 1.6 | |||
Household Durables | 1.3 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
|
| |||
100.0 | % | |||
|
|
* | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments. |
20
GMO Taiwan Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.5% | ||||||||||
Taiwan — 96.5% | ||||||||||
3,225,000 | AmTRAN Technology Co Ltd | 2,082,051 | ||||||||
1,503,323 | Asustek Computer Inc | 15,731,759 | ||||||||
448 | Catcher Technology Co Ltd * | 4,544 | ||||||||
5,809,000 | China Man-Made Fiber Corp * | 1,841,809 | ||||||||
7,035,000 | China Petrochemical Development Corp * | 2,508,845 | ||||||||
1,189,163 | Chong Hong Construction Co Ltd * | 3,239,700 | ||||||||
1,921,132 | Chunghwa Telecom Co Ltd | 5,985,001 | ||||||||
9,387,486 | Compal Electronics Inc | 8,343,970 | ||||||||
421,000 | Delta Electronics Inc | 2,960,109 | ||||||||
8,831,247 | E.Sun Financial Holding Co Ltd | 5,809,887 | ||||||||
1,572,767 | Far EasTone Telecommunications Co Ltd | 3,349,836 | ||||||||
840 | Foxconn Technology Co Ltd | 2,109 | ||||||||
306,000 | Giant Manufacturing Co Ltd | 2,546,312 | ||||||||
2,195,325 | Highwealth Construction Corp | 3,888,331 | ||||||||
6,971,060 | Hon Hai Precision Industry Co Ltd | 23,844,527 | ||||||||
418,028 | HTC Corp * | 1,924,650 | ||||||||
259 | Lite-On Technology Corp | 430 | ||||||||
606,037 | Makalot Industrial Co Ltd | 2,992,557 | ||||||||
150,596 | MediaTek Inc | 2,516,878 | ||||||||
3,237,609 | Mega Financial Holding Co Ltd | 2,793,568 | ||||||||
440,995 | Novatek Microelectronics Corp Ltd | 2,264,177 | ||||||||
2,000 | Pegatron Corp | 4,241 | ||||||||
406,000 | Phison Electronics Corp | 2,939,435 | ||||||||
4,088,475 | Powertech Technology Inc | 7,749,429 | ||||||||
1,999,856 | Quanta Computer Inc | 5,647,878 | ||||||||
1,932,670 | Radiant Opto-Electronics Corp | 8,348,081 | ||||||||
1,126,870 | Realtek Semiconductor Corp | 4,107,872 | ||||||||
723,000 | Simplo Technology Co Ltd | 4,061,115 | ||||||||
1,241,000 | Synnex Technology International Corp | 1,894,009 | ||||||||
5,594,684 | Taishin Financial Holding Co Ltd | 2,844,593 | ||||||||
630,158 | Taiwan Mobile Co Ltd | 2,008,227 | ||||||||
1,577,640 | Taiwan Surface Mounting Technology Corp | 2,508,394 | ||||||||
1,122,358 | TPK Holding Co Ltd | 7,628,612 | ||||||||
1,371,000 | Tripod Technology Corp | 2,786,792 | ||||||||
2,536,000 | Unimicron Technology Corp | 2,142,841 | ||||||||
3,861,418 | Wistron Corp | 4,524,595 | ||||||||
157,662 | Wowprime Corp | 1,918,889 | ||||||||
1,793,000 | WPG Holdings Co Ltd | 2,336,687 | ||||||||
1,135,152 | Yungtay Engineering Co Ltd | 2,812,663 | ||||||||
|
| |||||||||
Total Taiwan | 160,895,403 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $138,344,846) | 160,895,403 | |||||||||
|
|
Shares / Par Value | Description | Value ($) | ||||||||
INVESTMENT FUNDS — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
90,409 | iShares MSCI Taiwan ETF | 1,492,652 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $1,485,233) | 1,492,652 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.5% | ||||||||||
United States — 0.5% | ||||||||||
Affiliated Issuers | ||||||||||
32,384 | GMO U.S. Treasury Fund | 809,607 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $809,607) | 809,607 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Time Deposit — 0.1% | ||||||||||
USD | 140,125 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 140,125 | |||||||
|
| |||||||||
Total Time Deposits | 140,125 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $140,125) | 140,125 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.0% (Cost $140,779,811) | 163,337,787 | |||||||||
Other Assets and Liabilities (net) — 2.0% | 3,267,279 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $166,605,066 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 22.
See accompanying notes to the financial statements. | 21 |
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Portfolio Abbreviations:
ADR - American Depositary Receipt
BBA - British Banks Association
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
ETF - Exchange-Traded Fund
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depository Receipt
NVDR - Non-Voting Depository Receipt
OJSC - Open Joint-Stock Company
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
Counterparty Abbreviations:
CSI - Credit Suisse International
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
GBP - British Pound
HKD - Hong Kong Dollar
USD - United States Dollar
ZAR - South African Rand
22 | See accompanying notes to the financial statements. |
Statements of Assets and Liabilities — August 31, 2014 (Unaudited)
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||||||||||
Assets: |
| |||||||||||||||
Investments in unaffiliated issuers, at value (Note 2)(a) | $ | 57,974,476 | $ | 2,757,947,374 | $ | 7,799,805,810 | $ | 162,528,180 | ||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(b) | 266,167 | 67,218,668 | 50,134,143 | 809,607 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 134,173 | 8,051,728 | 31,835,636 | 1,603,660 | ||||||||||||
Receivable for investments sold | 58,325 | 43,621,105 | 9,878,518 | — | ||||||||||||
Cash | — | — | 2,092,467 | — | ||||||||||||
Receivable for Fund shares sold | 12,584 | — | — | — | ||||||||||||
Dividends receivable | 184,577 | 6,906,188 | 33,833,966 | 2,718,988 | ||||||||||||
Foreign taxes receivable | 238,323 | — | — | — | ||||||||||||
Receivable for foreign currency sold | 16 | 42,263 | — | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 5,138,375 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 10,505 | 21,266 | 223,857 | — | ||||||||||||
Miscellaneous receivable | 1,114 | 329,107 | 588,616 | 34 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 58,880,260 | 2,884,137,699 | 7,933,531,388 | 167,660,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Foreign taxes payable | — | 5,638,153 | 1,502,980 | — | ||||||||||||
Payable for investments purchased | 38,550 | 85,396,278 | 16,597,365 | 772,384 | ||||||||||||
Payable for Fund shares repurchased | 3,710 | 300,000 | 6,006,530 | — | ||||||||||||
Accrued capital gain taxes payable (Note 2) | — | — | 286,379 | — | ||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||
Management fee | 31,860 | 1,762,129 | 4,973,720 | 110,099 | ||||||||||||
Shareholder service fee | 7,355 | 302,854 | 618,745 | 20,390 | ||||||||||||
Payable for foreign currency purchased | — | — | 1,340 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 201,043 | — | ||||||||||||
Miscellaneous payable | — | — | 1,082,729 | — | ||||||||||||
Payable to agents unaffiliated with the Manager | 5 | 279 | 899 | 31 | ||||||||||||
Payable to Trustees and related expenses | — | 609 | 2,271 | 31 | ||||||||||||
Accrued expenses | 212,549 | 697,534 | 2,255,898 | 152,468 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 294,029 | 94,097,836 | 33,529,899 | 1,055,403 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 58,586,231 | $ | 2,790,039,863 | $ | 7,900,001,489 | $ | 166,605,066 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – unaffiliated issuers: | $ | 56,339,020 | $ | 2,625,497,439 | $ | 7,471,521,766 | $ | 139,970,204 | ||||||||
(b) Cost of investments – affiliated issuers: | $ | 266,167 | $ | 67,218,668 | $ | 50,088,479 | $ | 809,607 | ||||||||
(c) Cost of foreign currency: | $ | 134,704 | $ | 8,054,723 | $ | 31,766,994 | $ | 1,600,311 |
See accompanying notes to the financial statements. | 23 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 74,283,897 | $ | 2,674,137,002 | $ | 8,230,103,429 | $ | 141,780,080 | ||||||||
Accumulated undistributed net investment income | 889,359 | 27,705,251 | 167,999,579 | 3,383,991 | ||||||||||||
Accumulated net realized loss | (18,219,466 | ) | (37,881,755 | ) | (827,393,125 | ) | (1,128,828 | ) | ||||||||
Net unrealized appreciation | 1,632,441 | 126,079,365 | 329,291,606 | 22,569,823 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 58,586,231 | $ | 2,790,039,863 | $ | 7,900,001,489 | $ | 166,605,066 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class II shares | $ | — | $ | 712,906,257 | $ | 1,268,325,841 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III shares | $ | 58,586,231 | $ | 472,782,745 | $ | 394,947,768 | $ | 166,605,066 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV shares | $ | — | $ | 733,307,455 | $ | 879,886,708 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V shares | $ | — | $ | 252,836,365 | $ | 395,007,102 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI shares | $ | — | $ | 618,207,041 | $ | 4,961,834,070 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class II | — | 29,719,643 | 108,524,199 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 5,588,500 | 19,713,746 | 33,684,951 | 6,666,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | 30,553,993 | 75,668,011 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | 10,541,325 | 34,026,940 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 25,696,406 | 426,540,800 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class II | $ | — | $ | 23.99 | $ | 11.69 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 10.48 | $ | 23.98 | $ | 11.72 | $ | 24.99 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 24.00 | $ | 11.63 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | 23.99 | $ | 11.61 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 24.06 | $ | 11.63 | $ | — | ||||||||
|
|
|
|
|
|
|
|
24 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited)
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||||||||||
Investment Income: |
| |||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | $ | 1,427,788 | $ | 42,541,823 | $ | 214,789,141 | $ | 4,872,702 | ||||||||
Dividends from affiliated issuers (Note 10) | 91 | 18,166 | 13,555 | 372 | ||||||||||||
Interest | 112 | 10,671 | 36,970 | 94 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,427,991 | 42,570,660 | 214,839,666 | 4,873,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 189,753 | 10,035,195 | 30,602,248 | 648,613 | ||||||||||||
Shareholder service fee – Class II (Note 5) | — | 826,805 | 1,407,135 | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 39,528 | 281,599 | 284,514 | 120,114 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 369,943 | 439,787 | — | ||||||||||||
Shareholder service fee – Class V (Note 5) | — | 105,652 | 167,490 | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 163,739 | 1,449,319 | — | ||||||||||||
12b-1 fee – Class M (Note 5) | 7,102 | — | — | — | ||||||||||||
Administration fee – Class M (Note 5) | 5,682 | — | — | — | ||||||||||||
Audit and tax fees | 67,344 | 63,848 | 126,960 | 45,149 | ||||||||||||
Custodian and fund accounting agent fees | 114,356 | 1,162,052 | 4,092,804 | 162,380 | ||||||||||||
Legal fees | 3,588 | 25,024 | 90,833 | 4,232 | ||||||||||||
Registration fees | 18,397 | 36,243 | 24,300 | 4,427 | ||||||||||||
Transfer agent fees | 21,160 | 35,696 | 39,836 | 13,892 | ||||||||||||
Trustees fees and related expenses (Note 5) | 288 | 13,885 | 42,817 | 840 | ||||||||||||
Miscellaneous | 21,491 | 25,702 | 47,131 | 7,438 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 488,689 | 13,145,383 | 38,815,174 | 1,007,085 | ||||||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (110,413 | ) | (150,783 | ) | (1,398,254 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 378,276 | 12,994,600 | 37,416,920 | 1,007,085 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 1,049,715 | 29,576,060 | 177,422,746 | 3,866,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b) | (967,270 | ) | 24,080,547 | (142,359,262 | ) | 3,834,041 | ||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 16 | 2,438 | 1,481 | 41 | ||||||||||||
Swap contracts | — | (6,440,778 | ) | 10,719,124 | — | |||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (4,718 | ) | (2,998,087 | ) | (1,977,505 | ) | (62,985 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (971,972 | ) | 14,644,120 | (133,616,162 | ) | 3,771,097 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(c) | 7,592,564 | 133,631,643 | 1,054,157,286 | 18,220,362 | ||||||||||||
Investments in affiliated issuers | — | — | 1,164,543 | — | ||||||||||||
Swap contracts | — | 1,175,585 | 248,431 | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (885 | ) | (128,196 | ) | 76,281 | 11,852 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized gain (loss) | 7,591,679 | 134,679,032 | 1,055,646,541 | 18,232,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 6,619,707 | 149,323,152 | 922,030,379 | 22,003,311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 7,669,422 | $ | 178,899,212 | $ | 1,099,453,125 | $ | 25,869,394 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 211,922 | $ | 3,978,575 | $ | 30,509,096 | $ | 1,005,898 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | (3,360 | ) | $ | 2,243,864 | $ | (44,640 | ) | $ | — | ||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | 6,238,089 | $ | 4,282,945 | $ | — |
See accompanying notes to the financial statements. | 25 |
GMO Trust Funds
Statements of Changes in Net Assets
Emerging Countries Fund | Emerging Domestic Opportunities Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,049,715 | $ | 2,346,892 | $ | 29,576,060 | $ | 28,371,802 | ||||||||
Net realized gain (loss) | (971,972 | ) | (9,670,079 | ) | 14,644,120 | 22,565,887 | ||||||||||
Change in net unrealized appreciation (depreciation) | 7,591,679 | (7,995,674 | ) | 134,679,032 | (177,699,660 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 7,669,422 | (15,318,861 | ) | 178,899,212 | (126,761,971 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | — | — | (671,793 | ) | (7,193,528 | ) | ||||||||||
Class III | (134,634 | ) | (1,870,826 | ) | (345,712 | ) | (4,823,231 | ) | ||||||||
Class IV | — | — | (845,281 | ) | (10,524,830 | ) | ||||||||||
Class V | — | — | (307,474 | ) | (3,464,111 | ) | ||||||||||
Class VI | — | — | (828,607 | ) | (7,836,385 | ) | ||||||||||
Class M* | — | (399,599 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (134,634 | ) | (2,270,425 | ) | (2,998,867 | ) | (33,842,085 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class II | — | — | (5,462,117 | ) | (17,721,928 | ) | ||||||||||
Class III | — | — | (2,421,478 | ) | (11,411,876 | ) | ||||||||||
Class IV | — | — | (4,973,323 | ) | (25,087,193 | ) | ||||||||||
Class V | — | — | (1,692,156 | ) | (4,557,455 | ) | ||||||||||
Class VI | — | — | (4,125,188 | ) | (19,420,096 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | (18,674,262 | ) | (78,198,548 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | — | — | 45,137,261 | 320,468,349 | ||||||||||||
Class III | 5,664,203 | (73,105,494 | ) | 67,561,736 | 312,474,624 | |||||||||||
Class IV | — | — | 32,494,606 | 211,777,599 | ||||||||||||
Class V | — | — | 1,999,630 | 256,021,566 | ||||||||||||
Class VI | — | — | 36,481,574 | (53,688,301 | ) | |||||||||||
Class M* | (17,480,069 | ) | 2,766,901 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (11,815,866 | ) | (70,338,593 | ) | 183,674,807 | 1,047,053,837 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class II | — | — | 471,666 | 2,080,689 | ||||||||||||
Class III | — | — | 222,439 | 1,306,739 | ||||||||||||
Class IV | — | — | 430,554 | 3,147,691 | ||||||||||||
Class V | — | — | 151,664 | 218,188 | ||||||||||||
Class VI | — | — | 362,749 | 2,783,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 1,639,072 | 9,536,831 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (11,815,866 | ) | (70,338,593 | ) | 185,313,879 | 1,056,590,668 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (4,281,078 | ) | (87,927,879 | ) | 342,539,962 | 817,788,064 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 62,867,309 | 150,795,188 | 2,447,499,901 | 1,629,711,837 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 58,586,231 | $ | 62,867,309 | $ | 2,790,039,863 | $ | 2,447,499,901 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 889,359 | $ | — | $ | 27,705,251 | $ | 1,128,058 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (25,722 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
* | Class M in liquidated on May 2, 2014. |
26 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Markets Fund | Taiwan Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 177,422,746 | $ | 216,172,590 | $ | 3,866,083 | $ | 897,478 | ||||||||
Net realized gain (loss) | (133,616,162 | ) | (140,896,459 | ) | 3,771,097 | 1,571,730 | ||||||||||
Change in net unrealized appreciation (depreciation) | 1,055,646,541 | (1,138,162,835 | ) | 18,232,214 | 3,948,321 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 1,099,453,125 | (1,062,886,704 | ) | 25,869,394 | 6,417,529 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | — | (34,156,798 | ) | — | — | |||||||||||
Class III | — | (12,032,300 | ) | (422,293 | ) | (992,805 | ) | |||||||||
Class IV | — | (18,736,988 | ) | — | — | |||||||||||
Class V | — | (15,726,047 | ) | — | — | |||||||||||
Class VI | — | (136,436,513 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (217,088,646 | ) | (422,293 | ) | (992,805 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | (210,595,908 | ) | (477,958,217 | ) | — | — | ||||||||||
Class III | (101,789,381 | ) | (434,774,044 | ) | (10,296,669 | ) | 89,517,207 | |||||||||
Class IV | 17,499,060 | (597,399,760 | ) | — | — | |||||||||||
Class V | (64,345,612 | ) | (183,026,864 | ) | — | — | ||||||||||
Class VI | (983,619,333 | ) | 270,446,895 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (1,342,851,174 | ) | (1,422,711,990 | ) | (10,296,669 | ) | 89,517,207 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class II | 1,919,542 | 4,658,084 | — | — | ||||||||||||
Class III | 567,411 | 1,725,180 | 61,219 | 168,855 | ||||||||||||
Class IV | 1,262,279 | 2,826,436 | — | — | ||||||||||||
Class V | 588,572 | 1,806,224 | — | — | ||||||||||||
Class VI | 7,892,634 | 15,834,866 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 12,230,438 | 26,850,790 | 61,219 | 168,855 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (1,330,620,736 | ) | (1,395,861,200 | ) | (10,235,450 | ) | 89,686,062 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (231,167,611 | ) | (2,675,836,550 | ) | 15,211,651 | 95,110,786 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 8,131,169,100 | 10,807,005,650 | 151,393,415 | 56,282,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 7,900,001,489 | $ | 8,131,169,100 | $ | 166,605,066 | $ | 151,393,415 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 167,999,579 | $ | — | $ | 3,383,991 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (9,423,167 | ) | $ | — | $ | (59,799 | ) | ||||||
|
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|
|
|
|
|
See accompanying notes to the financial statements. | 27 |
GMO Trust Funds
(For a share outstanding throughout each period)
GMO EMERGING COUNTRIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.21 | $ | 10.61 | $ | 11.03 | $ | 11.50 | $ | 9.24 | $ | 5.06 | ||||||||||||||||||
|
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|
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|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.19 | 0.26 | 0.20 | 0.24 | 0.11 | 0.09 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.10 | (1.38 | ) | (0.43 | ) | (0.50 | )(b) | 2.28 | 4.23 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.29 | (1.12 | ) | (0.23 | ) | (0.26 | ) | 2.39 | 4.32 | |||||||||||||||||||||
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|
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.28 | ) | (0.19 | ) | (0.21 | ) | (0.13 | ) | (0.12 | ) | ||||||||||||||||||
From net realized gains | — | — | — | — | — | (0.02 | ) | |||||||||||||||||||||||
|
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|
|
|
|
|
|
|
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| |||||||||||||||||||
Total distributions | (0.02 | ) | (0.28 | ) | (0.19 | ) | (0.21 | ) | (0.13 | ) | (0.14 | ) | ||||||||||||||||||
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|
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|
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| |||||||||||||||||||
Net asset value, end of period | $ | 10.48 | $ | 9.21 | $ | 10.61 | $ | 11.03 | $ | 11.50 | $ | 9.24 | ||||||||||||||||||
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|
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|
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| |||||||||||||||||||
Total Return(c) | 14.06 | %** | (10.61 | )% | (2.05 | )% | (1.96 | )% | 25.89 | % | 85.52 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 58,586 | $ | 46,055 | $ | 134,535 | $ | 157,638 | $ | 231,921 | $ | 174,933 | ||||||||||||||||||
Net expenses to average daily net assets | 1.27 | %(e)* | 1.24 | %(d)(e) | 1.18 | %(d)(e) | 1.17 | %(d)(e) | 1.15 | %(d)(e) | 1.17 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.77 | %* | 2.66 | % | 1.94 | % | 2.14 | % | 1.05 | % | 1.10 | % | ||||||||||||||||||
Portfolio turnover rate | 31 | %** | 122 | % | 108 | % | 113 | % | 124 | % | 138 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.37 | %* | 0.43 | % | 0.21 | % | 0.14 | % | 0.15 | % | 0.25 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
28 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GMO EMERGING DOMESTIC OPPORTUNITIES FUND
Class II Shares | Class III Shares | ||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | Period from March 24, 2011 (commencement of operations) through February 29, 2012 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Period from June 29, 2012 (commencement of operations) through February 28, 2013 | ||||||||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.55 | $ | 24.60 | $ | 21.39 | $ | 20.89 | $ | 22.54 | $ | 24.59 | $ | 21.02 | |||||||||||||||||||||
|
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|
|
| ||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.25 | 0.26 | 0.24 | 0.20 | 0.26 | 0.30 | 0.05 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.37 | (1.22 | ) | 3.27 | 0.39 | (b) | 1.36 | (1.24 | ) | 3.84 | |||||||||||||||||||||||||
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| ||||||||||||||||||||||
Total from investment operations | 1.62 | (0.96 | ) | 3.51 | 0.59 | 1.62 | (0.94 | ) | 3.89 | ||||||||||||||||||||||||||
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| ||||||||||||||||||||||
Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.30 | ) | (0.15 | ) | (0.09 | ) | (0.02 | ) | (0.32 | ) | (0.17 | ) | |||||||||||||||||||||
From net realized gains | (0.16 | ) | (0.79 | ) | (0.15 | ) | — | (0.16 | ) | (0.79 | ) | (0.15 | ) | ||||||||||||||||||||||
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| ||||||||||||||||||||||
Total distributions | (0.18 | ) | (1.09 | ) | (0.30 | ) | (0.09 | ) | (0.18 | ) | (1.11 | ) | (0.32 | ) | |||||||||||||||||||||
|
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| ||||||||||||||||||||||
Net asset value, end of period | $ | 23.99 | $ | 22.55 | $ | 24.60 | $ | 21.39 | $ | 23.98 | $ | 22.54 | $ | 24.59 | |||||||||||||||||||||
|
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|
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|
| ||||||||||||||||||||||
Total Return(c) | 7.19 | %** | (4.01 | )% | 16.47 | % | 2.86 | %** | 7.21 | %** | (3.95 | )% | 18.57 | %** | |||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 712,906 | $ | 621,278 | $ | 352,479 | $ | 112,056 | $ | 472,783 | $ | 384,757 | $ | 104,740 | |||||||||||||||||||||
Net expenses to average daily net assets(e) | 1.06 | %* | 1.07 | %(d) | 1.07 | %(d) | 1.02 | %*(d) | 0.99 | %* | 1.00 | %(d) | 1.00 | %*(d) | |||||||||||||||||||||
Net investment income (loss) to average daily net assets | 2.11 | %* | 1.09 | % | 1.05 | % | 1.05 | %* | 2.21 | %* | 1.23 | % | 0.31 | %* | |||||||||||||||||||||
Portfolio turnover rate | 100 | %** | 274 | % | 247 | % | 459 | %**†† | 100 | %** | 274 | % | 247 | %**††† | |||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.03 | % | 0.03 | % | 0.42 | %* | 0.01 | %* | 0.03 | % | 0.04 | %* | |||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.10 | $ | 0.24 | $ | 0.45 | $ | 0.01 | $ | 0.09 | $ | 0.31 |
Class IV Shares | Class V Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Period from May 2, 2012 (commencement of operations) through February 28, 2013 | Six Months Ended August 31, 2014 (Unaudited) | Period from November 29, 2013 (commencement of operations) through February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | Period from September 19, 2011 (commencement of operations) through February 29, 2012 | ||||||||||||||||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.56 | $ | 24.60 | $ | 22.00 | $ | 22.54 | $ | 24.52 | $ | 22.61 | $ | 24.65 | $ | 21.41 | $ | 20.34 | |||||||||||||||||||||||||||
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|
|
|
|
| ||||||||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.27 | 0.31 | 0.14 | 0.27 | 0.01 | 0.27 | 0.36 | 0.34 | 0.10 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.36 | (1.23 | ) | 2.78 | 1.37 | (1.20 | ) | 1.37 | (1.28 | ) | 3.22 | 1.06 | (b) | ||||||||||||||||||||||||||||||||
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|
|
| ||||||||||||||||||||||||||||
Total from investment operations | 1.63 | (0.92 | ) | 2.92 | 1.64 | (1.19 | ) | 1.64 | (0.92 | ) | 3.56 | 1.16 | |||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||
Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.33 | ) | (0.17 | ) | (0.03 | ) | (0.34 | ) | (0.03 | ) | (0.33 | ) | (0.17 | ) | (0.09 | ) | |||||||||||||||||||||||||||
From net realized gains | (0.16 | ) | (0.79 | ) | (0.15 | ) | (0.16 | ) | (0.45 | ) | (0.16 | ) | (0.79 | ) | (0.15 | ) | — | ||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||
Total distributions | (0.19 | ) | (1.12 | ) | (0.32 | ) | (0.19 | ) | (0.79 | ) | (0.19 | ) | (1.12 | ) | (0.32 | ) | (0.09 | ) | |||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||
Net asset value, end of period | $ | 24.00 | $ | 22.56 | $ | 24.60 | $ | 23.99 | $ | 22.54 | $ | 24.06 | $ | 22.61 | $ | 24.65 | $ | 21.41 | |||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||
Total Return(c) | 7.22 | %** | (3.88 | )% | 13.34 | %** | 7.28 | %** | (4.95 | )%** | 7.27 | %** | (3.84 | )% | 16.69 | % | 5.78 | %** | |||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 733,307 | $ | 659,592 | $ | 518,430 | $ | 252,836 | $ | 235,753 | $ | 618,207 | $ | 546,120 | $ | 654,063 | $ | 418,017 | |||||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.95 | %* | 0.95 | %(d) | 0.95 | %*(d) | 0.93 | %* | 0.94 | %*(d) | 0.90 | %* | 0.90 | %(d) | 0.90 | %(d) | 0.87 | %*(d) | |||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 2.24 | %* | 1.29 | % | 0.71 | %* | 2.26 | %* | 0.09 | %* | 2.28 | %* | 1.47 | % | 1.50 | % | 1.10 | %* | |||||||||||||||||||||||||||
Portfolio turnover rate | 100 | %** | 274 | % | 247 | %**††† | 100 | %** | 274 | %**†††† | 100 | %** | 274 | % | 247 | % | 459 | %** | |||||||||||||||||||||||||||
Fees and expenses reimbursed and/ or waived by the Manager to average daily net assets: | 0.01 | %* | 0.03 | % | 0.04 | %* | 0.01 | %* | 0.06 | %* | 0.01 | %* | 0.03 | % | 0.03 | % | 0.13 | %* | |||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.10 | $ | 0.28 | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.11 | $ | 0.07 | $ | 0.18 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
† | Calculated using average shares outstanding throughout the period. |
†† | Calculation represents portfolio turnover of the Fund for the year ended February 29, 2012. |
††† | Calculation represents portfolio turnover of the Fund for the year ended February 28, 2013. |
†††† | Calculation represents portfolio turnover of the Fund for the year ended February 28, 2014. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 29 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
GMO EMERGING MARKETS FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Period from August 12, 2009 (commencement of operations) through February 28, 2010 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.20 | $ | 11.74 | $ | 12.10 | $ | 14.46 | $ | 11.63 | $ | 10.62 | $ | 10.23 | $ | 11.77 | $ | 12.13 | $ | 14.49 | $ | 11.66 | $ | 6.30 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.23 | 0.25 | 0.22 | 0.24 | 0.16 | 0.02 | 0.23 | 0.27 | 0.24 | 0.26 | 0.16 | 0.21 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.26 | (1.52 | ) | (0.35 | ) | (0.65 | ) | 2.84 | 1.18 | 1.26 | (1.54 | ) | (0.36 | ) | (0.66 | ) | 2.85 | 5.34 | ||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 1.49 | (1.27 | ) | (0.13 | ) | (0.41 | ) | 3.00 | 1.20 | 1.49 | (1.27 | ) | (0.12 | ) | (0.40 | ) | 3.01 | 5.55 | ||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.27 | ) | (0.23 | ) | (0.21 | ) | (0.17 | ) | (0.19 | ) | — | (0.27 | ) | (0.24 | ) | (0.22 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | (1.74 | ) | — | — | — | — | — | (1.74 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | — | (0.27 | ) | (0.23 | ) | (1.95 | ) | (0.17 | ) | (0.19 | ) | — | (0.27 | ) | (0.24 | ) | (1.96 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 11.69 | $ | 10.20 | $ | 11.74 | $ | 12.10 | $ | 14.46 | $ | 11.63 | $ | 11.72 | $ | 10.23 | $ | 11.77 | $ | 12.13 | $ | 14.49 | $ | 11.66 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 14.61 | %** | (10.92 | )% | (1.00 | )% | (1.94 | )% | 25.77 | % | 11.21 | %** | 14.57 | %** | (10.87 | )% | (0.96 | )% | (1.89 | )% | 25.80 | % | 88.05 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,268,326 | $ | 1,308,100 | $ | 2,004,694 | $ | 2,100,382 | $ | 2,304,697 | $ | 2,265,637 | $ | 394,948 | $ | 447,963 | $ | 970,102 | $ | 1,334,720 | $ | 1,445,916 | $ | 1,014,490 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 1.05 | %(d)* | `1.06 | %(c)(d) | 1.06 | %(c)(d) | 1.05 | %(c)(d) | 1.07 | %(c)(d) | 1.07 | %* | 1.00 | %(d)* | 1.01 | %(c)(d) | 1.01 | %(c)(d) | 1.00 | %(c)(d) | 1.02 | %(c)(d) | 1.06 | %(c) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 4.18 | %* | 2.33 | % | 1.97 | % | 1.88 | % | 1.21 | % | 0.30 | %* | 4.23 | %* | 2.45 | % | 2.12 | % | 2.00 | % | 1.17 | % | 2.25 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %** | 98 | % | 119 | % | 108 | % | 114 | % | 126 | %** | 41 | %** | 98 | % | 119 | % | 108 | % | 114 | % | 126 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.03 | %* | 0.03 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.03 | %* | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.02 | $ | 0.03 | $ | 0.02 | $ | 0.02 | $ | 0.02 | $ | 0.02 | $ | 0.02 | $ | 0.03 | $ | 0.01 | $ | 0.01 | $ | 0.00 | (d) | $ | 0.02 | |||||||||||||||||||||||||||||||||||
Class IV Shares | Class V Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.15 | $ | 11.68 | $ | 12.03 | $ | 14.40 | $ | 11.58 | $ | 6.27 | $ | 10.13 | $ | 11.66 | $ | 12.01 | $ | 14.39 | $ | 11.57 | $ | 6.26 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.24 | 0.28 | 0.22 | 0.26 | 0.17 | 0.16 | 0.23 | 0.26 | 0.25 | 0.26 | 0.15 | 0.20 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.24 | (1.53 | ) | (0.32 | ) | (0.67 | ) | 2.83 | 5.36 | 1.25 | (1.50 | ) | (0.35 | ) | (0.67 | ) | 2.86 | 5.32 | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.48 | (1.25 | ) | (0.10 | ) | (0.41 | ) | 3.00 | 5.52 | 1.48 | (1.24 | ) | (0.10 | ) | (0.41 | ) | 3.01 | 5.52 | ||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.28 | ) | (0.25 | ) | (0.22 | ) | (0.18 | ) | (0.21 | ) | — | (0.29 | ) | (0.25 | ) | (0.23 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | (1.74 | ) | — | — | — | — | — | (1.74 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | — | (0.28 | ) | (0.25 | ) | (1.96 | ) | (0.18 | ) | (0.21 | ) | — | (0.29 | ) | (0.25 | ) | (1.97 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 11.63 | $ | 10.15 | $ | 11.68 | $ | 12.03 | $ | 14.40 | $ | 11.58 | $ | 11.61 | $ | 10.13 | $ | 11.66 | $ | 12.01 | $ | 14.39 | $ | 11.57 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 14.58 | %** | (10.81 | )% | (0.81 | )% | (1.90 | )% | 25.93 | % | 88.05 | % | 14.61 | %** | (10.74 | )% | (0.78 | )% | (1.92 | )% | 26.03 | % | 88.21 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 879,887 | $ | 748,429 | $ | 1,481,411 | $ | 1,816,285 | $ | 1,649,840 | $ | 1,639,961 | $ | 395,007 | $ | 406,384 | $ | 677,796 | $ | 662,263 | $ | 835,561 | $ | 367,836 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.95 | %(d)* | 0.96 | %(c)(d) | 0.96 | %(c)(d) | 0.95 | %(c)(d) | 0.97 | %(c)(d) | 0.99 | %(c) | 0.90 | %(d)* | 0.91 | %(c)(d) | 0.91 | %(c)(d) | 0.90 | %(c)(d) | 0.93 | %(c)(d) | 0.98 | %(c) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets | 4.37 | %* | 2.57 | % | 1.99 | % | 2.00 | % | 1.29 | % | 1.54 | % | 4.30 | %* | 2.39 | % | 2.25 | % | 2.03 | % | 1.15 | % | 2.12 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 41 | %** | 98 | % | 119 | % | 108 | % | 114 | % | 126 | % | 41 | %** | 98 | % | 119 | % | 108 | % | 114 | % | 126 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.04 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.03 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.02 | $ | 0.03 | $ | 0.02 | $ | 0.02 | $ | 0.01 | $ | 0.02 | $ | 0.02 | $ | 0.03 | $ | 0.00 | (d) | $ | 0.00 | (d) | $ | 0.01 | $ | 0.01 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
30 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GMO EMERGING MARKETS FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.15 | $ | 11.68 | $ | 12.04 | $ | 14.41 | $ | 11.59 | $ | 6.27 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.24 | 0.26 | 0.24 | 0.27 | 0.17 | 0.13 | ||||||||||||||||||||||||
Net realized and unrealized gain | 1.24 | (1.49 | ) | (0.34 | ) | (0.67 | ) | 2.84 | 5.41 | |||||||||||||||||||||
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Total from investment operations | 1.48 | (1.23 | ) | (0.10 | ) | (0.40 | ) | 3.01 | 5.54 | |||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.30 | ) | (0.26 | ) | (0.23 | ) | (0.19 | ) | (0.22 | ) | |||||||||||||||||||
From net realized gains | — | — | — | (1.74 | ) | — | — | |||||||||||||||||||||||
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Total distributions | — | (0.30 | ) | (0.26 | ) | (1.97 | ) | (0.19 | ) | (0.22 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 11.63 | $ | 10.15 | $ | 11.68 | $ | 12.04 | $ | 14.41 | $ | 11.59 | ||||||||||||||||||
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Total Return(b) | 14.58 | %** | (10.69 | )% | (0.82 | )% | (1.81 | )% | 26.01 | % | 88.34 | % | ||||||||||||||||||
Ratios/Supplemental |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 4,961,834 | $ | 5,220,293 | $ | 5,673,002 | $ | 5,082,437 | $ | 5,800,427 | $ | 3,836,631 | ||||||||||||||||||
Net expenses to average daily net assets | 0.87 | %(d)* | 0.88 | %(c)(d) | 0.88 | %(c)(d) | 0.87 | %(c)(d) | 0.89 | %(c)(d) | 0.91 | %(c) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 4.40 | %* | 2.43 | % | 2.12 | % | 2.11 | % | 1.29 | % | 1.18 | % | ||||||||||||||||||
Portfolio turnover rate | 41 | %** | 98 | % | 119 | % | 108 | % | 114 | % | 126 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.04 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.02 | $ | 0.03 | $ | 0.02 | $ | 0.02 | $ | 0.03 | $ | 0.02 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 31 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GMO TAIWAN FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.30 | $ | 20.43 | $ | 21.60 | $ | 23.85 | $ | 17.75 | $ | 11.06 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.56 | 0.17 | 0.34 | 0.73 | 0.16 | 0.25 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.19 | 0.90 | (0.87 | )(b) | (1.04 | ) | 6.30 | 6.89 | (b) | |||||||||||||||||||||
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Total from investment operations | 3.75 | 1.07 | (0.53 | ) | (0.31 | ) | 6.46 | 7.14 | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.20 | ) | (0.23 | ) | (1.09 | ) | (0.36 | ) | (0.45 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.41 | ) | (0.85 | ) | — | — | ||||||||||||||||||||||
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Total distributions | (0.06 | ) | (0.20 | ) | (0.64 | ) | (1.94 | ) | (0.36 | ) | (0.45 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 24.99 | $ | 21.30 | $ | 20.43 | $ | 21.60 | $ | 23.85 | $ | 17.75 | ||||||||||||||||||
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Total Return(c) | 17.63 | %** | 5.26 | % | (2.25 | )% | 0.15 | % | 36.71 | % | 64.80 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 166,605 | $ | 151,393 | $ | 56,283 | $ | 74,971 | $ | 146,857 | $ | 91,176 | ||||||||||||||||||
Net expenses to average daily net assets | 1.26 | %(d)* | 1.35 | %(d)(e) | 1.38 | %(d)(e) | 1.36 | %(d) | 1.33 | % | 1.35 | %(d)(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 4.83 | %* | 0.82 | % | 1.71 | % | 3.16 | % | 0.78 | % | 1.55 | % | ||||||||||||||||||
Portfolio turnover rate | 56 | %** | 201 | % | 156 | % | 105 | % | 129 | % | 106 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | — | — | 0.00 | %(f) | — | — | — | |||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.03 | $ | 0.04 | $ | 0.08 | $ | 0.09 | $ | 0.06 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund. |
(c) | Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Ratio is less than 0.01%. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
32 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2014 (Unaudited)
1. | Organization |
Each of Emerging Countries Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, and Taiwan Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).
The Funds may invest in U.S. Treasury Fund and money market funds that are unaffiliated with GMO.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Principal Investment Objective | ||
Emerging Countries Fund | S&P/IFCI Composite Index | Total return in excess of benchmark | ||
Emerging Domestic Opportunities Fund | Not Applicable | Total return | ||
Emerging Markets Fund | S&P/IFCI Composite Index | Total return in excess of benchmark | ||
Taiwan Fund | MSCI Taiwan Index | Total return in excess of benchmark |
Emerging Countries Fund and Taiwan Fund currently limit subscriptions.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
Portfolio valuation
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2014. These securities listed on foreign
33
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.
As discussed above, certain of the Funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2014 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | ||||||
Emerging Countries Fund | < 1% | 87% | ||||||
Emerging Domestic Opportunities Fund | — | 68% | ||||||
Emerging Markets Fund | < 1% | 88% | ||||||
Taiwan Fund | — | 97% |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2014, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations with a remaining maturity of greater than sixty days, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of sixty days or less valued at amortized cost; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
34
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2014:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Countries Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common stocks | ||||||||||||||||
Brazil | $ | 541,039 | $ | 3,171,706 | $ | — | $ | 3,712,745 | ||||||||
China | 338,543 | 7,818,005 | — | 8,156,548 | ||||||||||||
Czech Republic | — | 2,022,045 | — | 2,022,045 | ||||||||||||
Egypt | — | 1,286,966 | — | 1,286,966 | ||||||||||||
France | — | 83,121 | — | 83,121 | ||||||||||||
Hungary | — | 19,027 | — | 19,027 | ||||||||||||
India | 229,432 | 4,293,989 | — | 4,523,421 | ||||||||||||
Indonesia | 644,840 | 1,176,082 | — | 1,820,922 | ||||||||||||
Malaysia | — | 111,015 | — | 111,015 | ||||||||||||
Mexico | 519,071 | — | — | 519,071 | ||||||||||||
Norway | — | 78,630 | — | 78,630 | ||||||||||||
Panama | 98,384 | — | — | 98,384 | ||||||||||||
Peru | 564,480 | — | — | 564,480 | ||||||||||||
Philippines | — | 507,850 | — | 507,850 | ||||||||||||
Poland | — | 2,030,875 | — | 2,030,875 | ||||||||||||
Qatar | — | 119,487 | — | 119,487 | ||||||||||||
Russia | 262,876 | 4,524,833 | — | 4,787,709 | ||||||||||||
South Africa | 17,574 | 1,311,487 | 15 | 1,329,076 | ||||||||||||
South Korea | 1,367,311 | 8,367,574 | — | 9,734,885 | ||||||||||||
Switzerland | — | 30,484 | — | 30,484 | ||||||||||||
Taiwan | 96,324 | 5,203,633 | — | 5,299,957 | ||||||||||||
Thailand | — | 2,014,737 | — | 2,014,737 | ||||||||||||
Turkey | 8,856 | 1,320,140 | — | 1,328,996 | ||||||||||||
United Kingdom | 8,812 | 239,502 | — | 248,314 | ||||||||||||
United States | 314,593 | — | — | 314,593 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 5,012,135 | 45,731,188 | 15 | 50,743,338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 1,129,277 | 2,292,369 | — | 3,421,646 | ||||||||||||
Russia | — | 2,172,038 | — | 2,172,038 | ||||||||||||
South Korea | — | 797,206 | — | 797,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 1,129,277 | 5,261,613 | — | 6,390,890 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Thailand | — | 263,153 | — | 263,153 | ||||||||||||
United States | 499,670 | — | — | 499,670 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 499,670 | 263,153 | — | 762,823 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Thailand | 1,099 | — | — | 1,099 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 1,099 | — | — | 1,099 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
35
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Countries Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 266,167 | $ | — | $ | — | $ | 266,167 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 266,167 | — | — | 266,167 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 76,326 | — | — | 76,326 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,984,674 | 51,255,954 | 15 | 58,240,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,984,674 | $ | 51,255,954 | $ | 15 | $ | 58,240,643 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Belgium | $ | — | $ | 35,595,329 | $ | — | $ | 35,595,329 | ||||||||
Brazil | — | 149,119,188 | — | 149,119,188 | ||||||||||||
China | 76,783,530 | 169,817,478 | — | 246,601,008 | ||||||||||||
France | — | 37,656,513 | — | 37,656,513 | ||||||||||||
Germany | — | 17,771,500 | — | 17,771,500 | ||||||||||||
India | 29,299,990 | 338,984,918 | — | 368,284,908 | ||||||||||||
Indonesia | — | 132,020,713 | — | 132,020,713 | ||||||||||||
Malaysia | — | 53,050,673 | — | 53,050,673 | ||||||||||||
Mexico | 164,901,997 | — | — | 164,901,997 | ||||||||||||
Nigeria | — | 15,276,412 | — | 15,276,412 | ||||||||||||
Norway | — | 41,024,325 | — | 41,024,325 | ||||||||||||
Panama | 49,013,433 | — | — | 49,013,433 | ||||||||||||
Philippines | 4,876,512 | 119,543,064 | — | 124,419,576 | ||||||||||||
Poland | — | 47,864,710 | — | 47,864,710 | ||||||||||||
Qatar | — | 59,874,609 | — | 59,874,609 | ||||||||||||
Russia | — | 37,186,928 | — | 37,186,928 | ||||||||||||
South Africa | — | 64,484,339 | — | 64,484,339 | ||||||||||||
Switzerland | — | 86,844,214 | — | 86,844,214 | ||||||||||||
Taiwan | — | 83,735,932 | — | 83,735,932 | ||||||||||||
Thailand | — | 119,793,022 | — | 119,793,022 | ||||||||||||
Turkey | — | 25,173,121 | — | 25,173,121 | ||||||||||||
United Arab Emirates | — | 18,217,179 | — | 18,217,179 | ||||||||||||
United Kingdom | 11,480,922 | 119,884,507 | — | 131,365,429 | ||||||||||||
United States | 255,752,623 | — | — | 255,752,623 | ||||||||||||
Vietnam | — | 16,072,139 | — | 16,072,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 592,109,007 | 1,788,990,813 | — | 2,381,099,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Brazil | 17,128,052 | 15,061,198 | — | 32,189,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 17,128,052 | 15,061,198 | — | 32,189,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
China | 154,304,016 | — | — | 154,304,016 | ||||||||||||
Thailand | — | 103,019,642 | — | 103,019,642 | ||||||||||||
United States | 74,348,414 | — | — | 74,348,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 228,652,430 | 103,019,642 | — | 331,672,072 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Thailand | 591,540 | — | — | 591,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 591,540 | — | — | 591,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
36
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 67,218,668 | $ | — | $ | — | $ | 67,218,668 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 67,218,668 | — | — | 67,218,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 12,394,692 | — | — | 12,394,692 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 918,094,389 | $ | 1,907,071,653 | $ | — | $ | 2,825,166,042 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 100,740,120 | $ | 538,245,468 | $ | — | $ | 638,985,588 | ||||||||
China | 65,929,593 | 1,369,139,344 | — | 1,435,068,937 | ||||||||||||
Czech Republic | — | 147,664,897 | — | 147,664,897 | ||||||||||||
Egypt | — | 41,084,452 | — | 41,084,452 | ||||||||||||
France | — | 8,970,011 | — | 8,970,011 | ||||||||||||
Hungary | — | 16,419,438 | — | 16,419,438 | ||||||||||||
India | 16,525,250 | 574,848,605 | — | 591,373,855 | ||||||||||||
Indonesia | 30,196,936 | 104,800,571 | — | 134,997,507 | ||||||||||||
Malaysia | — | 17,078,757 | — | 17,078,757 | ||||||||||||
Mexico | 90,185,620 | — | — | 90,185,620 | ||||||||||||
Nigeria | — | 3,732,138 | — | 3,732,138 | ||||||||||||
Norway | — | 9,975,885 | — | 9,975,885 | ||||||||||||
Panama | 12,979,186 | — | — | 12,979,186 | ||||||||||||
Peru | 43,386,385 | — | — | 43,386,385 | ||||||||||||
Philippines | 3,785,326 | 35,486,627 | — | 39,271,953 | ||||||||||||
Poland | — | 245,986,869 | — | 245,986,869 | ||||||||||||
Qatar | — | 14,339,973 | — | 14,339,973 | ||||||||||||
Russia | 42,397,719 | 675,202,145 | — | 717,599,864 | ||||||||||||
South Africa | — | 196,473,261 | 878 | 196,474,139 | ||||||||||||
South Korea | 73,855,135 | 772,057,463 | — | 845,912,598 | ||||||||||||
Sri Lanka | — | 2,158,687 | — | 2,158,687 | ||||||||||||
Switzerland | — | 4,129,693 | — | 4,129,693 | ||||||||||||
Taiwan | — | 796,024,329 | — | 796,024,329 | ||||||||||||
Thailand | — | 303,135,644 | — | 303,135,644 | ||||||||||||
Turkey | 910,692 | 264,947,975 | 12,027,025 | 277,885,692 | ||||||||||||
United Arab Emirates | — | 9,684,468 | — | 9,684,468 | ||||||||||||
United Kingdom | 3,287,822 | 27,778,579 | — | 31,066,401 | ||||||||||||
United States | 38,365,996 | — | — | 38,365,996 | ||||||||||||
Vietnam | — | 2,975,142 | — | 2,975,142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 522,545,780 | 6,182,340,421 | 12,027,903 | 6,716,914,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 190,090,119 | 355,646,266 | — | 545,736,385 | ||||||||||||
Russia | 87,120 | 244,946,220 | — | 245,033,340 | ||||||||||||
South Korea | — | 102,183,914 | — | 102,183,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 190,177,239 | 702,776,400 | — | 892,953,639 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
China | — | — | 2,285,902 | 2,285,902 | ||||||||||||
India | — | — | 8,559,609 | 8,559,609 | ||||||||||||
Poland | — | — | 199,562 | 199,562 | ||||||||||||
Russia | — | — | 5,843,874 | 5,843,874 | ||||||||||||
Thailand | — | 29,167,781 | — | 29,167,781 | ||||||||||||
United States | 136,777,377 | — | — | 136,777,377 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 136,777,377 | 29,167,781 | 16,888,947 | 182,834,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
37
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Markets Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Rights/Warrants | ||||||||||||||||
Thailand | $ | — | $ | 160,769 | $ | — | $ | 160,769 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | 160,769 | — | 160,769 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 45,541,125 | — | — | 45,541,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 45,541,125 | — | — | 45,541,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 11,536,211 | — | — | 11,536,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 906,577,732 | 6,914,445,371 | 28,916,850 | 7,849,939,953 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | $ | — | $ | 5,138,375 | $ | — | $ | 5,138,375 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 906,577,732 | $ | 6,919,583,746 | $ | 28,916,850 | $ | 7,855,078,328 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | $ | — | $ | (201,043 | ) | $ | — | $ | (201,043 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Taiwan Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Taiwan | $ | — | $ | 160,895,403 | $ | — | $ | 160,895,403 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | — | 160,895,403 | — | 160,895,403 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 1,492,652 | — | — | 1,492,652 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 1,492,652 | — | — | 1,492,652 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 809,607 | — | — | 809,607 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 809,607 | — | — | 809,607 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 140,125 | — | — | 140,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,442,384 | 160,895,403 | — | 163,337,787 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,442,384 | $ | 160,895,403 | $ | — | $ | 163,337,787 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
* | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
The underlying GMO funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2014, there were no material transfers between Level 1 and Level 2.
38
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2014 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in (Depreciation) | Transfer into Level 3* | Transfer out of Level 3* | Balances as of August 31, 2014 | Net Change in (Depreciation) | |||||||||||||||||||||||||||||||
Emerging Countries Fund |
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Common Stocks | ||||||||||||||||||||||||||||||||||||||||
South Africa | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 15 | ** | $ | — | $ | 15 | $ | — | |||||||||||||||||||
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Total | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 15 | $ | — | $ | 15 | $ | — | ||||||||||||||||||||
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Emerging Markets Fund |
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Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Indonesia | $ | 226,693 | $ | — | $ | — | $ | — | $ | — | $ | (1,690 | ) | $ | — | $ | (225,003 | )** | $ | — | $ | — | ||||||||||||||||||
South Africa | — | — | — | — | — | — | 878 | ** | — | 878 | — | |||||||||||||||||||||||||||||
Turkey | — | — | — | — | — | — | 12,027,025 | ** | — | 12,027,025 | — | |||||||||||||||||||||||||||||
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Total Common Stocks | 226,693 | — | — | — | — | (1,690 | ) | 12,027,903 | (225,003 | )** | 12,027,903 | — | ||||||||||||||||||||||||||||
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Investment Funds | ||||||||||||||||||||||||||||||||||||||||
China | 2,298,416 | — | — | — | — | (12,514 | ) | — | — | 2,285,902 | (12,514 | ) | ||||||||||||||||||||||||||||
India | 7,733,819 | �� | — | — | — | — | 825,790 | — | — | 8,559,609 | 825,790 | |||||||||||||||||||||||||||||
Poland | 188,774 | — | — | — | — | 10,788 | — | — | 199,562 | 10,788 | ||||||||||||||||||||||||||||||
Russia | 4,368,072 | — | (126,995 | ) | — | — | 1,602,797 | — | — | 5,843,874 | 1,602,797 | |||||||||||||||||||||||||||||
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Total Investment Funds | 14,589,081 | — | (126,995 | ) | — | — | 2,426,861 | — | — | 16,888,947 | 2,426,861 | |||||||||||||||||||||||||||||
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Total | $ | 14,815,774 | $ | — | $ | (126,995 | ) | $ | — | $ | — | $ | 2,425,171 | $ | 12,027,903 | $ | (225,003 | )** | $ | 28,916,850 | $ | 2,426,861 | ||||||||||||||||||
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* | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
** | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and /or unobservable inputs. |
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2014 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Emerging Countries Fund | < 1% | |||
Emerging Domestic Opportunities Fund | — | |||
Emerging Markets Fund | < 1% | |||
Taiwan Fund | — |
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.
39
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Taxes and distributions
Each Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute substantially all of its net investment income, if any, and all of its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.
Each Fund intends to distribute investment income, if any, semi-annually. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Foreign taxes paid by each Fund may be treated, to the extent permissible under the Code and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2014, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 28, 2014, the Funds listed below elected to defer to March 1, 2014 late-year ordinary losses and post-October capital losses as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post- October | ||||||
Emerging Countries Fund | — | (703,372) | ||||||
Emerging Domestic Opportunities Fund | — | (38,594,132) | ||||||
Emerging Markets Fund | — | (121,654,964) | ||||||
Taiwan Fund | (393,858) | (1,464,487) |
As of February 28, 2014, the Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October
40
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
capital losses, late-year ordinary losses and losses realized subsequent to February 28, 2014, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short- Term ($) | Long- Term ($) | |||||||
Fund Name | No Expiration Date | No Expiration Date | ||||||
Emerging Countries Fund | (5,306,830) | (8,654,368) | ||||||
Emerging Domestic Opportunities Fund | — | — | ||||||
Emerging Markets Fund | (254,464,861) | (136,408,400) | ||||||
Taiwan Fund | (746,330) | (301,822) |
As of August 31, 2014, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Emerging Countries Fund | 58,715,184 | 4,771,426 | (5,245,967) | (474,541 | ) | |||||||||||
Emerging Domestic Opportunities Fund | 2,710,012,805 | 217,982,081 | (102,828,844) | 115,153,237 | ||||||||||||
Emerging Markets Fund | 7,677,771,738 | 684,665,439 | (512,497,224) | 172,168,215 | ||||||||||||
Taiwan Fund | 142,874,853 | 22,463,773 | (2,000,839) | 20,462,934 |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
Expenses
Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).
41
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statement of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statement of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when they use portfolio securities to redeem their shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
As of August 31, 2014, the premium on cash purchases and the fee on cash redemptions were as follows:
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||
Purchase Premium | — | 0.80% | 0.80% | 0.15% | ||||
Redemption Fee | — | 0.80% | 0.80% | 0.45% |
Other matters
Emerging Markets Fund (“EMF”)
Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.05% of the Fund’s total net assets as of August 31, 2014. The effect of this claim on the value of
42
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of the Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||
Market Risk – Equities | X | X | X | X | ||||
Illiquidity Risk | X | X | X | X | ||||
Smaller Company Risk | X | X | X | X | ||||
Derivatives Risk | X | X | X | X | ||||
Non-U.S. Investment Risk | X | X | X | X | ||||
Currency Risk | X | X | X | X | ||||
Focused Investment Risk | X | X | X | X | ||||
Leveraging Risk | X | X | X | X | ||||
Counterparty Risk | X | X | X | X | ||||
Market Disruption and Geopolitical Risk | X | X | X | X | ||||
Large Shareholder Risk | X | X | X | X | ||||
Management and Operational Risk | X | X | X | X | ||||
Fund of Funds Risk | X | X | X | X | ||||
Non-Diversified Funds | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed as well as the risk that investments made through underlying funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through its underlying funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor performance by the company’s management or reduced demand for its
43
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation of those investments. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that changes in their value may not move as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund will typically not receive the collateral for one or more days after the collateral is requested by the Fund.
The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.
44
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.
There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.
Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some of the rules are not yet final), its ultimate impact remains unclear.
Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund
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may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund.
In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund and/or its shareholders may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).
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U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of GMO’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.
Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).
• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.
A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, country (e.g., Taiwan or Japan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.
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• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions may not be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will still have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and may continue to be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives positions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of the funds held in the omnibus account for the relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodity Futures Trading Commission require that the clearing member notify the clearing house of the initial
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margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, a default by the U.S. government or a downgrade of its credit rating would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the United States and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• LARGE SHAREHOLDER RISK. If a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors, or limitations in those analyses and models could affect a Fund’s performance. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of
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an investment may be wrong. There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.
With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its NAV, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of underlying funds, including other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies are exposed to the risk that the underlying Funds will not perform as expected.
Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.
The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.
Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers and/or foreign currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Emerging Countries Fund |
• | Emerging Domestic Opportunities Fund |
• | Emerging Markets Fund |
• | Taiwan Fund |
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political, or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
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4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2014, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | |||||||||
Swap contracts | ||||||||||||
As a substitute for direct investment in securities | X | X | ||||||||||
To achieve returns comparable to holding and lending a direct equity position | X | X | ||||||||||
Rights and/or warrants | ||||||||||||
Received as a result of corporate actions | X | X | X |
51
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market
52
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.
Swap contracts
The Funds may enter into various types of swap contracts, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of
53
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure:
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2014 and the Statements of Operations for the period ended August 31, 2014^:
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Countries Fund | ||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 1,099 | $ | — | $ | — | $ | — | $ | 1,099 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,099 | $ | — | $ | — | $ | — | $ | 1,099 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 1,099 | $ | — | $ | — | $ | — | $ | 1,099 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 1,520 | $ | — | $ | — | $ | — | $ | 1,520 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,520 | $ | — | $ | — | $ | — | $ | 1,520 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 591,540 | $ | — | $ | — | $ | — | $ | 591,540 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 591,540 | $ | — | $ | — | $ | — | $ | 591,540 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 591,540 | $ | — | $ | — | $ | — | $ | 591,540 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Swap Contracts | $ | — | $ | (6,440,778 | ) | $ | — | $ | — | $ | — | $ | (6,440,778 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (6,440,778 | ) | $ | — | $ | — | $ | — | $ | (6,440,778 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 591,540 | $ | — | $ | — | $ | — | $ | 591,540 | ||||||||||||
Swap Contracts | — | 1,175,585 | — | — | — | 1,175,585 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,767,125 | $ | — | $ | — | $ | — | $ | 1,767,125 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
54
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 160,769 | $ | — | $ | — | $ | — | $ | 160,769 | ||||||||||||
Unrealized Appreciation on Swap Contracts | — | 5,138,375 | — | — | — | 5,138,375 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 5,299,144 | $ | — | $ | — | $ | — | $ | 5,299,144 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 160,769 | $ | — | $ | — | $ | — | $ | 160,769 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | 5,138,375 | $ | — | $ | — | $ | — | $ | 5,138,375 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability: | ||||||||||||||||||||||||
Unrealized Depreciation on Swap Contracts | $ | — | $ | (201,043 | ) | $ | — | $ | — | $ | — | $ | (201,043 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (201,043 | ) | $ | — | $ | — | $ | — | $ | (201,043 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (201,043 | ) | $ | — | $ | — | $ | — | $ | (201,043 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 3,095 | $ | — | $ | — | $ | — | $ | 3,095 | ||||||||||||
Swap Contracts | — | 10,719,124 | — | — | — | 10,719,124 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 10,722,219 | $ | — | $ | — | $ | — | $ | 10,722,219 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 196,264 | $ | — | $ | — | $ | — | $ | 196,264 | ||||||||||||
Swap Contracts | — | 248,431 | — | — | — | 248,431 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 444,695 | $ | — | $ | — | $ | — | $ | 444,695 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. If termination events were triggered by a Fund on August 31, 2014, that Fund may be required to potentially settle positions at the amounts noted in the Schedule of Investments. For more information about other uncertainties and risks, see “Investment and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2014, if any.
55
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2014:
Emerging Markets Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Credit Suisse International | $ | 3,439,583 | $ | (2,675,948 | ) | $ | (201,043 | ) | $ | 562,592 | ||||||
Morgan Stanley & Co. International PLC | 1,698,792 | (1,070,000 | ) | — | 628,792 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,138,375 | $ | (3,745,948 | ) | $ | (201,043 | ) | $ | 1,191,384 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Credit Suisse International | $ | 201,043 | $ | — | $ | 201,043 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 201,043 | $ | — | $ | 201,043 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The average derivative activity, based on absolute values (rights and/or warrants) or notional amounts (swap contracts) outstanding at each month-end, was as follows for the period ended August 31, 2014:
Fund Name | Swap Contracts ($) | Rights and/or Warrants ($) | ||||||
Emerging Countries Fund | — | 605 | ||||||
Emerging Domestic Opportunities Fund | 16,536,218 | 98,857 | ||||||
Emerging Markets Fund | 111,890,214 | 204,854 |
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||
Management Fee | 0.65% | 0.75% | 0.75% | 0.81% |
In addition, each class of shares of certain Funds (except Class M shares which are described below (Emerging Countries Fund Class M liquidated on May 2, 2014)) pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class M shares of a Fund pay GMO an administration fee, which is used by GMO to defray
56
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
its expenses (or the expenses of a third party) in providing administration and record keeping services to certain marketplaces where Class M shares of each Fund may be purchased. GMO may pay part or all of the administration fee to third parties for providing administration and record keeping services. In some cases, these third parties also receive compensation from the Fund’s distributor pursuant to the Trust’s Distribution and Service (12b-1) Plan. Both shareholder service fees and administration fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class II | Class III | Class IV | Class V | Class VI | |||||||||||||||
Emerging Countries Fund | 0.15% | |||||||||||||||||||
Emerging Domestic Opportunities Fund | 0.22% | 0.15% | 0.105% | 0.085% | 0.055% | |||||||||||||||
Emerging Markets Fund | 0.22% | 0.15% | 0.105% | 0.085% | 0.055% | |||||||||||||||
Taiwan Fund | 0.15% |
For each Fund, other than Emerging Countries Fund and Taiwan Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Emerging Countries Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.35% of the Fund’s average daily net assets.
Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses; provided, however, that in the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.
For each Fund that pays GMO a management fee, GMO has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has agreed to waive or reduce the shareholder service fee charged to the holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
In addition, for Emerging Markets Fund only, GMO will waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.
These contractual waivers and reimbursements will continue through at least June 30, 2015 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplement support agreement.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2014 is shown in the table below and included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with the Manager ($) | ||||||
Emerging Countries Fund | 288 | 5 | ||||||
Emerging Domestic Opportunities Fund | 13,885 | 1,656 | ||||||
Emerging Markets Fund | 42,817 | 5,336 | ||||||
Taiwan Fund | 840 | 184 |
57
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2014, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Total Indirect Expense | |||||||||
Emerging Countries Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Emerging Domestic Opportunities Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Emerging Markets Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Taiwan Fund | < 0.001% | 0.000% | < 0.001% |
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2014 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Emerging Countries Fund | — | 18,323,849 | — | 29,417,961 | ||||||||||||
Emerging Domestic Opportunities Fund | — | 2,829,322,940 | — | 2,634,217,903 | ||||||||||||
Emerging Markets Fund | — | 3,330,572,507 | — | 4,496,831,953 | ||||||||||||
Taiwan Fund | — | 88,612,578 | — | 96,759,757 |
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
8. | Principal shareholders and related parties as of August 31, 2014 |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion | ||||||||||||
Emerging Countries Fund | 3* | 75.15% | 0.37% | 37.58% | ||||||||||||
Emerging Domestic Opportunities Fund | — | — | 0.65% | — | ||||||||||||
Emerging Markets Fund | — | — | 0.55% | 48.77% | ||||||||||||
Taiwan Fund | 2 | 95.22% | — | 100.00% |
* | One of the shareholders is another Fund managed by GMO. |
58
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Countries Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,717,517 | $ | 16,462,821 | 552,382 | $ | 5,518,125 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 13,278 | 134,634 | 159,562 | 1,480,339 | ||||||||||||
Shares repurchased | (1,141,346 | ) | (10,933,252 | ) | (8,397,688 | ) | (80,103,958 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 589,449 | $ | 5,664,203 | (7,685,744 | ) | $ | (73,105,494 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class M: | ||||||||||||||||
Shares sold | 50,313 | $ | 453,199 | 537,795 | $ | 5,076,667 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 43,504 | 399,599 | ||||||||||||
Shares repurchased | (1,904,786 | ) | (17,933,268 | ) | (283,751 | ) | (2,709,365 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,854,473 | ) | $ | (17,480,069 | ) | 297,548 | $ | 2,766,901 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 7,261,993 | $ | 167,379,243 | 15,479,003 | $ | 375,814,752 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 251,248 | 6,052,565 | 1,037,310 | 24,203,479 | ||||||||||||
Shares repurchased | (5,343,258 | ) | (128,294,547 | ) | (3,295,606 | ) | (79,549,882 | ) | ||||||||
Purchase premiums | — | 427,729 | — | 1,813,630 | ||||||||||||
Redemption fees | — | 43,937 | — | 267,059 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,169,983 | $ | 45,608,927 | 13,220,707 | $ | 322,549,038 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III: | ||||||||||||||||
Shares sold | 4,633,005 | $ | 111,423,777 | 16,975,778 | $ | 409,267,918 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 114,869 | 2,767,190 | 696,018 | 16,235,107 | ||||||||||||
Shares repurchased | (2,103,258 | ) | (46,629,231 | ) | (4,862,390 | ) | (113,028,401 | ) | ||||||||
Purchase premiums | — | 196,411 | — | 1,118,919 | ||||||||||||
Redemption fees | — | 26,028 | — | 187,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,644,616 | $ | 67,784,175 | 12,809,406 | $ | 313,781,363 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 1,496,290 | $ | 36,704,000 | 12,313,192 | $ | 304,691,394 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 241,436 | 5,818,604 | 1,526,057 | 35,612,024 | ||||||||||||
Shares repurchased | (424,915 | ) | (10,027,998 | ) | (5,671,585 | ) | (128,525,819 | ) | ||||||||
Purchase premiums | — | 387,184 | — | 2,745,597 | ||||||||||||
Redemption fees | — | 43,370 | — | 402,094 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,312,811 | $ | 32,925,160 | 8,167,664 | $ | 214,925,290 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | — | $ | — | 10,114,192 | $ | 248,000,000 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 83,007 | 1,999,630 | 344,126 | 8,021,566 | ||||||||||||
Purchase premiums | — | 136,569 | — | 207,989 | ||||||||||||
Redemption fees | — | 15,095 | — | 10,199 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 83,007 | $ | 2,151,294 | 10,458,318 | $ | 256,239,754 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
59
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 1,350,472 | $ | 31,842,758 | 33,435 | $ | 785,490 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 202,857 | 4,901,029 | 1,142,772 | 26,729,489 | ||||||||||||
Shares repurchased | (11,105 | ) | (262,213 | ) | (3,555,604 | ) | (81,203,280 | ) | ||||||||
Purchase premiums | — | 326,144 | — | 2,485,620 | ||||||||||||
Redemption fees | — | 36,605 | — | 297,904 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,542,224 | $ | 36,844,323 | (2,379,397 | ) | $ | (50,904,777 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 2,869,972 | $ | 29,950,895 | 27,398,436 | $ | 287,617,583 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,380,208 | 25,580,105 | ||||||||||||
Shares repurchased | (22,563,375 | ) | (240,546,803 | ) | (72,300,527 | ) | (791,155,905 | ) | ||||||||
Purchase premiums | — | 99,894 | — | 1,203,794 | ||||||||||||
Redemption fees | — | 1,819,648 | — | 3,454,290 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (19,693,403 | ) | $ | (208,676,366 | ) | (42,521,883 | ) | $ | (473,300,133 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: | ||||||||||||||||
Shares sold | 7,091,761 | $ | 75,050,331 | 20,464,085 | $ | 217,005,027 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 952,219 | 10,266,905 | ||||||||||||
Shares repurchased | (17,186,959 | ) | (176,839,712 | ) | (60,045,481 | ) | (662,045,976 | ) | ||||||||
Purchase premiums | — | 31,984 | — | 390,870 | ||||||||||||
Redemption fees | — | 535,427 | — | 1,334,310 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,095,198 | ) | $ | (101,221,970 | ) | (38,629,177 | ) | $ | (433,048,864 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 7,071,752 | $ | 74,120,217 | 33,969,953 | $ | 346,506,777 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,448,246 | 15,478,200 | ||||||||||||
Shares repurchased | (5,169,442 | ) | (56,621,157 | ) | (88,513,421 | ) | (959,384,737 | ) | ||||||||
Purchase premiums | — | 60,877 | — | 679,227 | ||||||||||||
Redemption fees | — | 1,201,402 | — | 2,147,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,902,310 | $ | 18,761,339 | (53,095,222 | ) | $ | (594,573,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | 1,370,998 | $ | 14,488,514 | 5,864,220 | $ | 59,408,565 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,401,912 | 14,958,074 | ||||||||||||
Shares repurchased | (7,472,429 | ) | (78,834,126 | ) | (25,264,138 | ) | (257,393,503 | ) | ||||||||
Purchase premiums | — | 31,681 | — | 505,327 | ||||||||||||
Redemption fees | — | 556,891 | — | 1,300,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,101,431 | ) | $ | (63,757,040 | ) | (17,998,006 | ) | $ | (181,220,640 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 23,813,876 | $ | 254,110,492 | 96,416,619 | $ | 1,006,655,905 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 12,545,630 | 134,125,168 | ||||||||||||
Shares repurchased | (111,827,905 | ) | (1,237,729,825 | ) | (80,051,978 | ) | (870,334,178 | ) | ||||||||
Purchase premiums | — | 412,385 | — | 4,534,401 | ||||||||||||
Redemption fees | — | 7,480,249 | — | 11,300,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (88,014,029 | ) | $ | (975,726,699 | ) | 28,910,271 | $ | 286,281,761 | ||||||||
|
|
|
|
|
|
|
| |||||||||
60
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Taiwan Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 123,710 | $ | 2,951,899 | 4,632,966 | $ | 95,400,048 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 6,591 | 162,606 | 26,919 | 561,737 | ||||||||||||
Shares repurchased | (571,358 | ) | (13,411,174 | ) | (307,337 | ) | (6,444,578 | ) | ||||||||
Purchase premiums | — | 3,542 | — | 26,405 | ||||||||||||
Redemption fees | — | 57,677 | — | 142,450 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (441,057 | ) | $ | (10,235,450 | ) | 4,352,548 | $ | 89,686,062 | ||||||||
|
|
|
|
|
|
|
| |||||||||
10. | Investments in affiliated companies and other funds of the Trust |
An affiliated company is a company in which a Fund has or had ownership of at least 5% of the voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2014 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Value, end of period | |||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||
Gayatri Projects Ltd | $ | — | $ | 4,549,972 | $ | 85,875 | $ | — | $ | 4,960,985 | ||||||||||
Ticon Industrial Growth Leasehold Property Fund* | $ | 3,189,142 | $ | 8,083,421 | $ | 932,977 | $ | 568,655 | $ | 11,205,047 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 3,189,142 | $ | 12,633,393 | $ | 1,018,852 | $ | 568,655 | $ | 16,166,032 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Emerging Markets Fund | ||||||||||||||||||||
Anilana Hotels & Properties Ltd | $ | 2,414,415 | $ | — | $ | — | $ | — | $ | 2,158,687 | ||||||||||
Kiri Industries Ltd | 826,942 | 186,466 | — | — | 2,434,331 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 3,241,357 | $ | 186,466 | $ | — | $ | — | $ | 4,593,018 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
* | Security not an affiliate at the beginning of the period. |
A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2014 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Emerging Countries Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 476,272 | $ | 5,063,890 | $ | 5,273,995 | $ | 91 | $ | 16 | $ | 266,167 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 112,049,934 | $ | 544,897,116 | $ | 589,728,382 | $ | 18,166 | $ | 2,438 | $ | 67,218,668 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 43,407,219 | $ | 1,014,247,429 | $ | 1,012,113,523 | $ | 13,555 | $ | 1,481 | $ | 45,541,125 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Taiwan Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 1,117,753 | $ | 19,823,353 | $ | 20,131,499 | $ | 372 | $ | 41 | $ | 809,607 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through August 31, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015. |
61
GMO Trust Funds
Board Review of Management Agreements
August 31, 2014 (Unaudited)
GMO Emerging Countries Fund
Approval of renewal of management agreement for GMO Emerging Countries Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
GMO Emerging Domestic Opportunities Fund
Approval of renewal of management agreement for GMO Emerging Domestic Opportunities Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing
62
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
GMO Emerging Markets Fund
Approval of renewal of management agreement for GMO Emerging Markets Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
63
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
GMO Taiwan Fund
Approval of renewal of management agreement for GMO Taiwan Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
64
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
65
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2014 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2014.
As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2014 through August 31, 2014.
Actual Expenses
This section of the table for the class below provides information about actual account values and actual expenses. you may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for the class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
Emerging Countries Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,140.60 | $6.85 | $1,000.00 | $1,018.80 | $6.46 | 1.27% | |||||||||||||||||||||
Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,071.90 | $5.54 | $1,000.00 | $1,019.86 | $5.40 | 1.06% | |||||||||||||||||||||
Class III | $1,000.00 | $1,072.10 | $5.17 | $1,000.00 | $1,020.21 | $5.04 | 0.99% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,072.20 | $4.96 | $1,000.00 | $1,020.42 | $4.84 | 0.95% | |||||||||||||||||||||
Class V | $1,000.00 | $1,072.80 | $4.86 | $1,000.00 | $1,020.52 | $4.74 | 0.93% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,072.70 | $4.70 | $1,000.00 | $1,020.67 | $4.58 | 0.90% | |||||||||||||||||||||
Emerging Markets Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,146.10 | $5.68 | $1,000.00 | $1,019.91 | $5.35 | 1.05% | |||||||||||||||||||||
Class III | $1,000.00 | $1,145.70 | $5.41 | $1,000.00 | $1,020.16 | $5.09 | 1.00% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,145.80 | $5.14 | $1,000.00 | $1,020.42 | $4.84 | 0.95% | |||||||||||||||||||||
Class V | $1,000.00 | $1,146.10 | $4.87 | $1,000.00 | $1,020.67 | $4.58 | 0.90% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,145.80 | $4.71 | $1,000.00 | $1,020.82 | $4.43 | 0.87% | |||||||||||||||||||||
Taiwan Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,176.30 | $6.91 | $1,000.00 | $1,018.85 | $6.41 | 1.26% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31,2014, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
66
GMO Trust
Semiannual Report
August 31, 2014
Alpha Only Fund
Benchmark-Free Allocation Fund
Benchmark-Free Fund
Global Asset Allocation Fund
Global Developed Equity Allocation Fund
Global Equity Allocation Fund
International Developed Equity Allocation Fund
International Equity Allocation Fund
Special Opportunities Fund
Strategic Opportunities Allocation Fund
Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)
For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Trust’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect).
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivative risk.
1 | ||||
2 | ||||
11 | ||||
12 | ||||
28 | ||||
29 | ||||
30 | ||||
31 | ||||
33 | ||||
34 | ||||
35 | ||||
36 | ||||
37 | ||||
38 | ||||
39 | ||||
40 | ||||
41 | ||||
42 | ||||
47 | ||||
48 | ||||
Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | ||||
49 | ||||
50 | ||||
52 | ||||
53 | ||||
57 | ||||
60 | ||||
66 | ||||
77 | ||||
129 | ||||
140 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 75.5 | % | ||
Short-Term Investments | 23.3 | |||
Preferred Stocks | 0.7 | |||
Forward Currency Contracts | 0.4 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | (0.2 | ) | ||
Futures Contracts | (2.0 | ) | ||
Other | 2.3 | |||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | Swap contracts and futures contracts in the table are based on the net unrealized appreciation/depreciation of the respective contracts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to swaps contracts and futures contracts based on notional amounts are 12.4% and 64.4% of net assets, respectively. |
1
GMO Alpha Only Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 75.5% | ||||||||||
Australia — 0.4% | ||||||||||
2,830,379 | Arrium Ltd | 2,082,425 | ||||||||
242,076 | Bank of Queensland Ltd | 2,847,330 | ||||||||
1,136 | Bendigo and Adelaide Bank Ltd | 13,221 | ||||||||
568,491 | BlueScope Steel Ltd * | 2,931,250 | ||||||||
815,238 | Goodman Fielder Ltd | 487,584 | ||||||||
126,720 | Investa Office Fund (REIT) | 434,628 | ||||||||
1,563,508 | Mirvac Group (REIT) | 2,682,650 | ||||||||
351,024 | Pacific Brands Ltd | 173,618 | ||||||||
838,135 | Stockland (REIT) | 3,330,303 | ||||||||
784,087 | TABCORP Holdings Ltd | 2,629,493 | ||||||||
533,354 | Tatts Group Ltd | 1,655,092 | ||||||||
|
| |||||||||
Total Australia | 19,267,594 | |||||||||
|
| |||||||||
Austria — 0.1% | ||||||||||
112,003 | OMV AG | 4,324,967 | ||||||||
80,356 | Voestalpine AG | 3,449,570 | ||||||||
|
| |||||||||
Total Austria | 7,774,537 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
89,671 | Ageas | 3,009,745 | ||||||||
128,087 | Belgacom SA | 4,565,989 | ||||||||
89,928 | Delhaize Group | 6,263,033 | ||||||||
|
| |||||||||
Total Belgium | 13,838,767 | |||||||||
|
| |||||||||
Canada — 0.2% | ||||||||||
23,600 | Canadian Tire Corp Ltd | 2,437,921 | ||||||||
37,600 | Catamaran Corp * | 1,771,712 | ||||||||
112,600 | First Quantum Minerals Ltd | 2,527,882 | ||||||||
43,900 | Home Capital Group Inc | 2,189,146 | ||||||||
17,400 | RONA Inc | 228,682 | ||||||||
|
| |||||||||
Total Canada | 9,155,343 | |||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
3,673 | AP Moeller – Maersk A/S – Class A | 9,227,270 | ||||||||
29,529 | Carlsberg A/S – Class B | 2,699,779 | ||||||||
25,778 | Jyske Bank A/S (Registered) * | 1,411,227 | ||||||||
|
| |||||||||
Total Denmark | 13,338,276 | |||||||||
|
| |||||||||
Finland — 0.5% | ||||||||||
203,683 | Fortum Oyj | 5,116,873 | ||||||||
32,348 | Metso Oyj | 1,270,815 | ||||||||
44,363 | Neste Oil Oyj | 867,605 | ||||||||
1,780,215 | Nokia Oyj | 14,951,026 | ||||||||
220,442 | UPM – Kymmene Oyj | 3,318,097 | ||||||||
|
| |||||||||
Total Finland | 25,524,416 | |||||||||
|
| |||||||||
France — 6.3% | ||||||||||
4,854 | Air France – KLM * | 50,842 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
55,517 | Alstom SA * | 1,966,587 | ||||||||
476,021 | ArcelorMittal | 6,918,822 | ||||||||
148,266 | AXA | 3,679,039 | ||||||||
86,185 | BNP Paribas | 5,823,784 | ||||||||
156,621 | Bouygues SA | 5,756,247 | ||||||||
141,345 | Carrefour SA | 4,905,277 | ||||||||
114,826 | Cie Generale des Etablissements Michelin – Class B | 12,702,802 | ||||||||
61,804 | CNP Assurances | 1,220,195 | ||||||||
236,018 | Compagnie de Saint-Gobain | 11,990,800 | ||||||||
281,341 | Credit Agricole SA | 4,175,232 | ||||||||
130,045 | Electricite de France | 4,227,758 | ||||||||
1,139,703 | GDF Suez | 28,091,979 | ||||||||
15,708 | Lafarge SA | 1,204,542 | ||||||||
1,747,033 | Orange | 26,444,840 | ||||||||
303,091 | Peugeot SA * | 4,264,181 | ||||||||
133,831 | Renault SA | 10,487,501 | ||||||||
351,202 | Sanofi | 38,489,067 | ||||||||
141,737 | Schneider Electric SA | 11,990,749 | ||||||||
15,795 | SCOR SE | 483,652 | ||||||||
129,668 | Societe Generale | 6,576,850 | ||||||||
17,952 | Technicolor * | 137,910 | ||||||||
1,389,780 | Total SA | 91,709,523 | ||||||||
55,891 | Vallourec SA | 2,497,686 | ||||||||
229,977 | Veolia Environnement SA | 4,224,914 | ||||||||
264,269 | Vinci SA | 17,286,013 | ||||||||
1,031,341 | Vivendi SA | 26,855,235 | ||||||||
|
| |||||||||
Total France | 334,162,027 | |||||||||
|
| |||||||||
Germany — 4.6% | ||||||||||
86,558 | Allianz SE (Registered) | 14,781,818 | ||||||||
65,019 | Aurubis AG | 3,198,115 | ||||||||
494,850 | BASF SE | 51,015,815 | ||||||||
236,031 | Bayerische Motoren Werke AG | 27,546,560 | ||||||||
564,752 | Daimler AG (Registered) | 46,329,236 | ||||||||
134,121 | Deutsche Lufthansa AG (Registered) | 2,330,724 | ||||||||
140,293 | Deutsche Bank AG (Registered) | 4,810,106 | ||||||||
1,107,537 | Deutsche Telekom AG (Registered) | 16,598,835 | ||||||||
26,954 | Duerr AG | 2,081,027 | ||||||||
1,843,523 | E.ON AG | 33,552,229 | ||||||||
41,873 | Freenet AG | 1,121,972 | ||||||||
29,438 | Fresenius Medical Care AG & Co | 2,074,156 | ||||||||
19,297 | Hannover Rueck SE | 1,605,119 | ||||||||
403 | HeidelbergCement AG | 30,507 | ||||||||
117,684 | K+S AG (Registered) | 3,661,677 | ||||||||
106,477 | Kloeckner & Co SE * | 1,458,238 | ||||||||
84,601 | Metro AG * | 2,979,984 | ||||||||
34,957 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 7,018,459 | ||||||||
475,981 | RWE AG | 18,664,873 |
2 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
31,779 | Salzgitter AG | 1,188,471 | ||||||||
21,675 | Volkswagen AG | 4,869,926 | ||||||||
|
| |||||||||
Total Germany | 246,917,847 | |||||||||
|
| |||||||||
Hong Kong — 0.3% | ||||||||||
104,000 | Cheung Kong Holdings Ltd | 1,897,196 | ||||||||
1,882,100 | Esprit Holdings Ltd | 3,053,873 | ||||||||
69,000 | Hongkong Land Holdings Ltd | 472,756 | ||||||||
10,000 | Kerry Properties Ltd | 37,086 | ||||||||
396,500 | Link (REIT) | 2,354,964 | ||||||||
352,626 | Sun Hung Kai Properties Ltd | 5,353,296 | ||||||||
68,500 | Swire Pacific Ltd – Class A | 923,393 | ||||||||
235,000 | Wharf Holdings Ltd (The) | 1,840,388 | ||||||||
10,000 | Wheelock & Co Ltd | 52,389 | ||||||||
545,700 | Yue Yuen Industrial Holdings | 1,687,599 | ||||||||
|
| |||||||||
Total Hong Kong | 17,672,940 | |||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
229,857 | CRH Plc | 5,297,673 | ||||||||
97,825 | Smurfit Kappa Group Plc | 2,220,222 | ||||||||
|
| |||||||||
Total Ireland | 7,517,895 | |||||||||
|
| |||||||||
Israel — 0.4% | ||||||||||
236,476 | Bank Hapoalim BM | 1,340,096 | ||||||||
797,972 | Bank Leumi Le-Israel * | 3,115,768 | ||||||||
200,400 | Check Point Software Technologies Ltd * | 14,232,408 | ||||||||
1,226,444 | Israel Discount Bank Ltd – Class A * | 2,061,052 | ||||||||
100,218 | Partner Communications Co Ltd * | 722,706 | ||||||||
|
| |||||||||
Total Israel | 21,472,030 | |||||||||
|
| |||||||||
Italy — 1.9% | ||||||||||
2,483,452 | A2A SPA | 2,725,338 | ||||||||
5,247,334 | Enel SPA | 27,793,412 | ||||||||
1,396,291 | ENI SPA | 34,866,833 | ||||||||
65,892 | Exor SPA | 2,624,222 | ||||||||
504,419 | Fiat SPA * | 4,933,241 | ||||||||
296,394 | Finmeccanica SPA * | 2,779,386 | ||||||||
40,136 | Italcementi SPA-Di RISP | 290,380 | ||||||||
627,946 | Mediaset SPA * | 2,597,282 | ||||||||
243,734 | Mediolanum SPA | 1,815,171 | ||||||||
24,655 | Recordati SPA | 401,688 | ||||||||
86,416 | Saipem SPA * | 2,052,050 | ||||||||
9,993,176 | Telecom Italia SPA * | 11,527,913 | ||||||||
5,401,458 | Telecom Italia SPA-Di RISP | 4,974,076 | ||||||||
|
| |||||||||
Total Italy | 99,380,992 | |||||||||
|
| |||||||||
Japan — 6.0% | ||||||||||
8,100 | Adastria Holdings Co Ltd | 162,264 | ||||||||
258,600 | Aeon Co Ltd | 2,796,361 | ||||||||
42,700 | Aisin Seiki Co Ltd | 1,580,424 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
29,900 | Alfresa Holdings Corp | 1,776,131 | ||||||||
8,200 | Aoyama Trading Co Ltd | 202,968 | ||||||||
316,000 | Asahi Glass Co Ltd | 1,712,308 | ||||||||
246,000 | Asahi Kasei Corp | 1,974,011 | ||||||||
10,500 | Asatsu-DK Inc | 277,082 | ||||||||
51,200 | Brother Industries Ltd | 993,744 | ||||||||
201,000 | Calsonic Kansei Corp | 1,160,406 | ||||||||
300,200 | Canon Inc | 9,796,598 | ||||||||
29,500 | Central Japan Railway Co | 4,136,285 | ||||||||
148,400 | Chubu Electric Power Co Inc * | 1,714,687 | ||||||||
1,030,000 | Cosmo Oil Co Ltd | 1,931,855 | ||||||||
48,700 | Daihatsu Motor Co Ltd | 836,212 | ||||||||
7,500 | Daiichi Sankyo Co Ltd | 132,718 | ||||||||
243,000 | Daikyo Inc | 465,649 | ||||||||
35,300 | Daito Trust Construction Co Ltd | 4,369,753 | ||||||||
1,000 | Dai Nippon Printing Co Ltd | 10,497 | ||||||||
111,000 | Denki Kagaku Kogyo KK | 376,101 | ||||||||
8,000 | DIC Corp | 18,251 | ||||||||
17,300 | Electric Power Development Co Ltd | 566,755 | ||||||||
75,800 | FujiFilm Holdings Corp | 2,288,720 | ||||||||
49,600 | Fuji Oil Co Ltd | 815,324 | ||||||||
92,000 | Gunze Ltd | 260,087 | ||||||||
126,200 | Hakuhodo DY Holdings Inc | 1,305,952 | ||||||||
166,000 | Hanwa Co Ltd | 654,942 | ||||||||
162,700 | Haseko Corp | 1,348,039 | ||||||||
29,500 | Hitachi Chemical Co Ltd | 549,215 | ||||||||
475,900 | Honda Motor Co Ltd | 16,155,020 | ||||||||
67,400 | Idemitsu Kosan Co Ltd | 1,479,321 | ||||||||
467,500 | INPEX Corp | 6,702,630 | ||||||||
106,000 | IT Holdings Corp | 1,954,563 | ||||||||
792,600 | Itochu Corp | 10,085,808 | ||||||||
823,800 | Japan Tobacco Inc | 28,226,325 | ||||||||
164,600 | JFE Holdings Inc | 3,332,274 | ||||||||
25,000 | JSR Corp | 434,646 | ||||||||
1,005,100 | JX Holdings Inc | 5,172,030 | ||||||||
96,300 | K’s Holdings Corp | 2,690,330 | ||||||||
43,000 | Kaneka Corp | 254,516 | ||||||||
1,566,000 | Kawasaki Kisen Kaisha Ltd | 3,769,269 | ||||||||
66,705 | KDDI Corp | 3,854,565 | ||||||||
1,778,000 | Kobe Steel Ltd | 2,892,394 | ||||||||
20,800 | Kohnan Shoji Co Ltd | 218,408 | ||||||||
63,200 | Kuraray Co Ltd | 787,392 | ||||||||
214,000 | Kyocera Corp | 10,023,326 | ||||||||
155,700 | Leopalace21 Corp * | 895,988 | ||||||||
883,900 | Marubeni Corp | 6,382,860 | ||||||||
131,600 | Medipal Holdings Corp | 1,704,162 | ||||||||
833,600 | Mitsubishi Chemical Holdings Corp | 4,161,175 | ||||||||
687,500 | Mitsubishi Corp | 14,224,786 | ||||||||
455,300 | Mitsubishi UFJ Financial Group Inc | 2,624,185 | ||||||||
111,200 | Mitsubishi UFJ Lease & Finance Co Ltd | 594,374 |
See accompanying notes to the financial statements. | 3 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
962,000 | Mitsui Chemicals Inc | 2,841,633 | ||||||||
1,136,000 | Mitsui Engineering & Shipbuilding Co Ltd | 2,481,888 | ||||||||
812,000 | Mitsui & Co Ltd | 13,247,178 | ||||||||
293,000 | Mitsui Mining & Smelting Co Ltd | 902,711 | ||||||||
745,000 | Mitsui OSK Lines Ltd | 2,729,963 | ||||||||
119,000 | Net One Systems Co Ltd | 741,704 | ||||||||
52,000 | Nichirei Corp | 244,998 | ||||||||
478,800 | Nippon Light Metal Co Ltd | 765,175 | ||||||||
3,000 | Nippon Paper Industries Co Ltd | 48,426 | ||||||||
114,000 | Nippon Electric Glass Co Ltd | 573,601 | ||||||||
249,400 | Nippon Telegraph & Telephone Corp | 16,752,280 | ||||||||
963,000 | Nippon Yusen Kabushiki Kaisha | 2,834,794 | ||||||||
150,400 | Nipro Corp | 1,327,680 | ||||||||
2,942,500 | Nissan Motor Co Ltd | 28,264,261 | ||||||||
137,000 | Nisshinbo Holdings Inc | 1,278,770 | ||||||||
21,000 | Nisshin Seifun Group Inc | 242,214 | ||||||||
12,600 | NOK Corp | 272,302 | ||||||||
132,400 | North Pacific Bank Ltd | 537,117 | ||||||||
619,000 | NTT Docomo Inc | 10,719,323 | ||||||||
15,800 | Okinawa Electric Power Co | 514,273 | ||||||||
438 | ORIX JREIT Inc (REIT) | 586,097 | ||||||||
354,000 | Osaka Gas Co Ltd | 1,455,931 | ||||||||
37,000 | Rengo Co Ltd | 173,920 | ||||||||
580,700 | Resona Holdings Inc | 3,151,904 | ||||||||
191,800 | Ricoh Co Ltd | 2,081,898 | ||||||||
70,500 | Round One Corp | 458,843 | ||||||||
3,700 | Ryohin Keikaku Co Ltd | 415,681 | ||||||||
800 | Sega Sammy Holdings Inc | 15,273 | ||||||||
8,000 | Seino Holdings Co Ltd | 75,066 | ||||||||
99,000 | Sekisui House Ltd | 1,244,860 | ||||||||
13,900 | Shimamura Co Ltd | 1,253,103 | ||||||||
415,000 | Showa Denko KK | 598,845 | ||||||||
292,300 | Showa Shell Sekiyu KK | 3,138,651 | ||||||||
2,406,700 | Sojitz Corp | 3,984,312 | ||||||||
108,000 | Sumitomo Chemical Co Ltd | 387,725 | ||||||||
159,000 | Sumitomo Heavy Industries Ltd | 821,851 | ||||||||
430,500 | Sumitomo Mitsui Construction Co Ltd * | 526,110 | ||||||||
46,700 | Sumitomo Rubber Industries | 667,897 | ||||||||
634,400 | Sumitomo Corp | 8,195,978 | ||||||||
1,000 | Sumitomo Electric Industries Ltd | 14,660 | ||||||||
10,400 | Sumitomo Forestry Co Ltd | 116,209 | ||||||||
193,000 | Sumitomo Metal Mining Co Ltd | 2,930,781 | ||||||||
26,100 | Sumitomo Mitsui Financial Group Inc | 1,055,722 | ||||||||
28,700 | Suzuken Co Ltd | 956,159 | ||||||||
159,500 | Takeda Pharmaceutical Co Ltd | 7,286,562 | ||||||||
9,000 | TDK Corp | 448,727 | ||||||||
79,000 | Tokuyama Corp | 261,683 | ||||||||
650,100 | Tokyo Electric Power Co Inc (The) * | 2,347,263 | ||||||||
131,000 | TonenGeneral Sekiyu KK | 1,194,922 | ||||||||
725,000 | Tosoh Corp | 3,002,168 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
173,300 | Toyota Tsusho Corp | 4,578,168 | ||||||||
352,000 | Ube Industries Ltd | 596,009 | ||||||||
265,400 | UNY Co Ltd | 1,492,126 | ||||||||
34,900 | West Japan Railway Co | 1,651,230 | ||||||||
1,026,600 | Yamada Denki Co Ltd | 3,298,139 | ||||||||
41,000 | Yokohama Rubber Co Ltd (The) | 364,615 | ||||||||
|
| |||||||||
Total Japan | 320,983,065 | |||||||||
|
| |||||||||
Netherlands — 0.7% | ||||||||||
578,259 | Aegon NV | 4,572,662 | ||||||||
41,252 | Corbion NV | 691,144 | ||||||||
22,890 | Delta Lloyd NV | 551,553 | ||||||||
18,113 | Fugro NV | 656,856 | ||||||||
35,250 | Heineken NV | 2,683,728 | ||||||||
568,550 | ING Groep NV * | 7,824,874 | ||||||||
481,979 | Koninklijke Ahold NV | 8,234,479 | ||||||||
226,072 | Koninklijke BAM Groep NV | 535,635 | ||||||||
22,237 | Koninklijke DSM NV | 1,485,689 | ||||||||
2,210,293 | Koninklijke KPN NV * | 7,378,067 | ||||||||
|
| |||||||||
Total Netherlands | 34,614,687 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
223,499 | Chorus Ltd | 328,274 | ||||||||
244,366 | Fletcher Building Ltd | 1,881,680 | ||||||||
1,269,344 | Spark New Zealand Ltd | 3,115,793 | ||||||||
|
| |||||||||
Total New Zealand | 5,325,747 | |||||||||
|
| |||||||||
Norway — 0.8% | ||||||||||
31,317 | Aker Solutions ASA | 476,300 | ||||||||
144,230 | DNB ASA | 2,699,170 | ||||||||
8,551 | Fred Olsen Energy ASA | 200,920 | ||||||||
198,350 | Golden Ocean Group Ltd | 326,850 | ||||||||
76,546 | Petroleum Geo-Services ASA | 576,946 | ||||||||
787,464 | Statoil ASA | 22,151,200 | ||||||||
86,748 | Storebrand ASA * | 483,442 | ||||||||
77,851 | Subsea 7 SA | 1,297,782 | ||||||||
193,881 | Telenor ASA | 4,453,668 | ||||||||
53,251 | TGS Nopec Geophysical Co ASA | 1,504,571 | ||||||||
111,205 | Yara International ASA | 5,575,604 | ||||||||
|
| |||||||||
Total Norway | 39,746,453 | |||||||||
|
| |||||||||
Portugal — 0.1% | ||||||||||
1,369,432 | EDP-Energias de Portugal SA | 6,635,283 | ||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
1,510,000 | Ezra Holdings Ltd | 1,353,383 | ||||||||
8,304,000 | Golden Agri-Resources Ltd | 3,389,977 | ||||||||
3,094,000 | Noble Group Ltd | 3,363,544 | ||||||||
129,600 | Singapore Technologies Engineering Ltd | 379,563 |
4 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Singapore — continued | ||||||||||
480,000 | Swiber Holdings Ltd | 188,391 | ||||||||
2,420,000 | Yangzijiang Shipbuilding Holdings Ltd | 2,256,392 | ||||||||
|
| |||||||||
Total Singapore | 10,931,250 | |||||||||
|
| |||||||||
Spain — 1.9% | ||||||||||
15,595 | Acciona SA * | 1,248,247 | ||||||||
72,543 | ACS Actividades de Construccion y Servicios SA | 3,055,642 | ||||||||
88,290 | Enagas | 2,944,826 | ||||||||
241,674 | Gas Natural SDG SA | 7,410,038 | ||||||||
3,515,437 | Iberdrola SA | 25,829,546 | ||||||||
167,064 | Indra Sistemas SA | 2,512,432 | ||||||||
165,480 | Mapfre SA | 620,626 | ||||||||
493,549 | Repsol YPF SA | 12,257,428 | ||||||||
2,928,325 | Telefonica SA | 46,457,245 | ||||||||
|
| |||||||||
Total Spain | 102,336,030 | |||||||||
|
| |||||||||
Sweden — 0.5% | ||||||||||
670,795 | Ericsson LM – Class B | 8,359,138 | ||||||||
15,922 | Industrivarden AB – Class C | 287,293 | ||||||||
55,555 | Investor AB | 2,063,163 | ||||||||
41,879 | Sandvik AB | 522,806 | ||||||||
95,791 | Skanska AB – Class B | 1,982,349 | ||||||||
141,165 | Tele2 AB – B Shares | 1,758,339 | ||||||||
1,499,200 | TeliaSonera AB | 10,949,924 | ||||||||
238,151 | Volvo AB – Class B | 2,847,341 | ||||||||
|
| |||||||||
Total Sweden | 28,770,353 | |||||||||
|
| |||||||||
Switzerland — 0.6% | ||||||||||
84,444 | ABB Ltd (Registered) | 1,920,630 | ||||||||
91,662 | Holcim Ltd (Registered) | 7,295,530 | ||||||||
69,892 | Novartis AG (Registered) | 6,279,549 | ||||||||
6,107 | Swiss Life Holding AG (Registered) | 1,540,661 | ||||||||
4,445 | Swisscom AG (Registered) | 2,582,312 | ||||||||
69,270 | Transocean Ltd | 2,668,406 | ||||||||
24,206 | Zurich Insurance Group AG | 7,307,844 | ||||||||
|
| |||||||||
Total Switzerland | 29,594,932 | |||||||||
|
| |||||||||
United Kingdom — 5.8% | ||||||||||
169,142 | Amlin Plc | 1,264,394 | ||||||||
593,742 | AstraZeneca Plc | 45,307,498 | ||||||||
485,863 | Aviva Plc | 4,205,070 | ||||||||
692,217 | BAE Systems Plc | 5,122,438 | ||||||||
797,969 | Balfour Beatty Plc | 3,212,761 | ||||||||
243,787 | BG Group Plc | 4,859,547 | ||||||||
7,146,363 | BP Plc | 57,006,969 | ||||||||
75,086 | Bunzl Plc | 2,052,622 | ||||||||
82,343 | Cairn Energy Plc * | 245,683 | ||||||||
72,333 | Cape Plc | 373,261 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
105,273 | Carillion Plc | 588,731 | ||||||||
152,423 | Catlin Group Ltd | 1,301,406 | ||||||||
1,474,327 | Centrica Plc | 7,825,915 | ||||||||
373,357 | Cobham Plc | 1,842,698 | ||||||||
657,792 | Debenhams Plc | 725,720 | ||||||||
96,441 | Direct Line Insurance Group Plc | 478,645 | ||||||||
366,969 | Dixons Carphone Plc | 2,104,043 | ||||||||
230,020 | Drax Group Plc | 2,396,522 | ||||||||
1,228,692 | FirstGroup Plc * | 2,596,747 | ||||||||
175,915 | Friends Life Group Ltd | 896,863 | ||||||||
872,250 | Glencore Plc | 5,252,216 | ||||||||
16,015 | Halfords Group Plc | 126,867 | ||||||||
655,503 | Home Retail Group Plc | 1,995,543 | ||||||||
308,469 | Imperial Tobacco Group Plc | 13,463,114 | ||||||||
201,682 | Inchcape Plc | 2,262,767 | ||||||||
202,138 | Intermediate Capital Group Plc | 1,370,906 | ||||||||
17,798 | JD Wetherspoon Plc | 220,138 | ||||||||
452,920 | J Sainsbury Plc | 2,186,859 | ||||||||
410,072 | Kingfisher Plc | 2,070,152 | ||||||||
36,039 | Ladbrokes Plc | 79,793 | ||||||||
14,942 | Lancashire Holdings Ltd | 155,409 | ||||||||
2,404,178 | Man Group Plc | 4,729,730 | ||||||||
463,452 | Marks & Spencer Group Plc | 3,310,409 | ||||||||
34,896 | Micro Focus International Plc | 505,300 | ||||||||
46,146 | Mitie Group Plc | 242,258 | ||||||||
43,553 | National Express Group Plc | 185,637 | ||||||||
19,162 | Next Plc | 2,257,904 | ||||||||
146,630 | Pearson Plc | 2,705,737 | ||||||||
50,148 | Premier Oil Plc | 289,784 | ||||||||
1,161,047 | Royal Dutch Shell Plc A Shares (London) | 46,989,488 | ||||||||
743,037 | Royal Dutch Shell Plc B Shares (London) | 31,385,148 | ||||||||
219,493 | RSA Insurance Group Plc | 1,669,630 | ||||||||
207,269 | Scottish & Southern Energy Plc | 5,227,601 | ||||||||
35,474 | Serco Group Plc | 183,268 | ||||||||
161,697 | Spirit Pub Co Plc | 201,910 | ||||||||
278,864 | Standard Life Assurance Plc | 1,781,645 | ||||||||
2,739,900 | Tesco Plc | 10,473,096 | ||||||||
1,329,622 | Thomas Cook Group Plc * | 2,758,438 | ||||||||
464,975 | TUI Travel Plc | 2,876,668 | ||||||||
3,713,682 | Vodafone Group Plc | 12,763,482 | ||||||||
1,313,612 | WM Morrison Supermarkets Plc | 3,874,804 | ||||||||
|
| |||||||||
Total United Kingdom | 308,003,234 | |||||||||
|
| |||||||||
United States — 43.4% | ||||||||||
268,700 | 3M Co. | 38,692,800 | ||||||||
501,700 | Abbott Laboratories | 21,191,808 | ||||||||
251,100 | Accenture Plc – Class A | 20,354,166 | ||||||||
33,300 | Akamai Technologies, Inc. * | 2,011,986 | ||||||||
35,700 | Allergan, Inc. | 5,843,376 |
See accompanying notes to the financial statements. | 5 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
356,900 | Amazon.com, Inc. * | 121,003,376 | ||||||||
65,000 | Ametek, Inc. | 3,441,100 | ||||||||
115,000 | Amgen, Inc. | 16,028,700 | ||||||||
36,200 | Amphenol Corp. – Class A | 3,728,962 | ||||||||
105,000 | Analog Devices, Inc. | 5,367,600 | ||||||||
20,000 | Ansys, Inc. * | 1,626,000 | ||||||||
131,200 | Apache Corp. | 13,360,096 | ||||||||
30,700 | Apollo Education Group, Inc. * | 852,539 | ||||||||
581,900 | Apple, Inc. | 59,644,750 | ||||||||
6,900 | Applied Industrial Technologies, Inc. | 336,099 | ||||||||
16,400 | AptarGroup, Inc. | 1,052,060 | ||||||||
200,200 | Baxter International, Inc. | 15,010,996 | ||||||||
72,600 | Becton, Dickinson and Co. | 8,506,542 | ||||||||
243,900 | Bed Bath & Beyond, Inc. * | 15,673,014 | ||||||||
49,200 | Biogen Idec, Inc. * | 16,877,568 | ||||||||
24,000 | Brown-Forman Corp. – Class B | 2,223,840 | ||||||||
2,400 | Buckle, Inc. (The) | 118,032 | ||||||||
3,300 | Buffalo Wild Wings, Inc. * | 487,575 | ||||||||
98,200 | CA, Inc. | 2,773,168 | ||||||||
200 | Capella Education Co. | 13,022 | ||||||||
61,300 | Cerner Corp. * | 3,534,558 | ||||||||
863,400 | Chevron Corp. | 111,767,130 | ||||||||
44,300 | Church & Dwight Co., Inc. | 3,023,032 | ||||||||
51,200 | CH Robinson Worldwide, Inc. | 3,494,912 | ||||||||
1,998,800 | Cisco Systems, Inc. | 49,950,012 | ||||||||
64,900 | Citrix Systems, Inc. * | 4,559,874 | ||||||||
12,000 | Clarcor, Inc. | 758,520 | ||||||||
75,600 | Coach, Inc. | 2,784,348 | ||||||||
1,629,100 | Coca-Cola Co. (The) | 67,966,052 | ||||||||
217,100 | Cognizant Technology Solutions Corp. – Class A * | 9,927,983 | ||||||||
362,900 | Colgate-Palmolive Co. | 23,490,517 | ||||||||
469,200 | ConocoPhillips | 38,108,424 | ||||||||
7,400 | Copart, Inc. * | 254,782 | ||||||||
126,400 | Costco Wholesale Corp. | 15,304,512 | ||||||||
207,200 | Covidien Plc | 17,991,176 | ||||||||
26,900 | CR Bard, Inc. | 3,993,036 | ||||||||
233,600 | Danaher Corp. | 17,896,096 | ||||||||
18,400 | Denbury Resources, Inc. | 316,848 | ||||||||
59,300 | Devon Energy Corp. | 4,472,406 | ||||||||
3,300 | Dolby Laboratories, Inc. – Class A * | 153,714 | ||||||||
33,600 | Donaldson Co., Inc. | 1,406,496 | ||||||||
49,300 | Dover Corp. | 4,331,991 | ||||||||
442,600 | eBay, Inc. * | 24,564,300 | ||||||||
24,700 | Edwards Lifesciences Corp. * | 2,451,722 | ||||||||
147,800 | Eli Lilly & Co. | 9,394,168 | ||||||||
757,600 | EMC Corp. | 22,371,928 | ||||||||
316,100 | Emerson Electric Co. | 20,236,722 | ||||||||
27,200 | Equifax, Inc. | 2,142,272 | ||||||||
39,700 | Estee Lauder Cos., Inc. (The) – Class A | 3,050,151 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
66,000 | Expeditors International of Washington, Inc. | 2,725,800 | ||||||||
1,606,500 | Express Scripts Holding Co. * | 118,768,545 | ||||||||
975,000 | Exxon Mobil Corp. | 96,973,500 | ||||||||
22,000 | F5 Networks, Inc. * | 2,732,180 | ||||||||
8,500 | FactSet Research Systems, Inc. | 1,082,900 | ||||||||
52,600 | Fastenal Co. | 2,381,728 | ||||||||
11,500 | Flowserve Corp. | 872,735 | ||||||||
12,800 | Fossil Group, Inc. * | 1,296,512 | ||||||||
98,300 | Freeport–McMoRan Copper & Gold, Inc. | 3,575,171 | ||||||||
15,900 | Garmin Ltd | 863,847 | ||||||||
8,900 | Gartner, Inc. * | 663,851 | ||||||||
38,000 | General Mills, Inc. | 2,028,440 | ||||||||
39,400 | Gentex Corp. | 1,164,270 | ||||||||
53,200 | Genuine Parts Co. | 4,667,768 | ||||||||
4,000 | Global Payments, Inc. | 290,880 | ||||||||
122,600 | Google, Inc. – Class A * | 71,397,336 | ||||||||
44,600 | Google, Inc. – Class C * | 25,493,360 | ||||||||
12,400 | Grand Canyon Education, Inc. * | 536,176 | ||||||||
27,400 | Hasbro, Inc. | 1,442,747 | ||||||||
10,400 | Heartland Express, Inc. | 243,880 | ||||||||
32,300 | Henry Schein, Inc. * | 3,865,987 | ||||||||
40,100 | Herbalife Ltd. | 2,044,298 | ||||||||
28,500 | Hershey Co. (The) | 2,605,470 | ||||||||
73,700 | Hess Corp. | 7,451,070 | ||||||||
23,000 | Hewlett-Packard Co. | 874,000 | ||||||||
5,600 | Hibbett Sports, Inc. * | 254,408 | ||||||||
32,800 | Honeywell International, Inc. | 3,123,544 | ||||||||
38,900 | Hormel Foods Corp. | 1,971,452 | ||||||||
15,700 | Hubbell, Inc. – Class B | 1,898,130 | ||||||||
64,300 | Humana, Inc. | 8,277,982 | ||||||||
7,600 | Idexx Laboratories, Inc. * | 942,172 | ||||||||
157,600 | Illinois Tool Works, Inc. | 13,901,896 | ||||||||
19,800 | Informatica Corp. * | 674,289 | ||||||||
8,700 | International Flavors & Fragrances, Inc. | 883,833 | ||||||||
404,700 | International Business Machines Corp. | 77,823,810 | ||||||||
86,900 | Intuit, Inc. | 7,228,342 | ||||||||
8,700 | Intuitive Surgical, Inc. * | 4,089,087 | ||||||||
2,100 | J&J Snack Foods Corp. | 198,891 | ||||||||
23,200 | Jack Henry & Associates, Inc. | 1,341,192 | ||||||||
5,800 | JB Hunt Transport Services, Inc. | 438,190 | ||||||||
776,700 | Johnson & Johnson | 80,567,091 | ||||||||
1,046,200 | JPMorgan Chase & Co. | 62,196,590 | ||||||||
11,400 | Knight Transportation, Inc. | 288,990 | ||||||||
13,500 | Laboratory Corp. of America Holdings * | 1,447,605 | ||||||||
5,500 | Lancaster Colony Corp. | 486,255 | ||||||||
12,500 | Landstar System, Inc. | 848,313 | ||||||||
63,900 | Linear Technology Corp. | 2,882,529 | ||||||||
292,000 | Marathon Oil Corp. | 12,173,480 | ||||||||
13,100 | Masimo Corp. * | 293,964 | ||||||||
179,900 | Mastercard, Inc. – Class A | 13,638,219 |
6 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
125,800 | Mattel, Inc. | 4,338,842 | ||||||||
35,900 | McCormick & Co., Inc. (Non Voting) | 2,501,871 | ||||||||
318,900 | McDonald’s Corp. | 29,887,308 | ||||||||
15,800 | Mednax, Inc. * | 904,550 | ||||||||
127,700 | Medtronic, Inc. | 8,153,645 | ||||||||
7,300 | Mettler-Toledo International, Inc. * | 1,974,504 | ||||||||
18,400 | Micros Systems, Inc. * | 1,250,648 | ||||||||
2,427,800 | Microsoft Corp. | 110,294,954 | ||||||||
177,300 | Monsanto Co. | 20,504,745 | ||||||||
23,500 | Monster Beverage Corp. * | 2,077,635 | ||||||||
10,200 | MSC Industrial Direct Co., Inc. – Class A | 919,428 | ||||||||
70,600 | Murphy Oil Corp. | 4,410,382 | ||||||||
1,700 | MWI Veterinary Supply, Inc. * | 241,485 | ||||||||
37,900 | NetApp, Inc. | 1,597,864 | ||||||||
6,000 | Netscout Systems, Inc. * | 276,420 | ||||||||
12,700 | NeuStar, Inc. – Class A * | 374,523 | ||||||||
2,400 | Newfield Exploration Co. * | 107,568 | ||||||||
242,000 | Nike, Inc. – Class B | 19,009,100 | ||||||||
221,800 | Occidental Petroleum Corp. | 23,007,314 | ||||||||
29,500 | Oceaneering International, Inc. | 2,052,020 | ||||||||
2,410,600 | Oracle Corp. | 100,112,218 | ||||||||
4,200 | Owens & Minor, Inc. | 144,480 | ||||||||
28,200 | Pall Corp. | 2,379,234 | ||||||||
3,100 | Panera Bread Co. – Class A * | 464,814 | ||||||||
15,000 | Patterson Cos., Inc. | 604,050 | ||||||||
98,900 | Paychex, Inc. | 4,119,185 | ||||||||
219,800 | PepsiCo, Inc. | 20,329,302 | ||||||||
1,362,100 | Philip Morris International, Inc. | 116,568,518 | ||||||||
14,900 | Polaris Industries, Inc. | 2,166,162 | ||||||||
46,800 | Precision Castparts Corp. | 11,422,008 | ||||||||
806,500 | Procter & Gamble Co. (The) | 67,028,215 | ||||||||
686,300 | Qualcomm, Inc. | 52,227,430 | ||||||||
15,400 | Ralph Lauren Corp. | 2,605,680 | ||||||||
27,600 | Red Hat, Inc. * | 1,681,392 | ||||||||
22,300 | ResMed, Inc. | 1,183,015 | ||||||||
91,400 | Reynolds American, Inc. | 5,344,158 | ||||||||
46,600 | Rockwell Automation, Inc. | 5,434,026 | ||||||||
11,400 | Rockwell Collins, Inc. | 877,572 | ||||||||
2,200 | Rollins, Inc. | 65,450 | ||||||||
20,000 | Roper Industries, Inc. | 3,011,200 | ||||||||
39,900 | Ross Stores, Inc. | 3,009,258 | ||||||||
11,900 | Scripps Networks Interactive, Inc. – Class A | 948,549 | ||||||||
37,400 | Sigma-Aldrich Corp. | 3,889,600 | ||||||||
12,700 | Sirona Dental Systems, Inc. * | 1,035,177 | ||||||||
4,700 | Snap-On, Inc. | 587,265 | ||||||||
12,200 | Steven Madden Ltd. * | 414,678 | ||||||||
4,500 | Stone Energy Corp. * | 158,355 | ||||||||
123,900 | Stryker Corp. | 10,322,109 | ||||||||
102,800 | St Jude Medical, Inc. | 6,742,652 | ||||||||
6,500 | Synaptics, Inc. * | 533,650 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,300 | Syntel, Inc. * | 116,181 | ||||||||
139,900 | Sysco Corp. | 5,292,417 | ||||||||
8,300 | Techne Corp. | 792,816 | ||||||||
338,500 | Teradata Corp. * | 15,459,295 | ||||||||
26,100 | Texas Roadhouse, Inc. | 693,999 | ||||||||
23,500 | Tiffany & Co. | 2,372,090 | ||||||||
100,800 | TJX Cos., Inc. (The) | 6,008,688 | ||||||||
4,200 | Toro Co. (The) | 258,426 | ||||||||
58,700 | Total System Services, Inc. | 1,846,702 | ||||||||
14,500 | Tupperware Brands Corp. | 1,062,270 | ||||||||
10,700 | United Natural Foods, Inc. * | 687,903 | ||||||||
375,300 | UnitedHealth Group, Inc. | 32,531,004 | ||||||||
26,800 | Urban Outfitters, Inc. * | 1,066,372 | ||||||||
2,900 | Valmont Industries, Inc. | 408,175 | ||||||||
34,600 | Varian Medical Systems, Inc. * | 2,941,692 | ||||||||
127,800 | VF Corp. | 8,194,536 | ||||||||
21,800 | Wabtec Corp. | 1,817,248 | ||||||||
450,700 | Wal-Mart Stores, Inc. | 34,027,850 | ||||||||
24,700 | Waters Corp. * | 2,554,721 | ||||||||
900 | WD-40 Co. | 61,830 | ||||||||
29,800 | WellPoint, Inc. | 3,471,998 | ||||||||
268,800 | Wells Fargo & Co. | 13,827,072 | ||||||||
1,600 | Whiting Petroleum Corp. * | 148,256 | ||||||||
12,300 | WPX Energy, Inc. * | 327,426 | ||||||||
19,300 | WW Grainger, Inc. | 4,751,660 | ||||||||
88,200 | Xilinx, Inc. | 3,726,450 | ||||||||
45,700 | Zimmer Holdings, Inc. | 4,538,467 | ||||||||
|
| |||||||||
Total United States | 2,308,109,314 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $3,890,632,275) | 4,011,073,012 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.7% | ||||||||||
Germany — 0.7% | ||||||||||
117,169 | Porsche Automobil Holding SE | 10,693,355 | ||||||||
120,916 | Volkswagen AG | 27,252,651 | ||||||||
|
| |||||||||
Total Germany | 37,946,006 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $43,469,669) | 37,946,006 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
France — 0.0% | ||||||||||
395,065 | Peugeot SA Warrants, Expires 04/29/17 * | 836,782 | ||||||||
|
|
See accompanying notes to the financial statements. | 7 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value | Description | Value ($) | ||||||||
Hong Kong — 0.0% | ||||||||||
26,833 | Sun Hung Kai Properties Ltd Warrants, Expires 04/22/16 * | 66,130 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $557,846) | 902,912 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 23.3% | ||||||||||
Time Deposits — 0.8% | ||||||||||
JPY | 14,742,183 | Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 0.01%, due 09/02/14 | 141,690 | |||||||
AUD | 153,850 | BNP Paribas (Paris) Time Deposit, 1.87%, due 09/02/14 | 143,688 | |||||||
DKK | 112 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, 09/02/14 (a) | 20 | |||||||
EUR | 9,189 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 09/02/14 | 12,073 | |||||||
SEK | 68,373 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.02%, due 09/02/14 | 9,783 | |||||||
USD | 17,293,756 | Citibank (New York) Time Deposit, 0.06%, due 09/02/14 | 17,293,756 | |||||||
NOK | 1,063,095 | DnB Nor Bank (Oslo) Time Deposit, 0.53%, due 09/02/14 | 171,524 | |||||||
USD | 26,372,983 | DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/02/14 | 26,372,983 | |||||||
|
| |||||||||
Total Time Deposits | 44,145,517 | |||||||||
|
| |||||||||
U.S. Government — 22.5% | ||||||||||
290,000,000 | U.S. Treasury Bill, 0.05%, due 06/25/15 (b) | 289,874,720 | ||||||||
60,000,000 | U.S. Treasury Bill, 0.02%, due 12/11/14 (b) | 59,996,640 | ||||||||
100,000,000 | U.S. Treasury Bill, 0.04%, due 02/05/15 (b) | 99,983,700 | ||||||||
110,000,000 | U.S. Treasury Bill, 0.05%, due 03/05/15 (b) | 109,973,270 | ||||||||
75,000,000 | U.S. Treasury Bill, 0.05%, due 04/02/15 (b) | 74,979,000 | ||||||||
185,000,000 | U.S. Treasury Bill, 0.05%, due 04/30/15 (b) | 184,941,355 | ||||||||
330,000,000 | U.S. Treasury Bill, 0.05%, due 05/28/15 (b) | 329,883,180 |
Par Value | Description | Value ($) | ||||||||
U.S. Government — continued | ||||||||||
45,000,000 | U.S. Treasury Bill, 0.02%, due 11/13/14 (b) | 44,998,425 | ||||||||
|
| |||||||||
Total U.S. Government | 1,194,630,290 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,238,412,433) | 1,238,775,807 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.5% (Cost $5,173,072,223) | 5,288,697,737 | |||||||||
Other Assets and Liabilities (net) — 0.5% | 24,444,678 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $5,313,142,415 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/24/2014 | GS | AUD | 47,329,500 | USD | 43,915,954 | $ | (126,564 | ) | ||||||||||||||
10/24/2014 | MSCI | AUD | 47,329,500 | USD | 43,916,011 | (126,507 | ) | |||||||||||||||
10/14/2014 | GS | CHF | 39,499,000 | USD | 43,455,205 | 413,672 | ||||||||||||||||
10/14/2014 | MSCI | CHF | 48,994,000 | USD | 53,941,928 | 553,819 | ||||||||||||||||
09/09/2014 | BOA | DKK | 89,337,000 | USD | 16,324,537 | 564,941 | ||||||||||||||||
10/28/2014 | BBH | EUR | 121,673,500 | USD | 162,511,994 | 2,582,998 | ||||||||||||||||
10/28/2014 | BCLY | EUR | 121,673,500 | USD | 162,486,308 | 2,557,313 | ||||||||||||||||
09/30/2014 | JPM | GBP | 139,340,000 | USD | 237,819,705 | 6,542,701 | ||||||||||||||||
10/17/2014 | BBH | HKD | 209,921,000 | USD | 27,083,680 | (4,106 | ) | |||||||||||||||
10/17/2014 | JPM | HKD | 47,565,000 | USD | 6,137,872 | 180 | ||||||||||||||||
09/02/2014 | BCLY | JPY | 10,197,473,261 | USD | 100,226,443 | 2,216,223 | ||||||||||||||||
10/31/2014 | BCLY | JPY | 7,826,149,400 | USD | 75,333,434 | 81,214 | ||||||||||||||||
09/02/2014 | DB | JPY | 13,164,166,739 | USD | 129,120,384 | 2,596,604 | ||||||||||||||||
10/31/2014 | DB | JPY | 7,709,341,200 | USD | 74,292,582 | 163,529 | ||||||||||||||||
10/31/2014 | GS | JPY | 7,826,149,400 | USD | 75,325,458 | 73,238 | ||||||||||||||||
09/09/2014 | GS | NOK | 58,579,000 | USD | 9,446,520 | (2,896 | ) | |||||||||||||||
11/04/2014 | BOA | NZD | 1,760,100 | USD | 1,458,651 | (4,526 | ) | |||||||||||||||
09/09/2014 | BBH | SEK | 198,116,000 | USD | 29,485,036 | 1,139,864 | ||||||||||||||||
09/09/2014 | BOA | SEK | 26,770,000 | USD | 3,880,810 | 50,729 | ||||||||||||||||
10/17/2014 | BOA | SGD | 20,580,000 | USD | 16,561,865 | 85,712 | ||||||||||||||||
09/02/2014 | BCLY | USD | 75,302,121 | JPY | 7,826,149,400 | (83,231 | ) | |||||||||||||||
09/02/2014 | DB | USD | 74,262,167 | JPY | 7,709,341,200 | (165,947 | ) | |||||||||||||||
09/02/2014 | GS | USD | 75,294,876 | JPY | 7,826,149,400 | (75,986 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 19,032,974 | |||||||||||||||||||||
|
|
8 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Sales | ||||||||||||
207 | Amsterdam IDX | September 2014 | $ | 22,496,729 | $ | (1,060,634 | ) | |||||
1,462 | CAC 40 | September 2014 | 84,180,854 | (3,729,589 | ) | |||||||
243 | DAX | September 2014 | 75,506,445 | 2,926,581 | ||||||||
1,644 | FTSE 100 | September 2014 | 185,709,350 | (2,081,839 | ) | |||||||
157 | FTSE/MIB | September 2014 | 21,113,018 | 1,358,056 | ||||||||
165 | Hang Seng | September 2014 | 26,267,972 | 213,334 | ||||||||
217 | IBEX 35 | September 2014 | 30,506,396 | (1,121,192 | ) | |||||||
213 | MSCI Singapore | September 2014 | 12,863,626 | 28,412 | ||||||||
1,291 | OMXS 30 | September 2014 | 25,653,554 | (570,312 | ) | |||||||
26,913 | S&P 500 E-Mini Index | September 2014 | 2,693,183,910 | (93,557,753 | ) | |||||||
539 | SPI 200 | September 2014 | 70,782,869 | (3,055,642 | ) | |||||||
1,429 | TOPIX | September 2014 | 175,494,692 | (3,816,362 | ) | |||||||
|
|
|
| |||||||||
$ | 3,423,759,415 | $ | (104,466,940 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
Swap Contracts
Total Return Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund (Pays)/Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
87,064,127 | USD | 9/10/2014 | JPM | MSCI Daily Total Return EAFE | 1 month USD LIBOR BBA plus .14% | $ | (1,719,707 | ) | ||||||||||
44,743,456 | USD | 9/17/2014 | BOA | MSCI Daily Total Return EAFE | 1 month USD LIBOR BBA plus .08% | (280,875 | ) | |||||||||||
149,198,208 | USD | 11/13/2014 | CITI | MSCI Daily Total Return EAFE | 1 month USD LIBOR BBA minus .025% | (2,196,738 | ) | |||||||||||
90,247,446 | USD | 12/19/2014 | BOA | MSCI Daily Total Return EAFE | 1 month USD LIBOR BBA plus .15% | 430,256 | ||||||||||||
237,363,443 | USD | 2/13/2015 | JPM | MSCI Daily Total Return EAFE | 1 month USD LIBOR BBA plus .17% | (4,462,617 | ) | |||||||||||
51,976,460 | USD | 2/17/2015 | BOA | MSCI Daily Total Return EAFE | 1 month USD LIBOR BBA plus .18% | (324,640 | ) | |||||||||||
|
| |||||||||||||||||
$ | (8,554,321 | ) | ||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
|
|
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
See accompanying notes to the financial statements. | 9 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Rounds to 0.0%. |
(b) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
10 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 51.2 | % | ||
Short-Term Investments | 27.1 | |||
Futures Contracts | 10.1 | |||
Debt Obligations | 9.7 | |||
Preferred Stocks | 2.0 | |||
Investment Funds | 0.2 | |||
Loan Participations | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Options Purchased | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.2 | ) | ||
Other | (0.4 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
United States | 53.2 | % | ||
Emerging** | 26.2 | |||
France | 7.7 | |||
Germany | 6.8 | |||
United Kingdom | 6.5 | |||
Sweden | 4.7 | |||
Spain | 2.5 | |||
Italy | 2.4 | |||
Norway | 1.0 | |||
Finland | 0.7 | |||
Netherlands | 0.7 | |||
Israel | 0.5 | |||
Hong Kong | 0.4 | |||
Belgium | 0.3 | |||
Denmark | 0.3 | |||
Austria | 0.2 | |||
Ireland | 0.2 | |||
Portugal | 0.2 | |||
Singapore | 0.2 | |||
New Zealand | 0.1 | |||
United Arab Emirates | 0.0 | ^ | ||
Australia | (0.3 | ) | ||
Switzerland | (2.0 | ) | ||
Canada | (5.2 | ) | ||
Japan | (7.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Implementation Fund is a 100% owned subsidiary of Benchmark-Free Allocation Fund. As such, the holdings of GMO Implementation Fund have been included with Benchmark-Free Allocation Fund. |
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund. |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency |
options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Emerging” exposure is primarily comprised of: Angola, Argentina, Azerbaijan, Brazil, Chile, China, Colombia, Congo, Costa Rica, Croatia, Dominican Republic, Ecuador, Greece, Hungary, Indonesia, Iraq, Korea, Malaysia, Mexico, Morocco, Pakistan, Panama, Peru, Philippines, Russia, Serbia, South Africa, Sri Lanka, Tunisia, Turkey, Ukraine, Uruguay, Venezuela, and Vietnam. |
^ | Rounds to 0.0%. |
11
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS (a) — 45.4% | ||||||||||
Australia — 0.2% | ||||||||||
5,416,054 | Arrium Ltd | 3,984,806 | ||||||||
453,823 | Bank of Queensland Ltd | 5,337,927 | ||||||||
1,091 | Bendigo and Adelaide Bank Ltd | 12,697 | ||||||||
1,088,084 | BlueScope Steel Ltd * | 5,610,370 | ||||||||
1,888,586 | Goodman Fielder Ltd | 1,129,538 | ||||||||
339,296 | Investa Office Fund (REIT) | 1,163,728 | ||||||||
3,021,487 | Mirvac Group (REIT) | 5,184,230 | ||||||||
726,016 | Pacific Brands Ltd | 359,091 | ||||||||
1,620,502 | Stockland (REIT) | 6,439,012 | ||||||||
1,489,535 | TABCORP Holdings Ltd | 4,995,262 | ||||||||
1,026,597 | Tatts Group Ltd | 3,185,711 | ||||||||
|
| |||||||||
Total Australia | 37,402,372 | |||||||||
|
| |||||||||
Austria — 0.1% | ||||||||||
222,658 | OMV AG | 8,597,875 | ||||||||
153,373 | Voestalpine AG | 6,584,083 | ||||||||
|
| |||||||||
Total Austria | 15,181,958 | |||||||||
|
| |||||||||
Belgium — 0.1% | ||||||||||
174,335 | Ageas | 5,851,429 | ||||||||
244,152 | Belgacom SA | 8,703,418 | ||||||||
170,515 | Delhaize Group | 11,875,510 | ||||||||
|
| |||||||||
Total Belgium | 26,430,357 | |||||||||
|
| |||||||||
Brazil — 0.8% | ||||||||||
205,700 | Aes Tiete SA | 1,553,892 | ||||||||
120,000 | Banco Bradesco SA | 2,145,365 | ||||||||
3,287,100 | Banco do Brasil SA | 51,380,670 | ||||||||
454,500 | Banco Santander Brasil SA | 3,138,964 | ||||||||
822,400 | Banco Santander Brasil SA ADR | 5,649,888 | ||||||||
86,400 | BR Malls Participacoes SA | 898,159 | ||||||||
686,900 | Brasil Brokers Participacoes SA | 1,110,823 | ||||||||
685,000 | Cia de Saneamento Basico do Estado de Sao Paulo ADR | 6,466,400 | ||||||||
150,200 | Cia de Saneamento de Minas Gerais-COPASA | 2,683,940 | ||||||||
11,981 | Cia de Transmissao de Energia Eletrica Paulista * | 175,018 | ||||||||
373,100 | Companhia de Saneamento Basico do Estado de Sao Paulo | 3,565,159 | ||||||||
913,600 | Companhia Siderurgica Nacional SA | 4,007,841 | ||||||||
533,000 | Companhia Siderurgica Nacional SA Sponsored ADR | 2,329,210 | ||||||||
320,000 | Cosan Ltd – Class A | 4,640,000 | ||||||||
195,400 | Cosan SA Industria e Comercio | 4,059,013 | ||||||||
371,100 | CPFL Energia SA | 3,744,985 | ||||||||
82,800 | CPFL Energia SA ADR | 1,667,592 |
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
379,300 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 2,404,408 | ||||||||
492,267 | Duratex SA | 2,214,487 | ||||||||
967,100 | EDP-Energias Do Brasil SA | 4,881,943 | ||||||||
271,500 | Equatorial Energia SA | 3,189,837 | ||||||||
99,200 | Grendene SA | 720,125 | ||||||||
189,300 | Grupo BTG Pactual | 3,179,665 | ||||||||
457,500 | Klabin SA | 2,323,777 | ||||||||
565,800 | Light SA | 6,217,860 | ||||||||
573,900 | MRV Engenharia e Participacoes SA | 2,338,159 | ||||||||
63,300 | Multiplus SA | 927,514 | ||||||||
84,900 | Porto Seguro SA | 1,258,424 | ||||||||
184,157 | Sul America SA | 1,272,687 | ||||||||
587,200 | Tim Participacoes SA | 3,292,097 | ||||||||
333,900 | Tractebel Energia SA | 5,595,081 | ||||||||
412,700 | Transmissora Alianca de Energia Eletrica SA | 4,303,068 | ||||||||
124,100 | Ultrapar Participacoes SA | 3,198,271 | ||||||||
125,300 | Vale SA | 1,629,991 | ||||||||
990,300 | Vale SA Sponsored ADR | 12,933,318 | ||||||||
|
| |||||||||
Total Brazil | 161,097,631 | |||||||||
|
| |||||||||
Canada — 0.2% | ||||||||||
45,800 | Canadian Tire Corp Ltd – Class A | 4,731,220 | ||||||||
40,700 | Catamaran Corp * | 1,917,784 | ||||||||
218,500 | First Quantum Minerals Ltd | 4,905,348 | ||||||||
84,600 | Home Capital Group Inc | 4,218,718 | ||||||||
35,400 | RONA Inc | 465,250 | ||||||||
284,400 | Tim Hortons Inc | 22,877,136 | ||||||||
|
| |||||||||
Total Canada | 39,115,456 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
2,933,723 | Enersis SA | 996,624 | ||||||||
121,900 | Enersis SA Sponsored ADR | 2,061,329 | ||||||||
56,625 | ENTEL Chile SA | 655,748 | ||||||||
|
| |||||||||
Total Chile | 3,713,701 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
5,400 | Ecopetrol SA Sponsored ADR | 186,732 | ||||||||
|
| |||||||||
Czech Republic — 0.1% | ||||||||||
613,761 | CEZ AS | 17,808,136 | ||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
7,003 | AP Moeller – Maersk A/S | 17,592,845 | ||||||||
60,790 | Carlsberg A/S | 5,557,907 | ||||||||
49,222 | Jyske Bank A/S (Registered) * | 2,694,676 | ||||||||
|
| |||||||||
Total Denmark | 25,845,428 | |||||||||
|
|
12 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Egypt — 0.0% | ||||||||||
1,137,330 | Al Ezz Steel Rebars SAE * | 2,717,051 | ||||||||
204,018 | Global Telecom Holding * | 153,598 | ||||||||
291,399 | Global Telecom Holding GDR * | 1,047,450 | ||||||||
8,357,038 | Orascom Telecom Media And Technology Holding SAE * | 1,463,266 | ||||||||
106,292 | Sidi Kerir Petrochemicals Co | 298,105 | ||||||||
693,037 | Telecom Egypt Co | 1,393,097 | ||||||||
|
| |||||||||
Total Egypt | 7,072,567 | |||||||||
|
| |||||||||
Finland — 0.3% | ||||||||||
425,746 | Fortum Oyj | 10,695,480 | ||||||||
74,429 | Metso Oyj | 2,923,996 | ||||||||
64,598 | Neste Oil Oyj | 1,263,339 | ||||||||
3,694,671 | Nokia Oyj | 31,029,442 | ||||||||
454,719 | UPM–Kymmene Oyj | 6,844,437 | ||||||||
|
| |||||||||
Total Finland | 52,756,694 | |||||||||
|
| |||||||||
France — 3.4% | ||||||||||
2,053 | Air France – KLM * | 21,504 | ||||||||
119,445 | Alstom SA * | 4,231,116 | ||||||||
874,168 | ArcelorMittal | 12,705,763 | ||||||||
286,841 | AXA | 7,117,601 | ||||||||
167,399 | BNP Paribas | 11,311,663 | ||||||||
311,112 | Bouygues SA | 11,434,202 | ||||||||
163,914 | Carrefour SA | 5,688,517 | ||||||||
118,889 | CNP Assurances | 2,347,221 | ||||||||
519,296 | Compagnie de Saint-Gobain | 26,382,617 | ||||||||
214,082 | Compagnie Generale des Etablissements Michelin | 23,683,141 | ||||||||
544,617 | Credit Agricole SA | 8,082,363 | ||||||||
250,110 | Electricite de France | 8,131,064 | ||||||||
2,180,488 | GDF Suez | 53,745,733 | ||||||||
53,004 | Lafarge SA | 4,064,523 | ||||||||
3,556,118 | Orange | 53,828,922 | ||||||||
718,920 | Peugeot SA * | 10,114,469 | ||||||||
287,106 | Renault SA | 22,498,699 | ||||||||
580,599 | Sanofi | 63,629,225 | ||||||||
182,985 | Schneider Electric SA | 15,480,262 | ||||||||
20,991 | SCOR SE | 642,756 | ||||||||
251,514 | Societe Generale | 12,756,963 | ||||||||
48,246 | Technicolor * | 370,634 | ||||||||
2,663,532 | Total SA | 175,762,472 | ||||||||
106,883 | Vallourec SA | 4,776,440 | ||||||||
471,773 | Veolia Environnement SA | 8,666,954 | ||||||||
532,261 | Vinci SA | 34,815,537 | ||||||||
2,123,806 | Vivendi SA | 55,302,068 | ||||||||
|
| |||||||||
Total France | 637,592,429 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Germany — 2.5% | ||||||||||
168,493 | Allianz SE (Registered) | 28,774,129 | ||||||||
124,019 | Aurubis AG | 6,100,165 | ||||||||
914,741 | BASF SE | 94,303,756 | ||||||||
492,438 | Bayerische Motoren Werke AG | 57,471,135 | ||||||||
1,118,894 | Daimler AG | 91,788,000 | ||||||||
272,501 | Deutsche Bank AG (Registered) | 9,343,001 | ||||||||
303,613 | Deutsche Lufthansa AG (Registered) | 5,276,116 | ||||||||
2,060,185 | Deutsche Telekom AG (Registered) | 30,876,314 | ||||||||
52,163 | Duerr AG | 4,027,328 | ||||||||
3,537,095 | E.ON AG | 64,375,330 | ||||||||
131,942 | Freenet AG | 3,535,335 | ||||||||
19,134 | Fresenius Medical Care AG & Co | 1,348,151 | ||||||||
37,360 | Hannover Rueck SE | 3,107,593 | ||||||||
272 | HeidelbergCement AG | 20,590 | ||||||||
248,368 | K+S AG (Registered) | 7,727,841 | ||||||||
253,146 | Kloeckner & Co SE * | 3,466,918 | ||||||||
186,537 | Metro AG * | 6,570,576 | ||||||||
68,009 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 13,654,441 | ||||||||
994,406 | RWE AG | 38,994,119 | ||||||||
78,694 | Salzgitter AG | 2,942,997 | ||||||||
41,642 | Volkswagen AG | 9,356,094 | ||||||||
|
| |||||||||
Total Germany | 483,059,929 | |||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
13,685 | Hellenic Telecommunications Organization SA * | 196,450 | ||||||||
|
| |||||||||
Hong Kong — 0.2% | ||||||||||
200,098 | Cheung Kong Holdings Ltd | 3,642,497 | ||||||||
3,666,308 | Esprit Holdings Ltd | 5,939,446 | ||||||||
58,000 | Hongkong Land Holdings Ltd | 397,389 | ||||||||
694,552 | Link (REIT) | 4,125,205 | ||||||||
562,319 | Sun Hung Kai Properties Ltd | 8,536,693 | ||||||||
73,500 | Swire Pacific Ltd – Class A | 988,897 | ||||||||
337,000 | Wharf Holdings Ltd (The) | 2,639,195 | ||||||||
1,050,500 | Yue Yuen Industrial Holdings | 3,248,713 | ||||||||
|
| |||||||||
Total Hong Kong | 29,518,035 | |||||||||
|
| |||||||||
Hungary — 0.0% | ||||||||||
876,350 | Magyar Telekom Telecommunications Plc * | 1,350,463 | ||||||||
16,942 | MOL Hungarian Oil and Gas Plc | 835,012 | ||||||||
282,196 | OTP Bank Plc | 4,880,590 | ||||||||
|
| |||||||||
Total Hungary | 7,066,065 | |||||||||
|
|
See accompanying notes to the financial statements. | 13 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — 0.8% | ||||||||||
201,245 | Aban Offshore Ltd | 2,352,952 | ||||||||
18,173 | ACC Ltd | 448,076 | ||||||||
1,347,093 | Allahabad Bank | 2,533,714 | ||||||||
825,780 | Andhra Bank | 980,188 | ||||||||
1,471,081 | Ashok Leyland Ltd * | 891,308 | ||||||||
261,537 | Aurobindo Pharma Ltd | 3,532,260 | ||||||||
303,114 | Axis Bank Ltd (b) | 1,984,627 | ||||||||
14,805 | Bajaj Auto Ltd | 553,184 | ||||||||
256,888 | Bank of Baroda (b) | 3,700,159 | ||||||||
819,714 | Bank of India | 3,740,664 | ||||||||
1,806,837 | Bharat Heavy Electricals Ltd | 7,120,394 | ||||||||
67,498 | Biocon Ltd | 518,965 | ||||||||
1,040,165 | Cairn India Ltd | 5,603,931 | ||||||||
637,994 | Canara Bank Ltd | 3,988,522 | ||||||||
784,501 | Coal India Ltd | 4,620,838 | ||||||||
999,603 | DLF Ltd | 2,931,581 | ||||||||
404,555 | GAIL India Ltd | 2,959,594 | ||||||||
70,097 | HCL Technologies Ltd | 1,888,847 | ||||||||
1,080,527 | HDFC Bank Ltd (b) | 15,069,542 | ||||||||
38,275 | Hero MotoCorp Ltd | 1,647,421 | ||||||||
1,321,033 | Hindalco Industries Ltd | 3,709,636 | ||||||||
1,295,822 | Housing Development & Infrastructure Ltd * | 1,935,490 | ||||||||
29,906 | ICICI Bank Ltd | 767,031 | ||||||||
21,000 | ICICI Bank Ltd Sponsored ADR | 1,123,500 | ||||||||
617,598 | IDFC Ltd (b) | 1,474,404 | ||||||||
20,985 | Infosys Ltd | 1,246,733 | ||||||||
77,250 | Infosys Ltd Sponsored ADR | 4,596,375 | ||||||||
79,791 | Jai Balaji Industries Ltd * | 28,447 | ||||||||
1,281,275 | Jaiprakash Associates Ltd * | 992,644 | ||||||||
19,809 | JSW Steel Ltd | 405,912 | ||||||||
883,234 | Karnataka Bank Ltd | 1,787,659 | ||||||||
73,705 | Kiri Industries Ltd * | 161,379 | ||||||||
138,466 | LIC Housing Finance Ltd | 692,962 | ||||||||
137,908 | Mahindra & Mahindra Ltd | 3,203,382 | ||||||||
2,178,950 | NHPC Ltd | 775,587 | ||||||||
1,361,749 | NMDC Ltd | 3,817,985 | ||||||||
2,045,873 | NTPC Ltd | 4,640,320 | ||||||||
588,368 | Oil & Natural Gas Corp Ltd | 4,231,598 | ||||||||
70,068 | Oil India Ltd | 709,890 | ||||||||
571,941 | Oriental Bank of Commerce | 2,470,426 | ||||||||
691,205 | Power Finance Corp | 2,859,717 | ||||||||
467,696 | Punjab National Bank Ltd (b) | 7,320,085 | ||||||||
83,148 | Reliance Capital Ltd * | 728,318 | ||||||||
1,448,073 | Reliance Communications Ltd * | 2,780,259 | ||||||||
92,267 | Reliance Industries Ltd | 1,523,829 | ||||||||
202,814 | Reliance Infrastructure Ltd * | 2,340,421 | ||||||||
303,268 | Rural Electrification Corp Ltd | 1,346,621 | ||||||||
1,013,680 | Sesa Sterlite Ltd | 4,647,636 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
189,229 | State Bank of India | 7,697,648 | ||||||||
614,234 | Syndicate Bank | 1,214,311 | ||||||||
305,469 | Tata Global Beverages Ltd | 761,753 | ||||||||
651,149 | Tata Motors Ltd | 5,640,905 | ||||||||
54,778 | Tata Motors Ltd – Class A | 342,534 | ||||||||
53,000 | Tata Motors Ltd Sponsored ADR | 2,554,070 | ||||||||
1,083,653 | Tata Power Co Ltd | 1,547,883 | ||||||||
329,077 | Tata Steel Ltd | 2,792,171 | ||||||||
136,559 | Tech Mahindra Ltd | 5,308,967 | ||||||||
176,037 | UCO Bank | 258,957 | ||||||||
81,806 | United Phosphorus Ltd | 427,341 | ||||||||
86,163 | Wipro Ltd | 803,289 | ||||||||
21,281 | Yes Bank Ltd | 200,459 | ||||||||
|
| |||||||||
Total India | 158,935,301 | |||||||||
|
| |||||||||
Indonesia — 0.1% | ||||||||||
5,831,600 | Adaro Energy Tbk PT | 656,561 | ||||||||
12,913,900 | Astra International Tbk PT | 8,361,338 | ||||||||
2,451,400 | Bank Tabungan Negara Persero Tbk PT | 233,637 | ||||||||
1,397,400 | Gajah Tunggal Tbk PT | 211,474 | ||||||||
5,157,100 | Global Mediacom Tbk PT | 853,053 | ||||||||
5,683,100 | Harum Energy Tbk PT | 1,044,802 | ||||||||
666,700 | Indo Tambangraya Megah Tbk PT | 1,605,986 | ||||||||
577,800 | Indosat Tbk PT * | 189,233 | ||||||||
1,176,100 | Media Nusantara Citra Tbk PT | 282,026 | ||||||||
31,229,500 | MNC Investama Tbk PT | 1,006,469 | ||||||||
4,022,500 | Perusahaan Gas Negara Persero Tbk PT | 1,994,556 | ||||||||
2,682,400 | Ramayana Lestari Sentosa Tbk PT | 228,144 | ||||||||
623,000 | Tambang Batubara Bukit Asam Persero Tbk PT | 711,876 | ||||||||
33,352,400 | Telekomunikasi Indonesia Persero Tbk PT | 7,623,353 | ||||||||
35,100 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 1,616,706 | ||||||||
1,589,600 | XL Axiata Tbk PT | 808,806 | ||||||||
|
| |||||||||
Total Indonesia | 27,428,020 | |||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
376,217 | CRH Plc | 8,670,930 | ||||||||
189,454 | Smurfit Kappa Group Plc | 4,299,819 | ||||||||
|
| |||||||||
Total Ireland | 12,970,749 | |||||||||
|
| |||||||||
Israel — 0.2% | ||||||||||
449,486 | Bank Hapoalim BM | 2,547,211 | ||||||||
1,519,587 | Bank Leumi Le-Israel * | 5,933,389 |
14 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Israel — continued | ||||||||||
297,100 | Check Point Software Technologies Ltd * | 21,100,042 | ||||||||
2,355,650 | Israel Discount Bank Ltd – Class A * | 3,958,694 | ||||||||
212,984 | Partner Communications Co Ltd* | 1,535,900 | ||||||||
|
| |||||||||
Total Israel | 35,075,236 | |||||||||
|
| |||||||||
Italy — 1.1% | ||||||||||
5,760,898 | A2A SPA | 6,321,997 | ||||||||
10,981,200 | Enel SPA | 58,163,780 | ||||||||
2,690,962 | ENI SPA | 67,196,054 | ||||||||
127,397 | Exor SPA | 5,073,727 | ||||||||
1,100,233 | Fiat SPA * | 10,760,322 | ||||||||
711,027 | Finmeccanica SPA * | 6,667,533 | ||||||||
70,798 | Italcementi SPA-Di RISP | 512,217 | ||||||||
1,489,840 | Mediaset SPA * | 6,162,208 | ||||||||
472,933 | Mediolanum SPA | 3,522,094 | ||||||||
67,726 | Recordati SPA | 1,103,415 | ||||||||
108,647 | Saipem SPA * | 2,579,950 | ||||||||
22,245,421 | Telecom Italia SPA * | 25,661,837 | ||||||||
10,092,272 | Telecom Italia SPA-Di RISP | 9,293,724 | ||||||||
|
| |||||||||
Total Italy | 203,018,858 | |||||||||
|
| |||||||||
Japan — 3.4% | ||||||||||
16,679 | Adastria Holdings Co Ltd | 334,124 | ||||||||
530,800 | Aeon Co Ltd | 5,739,781 | ||||||||
55,700 | Aisin Seiki Co Ltd | 2,061,583 | ||||||||
57,400 | Alfresa Holdings Corp | 3,409,696 | ||||||||
10,000 | Aoyama Trading Co Ltd | 247,522 | ||||||||
550,000 | Asahi Glass Co Ltd | 2,980,283 | ||||||||
380,000 | Asahi Kasei Corp | 3,049,285 | ||||||||
15,600 | Asatsu-DK Inc | 411,665 | ||||||||
79,500 | Brother Industries Ltd | 1,543,019 | ||||||||
382,000 | Calsonic Kansei Corp | 2,205,347 | ||||||||
524,500 | Canon Inc | 17,116,307 | ||||||||
45,900 | Central Japan Railway Co | 6,435,774 | ||||||||
255,600 | Chubu Electric Power Co Inc * | 2,953,328 | ||||||||
1,994,935 | Cosmo Oil Co Ltd | 3,741,671 | ||||||||
70,900 | Daihatsu Motor Co Ltd | 1,217,401 | ||||||||
578,000 | Daikyo Inc | 1,107,592 | ||||||||
84,200 | Daito Trust Construction Co Ltd | 10,423,035 | ||||||||
131,000 | Denki Kagaku Kogyo KK | 443,867 | ||||||||
6,463 | DIC Corp | 14,744 | ||||||||
24,500 | Electric Power Development Co Ltd | 802,629 | ||||||||
134,700 | FujiFilm Holdings Corp | 4,067,158 | ||||||||
86,100 | Fuji Oil Co Ltd | 1,415,310 | ||||||||
195,000 | Gunze Ltd | 551,270 | ||||||||
205,400 | Hakuhodo DY Holdings Inc | 2,125,534 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
319,000 | Hanwa Co Ltd | 1,258,592 | ||||||||
559,307 | Haseko Corp | 4,634,098 | ||||||||
36,400 | Hitachi Chemical Co Ltd | 677,675 | ||||||||
725,000 | Honda Motor Co Ltd | 24,611,014 | ||||||||
131,100 | Idemitsu Kosan Co Ltd | 2,877,431 | ||||||||
796,500 | Inpex Corp | 11,419,553 | ||||||||
211,300 | IT Holdings Corp | 3,896,218 | ||||||||
1,506,400 | Itochu Corp | 19,168,873 | ||||||||
1,577,900 | Japan Tobacco Inc | 54,064,464 | ||||||||
352,300 | JFE Holdings Inc | 7,132,197 | ||||||||
34,800 | JSR Corp | 605,027 | ||||||||
1,937,100 | JX Holdings Inc | 9,967,898 | ||||||||
189,842 | K’s Holdings Corp | 5,303,605 | ||||||||
53,000 | Kaneka Corp | 313,706 | ||||||||
3,266,000 | Kawasaki Kisen Kaisha Ltd | 7,861,064 | ||||||||
118,600 | KDDI Corp | 6,853,328 | ||||||||
3,808,000 | Kobe Steel Ltd | 6,194,732 | ||||||||
45,986 | Kohnan Shoji Co Ltd | 482,870 | ||||||||
87,000 | Kuraray Co Ltd | 1,083,910 | ||||||||
299,100 | Kyocera Corp | 14,009,235 | ||||||||
480,900 | Leopalace21 Corp * | 2,767,376 | ||||||||
1,810,600 | Marubeni Corp | 13,074,782 | ||||||||
253,604 | Medipal Holdings Corp | 3,284,059 | ||||||||
1,693,600 | Mitsubishi Chemical Holdings Corp | 8,454,127 | ||||||||
1,240,800 | Mitsubishi Corp | 25,672,881 | ||||||||
291,100 | Mitsubishi UFJ Lease & Finance Co Ltd | 1,555,956 | ||||||||
1,903,000 | Mitsui Chemicals Inc | 5,621,234 | ||||||||
2,250,667 | Mitsui Engineering & Shipbuilding Co Ltd | 4,917,165 | ||||||||
1,469,900 | Mitsui & Co Ltd | 23,980,316 | ||||||||
781,012 | Mitsui Mining & Smelting Co Ltd | 2,406,237 | ||||||||
1,628,134 | Mitsui OSK Lines Ltd | 5,966,099 | ||||||||
230,100 | Net One Systems Co Ltd | 1,434,168 | ||||||||
141,000 | Nichirei Corp | 664,322 | ||||||||
1,249,700 | Nippon Light Metal Co Ltd | 1,997,157 | ||||||||
2,932 | Nippon Paper Industries Co Ltd | 47,328 | ||||||||
177,000 | Nippon Electric Glass Co Ltd | 890,591 | ||||||||
488,800 | Nippon Telegraph & Telephone Corp | 32,832,834 | ||||||||
2,061,000 | Nippon Yusen Kabushiki Kaisha | 6,066,983 | ||||||||
351,141 | Nipro Corp | 3,099,753 | ||||||||
4,757,900 | Nissan Motor Co Ltd | 45,702,116 | ||||||||
263,000 | Nisshinbo Holdings Inc | 2,454,864 | ||||||||
26,400 | Nisshin Seifun Group Inc | 304,497 | ||||||||
10,800 | NOK Corp | 233,402 | ||||||||
296,286 | North Pacific Bank Ltd | 1,201,964 | ||||||||
1,166,129 | NTT Docomo Inc | 20,194,026 | ||||||||
30,700 | Okinawa Electric Power Co | 999,250 |
See accompanying notes to the financial statements. | 15 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
1,138 | ORIX JREIT Inc (REIT) | 1,522,780 | ||||||||
508,000 | Osaka Gas Co Ltd | 2,089,299 | ||||||||
26,000 | Rengo Co Ltd | 122,214 | ||||||||
1,171,800 | Resona Holdings Inc | 6,360,251 | ||||||||
291,900 | Ricoh Co Ltd | 3,168,433 | ||||||||
170,000 | Round One Corp | 1,106,429 | ||||||||
11,200 | Ryohin Keikaku Co Ltd | 1,258,277 | ||||||||
900 | Sega Sammy Holdings Inc | 17,183 | ||||||||
18,000 | Seino Holdings Co Ltd | 168,898 | ||||||||
133,100 | Sekisui House Ltd | 1,673,644 | ||||||||
28,100 | Shimamura Co Ltd | 2,533,252 | ||||||||
656,000 | Showa Denko KK | 946,607 | ||||||||
561,800 | Showa Shell Sekiyu KK | 6,032,477 | ||||||||
4,725,300 | Sojitz Corp | 7,822,772 | ||||||||
138,000 | Sumitomo Chemical Co Ltd | 495,427 | ||||||||
1,297,100 | Sumitomo Corp | 16,757,557 | ||||||||
1,600 | Sumitomo Electric Industries Ltd | 23,456 | ||||||||
9,000 | Sumitomo Forestry Co Ltd | 100,566 | ||||||||
197,000 | Sumitomo Heavy Industries Ltd | 1,018,267 | ||||||||
418,000 | Sumitomo Metal Mining Co Ltd | 6,347,490 | ||||||||
1,266,500 | Sumitomo Mitsui Construction Co Ltd * | 1,547,776 | ||||||||
72,600 | Sumitomo Rubber Industries | 1,038,315 | ||||||||
54,452 | Suzuken Co Ltd | 1,814,102 | ||||||||
253,995 | Takeda Pharmaceutical Co Ltd | 11,603,450 | ||||||||
12,200 | TDK Corp | 608,275 | ||||||||
108,000 | Tokuyama Corp | 357,744 | ||||||||
1,320,800 | Tokyo Electric Power Co Inc (The) * | 4,768,901 | ||||||||
969,754 | Tokyo Electron Ltd | 67,953,869 | ||||||||
249,000 | TonenGeneral Sekiyu KK | 2,271,263 | ||||||||
1,373,000 | Tosoh Corp | 5,685,482 | ||||||||
346,400 | Toyota Tsusho Corp | 9,151,052 | ||||||||
514,000 | Ube Industries Ltd | 870,309 | ||||||||
505,700 | UNY Co Ltd | 2,843,136 | ||||||||
45,500 | West Japan Railway Co | 2,152,747 | ||||||||
2,146,967 | Yamada Denki Co Ltd | 6,897,516 | ||||||||
52,000 | Yokohama Rubber Co Ltd (The) | 462,438 | ||||||||
|
| |||||||||
Total Japan | 652,228,556 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
148,013 | Hong Leong Bank Berhad | 676,109 | ||||||||
|
| |||||||||
Mexico — 0.2% | ||||||||||
1,165,600 | America Movil SAB de CV ADR | 28,568,856 | ||||||||
1,704,300 | America Movil SAB de CV – Class L | 2,094,412 | ||||||||
|
| |||||||||
Total Mexico | 30,663,268 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Netherlands — 0.4% | ||||||||||
1,122,340 | Aegon NV | 8,875,050 | ||||||||
85,782 | Corbion NV | 1,437,208 | ||||||||
44,454 | Delta Lloyd NV | 1,071,156 | ||||||||
28,325 | Fugro NV | 1,027,187 | ||||||||
22,204 | Heineken NV | 1,690,481 | ||||||||
1,099,026 | ING Groep NV * | 15,125,728 | ||||||||
890,956 | Koninklijke Ahold NV | 15,221,729 | ||||||||
584,565 | Koninklijke BAM Groep NV | 1,385,017 | ||||||||
27,728 | Koninklijke DSM NV | 1,852,550 | ||||||||
4,823,000 | Koninklijke KPN NV * | 16,099,404 | ||||||||
85,275 | SNS REAAL NV * (c) | — | ||||||||
430,100 | VimpelCom Ltd Sponsored ADR | 3,664,452 | ||||||||
60,000 | Ziggo NV | 2,855,477 | ||||||||
|
| |||||||||
Total Netherlands | 70,305,439 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
488,199 | Chorus Ltd | 717,062 | ||||||||
467,016 | Fletcher Building Ltd | 3,596,139 | ||||||||
2,439,271 | Spark New Zealand Ltd | 5,987,546 | ||||||||
|
| |||||||||
Total New Zealand | 10,300,747 | |||||||||
|
| |||||||||
Norway — 0.4% | ||||||||||
45,777 | Aker Solutions ASA | 696,222 | ||||||||
281,184 | DNB ASA | 5,262,171 | ||||||||
10,286 | Fred Olsen Energy ASA | 241,686 | ||||||||
377,838 | Golden Ocean Group Ltd | 622,618 | ||||||||
142,722 | Petroleum Geo-Services ASA | 1,075,730 | ||||||||
1,397,848 | Statoil ASA | 39,321,154 | ||||||||
115,372 | Storebrand ASA * | 642,961 | ||||||||
62,291 | Subsea 7 SA | 1,038,395 | ||||||||
297,076 | Telenor ASA | 6,824,174 | ||||||||
95,904 | TGS Nopec Geophysical Co ASA | 2,709,702 | ||||||||
227,611 | Yara International ASA | 11,411,969 | ||||||||
|
| |||||||||
Total Norway | 69,846,782 | |||||||||
|
| |||||||||
Peru — 0.1% | ||||||||||
319,055 | Companhia de Minas Buenaventura SA ADR | 4,645,441 | ||||||||
228,900 | Southern Copper Corp. | 7,510,209 | ||||||||
|
| |||||||||
Total Peru | 12,155,650 | |||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
26,480 | GT Capital Holdings Inc | 571,168 | ||||||||
4,600 | Philippine Long Distance Telephone Co Sponsored ADR | 348,864 | ||||||||
905,900 | Puregold Price Club Inc | 752,265 | ||||||||
|
| |||||||||
Total Philippines | 1,672,297 | |||||||||
|
|
16 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Poland — 0.2% | ||||||||||
16,336 | Asseco Poland SA | 215,786 | ||||||||
255,069 | Boryszew SA * | 494,178 | ||||||||
58,486 | Energa SA | 381,015 | ||||||||
105,647 | Jastrzebska Spolka Weglowa SA * | 1,105,845 | ||||||||
685,248 | KGHM Polska Miedz SA | 28,242,266 | ||||||||
76,064 | Orange Polska SA | 255,363 | ||||||||
1,152,628 | PGE SA | 7,850,183 | ||||||||
108,240 | Polski Koncern Naftowy Orlen SA | 1,336,030 | ||||||||
22,770 | Powszechna Kasa Oszczednosci Bank Polski SA | 272,272 | ||||||||
1,183 | Powszechny Zaklad Ubezpieczen SA | 173,464 | ||||||||
635,099 | Synthos SA | 914,067 | ||||||||
156,914 | Tauron Polska Energia SA | 245,077 | ||||||||
|
| |||||||||
Total Poland | 41,485,546 | |||||||||
|
| |||||||||
Portugal — 0.1% | ||||||||||
2,599,312 | EDP-Energias de Portugal SA | 12,594,387 | ||||||||
|
| |||||||||
Qatar — 0.0% | ||||||||||
7,913 | Industries Qatar QSC | 421,544 | ||||||||
|
| |||||||||
Russia — 1.2% | ||||||||||
508,368 | Aeroflot-Russian Airlines * | 645,595 | ||||||||
85,704 | Bashneft OAO – Class S | 4,501,285 | ||||||||
177,300 | CTC Media, Inc. | 1,609,884 | ||||||||
23,712 | Eurasia Drilling Co Ltd GDR | 686,005 | ||||||||
85,518 | Gazprom Neft JSC Sponsored ADR | 1,649,163 | ||||||||
7,469,409 | Gazprom OAO Sponsored ADR | 53,415,775 | ||||||||
91,044 | Globaltrans Investment Plc Sponsored GDR | 833,736 | ||||||||
1,390,284 | Lukoil OAO Sponsored ADR | 77,411,447 | ||||||||
62,718 | MegaFon OAO GDR | 1,775,070 | ||||||||
387,800 | Mobile Telesystems Sponsored ADR | 7,154,910 | ||||||||
164,490 | Moscow Exchange | 276,715 | ||||||||
44,528 | NovaTek OAO GDR | 4,481,313 | ||||||||
3,088,646 | Rosneft OJSC GDR (Registered) | 18,857,688 | ||||||||
10,335 | Rostelecom OJSC Sponsored ADR | 165,097 | ||||||||
3,993,457 | Sberbank Sponsored ADR | 32,611,636 | ||||||||
134,523 | Sistema JSFC Sponsored GDR (Registered) | 3,058,623 | ||||||||
2,229,358 | Surgutneftegas Sponsored ADR | 15,435,950 | ||||||||
188,343 | Tatneft Sponsored ADR | 6,995,603 | ||||||||
31,484 | TCS Group Holding Plc (Registered) GDR * | 166,749 | ||||||||
|
| |||||||||
Total Russia | 231,732,244 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Singapore — 0.1% | ||||||||||
2,948,085 | Ezra Holdings Ltd | 2,642,308 | ||||||||
15,782,000 | Golden Agri-Resources Ltd | 6,442,741 | ||||||||
5,936,000 | Noble Group Ltd | 6,453,124 | ||||||||
330,000 | Singapore Technologies Engineering Ltd | 966,479 | ||||||||
1,003,000 | Swiber Holdings Ltd | 393,657 | ||||||||
4,599,644 | Yangzijiang Shipbuilding Holdings Ltd | 4,288,678 | ||||||||
|
| |||||||||
Total Singapore | 21,186,987 | |||||||||
|
| |||||||||
South Africa — 0.3% | ||||||||||
2,691,606 | African Bank Investments Ltd (c) | 252 | ||||||||
14,111 | Barclays Africa Group Ltd | 220,404 | ||||||||
25,560 | Bidvest Group Ltd | 674,720 | ||||||||
361,500 | Capital Property Fund (REIT) | 405,009 | ||||||||
182,531 | Kumba Iron Ore Ltd | 5,471,764 | ||||||||
823,854 | MTN Group Ltd | 18,635,921 | ||||||||
124,627 | Naspers Ltd-N Shares | 15,896,423 | ||||||||
89,471 | Sasol Ltd | 5,199,855 | ||||||||
1,647 | Sasol Ltd Sponsored ADR | 96,481 | ||||||||
328,134 | Vodacom Group Ltd | 3,957,425 | ||||||||
101,392 | Wilson Bayly Holmes-Ovcon Ltd | 1,318,457 | ||||||||
|
| |||||||||
Total South Africa | 51,876,711 | |||||||||
|
| |||||||||
South Korea — 1.6% | ||||||||||
188,082 | BS Financial Group Inc | 3,117,589 | ||||||||
46,344 | Capro Corp * | 176,857 | ||||||||
42,403 | CJ E & M Corp * | 1,982,341 | ||||||||
653 | CJ O Shopping Co Ltd | 231,846 | ||||||||
16,758 | Daelim Industrial Co Ltd | 1,445,744 | ||||||||
67,444 | Daou Technology Inc | 825,801 | ||||||||
53,197 | DGB Financial Group Inc | 929,124 | ||||||||
59,189 | Dongbu Insurance Co Ltd | 3,573,748 | ||||||||
31,082 | GS Engineering & Construction Corp * | 1,130,695 | ||||||||
60,898 | GS Holdings | 2,586,368 | ||||||||
272,026 | Hana Financial Group Inc | 11,424,582 | ||||||||
10,262 | Hankook Tire Co Ltd | 532,649 | ||||||||
73,370 | Hankook Tire WorldwideCo Ltd | 1,581,833 | ||||||||
26,594 | Hanwha Corp | 793,791 | ||||||||
11,011 | Hyundai Engineering & Construction | 694,478 | ||||||||
85,833 | Hyundai Marine & Fire Insurance Co Ltd | 2,637,287 | ||||||||
56,585 | Hyundai Mobis | 16,414,756 | ||||||||
73,709 | Hyundai Motor Co | 16,944,180 | ||||||||
162,810 | Iljin Holdings Co Ltd | 1,055,517 | ||||||||
382,148 | Industrial Bank of Korea | 6,638,073 | ||||||||
48,160 | Jahwa Electronics Co Ltd | 653,534 | ||||||||
205,400 | KB Financial Group Inc | 8,386,181 |
See accompanying notes to the financial statements. | 17 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
29,313 | Kginicis Co Ltd | 328,363 | ||||||||
361,663 | Kia Motors Corp | 21,840,041 | ||||||||
9,605 | Kolon Industries Inc | 569,858 | ||||||||
9,943 | Korea Zinc Co Ltd | 4,125,220 | ||||||||
385,240 | KT Corp | 13,311,751 | ||||||||
21,700 | KT Corp Sponsored ADR | 371,070 | ||||||||
11,386 | Kwangju Bank * | 127,528 | ||||||||
12,554 | Kyongnam Bank * | 168,484 | ||||||||
61,890 | LF Corp | 1,861,956 | ||||||||
3,113 | LG Chem Ltd | 828,114 | ||||||||
30,907 | LG International Corp | 850,947 | ||||||||
65,076 | LIG Insurance Co Ltd | 1,941,574 | ||||||||
5,004 | Lotte Chemical Corp | 807,695 | ||||||||
4,026 | Lotte Shopping Co Ltd | 1,318,643 | ||||||||
20,106 | Lumens Co Ltd * | 163,997 | ||||||||
95,203 | Meritz Fire & Marine Insurance Co Ltd | 1,287,011 | ||||||||
7,123 | Mirae Asset Securities Co Ltd | 340,816 | ||||||||
17,543 | Neowiz Games Corp * | 349,721 | ||||||||
6,328 | NHN Entertainment Corp * | 451,904 | ||||||||
48,795 | Partron Co Ltd | 456,791 | ||||||||
47,338 | S-Oil Corp | 2,187,317 | ||||||||
18,740 | Samsung Card Co | 901,264 | ||||||||
76,277 | Samsung Electronics Co Ltd | 92,874,180 | ||||||||
2,634 | Samsung Electronics Co Ltd GDR (Registered) | 1,604,865 | ||||||||
7,209 | Samsung Electro-Mechanics Co Ltd | 390,597 | ||||||||
72,768 | Samsung Engineering Co Ltd * | 4,589,103 | ||||||||
83,635 | Samsung Heavy Industries Co Ltd | 2,250,218 | ||||||||
23,555 | Samsung SDI Co Ltd | 3,522,956 | ||||||||
10,000 | Seah Besteel Corp | 353,025 | ||||||||
22,767 | SFA Engineering Corp | 988,699 | ||||||||
207,030 | Shinhan Financial Group Co Ltd | 10,725,112 | ||||||||
28,715 | Silicon Works Co Ltd | 647,548 | ||||||||
3,521 | SK Gas Co Ltd | 392,662 | ||||||||
11,244 | SK Holdings Co Ltd | 1,781,019 | ||||||||
121,835 | SK Innovation Co Ltd | 11,314,619 | ||||||||
58,660 | SK Telecom Co Ltd | 15,851,582 | ||||||||
78,600 | SK Telecom Co Ltd ADR | 2,351,712 | ||||||||
90,248 | Sungwoo Hitech Co Ltd | 1,518,742 | ||||||||
581,559 | Woori Finance Holdings Co Ltd * | 7,893,621 | ||||||||
|
| |||||||||
Total South Korea | 297,397,299 | |||||||||
|
| |||||||||
Spain — 1.1% | ||||||||||
29,083 | Acciona SA * | 2,327,845 | ||||||||
138,678 | ACS Actividades de Construccion y Servicios SA | 5,841,365 | ||||||||
167,895 | Enagas | 5,599,966 |
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
523,168 | Gas Natural SDG SA | 16,040,993 | ||||||||
6,979,348 | Iberdrola SA | 51,280,468 | ||||||||
406,816 | Indra Sistemas SA | 6,117,995 | ||||||||
319,112 | Mapfre SA | 1,196,817 | ||||||||
943,153 | Repsol YPF SA | 23,423,447 | ||||||||
5,942,359 | Telefonica SA | 94,274,234 | ||||||||
|
| |||||||||
Total Spain | 206,103,130 | |||||||||
|
| |||||||||
Sri Lanka — 0.0% | ||||||||||
1,065,600 | Anilana Hotels & Properties Ltd * | 52,356 | ||||||||
|
| |||||||||
Sweden — 0.3% | ||||||||||
846,232 | Ericsson LM – Class B | 10,545,346 | ||||||||
23,805 | Industrivarden AB – Class C | 429,532 | ||||||||
108,187 | Investor AB | 4,017,771 | ||||||||
187,216 | Sandvik AB | 2,337,153 | ||||||||
157,847 | Skanska AB – Class B | 3,266,565 | ||||||||
268,405 | Tele2 AB – B Shares | 3,343,229 | ||||||||
2,987,830 | TeliaSonera AB | 21,822,626 | ||||||||
138,959 | Volvo AB – Class B | 1,661,397 | ||||||||
|
| |||||||||
Total Sweden | 47,423,619 | |||||||||
|
| |||||||||
Switzerland — 0.3% | ||||||||||
81,771 | ABB Ltd (Registered) | 1,859,834 | ||||||||
158,811 | Holcim Ltd (Registered) | 12,640,020 | ||||||||
135,231 | Novartis AG (Registered) | 12,150,019 | ||||||||
11,816 | Swiss Life Holding AG (Registered) * | 2,980,914 | ||||||||
3,542 | Swisscom AG (Registered) | 2,057,716 | ||||||||
150,275 | Transocean Ltd | 5,788,862 | ||||||||
47,095 | Zurich Insurance Group AG | 14,218,079 | ||||||||
|
| |||||||||
Total Switzerland | 51,695,444 | |||||||||
|
| |||||||||
Taiwan — 1.1% | ||||||||||
3,360,000 | Acer Inc * | 2,781,379 | ||||||||
187,000 | Advantech Co Ltd | 1,756,475 | ||||||||
280,000 | ALI Corp | 267,242 | ||||||||
191,000 | Asia Plastic Recycling Holding Ltd | 293,434 | ||||||||
1,837,000 | Asustek Computer Inc | 19,223,569 | ||||||||
1,007,000 | Career Technology MFG Co Ltd | 1,552,852 | ||||||||
60,000 | Casetek Holdings Ltd | 363,653 | ||||||||
927,000 | Catcher Technology Co Ltd * | 9,403,079 | ||||||||
1,609,000 | China Man-Made Fiber Corp * | 510,152 | ||||||||
3,007,000 | China Petrochemical Development Corp * | 1,072,365 | ||||||||
1,655,000 | Chipbond Technology Corp | 2,896,875 | ||||||||
668,837 | Chong Hong Construction Co Ltd * | 1,822,147 | ||||||||
2,443,470 | Chunghwa Telecom Co Ltd | 7,612,262 |
18 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
500 | Chunghwa Telecom Co Ltd ADR | 15,610 | ||||||||
10,261,000 | Compal Electronics Inc | 9,120,376 | ||||||||
1,395,000 | Coretronic Corp | 2,317,183 | ||||||||
203,000 | Delta Electronics Inc | 1,427,321 | ||||||||
205,000 | Dynapack International Technology Corp | 606,192 | ||||||||
5,184,371 | E.Sun Financial Holding Co Ltd | 3,410,684 | ||||||||
495,000 | Elan Microelectronics Corp | 849,654 | ||||||||
218,000 | Elitegroup Computer Systems Co Ltd | 157,836 | ||||||||
869,000 | Far EasTone Telecommunications Co Ltd | 1,850,882 | ||||||||
127,000 | Faraday Technology Corp | 151,710 | ||||||||
452,151 | Flexium Interconnect Inc | 1,282,309 | ||||||||
1,695,750 | Foxconn Technology Co Ltd | 4,257,131 | ||||||||
230,000 | Fubon Financial Holding Co Ltd | 375,641 | ||||||||
1,351,500 | Highwealth Construction Corp | 2,393,758 | ||||||||
9,633,120 | Hon Hai Precision Industry Co Ltd | 32,950,107 | ||||||||
1,526,000 | HTC Corp * | 7,025,882 | ||||||||
211,000 | Huaku Development Co Ltd | 507,875 | ||||||||
267,540 | ILI Technology Corp | 667,182 | ||||||||
243,000 | Kinsus Interconnect Technology Corp | 1,028,061 | ||||||||
2,569,628 | Lite-On Technology Corp | 4,261,668 | ||||||||
306,222 | Makalot Industrial Co Ltd | 1,512,097 | ||||||||
56,022 | MediaTek Inc | 936,283 | ||||||||
582,000 | Novatek Microelectronics Corp Ltd | 2,988,131 | ||||||||
2,761,000 | Pegatron Corp | 5,854,573 | ||||||||
384,000 | Phison Electronics Corp | 2,780,153 | ||||||||
887,000 | Pou Chen Corp | 1,026,907 | ||||||||
2,287,808 | Powertech Technology Inc | 4,336,382 | ||||||||
3,085,000 | Quanta Computer Inc | 8,712,479 | ||||||||
1,751,020 | Radiant Opto-Electronics Corp | 7,563,445 | ||||||||
886,330 | Realtek Semiconductor Corp | 3,231,011 | ||||||||
78,332 | Silicon Motion Technology Corp ADR | 2,111,831 | ||||||||
602,000 | Simplo Technology Co Ltd | 3,381,452 | ||||||||
78,000 | Soft-World International Corp | 258,371 | ||||||||
1,293,000 | Synnex Technology International Corp | 1,973,371 | ||||||||
2,369,175 | Taishin Financial Holding Co Ltd | 1,204,596 | ||||||||
229,000 | Taiwan Cement Corp | 364,273 | ||||||||
677,000 | Taiwan Mobile Co Ltd | 2,157,504 | ||||||||
701,044 | Taiwan PCB Techvest Co Ltd | 1,145,308 | ||||||||
290,000 | Taiwan Semiconductor Manufacturing Co Ltd | 1,211,990 | ||||||||
568,200 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 11,898,108 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
1,756,085 | TPK Holding Co Ltd | 11,936,021 | ||||||||
1,349,000 | Tripod Technology Corp | 2,742,073 | ||||||||
2,490,000 | Unimicron Technology Corp | 2,103,972 | ||||||||
6,252,909 | Wistron Corp | 7,326,808 | ||||||||
200,260 | Wistron NeWeb Corp | 523,007 | ||||||||
1,495,000 | WPG Holdings Co Ltd | 1,948,325 | ||||||||
522,000 | Yungtay Engineering Co Ltd | 1,293,403 | ||||||||
|
| |||||||||
Total Taiwan | 216,734,420 | |||||||||
|
| |||||||||
Thailand — 0.3% | ||||||||||
1,566,400 | Bangchak Petroleum Pcl (Foreign Registered) | 1,680,818 | ||||||||
8,162,500 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 4,984,673 | ||||||||
8,339,300 | Banpu Pcl (Foreign Registered) | 8,434,282 | ||||||||
461,450 | Electricity Generating Pcl (Foreign Registered) | 2,464,362 | ||||||||
553,100 | Glow Energy Pcl (Foreign Registered) | 1,517,909 | ||||||||
1,506,500 | PTT Exploration & Production Pcl (Foreign Registered) | 7,758,140 | ||||||||
377,700 | PTT Global Chemical Pcl (Foreign Registered) | 733,437 | ||||||||
1,695,900 | PTT Pcl (Foreign Registered) | 17,053,076 | ||||||||
1,157,900 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (b) | 2,112,745 | ||||||||
21,374,300 | Sansiri Pcl (Foreign Registered) | 1,393,372 | ||||||||
2,919,900 | Thai Oil Pcl (Foreign Registered) | 4,732,624 | ||||||||
1,322,000 | Thanachart Capital Pcl (Foreign Registered) | 1,448,837 | ||||||||
3,505,400 | TTW Pcl (Foreign Registered) | 1,372,817 | ||||||||
|
| |||||||||
Total Thailand | 55,687,092 | |||||||||
|
| |||||||||
Turkey — 0.6% | ||||||||||
2,454,414 | Akbank TAS | 9,356,973 | ||||||||
4,201,341 | Asya Katilim Bankasi AS * | 2,410,207 | ||||||||
69,065 | Dogus Gayrimenkul Yatirim Ortakligi AS (REIT) * | 140,559 | ||||||||
94,773 | Dogus Otomotiv Servis ve Ticaret AS | 383,950 | ||||||||
1,704,586 | EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 1,640,050 | ||||||||
4,077,952 | Emlak Konut Gayrimenkul Yatirim (REIT) | 5,123,526 | ||||||||
802,283 | Eregli Demir ve Celik Fabrikalari TAS | 1,559,729 | ||||||||
995,371 | Gubre Fabrikalari TAS | 2,003,905 | ||||||||
577,724 | Haci Omer Sabanci Holding AS | 2,674,377 | ||||||||
1,753,020 | Ipek Dogal Enerji Kaynaklari Ve Uretim AS * | 1,806,122 |
See accompanying notes to the financial statements. | 19 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
412,706 | KOC Holding AS | 2,108,222 | ||||||||
398,956 | Koza Altin Isletmeleri AS | 4,284,335 | ||||||||
1,673,369 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 1,747,987 | ||||||||
243,563 | Park Elektrik Madencilik Tekstil Sanayi ve Ticaret AS | 427,278 | ||||||||
1,390,669 | Tekfen Holding AS * | 3,494,679 | ||||||||
92,018 | Tupras-Turkiye Petrol Rafineriler AS | 2,160,540 | ||||||||
185,322 | Turk Hava Yollari Anonim Ortakligi * | 587,522 | ||||||||
1,586,279 | Turk Telekomunikasyon AS | 4,593,970 | ||||||||
1,554,940 | Turkcell Iletisim Hizmetleri AS * | 9,123,408 | ||||||||
11,300 | Turkcell Iletisim Hizmetleri AS ADR * | 166,788 | ||||||||
2,082,805 | Turkiye Garanti Bankasi AS | 8,157,318 | ||||||||
7,955,484 | Turkiye IS Bankasi – Class C | 20,543,544 | ||||||||
630,810 | Turkiye Sise ve Cam Fabrikalari AS | 851,947 | ||||||||
4,877,877 | Turkiye Vakiflar Bankasi TAO –Class D | 11,237,949 | ||||||||
1,897,359 | Turkiye Halk Bankasi AS | 13,917,568 | ||||||||
3,866,446 | Yapi ve Kredi Bankasi AS | 8,607,151 | ||||||||
|
| |||||||||
Total Turkey | 119,109,604 | |||||||||
|
| |||||||||
United Arab Emirates — 0.0% | ||||||||||
3,143,953 | Dana Gas PJSC * | 600,024 | ||||||||
3,154,771 | Eshraq Properties Co PJSC * | 1,169,197 | ||||||||
|
| |||||||||
Total United Arab Emirates | 1,769,221 | |||||||||
|
| |||||||||
United Kingdom — 3.9% | ||||||||||
289,447 | Amlin Plc | 2,163,716 | ||||||||
1,188,489 | AstraZeneca Plc | 90,691,709 | ||||||||
925,658 | Aviva Plc | 8,011,423 | ||||||||
1,320,148 | BAE Systems Plc | 9,769,152 | ||||||||
1,418,758 | Balfour Beatty Plc | 5,712,167 | ||||||||
379,830 | BG Group Plc | 7,571,373 | ||||||||
13,377,164 | BP Plc | 106,710,440 | ||||||||
144,859 | Bunzl Plc | 3,960,004 | ||||||||
99,244 | Cairn Energy Plc * | 296,109 | ||||||||
162,020 | Cape Plc | 836,074 | ||||||||
108,130 | Carillion Plc | 604,708 | ||||||||
267,860 | Catlin Group Ltd | 2,287,019 | ||||||||
2,337,306 | Centrica Plc | 12,406,714 | ||||||||
719,559 | Cobham Plc | 3,551,371 | ||||||||
1,255,225 | Debenhams Plc | 1,384,845 | ||||||||
788,235 | Dixons Carphone Plc | 4,519,400 | ||||||||
446,800 | Drax Group Plc | 4,655,100 | ||||||||
175,443 | Evraz Plc | 328,957 | ||||||||
2,362,428 | FirstGroup Plc * | 4,992,810 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
177,127 | Friends Life Group Ltd | 903,042 | ||||||||
1,691,050 | Glencore Plc | 10,182,586 | ||||||||
13,916 | Halfords Group Plc | 110,239 | ||||||||
1,168,559 | Home Retail Group Plc | 3,557,436 | ||||||||
701,872 | Imperial Tobacco Group Plc | 30,633,170 | ||||||||
387,666 | Inchcape Plc | 4,349,409 | ||||||||
381,909 | Intermediate Capital Group Plc | 2,590,118 | ||||||||
35,898 | JD Wetherspoon Plc | 444,011 | ||||||||
456,288 | J Sainsbury Plc | 2,203,121 | ||||||||
262,101 | Kingfisher Plc | 1,323,155 | ||||||||
33,612 | Lancashire Holdings Ltd | 349,593 | ||||||||
4,349,490 | Man Group Plc | 8,556,730 | ||||||||
689,252 | Marks & Spencer Group Plc | 4,923,285 | ||||||||
78,455 | Micro Focus International Plc | 1,136,041 | ||||||||
70,826 | Mitie Group Plc | 371,824 | ||||||||
95,772 | National Express Group Plc | 408,211 | ||||||||
36,974 | Next Plc | 4,356,732 | ||||||||
174,836 | Pearson Plc | 3,226,216 | ||||||||
88,624 | Premier Oil Plc | 512,121 | ||||||||
2,267,993 | Royal Dutch Shell Plc A Shares (London) | 91,789,390 | ||||||||
1,441,323 | Royal Dutch Shell Plc B Shares (London) | 60,880,067 | ||||||||
344,443 | RSA Insurance Group Plc | 2,620,094 | ||||||||
392,031 | Scottish & Southern Energy Plc | 9,887,540 | ||||||||
654,800 | Shire Plc ADR | 160,000,380 | ||||||||
334,180 | Spirit Pub Co Plc | 417,289 | ||||||||
518,527 | Standard Life Assurance Plc | 3,312,837 | ||||||||
5,339,092 | Tesco Plc | 20,408,343 | ||||||||
2,566,177 | Thomas Cook Group Plc * | 5,323,796 | ||||||||
931,004 | TUI Travel Plc | 5,759,855 | ||||||||
7,171,867 | Vodafone Group Plc | 24,648,848 | ||||||||
2,083,917 | WM Morrison Supermarkets Plc | 6,146,994 | ||||||||
|
| |||||||||
Total United Kingdom | 741,785,564 | |||||||||
|
| |||||||||
United States — 19.4% | ||||||||||
345,300 | 3M Co. | 49,723,200 | ||||||||
730,400 | Abbott Laboratories | 30,852,096 | ||||||||
331,690 | Accenture Plc – Class A | 26,886,791 | ||||||||
28,400 | Akamai Technologies, Inc. * | 1,715,928 | ||||||||
63,100 | Allergan, Inc. | 10,328,208 | ||||||||
826,585 | Amazon.com, Inc. * | 280,245,378 | ||||||||
68,600 | Ametek, Inc. | 3,631,684 | ||||||||
205,200 | Amgen, Inc. | 28,600,776 | ||||||||
41,700 | Amphenol Corp. – Class A | 4,295,517 | ||||||||
127,200 | Analog Devices, Inc. | 6,502,464 | ||||||||
18,300 | Ansys, Inc. * | 1,487,790 | ||||||||
38,900 | Apache Corp. | 3,961,187 | ||||||||
42,000 | Apollo Education Group, Inc. * | 1,166,340 |
20 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
599,500 | Apple, Inc. | 61,448,750 | ||||||||
10,500 | Applied Industrial Technologies, Inc. | 511,455 | ||||||||
11,200 | AptarGroup, Inc. | 718,480 | ||||||||
316,200 | Bally Technologies, Inc. * | 25,071,498 | ||||||||
299,200 | Baxter International, Inc. | 22,434,016 | ||||||||
109,800 | Becton, Dickinson and Co. | 12,865,266 | ||||||||
411,200 | Bed Bath & Beyond, Inc. * | 26,423,712 | ||||||||
56,800 | Biogen Idec, Inc. * | 19,484,672 | ||||||||
24,200 | Brown-Forman Corp. – Class B | 2,242,372 | ||||||||
156,400 | CA, Inc. | 4,416,736 | ||||||||
63,700 | Cerner Corp. * | 3,672,942 | ||||||||
798,000 | Chevron Corp. | 103,301,100 | ||||||||
66,300 | Church & Dwight Co., Inc. | 4,524,312 | ||||||||
79,400 | CH Robinson Worldwide, Inc. | 5,419,844 | ||||||||
2,915,900 | Cisco Systems, Inc. | 72,868,341 | ||||||||
102,600 | Citrix Systems, Inc. * | 7,208,676 | ||||||||
11,600 | Clarcor, Inc. | 733,236 | ||||||||
177,000 | Coach, Inc. | 6,518,910 | ||||||||
2,070,500 | Coca-Cola Co. (The) | 86,381,260 | ||||||||
300,100 | Cognizant Technology Solutions Corp. – Class A * | 13,723,573 | ||||||||
473,200 | Colgate-Palmolive Co. | 30,630,236 | ||||||||
293,700 | ConocoPhillips | 23,854,314 | ||||||||
159,600 | Costco Wholesale Corp. | 19,324,368 | ||||||||
3,145,578 | Covidien Plc | 273,130,538 | ||||||||
37,700 | CR Bard, Inc. | 5,596,188 | ||||||||
309,500 | Danaher Corp. | 23,710,795 | ||||||||
71,600 | Denbury Resources, Inc. | 1,232,952 | ||||||||
16,100 | Devon Energy Corp. | 1,214,262 | ||||||||
1,347,000 | DIRECTV * | 116,448,150 | ||||||||
29,800 | Donaldson Co., Inc. | 1,247,428 | ||||||||
59,000 | Dover Corp. | 5,184,330 | ||||||||
663,500 | eBay, Inc. * | 36,824,250 | ||||||||
23,300 | Edwards Lifesciences Corp. * | 2,312,758 | ||||||||
224,100 | Eli Lilly & Co. | 14,243,796 | ||||||||
1,268,200 | EMC Corp. | 37,449,946 | ||||||||
419,700 | Emerson Electric Co. | 26,869,194 | ||||||||
27,200 | Equifax, Inc. | 2,142,272 | ||||||||
25,400 | Estee Lauder Cos., Inc. (The) – Class A | 1,951,482 | ||||||||
70,300 | Expeditors International of Washington, Inc. | 2,903,390 | ||||||||
1,978,992 | Express Scripts Holding Co. * | 146,306,879 | ||||||||
510,400 | Exxon Mobil Corp. | 50,764,384 | ||||||||
37,100 | F5 Networks, Inc. * | 4,607,449 | ||||||||
8,500 | FactSet Research Systems, Inc. | 1,082,900 | ||||||||
48,300 | Fastenal Co. | 2,187,024 | ||||||||
10,800 | Fossil Group, Inc. * | 1,093,932 | ||||||||
118,200 | General Mills, Inc. | 6,309,516 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
46,900 | Gentex Corp. | 1,385,895 | ||||||||
76,100 | Genuine Parts Co. | 6,677,014 | ||||||||
18,900 | Global Payments, Inc. | 1,374,408 | ||||||||
137,300 | Google, Inc. – Class A * | 79,958,028 | ||||||||
56,300 | Google, Inc. – Class C * | 32,181,080 | ||||||||
12,900 | Grand Canyon Education, Inc. * | 557,796 | ||||||||
35,100 | Hasbro, Inc. | 1,848,191 | ||||||||
12,400 | Heartland Express, Inc. | 290,780 | ||||||||
36,200 | Henry Schein, Inc. * | 4,332,778 | ||||||||
99,100 | Herbalife Ltd. | 5,052,118 | ||||||||
15,600 | Hershey Co. (The) | 1,426,152 | ||||||||
16,300 | Hess Corp. | 1,647,930 | ||||||||
312,600 | Hewlett-Packard Co. | 11,878,800 | ||||||||
41,700 | Hormel Foods Corp. | 2,113,356 | ||||||||
15,900 | Hubbell, Inc. – Class B | 1,922,310 | ||||||||
2,928,706 | Hudson City Bancorp, Inc. | 28,906,328 | ||||||||
90,100 | Humana, Inc. | 11,599,474 | ||||||||
207,300 | Illinois Tool Works, Inc. | 18,285,933 | ||||||||
533,300 | International Business Machines Corp. | 102,553,590 | ||||||||
4,431,000 | International Game Technology | 74,706,660 | ||||||||
117,700 | Intuit, Inc. | 9,790,286 | ||||||||
8,000 | Intuitive Surgical, Inc. * | 3,760,080 | ||||||||
4,200 | J&J Snack Foods Corp. | 397,782 | ||||||||
25,000 | Jack Henry & Associates, Inc. | 1,445,250 | ||||||||
978,500 | Johnson & Johnson | 101,499,805 | ||||||||
1,530,900 | JPMorgan Chase & Co. | 91,012,005 | ||||||||
28,700 | Laboratory Corp. of America Holdings * | 3,077,501 | ||||||||
5,600 | Lancaster Colony Corp. | 495,096 | ||||||||
14,400 | Landstar System, Inc. | 977,256 | ||||||||
94,900 | Linear Technology Corp. | 4,280,939 | ||||||||
1,067,300 | Lorillard, Inc. | 63,717,810 | ||||||||
104,891 | Magnachip Semiconductor Corp. * | 1,293,306 | ||||||||
106,800 | Marathon Oil Corp. | 4,452,492 | ||||||||
14,500 | Masimo Corp. * | 325,380 | ||||||||
91,700 | Mastercard, Inc. – Class A | 6,951,777 | ||||||||
184,400 | Mattel, Inc. | 6,359,956 | ||||||||
34,800 | McCormick & Co., Inc. (Non Voting) | 2,425,212 | ||||||||
389,100 | McDonald’s Corp. | 36,466,452 | ||||||||
19,300 | Mednax, Inc. * | 1,104,925 | ||||||||
145,281 | Medtronic, Inc. | 9,276,192 | ||||||||
7,900 | Mettler-Toledo International, Inc. * | 2,136,792 | ||||||||
24,100 | Micros Systems, Inc. * | 1,638,077 | ||||||||
2,858,500 | Microsoft Corp. | 129,861,655 | ||||||||
266,100 | Monsanto Co. | 30,774,465 | ||||||||
17,200 | Monster Beverage Corp. * | 1,520,652 |
See accompanying notes to the financial statements. | 21 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
12,000 | MSC Industrial Direct Co., Inc. – Class A | 1,081,680 | ||||||||
27,800 | Murphy Oil Corp. | 1,736,666 | ||||||||
96,100 | NetApp, Inc. | 4,051,576 | ||||||||
20,100 | NeuStar, Inc. – Class A * | 592,749 | ||||||||
15,700 | Newfield Exploration Co. * | 703,674 | ||||||||
339,700 | Nike, Inc. – Class B | 26,683,435 | ||||||||
125,600 | Occidental Petroleum Corp. | 13,028,488 | ||||||||
13,000 | Oceaneering International, Inc. | 904,280 | ||||||||
3,421,500 | Oracle Corp. | 142,094,895 | ||||||||
29,300 | Pall Corp. | 2,472,041 | ||||||||
27,900 | Patterson Cos., Inc. | 1,123,533 | ||||||||
119,200 | Paychex, Inc. | 4,964,680 | ||||||||
344,900 | PepsiCo, Inc. | 31,899,801 | ||||||||
1,819,500 | Philip Morris International, Inc. | 155,712,810 | ||||||||
15,500 | Polaris Industries, Inc. | 2,253,390 | ||||||||
66,100 | Precision Castparts Corp. | 16,132,366 | ||||||||
1,064,100 | Procter & Gamble Co. (The) | 88,437,351 | ||||||||
956,500 | Qualcomm, Inc. | 72,789,650 | ||||||||
27,100 | Ralph Lauren Corp. | 4,585,320 | ||||||||
22,300 | Red Hat, Inc. * | 1,358,516 | ||||||||
22,600 | ResMed, Inc. | 1,198,930 | ||||||||
168,400 | Reynolds American, Inc. | 9,846,348 | ||||||||
57,700 | Rockwell Automation, Inc. | 6,728,397 | ||||||||
13,300 | Rockwell Collins, Inc. | 1,023,834 | ||||||||
23,000 | Roper Industries, Inc. | 3,462,880 | ||||||||
31,000 | Ross Stores, Inc. | 2,338,020 | ||||||||
1,001,000 | Safeway, Inc. | 34,814,780 | ||||||||
46,500 | Sigma-Aldrich Corp. | 4,836,000 | ||||||||
150,900 | St Jude Medical, Inc. | 9,897,531 | ||||||||
17,200 | Steven Madden Ltd. * | 584,628 | ||||||||
15,100 | Stone Energy Corp. * | 531,369 | ||||||||
164,600 | Stryker Corp. | 13,712,826 | ||||||||
237,200 | Sysco Corp. | 8,973,276 | ||||||||
10,200 | Techne Corp. | 974,304 | ||||||||
282,300 | Teradata Corp. * | 12,892,641 | ||||||||
24,700 | Texas Roadhouse, Inc. | 656,773 | ||||||||
16,300 | Tiffany & Co. | 1,645,322 | ||||||||
741,000 | Time Warner Cable, Inc. | 109,616,130 | ||||||||
168,000 | TJX Cos, Inc. (The) | 10,014,480 | ||||||||
65,400 | Total System Services, Inc. | 2,057,484 | ||||||||
322,500 | Trulia, Inc. * | 19,875,675 | ||||||||
16,900 | Tupperware Brands Corp. | 1,238,094 | ||||||||
9,400 | United Natural Foods, Inc. * | 604,326 | ||||||||
533,700 | UnitedHealth Group, Inc. | 46,261,116 | ||||||||
31,300 | Urban Outfitters, Inc. * | 1,245,427 | ||||||||
40,000 | Varian Medical Systems, Inc. * | 3,400,800 | ||||||||
165,500 | VF Corp. | 10,611,860 | ||||||||
22,000 | Wabtec Corp. | 1,833,920 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
512,900 | Wal-Mart Stores, Inc. | 38,723,950 | ||||||||
23,500 | Waters Corp. * | 2,430,605 | ||||||||
83,000 | WellPoint, Inc. | 9,670,330 | ||||||||
591,300 | Wells Fargo & Co. | 30,416,472 | ||||||||
9,900 | Whiting Petroleum Corp. * | 917,334 | ||||||||
31,600 | Williams Partners LP | 1,675,116 | ||||||||
53,900 | WPX Energy, Inc. * | 1,434,818 | ||||||||
25,600 | WW Grainger, Inc. | 6,302,720 | ||||||||
156,300 | Xilinx, Inc. | 6,603,675 | ||||||||
71,000 | Zimmer Holdings, Inc. | 7,051,010 | ||||||||
|
| |||||||||
Total United States | 3,670,439,109 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $8,147,232,727) | 8,596,815,229 | |||||||||
|
| |||||||||
PREFERRED STOCKS (a) — 1.5% | ||||||||||
Brazil — 0.9% | ||||||||||
659,200 | AES Tiete SA | 5,924,996 | ||||||||
358,890 | Banco Bradesco SA | 6,547,718 | ||||||||
512,210 | Banco Bradesco SA ADR | 9,342,710 | ||||||||
575,900 | Banco do Estado do Rio Grande do Sul SA – Class B | 3,974,829 | ||||||||
109,550 | Bradespar SA | 1,000,803 | ||||||||
171,800 | Companhia de Transmissao de Energia Eletrica Paulista | 2,502,747 | ||||||||
1,443,539 | Companhia Energetica de Minas Gerais Sponsored ADR | 12,400,000 | ||||||||
322,200 | Companhia Energetica de Sao Paulo – Class B | 4,561,322 | ||||||||
243,200 | Companhia Paranaense de Energia – Class B | 4,308,828 | ||||||||
160,100 | Companhia Paranaense de Energia Sponsored ADR | 2,849,780 | ||||||||
1,587,427 | Companhia Energetica de Minas Gerais | 13,587,269 | ||||||||
734,100 | Eletropaulo Metropolitana SA | 3,377,811 | ||||||||
899,300 | Gerdau SA | 5,206,579 | ||||||||
335,700 | Gerdau SA Sponsored ADR | 1,943,703 | ||||||||
28,200 | Gol Linhas Aereas Inteligentes SA ADR | 173,430 | ||||||||
538,716 | Itau Unibanco Holding SA | 9,713,012 | ||||||||
600,666 | Itau Unibanco Holding SA ADR | 10,811,988 | ||||||||
3,879,108 | Itausa-Investimentos Itau SA | 18,888,665 | ||||||||
438,100 | Metalurgica Gerdau SA | 3,103,983 | ||||||||
5,257,600 | Oi SA | 3,405,638 | ||||||||
1,417,200 | Oi SA ADR | 949,524 | ||||||||
331,100 | Telefonica Brasil SA | 7,077,568 | ||||||||
653,000 | Telefonica Brasil SA ADR | 13,974,200 | ||||||||
197,100 | Tim Participacoes SA ADR | 5,514,858 | ||||||||
1,173,100 | Vale SA | 13,609,742 |
22 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
74,800 | Vale SA Sponsored ADR | 871,420 | ||||||||
|
| |||||||||
Total Brazil | 165,623,123 | |||||||||
|
| |||||||||
Germany — 0.4% | ||||||||||
237,053 | Porsche Automobil Holding SE | 21,634,493 | ||||||||
247,721 | Volkswagen AG | 55,832,586 | ||||||||
|
| |||||||||
Total Germany | 77,467,079 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
2,316,641 | Sberbank * | 3,462,153 | ||||||||
30,035,134 | Surgutneftegaz OJSC * | 22,153,584 | ||||||||
1,923 | Transneft * | 4,239,877 | ||||||||
|
| |||||||||
Total Russia | 29,855,614 | |||||||||
|
| |||||||||
South Korea — 0.1% | ||||||||||
22,655 | Hyundai Motor Co | 3,509,149 | ||||||||
20,888 | Hyundai Motor Co | 3,091,409 | ||||||||
10,907 | Samsung Electronics Co Ltd | 10,983,436 | ||||||||
163 | Samsung Electronics Co Ltd GDR (Registered) | 81,085 | ||||||||
|
| |||||||||
Total South Korea | 17,665,079 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $276,015,334) | 290,610,895 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS (a) — 0.0% | ||||||||||
France — 0.0% | ||||||||||
864,865 | Peugeot SA Warrants, Expires 04/29/17 * | 1,831,860 | ||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
61,589 | Sun Hung Kai Properties Ltd Warrants, Expires 04/22/16 * | 151,786 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $1,106,602) | 1,983,646 | |||||||||
|
| |||||||||
INVESTMENT FUNDS (a) — 0.0% | ||||||||||
Thailand — 0.0% | ||||||||||
850,940 | BTS Rail Mass Transit Growth Infrastructure Fund | 274,445 | ||||||||
818,900 | TRUE Telecommunication Growth Infrastructure Fund | 261,543 | ||||||||
|
| |||||||||
Total Thailand | 535,988 | |||||||||
|
| |||||||||
United States — 0.0% | ||||||||||
164,921 | iShares MSCI Emerging Markets ETF | 7,431,340 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $8,036,110) | 7,967,328 | |||||||||
|
|
Par Value ($) / Shares / Principal Amount | Description | Value ($) | ||||||||
DEBT OBLIGATIONS (a) — 5.1% | ||||||||||
United States — 5.1% | ||||||||||
Asset-Backed Securities — 0.0% | ||||||||||
1,599,399 | American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52 | 1,599 | ||||||||
2,500,000 | Toll Road Investment Part II, Series C, 144A, NFPG, Zero Coupon, due 02/15/37 | 572,500 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 574,099 | |||||||||
|
| |||||||||
U.S. Government — 5.1% | ||||||||||
939,360,912 | U.S. Treasury Inflation Indexed Bonds, 1.88%, due 07/15/15 (d) | 964,973,527 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $968,229,630) | 965,547,626 | |||||||||
|
| |||||||||
Mutual Funds — 30.8% | ||||||||||
United States — 30.8% | ||||||||||
Affiliated Issuers — 30.8% | ||||||||||
126,582,524 | GMO Alpha Only Fund, Class IV | 3,008,866,587 | ||||||||
33,546,991 | GMO Debt Opportunities Fund, Class VI | 836,997,433 | ||||||||
63,404,123 | GMO Emerging Country Debt Fund, Class IV | 663,841,169 | ||||||||
18,819,337 | GMO Special Opportunities Fund, Class VI | 377,139,507 | ||||||||
28,921,007 | GMO Systematic Global Macro Opportunity Fund, Class III | 946,873,777 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $5,778,111,191) | 5,833,718,473 | |||||||||
|
| |||||||||
OPTIONS PURCHASED (a) — 0.1% | ||||||||||
Currency Options — 0.0% | ||||||||||
USD | 79,000,000 | USD Put/JPY Call, Expires 11/20/14, Strike 98.90, (OTC) (CP-DB) | 96,143 | |||||||
USD | 79,000,000 | USD Call/JPY Put, Expires 11/20/14, Strike 103.60, (OTC) (CP-DB) | 1,104,341 | |||||||
USD | 82,000,000 | USD Call/JPY Put, Expires 02/19/15, Strike 106.13, (OTC) (CP-MSCI) | 857,720 | |||||||
USD | 82,000,000 | USD Put/JPY Call, Expires 02/19/15, Strike 98.95, (OTC) (CP-MSCI) | 433,862 | |||||||
|
| |||||||||
Total Currency Options | 2,492,066 | |||||||||
|
|
See accompanying notes to the financial statements. | 23 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Principal Amount / Number of Contracts | Description | Value ($) | ||||||||
Equity Options — 0.0% | ||||||||||
1,400 | Zillow, Inc. Put, Expires 02/20/15, Strike 150.00 | 3,500,000 | ||||||||
|
| |||||||||
Options on Interest Rate Swaps — 0.1% | ||||||||||
USD | 77,400,000 | USD Swaption Put, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 114,200,000 USD in which it will pay a rate of 2.69% and will receive 3 month USD LIBOR, maturing on 10/21/24. (OTC) (CP-JPM) | 278,408 | |||||||
USD | 77,400,000 | USD Swaption Call, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 114,200,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.69%, maturing on 10/21/24. (OTC) (CP-JPM) | 1,295,521 | |||||||
USD | 234,100,000 | USD Swaption Call, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 234,100,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.52%, maturing on 10/01/24. (OTC) (CP-GS) | 1,431,990 | |||||||
USD | 234,100,000 | USD Swaption Put, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 234,100,000 USD in which it will pay a rate of 2.52% and will receive 3 month USD LIBOR, maturing on 10/01/24. (OTC) (CP-GS) | 1,637,529 | |||||||
|
| |||||||||
Total Options on Interest Rate Swaps | 4,643,448 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $10,370,208) | 10,635,514 | |||||||||
|
|
Shares / Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS (a) — 16.8% | ||||||||||
Money Market Funds — 0.3% | ||||||||||
48,006,251 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (e) | 48,006,251 | ||||||||
|
| |||||||||
U.S. Government — 16.5% | ||||||||||
125,000,000 | U.S. Treasury Bill, 0.03%, due 09/18/14 (f) | 124,998,219 | ||||||||
476,700,000 | U.S. Treasury Bill, 0.03%, due 11/06/14 (f) | 476,678,548 | ||||||||
339,570,000 | U.S. Treasury Bill, 0.02%, due 12/11/14 (f) | 339,550,984 | ||||||||
665,000,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (f) | 664,952,785 | ||||||||
75,000,000 | U.S. Treasury Bill, 0.03%, due 11/28/14 (f) | 74,995,050 | ||||||||
720,000,000 | U.S. Treasury Bill, 0.02%, due 12/04/14 (f) (g) | 719,971,920 | ||||||||
525,118,000 | U.S. Treasury Bill, 0.03%, due 12/26/14 (f) (g) | 525,067,589 | ||||||||
200,000,000 | U.S. Treasury Bill, 0.03%, due 01/15/15 (f) | 199,981,200 | ||||||||
|
| |||||||||
Total U.S. Government | 3,126,196,295 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $3,174,022,680) | 3,174,202,546 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $18,363,124,482) | 18,881,481,257 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT (a) — (7.7)% | ||||||||||
COMMON STOCKS — (3.1)% | ||||||||||
Italy — (0.1)% | ||||||||||
(494,946 | ) | GTECH SpA | (11,801,992 | ) | ||||||
|
| |||||||||
Switzerland — (0.0)% | ||||||||||
(19,000 | ) | Holcim Ltd (Registered) * | (1,512,240 | ) | ||||||
|
| |||||||||
United States — (3.0)% | ||||||||||
(1,760,102 | ) | AbbVie, Inc. | (97,298,439 | ) | ||||||
(26,860 | ) | Access Midstream Partners LP | (1,728,441 | ) | ||||||
(3,152,142 | ) | Applied Materials, Inc. | (72,830,241 | ) | ||||||
(1,755,922 | ) | AT&T, Inc. | (61,387,033 | ) | ||||||
(228,225 | ) | Burger King Worldwide, Inc. | (7,312,329 | ) | ||||||
(2,130,375 | ) | Comcast Corp. – Class A | (116,595,424 | ) | ||||||
(33,780 | ) | Liberty Global Plc * | (1,416,395 | ) | ||||||
(13,692 | ) | Liberty Global Plc – Class A * | (597,930 | ) | ||||||
(246,097 | ) | M&T Bank Corp. | (30,424,972 | ) |
24 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
United States — continued | ||||||||||
�� | (2,731,176 | ) | Medtronic, Inc. | (174,385,588 | ) | |||||
(310,391 | ) | Reynolds American, Inc. | (18,148,561 | ) | ||||||
|
| |||||||||
Total United States | (582,125,353 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $581,260,383) | (595,439,585 | ) | ||||||||
|
| |||||||||
DEBT OBLIGATIONS — (4.6)% | ||||||||||
U.S. Government Agency — (4.6)% | ||||||||||
(815,200,000 | ) | Federal National Mortgage Assoc., TBA, 4.00%, due 02/01/42 | (863,857,250 | ) | ||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (PROCEEDS $858,311,219) | (863,857,250 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,439,571,602) | (1,459,296,835 | ) | ||||||||
|
| |||||||||
Other Assets and Liabilities (net) — 8.0% | 1,522,003,865 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $18,944,188,287 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts (a)
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BOA | CAD | 9,471,300 | USD | 8,708,313 | $ | 9,342 | |||||||||||||||
10/31/2014 | DB | CAD | 9,156,900 | USD | 8,347,532 | (62,676 | ) | |||||||||||||||
10/28/2014 | BCLY | EUR | 47,562,500 | USD | 63,106,401 | 590,070 | ||||||||||||||||
10/28/2014 | BOA | EUR | 35,671,875 | USD | 47,361,834 | 474,586 | ||||||||||||||||
10/28/2014 | DB | EUR | 107,015,625 | USD | 142,136,066 | 1,474,322 | ||||||||||||||||
10/31/2014 | BOA | EUR | 660,000 | USD | 881,489 | 13,964 | ||||||||||||||||
10/31/2014 | BBH | GBP | 6,774,768 | USD | 11,394,665 | 152,865 | ||||||||||||||||
10/31/2014 | BCLY | GBP | 1,613,040 | USD | 2,710,292 | 33,673 | ||||||||||||||||
10/31/2014 | BOA | GBP | 16,130,400 | USD | 26,742,816 | (23,375 | ) | |||||||||||||||
10/31/2014 | GS | GBP | 15,983,760 | USD | 26,936,312 | 413,449 | ||||||||||||||||
10/31/2014 | JPM | GBP | 7,507,968 | USD | 12,640,514 | 182,069 | ||||||||||||||||
09/02/2014 | BCLY | JPY | 837,700,000 | USD | 8,182,838 | 131,514 | ||||||||||||||||
09/02/2014 | CITI | JPY | 15,900,000,000 | USD | 156,684,248 | 3,865,756 | ||||||||||||||||
09/02/2014 | DB | JPY | 10,500,000,000 | USD | 103,530,184 | 2,612,312 | ||||||||||||||||
09/02/2014 | JPM | JPY | 1,100,000,000 | USD | 10,849,209 | 276,860 | ||||||||||||||||
10/31/2014 | BCLY | JPY | 9,493,129,500 | USD | 91,379,554 | 99,715 | ||||||||||||||||
10/31/2014 | DB | JPY | 9,351,441,000 | USD | 90,116,999 | 199,546 | ||||||||||||||||
10/31/2014 | GS | JPY | 9,493,129,500 | USD | 91,369,880 | 90,041 | ||||||||||||||||
09/09/2014 | BCLY | SEK | 507,000,000 | USD | 74,108,451 | 1,569,787 | ||||||||||||||||
09/02/2014 | BCLY | USD | 91,341,571 | JPY | 9,493,129,500 | (100,959 | ) | |||||||||||||||
09/02/2014 | DB | USD | 90,080,106 | JPY | 9,351,441,000 | (201,294 | ) | |||||||||||||||
09/02/2014 | GS | USD | 91,332,783 | JPY | 9,493,129,500 | (92,171 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 11,709,396 | |||||||||||||||||||||
|
|
Futures Contracts (a)
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
7,998 | Euro Dollar 90 Day | December 2014 | $ | 1,648,117,389 | $ | 2,191,923 | ||||||
8,895 | Euro Dollar 90 Day | June 2015 | 1,826,221,300 | 548,032 | ||||||||
378 | U.S. Long Bond (CBT) | December 2014 | 52,955,438 | 192,456 | ||||||||
3,002 | U.S. Treasury Note 5 Yr. (CBT) | December 2014 | 356,745,486 | 735,421 | ||||||||
2,436 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 306,403,125 | 872,100 | ||||||||
|
|
|
| |||||||||
$ | 4,190,442,738 | $ | 4,539,932 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
4,021 | Canadian Government Bond 10 Yr. | December 2014 | $ | 507,867,129 | $ | (3,490,086 | ) | |||||
8,205 | Euro Dollar 90 Day | September 2015 | 1,681,238,016 | (554,310 | ) | |||||||
690 | Euro Dollar 90 Day | December 2015 | 141,118,921 | (66,821 | ) | |||||||
910 | Japanese Government Bond 10 Yr. (OSE) | September 2014 | 1,278,959,104 | (2,688,850 | ) | |||||||
|
|
|
| |||||||||
$ | 3,609,183,170 | $ | (6,800,067 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
See accompanying notes to the financial statements. | 25 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Written Options (a)
Number of | Expiration Date | Description | Premiums | Market Value | ||||||||||||
Call | 1,400 | 02/20/2015 | Zillow, Inc., Strike 170 | $ | 2,221,163 | $ | (1,414,000 | ) | ||||||||
|
|
|
|
Swap Contracts (a)
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
168,000,000 | CHF | 9/17/2024 | BCI (h) | (Pay) | 1.45% | 6 Month CHF LIBOR | $ | (11,461,677 | ) | |||||||||||
473,000,000 | GBP | 7/16/2024 | BCI (h) | (Pay) | 3.45% | 6 Month GBP LIBOR | (17,218,621 | ) | ||||||||||||
1,329,000,000 | MXN | 8/11/2021 | BCI (h) | Receive | 5.54% | TIIE | (202,671 | ) | ||||||||||||
664,000,000 | MXN | 8/12/2021 | BCI (h) | Receive | 5.60% | TIIE | 68,658 | |||||||||||||
669,000,000 | MXN | 8/19/2021 | BCI (h) | Receive | 5.61% | TIIE | 96,589 | |||||||||||||
32,000,000 | NZD | 7/21/2024 | BCI (h) | Receive | 5.20% | 3 Month NZD Bank Bill Rate | 368,736 | |||||||||||||
415,000,000 | SEK | 8/5/2016 | BCI (h) | Receive | 0.63% | 3 Month SEK STIBOR | 101,211 | |||||||||||||
940,000,000 | SEK | 8/6/2016 | BCI (h) | Receive | 0.62% | 3 Month SEK STIBOR | 201,975 | |||||||||||||
1,109,000,000 | SEK | 8/7/2016 | BCI (h) | Receive | 0.63% | 3 Month SEK STIBOR | 276,575 | |||||||||||||
469,000,000 | SEK | 8/11/2016 | BCI (h) | Receive | 0.62% | 3 Month SEK STIBOR | 105,737 | |||||||||||||
710,000,000 | SEK | 8/13/2016 | BCI (h) | Receive | 0.63% | 3 Month SEK STIBOR | 168,085 | |||||||||||||
257,000,000 | SEK | 8/13/2016 | BCI (h) | Receive | 0.63% | 3 Month SEK STIBOR | 64,048 | |||||||||||||
796,000,000 | SEK | 8/15/2016 | BCI (h) | Receive | 0.63% | 3 Month SEK STIBOR | 181,239 | |||||||||||||
1,354,000,000 | SEK | 8/18/2016 | BCI (h) | Receive | 0.62% | 3 Month SEK STIBOR | 293,096 | |||||||||||||
796,000,000 | SEK | 8/19/2016 | BCI (h) | Receive | 0.62% | 3 Month SEK STIBOR | 174,343 | |||||||||||||
1,255,000,000 | SEK | 8/20/2016 | BCI (h) | Receive | 0.63% | 3 Month SEK STIBOR | 279,955 | |||||||||||||
1,000,000,000 | SEK | 8/21/2016 | BCI (h) | Receive | 0.61% | 3 Month SEK STIBOR | 179,199 | |||||||||||||
790,000,000 | SEK | 9/17/2021 | BCI (h) | Receive | 1.50% | 3 Month SEK STIBOR | 1,295,590 | |||||||||||||
1,938,600,000 | USD | 7/16/2019 | CSS (h) | Receive | 3.09% | 3 Month USD LIBOR | 3,946,303 | |||||||||||||
271,000,000 | USD | 7/24/2021 | CSS (h) | Receive | 3.34% | 3 Month USD LIBOR | 981,340 | |||||||||||||
336,000,000 | USD | 7/24/2021 | CSS (h) | Receive | 3.33% | 3 Month USD LIBOR | 1,186,573 | |||||||||||||
335,000,000 | USD | 7/24/2021 | CSS (h) | Receive | 3.40% | 3 Month USD LIBOR | 1,558,474 | |||||||||||||
335,000,000 | USD | 7/29/2021 | CSS (h) | Receive | 3.32% | 3 Month USD LIBOR | 1,109,036 | |||||||||||||
345,000,000 | USD | 7/29/2021 | CSS (h) | Receive | 3.34% | 3 Month USD LIBOR | 1,280,997 | |||||||||||||
340,000,000 | USD | 7/30/2021 | CSS (h) | Receive | 3.32% | 3 Month USD LIBOR | 1,138,368 | |||||||||||||
408,000,000 | USD | 8/5/2021 | CSS (h) | Receive | 3.46% | 3 Month USD LIBOR | 2,349,548 | |||||||||||||
83,800,000 | USD | 8/5/2024 | CSS (h) | Receive | 2.62% | 3 Month USD LIBOR | 1,021,424 | |||||||||||||
83,800,000 | USD | 8/5/2024 | CSS (h) | Receive | 2.64% | 3 Month USD LIBOR | 1,142,951 | |||||||||||||
98,000,000 | USD | 8/7/2024 | CSS (h) | Receive | 2.63% | 3 Month USD LIBOR | 1,280,047 | |||||||||||||
46,200,000 | USD | 8/11/2024 | CSS (h) | (Pay) | 2.59% | 3 Month USD LIBOR | (408,256 | ) | ||||||||||||
43,500,000 | USD | 8/12/2024 | CSS (h) | (Pay) | 2.55% | 3 Month USD LIBOR | (236,568 | ) | ||||||||||||
59,700,000 | USD | 8/13/2024 | CSS (h) | Receive | 2.60% | 3 Month USD LIBOR | 530,488 | |||||||||||||
61,800,000 | USD | 8/15/2024 | CSS (h) | (Pay) | 2.57% | 3 Month USD LIBOR | (417,244 | ) | ||||||||||||
55,300,000 | USD | 8/19/2024 | CSS (h) | (Pay) | 2.53% | 3 Month USD LIBOR | (192,880 | ) | ||||||||||||
136,500,000 | USD | 8/20/2024 | CSS (h) | Receive | 2.63% | 3 Month USD LIBOR | 1,732,497 | |||||||||||||
17,000,000 | USD | 8/27/2024 | CSS (h) | (Pay) | 2.53% | 3 Month USD LIBOR | (58,534 | ) |
26 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Interest Rate Swaps (Continued)
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
28,000,000 | USD | 7/24/2049 | CSS (h) | (Pay) | 3.66% | 3 Month USD LIBOR | $ | (1,030,802 | ) | |||||||||||
35,000,000 | USD | 7/24/2049 | CSS (h) | (Pay) | 3.67% | 3 Month USD LIBOR | (1,335,123 | ) | ||||||||||||
35,000,000 | USD | 7/29/2049 | CSS (h) | (Pay) | 3.33% | 3 Month USD LIBOR | (1,217,662 | ) | ||||||||||||
36,000,000 | USD | 7/29/2049 | CSS (h) | (Pay) | 3.66% | 3 Month USD LIBOR | (1,316,379 | ) | ||||||||||||
35,000,000 | USD | 7/29/2049 | CSS (h) | (Pay) | 3.72% | 3 Month USD LIBOR | (1,652,722 | ) | ||||||||||||
36,000,000 | USD | 7/30/2049 | CSS (h) | (Pay) | 3.62% | 3 Month USD LIBOR | (1,098,641 | ) | ||||||||||||
43,000,000 | USD | 8/5/2049 | CSS (h) | (Pay) | 3.73% | 3 Month USD LIBOR | (2,128,687 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (16,863,385 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | 8,227,581 | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Consolidated Schedule of Investments:
* | Non-income producing security. |
(a) | All or a portion of this security is owned by GMO Implementation Fund, which is a 100% owned subsidiary of GMO Benchmark-Free Allocation Fund. |
(b) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(c) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
(d) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(f) | The rate shown represents yield-to-maturity. |
(g) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(h) | Interest rate swap was cleared through the CME Group. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying notes to the financial statements. | 27 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 52.6 | % | ||
Short-Term Investments | 25.8 | |||
Debt Obligations | 9.5 | |||
Futures Contracts | 8.0 | |||
Preferred Stocks | 2.0 | |||
Investment Funds | 0.4 | |||
Loan Participations | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Options Purchased | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.1 | )^ | ||
Swap Contracts | (0.2 | ) | ||
Other | 1.7 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
United States | 50.9 | % | ||
Emerging*** | 27.3 | |||
France | 8.4 | |||
Germany | 7.3 | |||
United Kingdom | 6.6 | |||
Sweden | 4.5 | |||
Spain | 2.6 | |||
Italy | 2.4 | |||
Netherlands | 1.0 | |||
Norway | 1.0 | |||
Israel | 0.6 | |||
Finland | 0.5 | |||
Hong Kong | 0.5 | |||
Belgium | 0.4 | |||
Denmark | 0.3 | |||
Singapore | 0.3 | |||
Austria | 0.2 | |||
Ireland | 0.2 | |||
New Zealand | 0.1 | |||
Portugal | 0.1 | |||
United Arab Emirates | 0.0 | ^ | ||
Australia | (0.2 | ) | ||
Switzerland | (1.8 | ) | ||
Canada | (4.8 | ) | ||
Japan | (8.4 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund. |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial |
instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Emerging” exposure is primarily comprised of: Angola, Argentina, Azerbaijan, Brazil, Chile, China, Colombia, Congo, Costa Rica, Croatia, Czech Republic, Dominican Republic, Ecuador, Egypt, Greece, Hungary, India, Indonesia, Iraq, Korea, Malaysia, Mexico, Morocco, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, Sri Lanka, Taiwan, Thailand, Turkey, Tunisia, Ukraine, Uruguay, Venezuela, and Vietnam. |
^ | Rounds to 0.0%. |
28
GMO Benchmark-Free Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
12,923,869 | GMO Alpha Only Fund, Class IV | 307,200,360 | ||||||||
41,635,084 | GMO Asset Allocation Bond Fund, Class VI | 1,055,865,718 | ||||||||
8,679,565 | GMO Debt Opportunities Fund, Class VI | 216,555,153 | ||||||||
20,284,301 | GMO Emerging Country Debt Fund, Class IV | 212,376,636 | ||||||||
45,926,070 | GMO Emerging Markets Fund, Class VI | 534,120,199 | ||||||||
43,564,097 | GMO International Equity Fund, Class IV | 1,132,230,876 | ||||||||
23,034,425 | GMO Risk Premium Fund, Class VI | 248,541,442 | ||||||||
6,190,329 | GMO Special Opportunities Fund, Class VI | 124,054,200 | ||||||||
6,666,196 | GMO Systematic Global Macro Opportunity Fund, Class III | 218,251,272 | ||||||||
48,327,832 | GMO U.S. Equity Allocation Fund, Class VI | 871,350,803 | ||||||||
1,271,422 | GMO U.S. Treasury Fund | 31,785,546 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $4,904,233,609) | 4,952,332,205 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Time Deposits — 0.0% | ||||||||||
71,234 | State Street Eurodollar Time Deposit, 0.01%, due 09/02/2014 | 71,234 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $71,234) | 71,234 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $4,904,304,843) | 4,952,403,439 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (76,562 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $4,952,326,877 | |||||||||
|
|
See accompanying notes to the financial statements. | 29 |
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 57.3 | % | ||
Short-Term Investments | 24.0 | |||
Debt Obligations | 9.3 | |||
Futures Contracts | 5.9 | |||
Preferred Stocks | 1.8 | |||
Investment Funds | 0.2 | |||
Loan Participations | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Options Purchased | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.2 | ) | ||
Other | 1.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
United States | 46.5 | % | ||
Emerging*** | 22.6 | |||
France | 9.7 | |||
Germany | 8.3 | |||
United Kingdom | 7.2 | |||
Sweden | 4.0 | |||
Spain | 3.0 | |||
Italy | 2.8 | |||
Norway | 1.1 | |||
Netherlands | 1.0 | |||
Finland | 0.7 | |||
Israel | 0.7 | |||
Belgium | 0.4 | |||
Hong Kong | 0.4 | |||
Denmark | 0.3 | |||
Ireland | 0.3 | |||
Singapore | 0.3 | |||
Austria | 0.2 | |||
New Zealand | 0.2 | |||
Portugal | 0.2 | |||
United Arab Emirates | 0.0 | ^ | ||
Australia | (0.2 | ) | ||
Switzerland | (1.4 | ) | ||
Canada | (4.0 | ) | ||
Japan | (4.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund. |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial |
instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Emerging” exposure is primarily comprised of: Angola, Argentina, Azerbaijan, Brazil, Chile, China, Colombia, Congo, Costa Rica, Croatia, Czech Republic, Dominican Republic, Ecuador, Egypt, Greece, Hungary, India, Indonesia, Iraq, Korea, Malaysia, Mexico, Morocco, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, Sri Lanka, Taiwan, Thailand, Turkey, Tunisia, Ukraine, Uruguay, Venezuela, and Vietnam. |
^ | Rounds to 0.0%. |
30
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.9% | ||||||||||
Affiliated Issuers — 99.9% | ||||||||||
29,583,492 | GMO Alpha Only Fund, Class IV | 703,199,597 | ||||||||
36,293,154 | GMO Asset Allocation Bond Fund, Class VI | 920,394,387 | ||||||||
9,755,878 | GMO Debt Opportunities Fund, Class VI | 243,409,163 | ||||||||
18,320,072 | GMO Emerging Country Debt Fund, Class IV | 191,811,151 | ||||||||
39,704,576 | GMO Emerging Markets Fund, Class VI | 461,764,221 | ||||||||
55,153,243 | GMO International Equity Fund, Class IV | 1,433,432,788 | ||||||||
12,806,439 | GMO Risk Premium Fund, Class VI | 138,181,475 | ||||||||
4,978,911 | GMO Systematic Global Macro Opportunity Fund, Class III | 163,009,560 | ||||||||
53,111,786 | GMO U.S. Equity Allocation Fund, Class VI | 957,605,505 | ||||||||
8,052,747 | GMO U.S. Treasury Fund | 201,318,670 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $5,106,469,189) | 5,414,126,517 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.1% | ||||||||||
Asset-Backed Securities — 0.1% | ||||||||||
Business Loans — 0.0% | ||||||||||
206,425 | Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.46%, due 05/28/39 | 88,762 | ||||||||
232,280 | Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 02/28/40 | 181,109 | ||||||||
113,445 | Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/25/30 | 106,373 | ||||||||
|
| |||||||||
Total Business Loans | 376,244 | |||||||||
|
| |||||||||
CDO Residential Mortgage-Backed (United States) — 0.0% | ||||||||||
41,538 | Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/26/34 | 36,670 | ||||||||
|
| |||||||||
CMBS Collateralized Debt Obligations — 0.0% | ||||||||||
499,812 | American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52 | 500 | ||||||||
|
| |||||||||
Insured Business Loans — 0.0% | ||||||||||
107,242 | CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.59%, due 10/25/30 | 87,938 | ||||||||
|
| |||||||||
Insured Other — 0.0% | ||||||||||
378,387 | Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 09/15/41 | 367,656 |
Par Value ($) | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Insured Other — continued | ||||||||||
391,167 | Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 12/15/41 | 381,510 | ||||||||
100,000 | Toll Road Investment Part II, Series 1999B, 144A, NPG, Zero Coupon, due 02/15/30 | 36,250 | ||||||||
900,000 | Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37 | 206,100 | ||||||||
|
| |||||||||
Total Insured Other | 991,516 | |||||||||
|
| |||||||||
Insured Residential Asset-Backed Securities (United States) ¿ — 0.0% | ||||||||||
47,117 | Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.54%, due 12/25/33 | 45,232 | ||||||||
50,048 | Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, 1 mo. LIBOR + .22%, 0.38%, due 11/25/35 | 49,548 | ||||||||
|
| |||||||||
Total Insured Residential Asset-Backed Securities (United States) | 94,780 | |||||||||
|
| |||||||||
Insured Residential Mortgage-Backed Securities (United States) ¿ — 0.0% | ||||||||||
9,643 | Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.50%, due 10/25/34 | 8,605 | ||||||||
24,156 | Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.49%, due 01/25/35 | 21,392 | ||||||||
104,480 | GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.39%, due 10/25/34 | 96,832 | ||||||||
5,554 | GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.72%, due 08/15/30 | 4,610 | ||||||||
4,630 | Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.60%, due 06/25/34 | 4,468 | ||||||||
1,896 | Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.45%, due 12/25/32 | 1,780 | ||||||||
|
| |||||||||
Total Insured Residential Mortgage-Backed Securities (United States) | 137,687 | |||||||||
|
| |||||||||
Other — 0.0% | ||||||||||
365,950 | Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.64%, due 05/15/24 | 159,646 | ||||||||
|
| |||||||||
Residential Asset-Backed Securities (United States) ¿ — 0.1% | ||||||||||
37,311 | Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .78%, 0.55%, due 01/25/35 | 36,029 |
See accompanying notes to the financial statements. | 31 |
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) / Shares | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Asset-Backed Securities (United States) ¿ — continued | ||||||||||
58,767 | ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .28%, 0.44%, due 02/25/36 | 24,315 | ||||||||
259,896 | ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 04/25/36 | 239,754 | ||||||||
114,746 | ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.25%, due 01/25/37 | 66,983 | ||||||||
350,140 | Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .40%, 0.56%, due 05/25/37 | 25,122 | ||||||||
979,061 | Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.36%, due 02/25/37 | 904,358 | ||||||||
2,120 | Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .54%, 0.70%, due 04/25/33 | 2,008 | ||||||||
17,349 | Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.46%, due 04/25/34 | 13,608 | ||||||||
44,212 | Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .80%, 0.96%, due 08/25/34 | 42,435 | ||||||||
420,843 | Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.56%, due 06/25/37 | 212,526 | ||||||||
|
| |||||||||
Total Residential Asset-Backed Securities (United States) | 1,567,138 | |||||||||
|
| |||||||||
Total Asset-Backed Securities | 3,452,119 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $3,069,824) | 3,452,119 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
112,507 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a) | 112,507 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $112,507) | 112,507 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $5,109,651,520) | 5,417,691,143 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (156,688 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $5,417,534,455 | |||||||||
|
|
Notes to Schedule of Investments:
¿ | These securities are primarily backed by subprime mortgages. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
32 | See accompanying notes to the financial statements. |
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 95.4 | % | ||
Preferred Stocks | 2.3 | |||
Short-Term Investments | 1.9 | |||
Investment Funds | 0.2 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
United States | 36.2 | % | ||
France | 10.4 | |||
Emerging*** | 9.9 | |||
Japan | 9.9 | |||
United Kingdom | 9.6 | |||
Germany | 8.8 | |||
Spain | 3.1 | |||
Italy | 3.0 | |||
Norway | 1.2 | |||
Netherlands | 1.1 | |||
Sweden | 0.9 | |||
Switzerland | 0.9 | |||
Finland | 0.8 | |||
Israel | 0.7 | |||
Australia | 0.6 | |||
Hong Kong | 0.6 | |||
Belgium | 0.4 | |||
Denmark | 0.4 | |||
Singapore | 0.4 | |||
Canada | 0.3 | |||
Austria | 0.2 | |||
Ireland | 0.2 | |||
New Zealand | 0.2 | |||
Portugal | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above shows indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
*** | The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. |
^ | Rounds to 0.0%. |
33
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
14,755,722 | GMO Emerging Markets Fund, Class VI | 171,609,044 | ||||||||
35,790,106 | GMO International Equity Fund, Class IV | 930,184,846 | ||||||||
34,189,134 | GMO U.S. Equity Allocation Fund, Class VI | 616,430,093 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,511,371,102) | 1,718,223,983 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Time Deposits — 0.0% | ||||||||||
41,950 | State Street Eurodollar Time Deposit, 0.01%, due 09/02/2014 | 41,950 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $41,950) | 41,950 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,511,413,053) | 1,718,265,933 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (43,553 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,718,222,380 | |||||||||
|
|
34 | See accompanying notes to the financial statements. |
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 95.1 | % | ||
Preferred Stocks | 2.6 | |||
Short-Term Investments | 1.8 | |||
Investment Funds | 0.3 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
United States | 36.4 | % | ||
Emerging*** | 13.2 | |||
France | 9.7 | |||
Japan | 9.2 | |||
United Kingdom | 9.0 | |||
Germany | 8.2 | |||
Spain | 2.9 | |||
Italy | 2.8 | |||
Norway | 1.2 | |||
Netherlands | 1.0 | |||
Switzerland | 0.8 | |||
Sweden | 0.8 | |||
Finland | 0.7 | |||
Israel | 0.6 | |||
Australia | 0.6 | |||
Hong Kong | 0.6 | |||
Belgium | 0.4 | |||
Denmark | 0.4 | |||
Singapore | 0.4 | |||
Canada | 0.3 | |||
Austria | 0.2 | |||
Ireland | 0.2 | |||
Portugal | 0.2 | |||
New Zealand | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
*** | The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. |
^ | Rounds to 0.0%. |
35
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
41,329,606 | GMO Emerging Markets Fund, Class VI | 480,663,321 | ||||||||
70,921,510 | GMO International Equity Fund, Class IV | 1,843,250,056 | ||||||||
72,734,744 | GMO U.S. Equity Allocation Fund, Class VI | 1,311,407,441 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $3,415,478,798) | 3,635,320,818 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Time Deposits — 0.0% | ||||||||||
55,768 | State Street Eurodollar Time Deposit, 0.01%, due 09/02/2014 | 55,768 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $55,768) | 55,768 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $3,415,534,566) | 3,635,376,586 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (57,759 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $3,635,318,827 | |||||||||
|
|
36 | See accompanying notes to the financial statements. |
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 94.1 | % | ||
Preferred Stocks | 3.0 | |||
Short-Term Investments | 2.1 | |||
Investment Funds | 0.2 | |||
Rights/Warrants | 0.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Other | 0.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
France | 17.2 | % | ||
Japan | 16.5 | |||
United Kingdom | 15.9 | |||
Germany | 14.7 | |||
Emerging*** | 10.0 | |||
Spain | 5.3 | |||
Italy | 5.1 | |||
Norway | 2.1 | |||
Netherlands | 1.8 | |||
Sweden | 1.5 | |||
Switzerland | 1.5 | |||
Finland | 1.3 | |||
Israel | 1.1 | |||
Australia | 1.0 | |||
Hong Kong | 1.0 | |||
Belgium | 0.7 | |||
Denmark | 0.7 | |||
Singapore | 0.6 | |||
Canada | 0.5 | |||
Austria | 0.4 | |||
Ireland | 0.4 | |||
New Zealand | 0.3 | |||
Portugal | 0.3 | |||
United States | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
*** | The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. |
^ | Rounds to 0.0%. |
37
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
10,319,226 | GMO Emerging Markets Fund, Class VI | 120,012,594 | ||||||||
41,386,092 | GMO International Equity Fund, Class IV | 1,075,624,541 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,026,901,482) | 1,195,637,135 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Time Deposits — 0.0% | ||||||||||
41,283 | State Street Eurodollar Time Deposit, 0.01%, due 09/02/2014 | 41,283 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $41,283) | 41,283 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,026,942,765) | 1,195,678,418 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (40,764 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,195,637,654 | |||||||||
|
|
38 | See accompanying notes to the financial statements. |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 92.8 | % | ||
Preferred Stocks | 4.3 | |||
Short-Term Investments | 1.9 | |||
Investment Funds | 0.5 | |||
Rights/Warrants | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
Emerging*** | 23.5 | % | ||
France | 14.7 | |||
Japan | 14.0 | |||
United Kingdom | 13.6 | |||
Germany | 12.4 | |||
Spain | 4.5 | |||
Italy | 4.3 | |||
Norway | 1.8 | |||
Netherlands | 1.5 | |||
Switzerland | 1.3 | |||
Sweden | 1.3 | |||
Finland | 1.1 | |||
Israel | 1.0 | |||
Australia | 0.8 | |||
Hong Kong | 0.8 | |||
Singapore | 0.6 | |||
Belgium | 0.6 | |||
Denmark | 0.6 | |||
Canada | 0.4 | |||
Austria | 0.3 | |||
Ireland | 0.3 | |||
Portugal | 0.3 | |||
New Zealand | 0.2 | |||
United States | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any. |
*** | The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. |
^ | Rounds to 0.0%. |
39
GMO International Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
36,363,517 | GMO Emerging Markets Fund, Class VI | 422,907,703 | ||||||||
53,148,638 | GMO International Equity Fund, Class IV | 1,381,333,114 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,576,489,824) | 1,804,240,817 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Time Deposits — 0.0% | ||||||||||
47,574 | State Street Eurodollar Time Deposit, 0.01%, due 09/02/2014 | 47,574 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $47,574) | 47,574 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,576,537,398) | 1,804,288,391 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (48,374 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,804,240,017 | |||||||||
|
|
40 | See accompanying notes to the financial statements. |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Short-Term Investments | 41.6 | % | ||
Common Stocks | 41.4 | |||
Debt Obligations | 7.8 | |||
Preferred Stocks | 7.5 | |||
Investment Funds | 5.9 | |||
Futures Contracts* | 0.1 | |||
Options Purchased | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Written Options | (0.2 | ) | ||
Other | (4.1 | ) | ||
|
| |||
100.0 | % | |||
|
|
Country Summary** | % of Investments | |||
United States | 42.7 | % | ||
South Korea | 14.1 | |||
Romania | 11.1 | |||
United Kingdom | 9.2 | |||
Norway | 4.5 | |||
Argentina | 4.4 | |||
Puerto Rico | 3.9 | |||
Iceland | 3.7 | |||
Spain | 2.0 | |||
Greece | 1.8 | |||
Italy | 1.7 | |||
Canada | 0.9 | |||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments*** | |||
Diversified Financials | 27.1 | % | ||
Automobiles & Components | 17.8 | |||
Insurance | 12.6 | |||
Capital Goods | 11.2 | |||
Software & Services | 8.7 | |||
Banks | 7.3 | |||
Technology Hardware & Equipment | 3.9 | |||
Energy | 3.5 | |||
Utilities | 3.3 | |||
Materials | 2.3 | |||
Media | 2.1 | |||
Telecommunication Services | 0.1 | |||
Real Estate | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with Special Opportunities Fund. |
* | Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments. |
** | The table excludes short-term investments and includes exposure through the use of derivative financial investments, if any. The table excludes exposure through forward currency contracts, if any. |
*** | Investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, debt obligations, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the consolidated Schedule of Investments. |
^ | Rounds to 0.0%. |
41
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 41.4% | ||||||||||
Argentina — 0.9% | ||||||||||
23,500 | Cresud SA Sponsored ADR | 262,260 | ||||||||
43,000 | Empresa Distribuidora Y Comercializadora Norte ADR * | 443,760 | ||||||||
171,000 | Pampa Energia SA Sponsored ADR * | 1,521,900 | ||||||||
97,000 | Petrobras Energia SA ADR | 625,650 | ||||||||
16,000 | Telecom Argentina SA Sponsored ADR * | 301,280 | ||||||||
328,000 | Transportadora de Gas del Sur SA ADR * | 902,000 | ||||||||
|
| |||||||||
Total Argentina | 4,056,850 | |||||||||
|
| |||||||||
Canada — 0.6% | ||||||||||
574,500 | Uranium Participation Corp * | 2,768,675 | ||||||||
|
| |||||||||
Italy — 1.1% | ||||||||||
274,000 | Buzzi Unicem SpA | 4,158,063 | ||||||||
151,000 | Buzzi Unicem SpA – RSP | 1,404,456 | ||||||||
|
| |||||||||
Total Italy | 5,562,519 | |||||||||
|
| |||||||||
Norway — 2.8% | ||||||||||
380,000 | Aker ASA | 13,977,879 | ||||||||
|
| |||||||||
Romania — 1.1% | ||||||||||
1,520,836 | Electrica SA * | 5,290,299 | ||||||||
|
| |||||||||
South Korea — 2.7% | ||||||||||
28,600 | Hyundai Mobis | 8,296,581 | ||||||||
50,000 | Samsung Life Insurance Co Ltd | 5,250,320 | ||||||||
|
| |||||||||
Total South Korea | 13,546,901 | |||||||||
|
| |||||||||
United Kingdom — 5.7% | ||||||||||
580,000 | Royal Bank of Scotland Group Plc * | 3,494,717 | ||||||||
523,529 | Royal Bank of Scotland Group Plc Sponsored ADR * | 6,303,289 | ||||||||
1,535,000 | Telecity Group Plc | 18,902,998 | ||||||||
|
| |||||||||
Total United Kingdom | 28,701,004 | |||||||||
|
| |||||||||
United States — 26.5% | ||||||||||
1,273,000 | Ally Financial, Inc. * | 31,315,800 | ||||||||
457,000 | American International Group, Inc. | 25,619,420 | ||||||||
155,000 | Deere & Co. | 13,033,950 | ||||||||
60,000 | DIRECTV * | 5,187,000 | ||||||||
130,000 | Fannie Mae * | 505,700 | ||||||||
130,000 | Freddie Mac * | 496,600 | ||||||||
550,000 | GenCorp, Inc. * | 10,136,500 | ||||||||
526,000 | General Motors Co. | 18,304,800 | ||||||||
187,064 | Global Eagle Entertainment, Inc. * | 2,360,748 | ||||||||
735,000 | Interactive Brokers Group, Inc. – Class A | 17,228,400 | ||||||||
68,467 | JGWPT Holdings, Inc. * | 924,304 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
276,000 | PBF Energy, Inc. – Class A | 7,841,160 | ||||||||
|
| |||||||||
Total United States | 132,954,382 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $206,023,127) | 206,858,509 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 7.5% | ||||||||||
Argentina — 0.0% | ||||||||||
11,115 | Nortel Inversora SA ADR | 236,305 | ||||||||
|
| |||||||||
Greece — 1.2% | ||||||||||
306,000 | National Bank of Greece SA * | 5,795,640 | ||||||||
|
| |||||||||
South Korea — 6.1% | ||||||||||
7,135 | Hyundai Moter Co | 1,027,520 | ||||||||
52,324 | Hyundai Motor Co | 8,104,731 | ||||||||
52,724 | Hyundai Motor Co | 7,803,116 | ||||||||
76,757 | Samsung C&T Corp | 4,189,734 | ||||||||
8,300 | Samsung Electronics Co Ltd | 8,358,166 | ||||||||
12,500 | Samsung SDI Co Ltd | 1,282,944 | ||||||||
|
| |||||||||
Total South Korea | 30,766,211 | |||||||||
|
| |||||||||
United States — 0.2% | ||||||||||
15,000 | Fannie Mae | 282,150 | ||||||||
34,000 | Freddie Mac | 654,840 | ||||||||
|
| |||||||||
Total United States | 936,990 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $39,471,324) | 37,735,146 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 5.9% | ||||||||||
Romania — 5.9% | ||||||||||
113,000,000 | Fondul Proprietatea SA Fund | 29,601,034 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $29,230,966) | 29,601,034 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 7.8% | ||||||||||
Bank Loans — 1.2% | ||||||||||
Spain — 1.2% | ||||||||||
3,509,655 | Fomento De Construcciones Y Contrata SA EUR Term Loan A, Euribor 3 month + 3.00%, due 04/02/18 | 4,357,878 | ||||||||
1,490,345 | Fomento De Construcciones Y Contrata SA EUR Term Loan B, 11.00%, due 06/26/18 | 1,850,536 | ||||||||
|
| |||||||||
Total Spain | 6,208,414 | |||||||||
|
| |||||||||
Total Bank Loans | 6,208,414 | |||||||||
|
|
42 | See accompanying consolidated notes to the financial statements. |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Foreign Government Obligations — 1.9% | ||||||||||
Argentina — 1.9% | ||||||||||
EUR | 70,000,000 | Republic of Argentina GDP Linked, due 12/15/35 (a) | 6,346,378 | |||||||
EUR | 5,000,000 | Republic of Argentina Par Bond, 2.26%, due 12/31/38 (b) | 3,005,661 | |||||||
|
| |||||||||
Total Argentina | 9,352,039 | |||||||||
|
| |||||||||
Total Foreign Government Obligations | 9,352,039 | |||||||||
|
| |||||||||
Municipal Obligations — 2.4% | ||||||||||
Puerto Rico — 2.4% | ||||||||||
105,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.05%, due 07/01/28 | 72,490 | ||||||||
40,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 07/01/34 | 26,808 | ||||||||
115,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 07/01/34 | 77,073 | ||||||||
85,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.00%, due 07/01/22 | 57,650 | ||||||||
30,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.00%, due 07/01/15 | 26,397 | ||||||||
90,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.25%, due 07/01/25 | 61,385 | ||||||||
1,975,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/33 | 1,471,434 | ||||||||
230,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/19 | 183,540 | ||||||||
220,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/22 | 168,093 | ||||||||
250,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/21 | 191,240 | ||||||||
1,515,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.13%, due 07/01/37 | 1,124,448 | ||||||||
8,660,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/42 | 6,427,798 | ||||||||
55,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.75%, due 07/01/37 | 41,412 | ||||||||
50,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47 | 38,492 | ||||||||
140,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44 | 108,483 | ||||||||
770,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/38 | 600,369 |
Par Value ($) | Description | Value ($) | ||||||||
Municipal Obligations — continued | ||||||||||
Puerto Rico — continued | ||||||||||
240,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.05%, due 07/01/28 | 165,691 | ||||||||
15,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.15%, due 07/01/38 | 9,827 | ||||||||
125,000 | Puerto Rico Commonwealth Industrial Development Co., 5.15%, due 07/01/18 | 103,224 | ||||||||
410,000 | Puerto Rico Commonwealth Industrial Development Co., 5.20%, due 07/01/23 | 266,734 | ||||||||
310,000 | Puerto Rico Commonwealth Industrial Development Co., 5.25%, due 07/01/28 | 195,390 | ||||||||
10,000 | Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), 0.01%, due 07/01/18 | 6,589 | ||||||||
990,000 | Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), 0.01%, due 07/01/17 | 756,964 | ||||||||
|
| |||||||||
Total Puerto Rico | 12,181,531 | |||||||||
|
| |||||||||
Total Municipal Obligations | 12,181,531 | |||||||||
|
| |||||||||
Trade Claims — 2.3% | ||||||||||
Iceland — 2.3% | ||||||||||
EUR | 1,554,000 | Kaupthing Bank Claim No 20100103 0409 | 515,574 | |||||||
506,000 | Kaupthing Bank Claim No 20100106 1137 | 130,953 | ||||||||
500,000 | Kaupthing Bank Claim No 20100107 0115 | 129,400 | ||||||||
510,000 | Kaupthing Bank Claim No 20100107 0173 | 131,988 | ||||||||
EUR | 6,000,000 | Kaupthing Bank Claim No 20100106 0732 | 1,990,634 | |||||||
300,000 | Kaupthing Bank Claim No 20091227 0450 | 77,640 | ||||||||
270,800 | Kaupthing Bank Claim No 20091228 0770 | 70,083 | ||||||||
292,000 | Kaupthing Bank Claim No 20091228 0998 | 75,570 | ||||||||
690,000 | Kaupthing Bank Claim No 20091230 0959 | 178,572 | ||||||||
634,000 | Kaupthing Bank Claim No 20091231 0065 | 164,079 | ||||||||
EUR | 5,647,000 | Kaupthing Bank Claim No 20100103 0458 | 1,873,519 | |||||||
800,000 | Kaupthing Bank Claim No 20100104 0298 | 207,040 | ||||||||
205,000 | Kaupthing Bank Claim No 20100104 1265 | 53,054 | ||||||||
360,000 | Kaupthing Bank Claim No 20100105 1262 | 93,168 | ||||||||
520,000 | Kaupthing Bank Claim No 20100105 1277 | 134,576 | ||||||||
223,000 | Kaupthing Bank Claim No 20100106 0002 | 57,712 | ||||||||
196,000 | Kaupthing Bank Claim No 20100106 1074 | 50,725 | ||||||||
EUR | 1,603,000 | Kaupthing Bank Claim No 20100106 1330 | 531,831 | |||||||
200,000 | Kaupthing Bank Claim No 20100107 0067 | 51,760 | ||||||||
230,000 | Kaupthing Bank Claim No 20100107 0085 | 59,524 | ||||||||
200,000 | Kaupthing Bank Claim No 20100107 0104 | 51,760 | ||||||||
230,000 | Kaupthing Bank Claim No 20100107 0146 | 59,524 | ||||||||
200,000 | Kaupthing Bank Claim No 20100107 0163 | 51,760 | ||||||||
230,000 | Kaupthing Bank Claim No 20100107 0174 | 59,524 | ||||||||
250,000 | Kaupthing Bank Claim No 20100107 0185 | 64,700 | ||||||||
400,000 | Kaupthing Bank Claim No 20100107 0202 | 103,520 | ||||||||
210,000 | Kaupthing Bank Claim No 20100107 0209 | 54,348 | ||||||||
200,000 | Kaupthing Bank Claim No 20100107 0215 | 51,760 |
See accompanying consolidated notes to the financial statements. | 43 |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Trade Claims — continued | ||||||||||
Iceland — continued | ||||||||||
350,000 | Kaupthing Bank Claim No 20100107 0228 | 90,580 | ||||||||
220,000 | Kaupthing Bank Claim No 20100107 0246 | 56,936 | ||||||||
300,000 | Kaupthing Bank Claim No 20100107 0251 | 77,640 | ||||||||
270,000 | Kaupthing Bank Claim No 20100107 0299 | 69,876 | ||||||||
270,000 | Kaupthing Bank Claim No 20100107 0313 | 69,876 | ||||||||
220,000 | Kaupthing Bank Claim No 20100107 0330 | 56,936 | ||||||||
540,000 | Kaupthing Bank Claim No 20100107 0339 | 139,752 | ||||||||
250,000 | Kaupthing Bank Claim No 20100107 0345 | 64,700 | ||||||||
260,000 | Kaupthing Bank Claim No 20100107 0354 | 67,288 | ||||||||
210,000 | Kaupthing Bank Claim No 20100107 0359 | 54,348 | ||||||||
220,000 | Kaupthing Bank Claim No 20100107 0361 | 56,936 | ||||||||
260,000 | Kaupthing Bank Claim No 20100107 0372 | 67,288 | ||||||||
550,000 | Kaupthing Bank Claim No 20100107 0396 | 142,340 | ||||||||
200,000 | Kaupthing Bank Claim No 20100107 0399 | 51,760 | ||||||||
306,000 | Kaupthing Bank Claim No 20100107 0422 | 79,193 | ||||||||
200,000 | Kaupthing Bank Claim No 20100107 0433 | 51,760 | ||||||||
430,000 | Kaupthing Bank Claim No 20100107 0438 | 111,284 | ||||||||
390,000 | Kaupthing Bank Claim No 20100107 0449 | 100,932 | ||||||||
200,000 | Kaupthing Bank Claim No 20100107 0456 | 51,760 | ||||||||
300,000 | Kaupthing Bank Claim No 20100107 0464 | 77,640 | ||||||||
190,000 | Kaupthing Bank Claim No 20100107 0495 | 49,172 | ||||||||
510,000 | Kaupthing Bank Claim No 20100107 0499 | 131,988 | ||||||||
350,000 | Kaupthing Bank Claim No 20100107 0505 | 90,580 | ||||||||
730,000 | Kaupthing Bank Claim No 20100107 0508 | 188,924 | ||||||||
250,000 | Kaupthing Bank Claim No 20100107 0520 | 64,700 | ||||||||
500,000 | Kaupthing Bank Claim No 20100107 0538 | 129,400 | ||||||||
600,000 | Kaupthing Bank Claim No 20100107 0542 | 155,280 | ||||||||
230,000 | Kaupthing Bank Claim No 20100107 0570 | 59,524 | ||||||||
260,000 | Kaupthing Bank Claim No 20100107 0588 | 67,288 | ||||||||
400,000 | Kaupthing Bank Claim No 20100107 0596 | 103,520 | ||||||||
470,000 | Kaupthing Bank Claim No 20100107 0713 | 121,636 | ||||||||
339,000 | Kaupthing Bank Claim No 20100625 0003 | 87,733 | ||||||||
500,000 | Kaupthing Bank Claim No 20100625 0011 | 129,400 | ||||||||
EUR | 1,695,000 | Kaupthing Bank No 20100103 0455 | 562,354 | |||||||
EUR | 2,757,000 | Kaupthing Bank No 20100103 0456 | 914,696 | |||||||
|
| |||||||||
Total Iceland | 11,469,318 | |||||||||
|
| |||||||||
Total Trade Claims | 11,469,318 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $40,419,274) | 39,211,302 | |||||||||
|
|
Shares / Par Value ($) | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
United States — 0.0% | ||||||||||
290 | AT&T, Inc. | 44,950 | ||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $51,741) | 44,950 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 41.6% | ||||||||||
Money Market Funds — 1.1% | ||||||||||
5,558,628 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (c) (d) | 5,558,628 | ||||||||
|
| |||||||||
U.S. Government — 40.5% | ||||||||||
82,000,000 | U.S. Treasury Bill, 0.01%, due 11/20/14 (d) (e) | 81,997,786 | ||||||||
72,500,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (e) (f) | 72,494,853 | ||||||||
48,500,000 | U.S. Treasury Bill, 0.03%, due 10/23/14 (e) | 48,498,130 | ||||||||
|
| |||||||||
Total U.S. Government | 202,990,769 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $208,538,580) | 208,549,397 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.2% (Cost $523,735,012) | 522,000,338 | |||||||||
Other Assets and Liabilities (net) — (4.2%) | (20,891,030 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $501,109,308 | |||||||||
|
|
44 | See accompanying consolidated notes to the financial statements. |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Futures Contracts (a)
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
133 | Uranium Futures | April 2017 | $ | 1,288,437 | $ | 122,433 | ||||||
133 | Uranium Futures | February 2017 | 1,266,825 | 100,821 | ||||||||
133 | Uranium Futures | January 2017 | 1,266,825 | 100,821 | ||||||||
133 | Uranium Futures | June 2017 | 1,288,438 | 122,433 | ||||||||
133 | Uranium Futures | March 2017 | 1,266,825 | 100,821 | ||||||||
133 | Uranium Futures | May 2017 | 1,288,438 | 125,984 | ||||||||
|
|
|
| |||||||||
$ | 7,665,788 | $ | 673,313 | |||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
Written Options
Number of | Expiration Date | Description | Premiums | Market Value | ||||||||||||
Put | 2,800 | 01/17/2015 | Barnes & Noble, Inc., Strike 24 | $ | 1,068,405 | $ | (770,000 | ) | ||||||||
|
|
|
|
Swap Contracts
Total Return Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund (Pays)/Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
2,528,568 | USD | 7/29/2015 | CSI | 3 Month USD LIBOR BBA + 1.00% | Return on Shanghai Automotive Co. Class A Shares | $ | (133,379 | ) | ||||||||||
2,299,410 | USD | 7/30/2015 | CSI | 3 Month USD LIBOR BBA + 1.00% | Return on Shanghai Automotive Co. Class A Shares | 96,238 | ||||||||||||
|
| |||||||||||||||||
$ | (37,141 | ) | ||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
|
|
See accompanying consolidated notes to the financial statements. | 45 |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Consolidated Schedule of Investments:
* | Non-income producing security. |
(a) | Security is linked to Argentina Republic Gross Domestic Product (GDP). Security does not pay principal over life of security or at expiration. Payments are based on growth of Argentina GDP, subject to certain conditions. |
(b) | Security is in default. |
(c) | All or a portion of this security is owned by GMO Special Opportunities SPC Ltd, which is a 100% owned subsidiary of GMO Special Opportunities Fund. |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(e) | The rate shown represents yield-to-maturity. |
(f) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
46 | See accompanying consolidated notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Common Stocks | 63.8 | % | ||
Short-Term Investments | 17.6 | |||
Debt Obligations | 8.4 | |||
Preferred Stocks | 1.9 | |||
Investment Funds | 0.2 | |||
Loan Participations | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Options Purchased | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Futures Contracts | (0.0 | )^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.2 | ) | ||
Other | 8.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary** | % of Investments | |||
United States | 45.5 | % | ||
Emerging*** | 22.4 | |||
France | 9.3 | |||
Germany | 7.9 | |||
United Kingdom | 6.6 | |||
Sweden | 4.1 | |||
Spain | 2.9 | |||
Italy | 2.7 | |||
Netherlands | 1.0 | |||
Norway | 1.0 | |||
Finland | 0.6 | |||
Israel | 0.6 | |||
Australia | 0.5 | |||
Hong Kong | 0.5 | |||
Belgium | 0.4 | |||
Denmark | 0.3 | |||
Singapore | 0.3 | |||
Austria | 0.2 | |||
Ireland | 0.2 | |||
Portugal | 0.2 | |||
New Zealand | 0.1 | |||
United Arab Emirates | 0.0 | ^ | ||
Switzerland | (1.2 | ) | ||
Japan | (1.8 | ) | ||
Canada | (4.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). |
** | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial |
instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. |
*** | The “Emerging” exposure is primarily comprised of: Angola, Argentina, Azerbaijan, Brazil, Chile, China, Colombia, Congo, Costa Rica, Croatia, Czech Republic, Dominican Republic, Ecuador, Egypt, Greece, Hungary, India, Indonesia, Iraq, Korea, Malaysia, Mexico, Morocco, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, Sri Lanka, Taiwan, Thailand, Turkey, Tunisia, Ukraine, Uruguay, Venezuela, and Vietnam. |
^ | Rounds to 0.00%. |
47
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
20,447,949 | GMO Asset Allocation Bond Fund, Class VI | 518,559,988 | ||||||||
3,825,996 | GMO Debt Opportunities Fund, Class VI | 95,458,601 | ||||||||
10,435,840 | GMO Emerging Country Debt Fund, Class IV | 109,263,240 | ||||||||
22,521,432 | GMO Emerging Markets Fund, Class VI | 261,924,256 | ||||||||
31,916,867 | GMO International Equity Fund, Class IV | 829,519,380 | ||||||||
7,092,357 | GMO Risk Premium Fund, Class VI | 76,526,534 | ||||||||
31,216,860 | GMO U.S. Equity Allocation Fund, Class VI | 562,839,985 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,208,752,174) | 2,454,091,984 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.0% | ||||||||||
Asset-Backed Securities — 0.0% | ||||||||||
Business Loans — 0.0% | ||||||||||
550,466 | Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.46%, due 05/28/39 | 236,700 | ||||||||
|
| |||||||||
Insured Residential Asset-Backed Securities (United States) ¿ — 0.0% | ||||||||||
15,400 | Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, 1 mo. LIBOR + .22%, 0.38%, due 11/25/35 | 15,246 | ||||||||
|
| |||||||||
Residential Asset-Backed Securities (United States) ¿ — 0.0% | ||||||||||
900,386 | Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.36%, due 02/25/37 | 831,687 | ||||||||
6,359 | Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.70%, due 04/25/33 | 6,024 | ||||||||
|
| |||||||||
Total Residential Asset-Backed Securities (United States) | 837,711 | |||||||||
|
| |||||||||
Total Asset-Backed Securities | 1,089,657 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,052,446) | 1,089,657 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
96,506 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a) | 96,506 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $96,506) | 96,506 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $2,209,901,126) | 2,455,278,147 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (59,946 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,455,218,201 | |||||||||
|
|
Notes to Schedule of Investments:
¿ | These securities are primarily backed by subprime mortgages. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
48 | See accompanying notes to the financial statements. |
GMO Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund)
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2014 (Unaudited)
Asset Class Summary* | % of Total Net Assets | |||
Futures Contracts** | 63.5 | % | ||
Short-Term Investments | 36.3 | |||
Debt Obligations | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund). As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO Systematic Global Macro Opportunity Fund. |
* | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Futures concentrations use the net notional contract amounts for purposes of computing asset class exposures. See Schedule of Investments for more information. |
** | Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments. |
49
GMO Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund)
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares / Par Value ($) | Description | Value ($) | ||||||||
MUTUAL FUNDS — 35.0% | ||||||||||
Affiliated Issuers — 35.0% | ||||||||||
113,003 | GMO Debt Opportunities Fund, Class VI | 2,819,422 | ||||||||
18,901,987 | GMO U.S. Treasury Fund | 472,549,681 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $475,626,028) | 475,369,103 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 61.7% | ||||||||||
Money Market Funds — 4.3% | ||||||||||
17,155,431 | State Street Institutional Liquid Reserves Fund, 0.08% (a) (b) | 17,155,431 | ||||||||
41,504,402 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (c) | 41,504,402 | ||||||||
|
| |||||||||
Total Money Market Funds | 58,659,833 | |||||||||
|
| |||||||||
U.S. Government — 57.4% | ||||||||||
45,000,000 | U.S. Treasury Bill, 0.10%, due 09/04/14 (a) (d) | 44,999,531 | ||||||||
8,000,000 | U.S. Treasury Bill, 0.08%, due 09/11/14 (a) (d) | 7,999,800 | ||||||||
211,000,000 | U.S. Treasury Bill, 0.09%, due 09/18/14 (a) (d) | 210,990,916 | ||||||||
150,000,000 | U.S. Treasury Bill, 0.06%, due 10/02/14 (a) (d) | 149,991,750 | ||||||||
55,000,000 | U.S. Treasury Bill, 0.05%, due 10/23/14 (a) (d) | 54,996,193 | ||||||||
70,000,000 | U.S. Treasury Bill, 0.02%, due 10/30/14 (a) (d) | 69,997,200 | ||||||||
4,000,000 | U.S. Treasury Bill, 0.03%, due 11/28/14 (a) (d) | 3,999,736 | ||||||||
75,000,000 | U.S. Treasury Bill, 0.02%, due 12/04/14 (a) (d) | 74,997,075 | ||||||||
50,000,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (a) (d) | 49,996,450 | ||||||||
91,000,000 | U.S. Treasury Bill, 0.03%, due 01/15/15 (a) (d) (e) | 90,991,446 | ||||||||
20,000,000 | U.S. Treasury Bill, 0.05%, due 02/26/15 (d) (e) | 19,995,080 | ||||||||
|
| |||||||||
Total U.S. Government | 778,955,177 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $837,592,808) | 837,615,010 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.7% (Cost $1,313,218,836) | 1,312,984,113 | |||||||||
Other Assets and Liabilities (net) — 3.3% | 44,939,661 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,357,923,774 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/30/2014 | JPM | CAD | 54,100,000 | USD | 49,972,566 | $ | 248,301 | |||||||||||||||
09/30/2014 | MSCI | CAD | 40,900,000 | USD | 37,785,877 | 193,965 | ||||||||||||||||
09/18/2014 | BCLY | EUR | 30,600,000 | USD | 40,802,981 | 592,747 | ||||||||||||||||
09/18/2014 | CSI | EUR | 32,000,000 | USD | 43,287,160 | 1,237,243 | ||||||||||||||||
09/18/2014 | JPM | EUR | 4,000,000 | USD | 5,386,416 | 130,176 | ||||||||||||||||
09/30/2014 | CSI | JPY | 711,000,000 | USD | 6,853,012 | 18,003 | ||||||||||||||||
10/30/2014 | MSCI | NZD | 8,000,000 | USD | 6,673,760 | 19,436 | ||||||||||||||||
09/30/2014 | JPM | USD | 6,399,122 | CAD | 7,000,000 | 34,701 | ||||||||||||||||
09/30/2014 | JPM | USD | 27,233,011 | JPY | 2,830,000,000 | (27,558 | ) | |||||||||||||||
09/30/2014 | MSCI | USD | 14,211,664 | CAD | 15,500,000 | 34,660 | ||||||||||||||||
10/31/2014 | JPM | USD | 26,975,268 | NZD | 32,400,000 | (27,935 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 2,453,739 | |||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
178 | Australian Government Bond 10 Yr. | September 2014 | $ | 20,444,961 | $ | 899,452 | ||||||
1,050 | Euro STOXX 50 | September 2014 | 43,716,621 | (900,914 | ) | |||||||
2,114 | FTSE 100 | September 2014 | 238,801,527 | 2,681,811 | ||||||||
180 | Hang Seng | September 2014 | 28,655,970 | (402,060 | ) | |||||||
3,282 | Mini MSCI | September 2014 | 178,179,780 | 7,023,538 | ||||||||
205 | MSCI Singapore | September 2014 | 12,380,485 | (56,428 | ) | |||||||
983 | MSCI Taiwan | September 2014 | 33,913,763 | 314,162 | ||||||||
2,520 | S&P 500 E-Mini Index | September 2014 | 252,176,400 | 7,427,298 | ||||||||
268 | S&P TSE 60 Index | September 2014 | 44,233,680 | 1,127,111 | ||||||||
1,727 | Soybean (a) | November 2014 | 88,443,987 | (12,961,734 | ) | |||||||
3,463 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 435,580,469 | 913,680 | ||||||||
109 | UK Gilt Long Bond | December 2014 | 20,545,791 | 209,665 | ||||||||
|
|
|
| |||||||||
$ | 1,397,073,434 | $ | 6,275,581 | |||||||||
|
|
|
|
50 | See accompanying consolidated notes to the financial statements. |
GMO Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund)
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Futures Contracts (continued)
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Sales | ||||||||||||
3,726 | Corn (a) | December 2014 | $ | 67,952,925 | $ | 132,025 | ||||||
292 | Gold 100 OZ (a) | December 2014 | 37,592,080 | 997,483 | ||||||||
411 | Japanese Government Bond 10 Yr. (TSE) | September 2014 | 577,639,771 | (2,514,841 | ) | |||||||
452 | Nikkei 225 | September 2014 | 67,103,653 | (1,762,736 | ) | |||||||
290 | Russell 2000 Mini | September 2014 | 34,028,600 | (947,984 | ) | |||||||
349 | Silver (a) | December 2014 | 34,013,540 | 832,027 | ||||||||
725 | SPI 200 | September 2014 | 95,208,882 | (3,034,880 | ) | |||||||
|
|
|
| |||||||||
$ | 913,539,451 | $ | (6,298,906 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Consolidated Schedule of Investments:
(a) | All or a portion of this security is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2014. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(d) | The rate shown represents yield-to-maturity. |
(e) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 52.
See accompanying consolidated notes to the financial statements. | 51 |
GMO Trust Funds
Consolidated Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.
BBA - British Banks Association
CDO - Collateralized Debt Obligation
CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.
CMBS - Commercial Mortgage Backed Security.
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
ETF - Exchange-Traded Fund
FGIC - Insured as to the payment of principal and interest by Financial Guaranty
Insurance Corporation.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDR - Global Depository Receipt
LIBOR - London Interbank Offered Rate
NFPG - National Public Finance Guarantee Corporation
MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.
NVDR - Non-Voting Depository Receipt
OJSC - Open Joint-Stock Company
REIT - Real Estate Investment Trust
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
XL - Insured as to the payment of principal and interest by XL Capital Assurance.
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co.
BCI - Barclays Capital Inc.
BCLY - Barclays Bank PLC
BNP - BNP Paribus
BOA - Bank of America, N.A.
CITI - Citibank N.A.
CSI - Credit Suisse International
CSS - Credit Suisse Securities (USA) LLC
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co.
International PLC
UBS - UBS AG
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
52
Statements of Assets and Liabilities — August 31, 2014 (Unaudited)
Alpha Only Fund | Consolidated Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | — | $ | 5,833,718,473 | $ | 4,952,332,205 | $ | 5,414,126,517 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 5,288,697,737 | 13,047,762,784 | 71,234 | 3,564,626 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 4,675,026 | 8,894,148 | — | — | ||||||||||||
Receivable for investments sold | 2,579,290 | 2,942,577 | — | 205,596 | ||||||||||||
Receivable for investments sold short | — | 861,786,641 | — | — | ||||||||||||
Receivable for Fund shares sold | 3,000,462 | 48,261,087 | 47,117,860 | 3,731 | ||||||||||||
Dividends and interest receivable | 8,456,298 | 20,728,859 | 1,320 | 9,860 | ||||||||||||
Foreign taxes receivable | 757,061 | 7,282,246 | — | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 19,622,737 | 12,189,871 | — | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 463,050 | — | — | ||||||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 575 | 361,178 | — | — | ||||||||||||
Due from broker (Note 2) | 5,849,461 | 623,552,355 | — | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | 430,256 | — | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 108,252 | 3,794,993 | 25,629 | 35,271 | ||||||||||||
Miscellaneous receivable | — | 32,832 | 59,558 | 279 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 5,334,177,155 | 20,471,771,094 | 4,999,607,806 | 5,417,945,880 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at value(d) | — | 1,459,296,835 | — | — | ||||||||||||
Payable for investments purchased | 2,836,104 | 44,481,886 | 45,815,508 | 7,672 | ||||||||||||
Payable for Fund shares repurchased | — | 5,656,887 | 1,363,230 | 257,056 | ||||||||||||
Accrued capital gain taxes payable (Note 2) | — | 1,904,023 | — | — | ||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||
Management fee | 2,248,407 | 10,312,610 | — | — | ||||||||||||
Supplemental support fee – Class MF | — | 990,483 | — | — | ||||||||||||
Shareholder service fee | 451,529 | 775,397 | — | — | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 5,692,445 | — | — | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 589,763 | 480,475 | — | — | ||||||||||||
Interest and dividend payable for short sales | — | 487,482 | — | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | 8,984,577 | — | — | — | ||||||||||||
Written options outstanding, at value (Note 4)(e) | — | 1,414,000 | — | — | ||||||||||||
Payable to agents unaffiliated with the Manager | 403 | 3,007 | 496 | 589 | ||||||||||||
Payable to Trustees and related expenses | 582 | 4,348 | 1,038 | 1,423 | ||||||||||||
Accrued expenses | 230,930 | 1,775,374 | 100,657 | 144,685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 21,034,740 | 1,527,582,807 | 47,280,929 | 411,425 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 5,313,142,415 | $ | 18,944,188,287 | $ | 4,952,326,877 | $ | 5,417,534,455 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | — | $ | 5,778,111,191 | $ | 4,904,233,609 | $ | 5,106,469,189 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 5,173,072,223 | $ | 12,585,013,291 | $ | 71,234 | $ | 3,182,331 | ||||||||
(c) Cost of foreign currency: | $ | 4,706,938 | $ | 8,911,213 | $ | — | $ | — | ||||||||
(d) Proceeds from securities sold short: | $ | — | $ | 1,439,571,602 | $ | — | $ | — | ||||||||
(e) Premiums on written options: | $ | — | $ | 2,221,163 | $ | — | $ | — |
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Alpha Only Fund | Consolidated Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 5,954,596,605 | $ | 18,102,589,400 | $ | 4,861,200,028 | $ | 5,104,131,581 | ||||||||
Accumulated undistributed net investment income | 52,504,361 | 173,172,458 | 21,150,901 | 27,288,476 | ||||||||||||
Accumulated net realized gain (loss) | (715,511,236 | ) | 170,298,705 | 21,877,352 | (21,925,225 | ) | ||||||||||
Net unrealized appreciation | 21,552,685 | 498,127,724 | 48,098,596 | 308,039,623 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,313,142,415 | $ | 18,944,188,287 | $ | 4,952,326,877 | $ | 5,417,534,455 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III shares | $ | 43,419,989 | $ | 4,315,610,980 | $ | 4,952,326,877 | $ | 5,417,534,455 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV shares | $ | 5,269,722,426 | $ | 2,697,435,683 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF shares | $ | — | $ | 11,931,141,624 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 1,828,799 | 156,162,692 | 237,490,855 | 462,412,804 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 221,727,373 | 97,641,456 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | — | 431,689,938 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 23.74 | $ | 27.64 | $ | 20.85 | $ | 11.72 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 23.77 | $ | 27.63 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 27.64 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | International Developed Equity Allocation Fund | International Equity Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 1,718,223,983 | $ | 3,635,320,818 | $ | 1,195,637,135 | $ | 1,804,240,817 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 41,950 | 55,768 | 41,283 | 47,574 | ||||||||||||
Receivable for investments sold | — | 1,856,331 | — | — | ||||||||||||
Receivable for Fund shares sold | — | 8,000,000 | 109,955 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 12,573 | 19,387 | 11,413 | 12,710 | ||||||||||||
Miscellaneous receivable | — | 2,042 | 84 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 1,718,278,506 | 3,645,254,346 | 1,195,799,870 | 1,804,301,101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | — | — | 105,082 | — | ||||||||||||
Payable for Fund shares repurchased | — | 9,858,891 | 4,961 | — | ||||||||||||
Payable to agents unaffiliated with the Manager | 186 | 341 | 124 | 217 | ||||||||||||
Payable to Trustees and related expenses | 429 | 607 | 225 | 441 | ||||||||||||
Accrued expenses | 55,511 | 75,680 | 51,824 | 60,426 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 56,126 | 9,935,519 | 162,216 | 61,084 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 1,718,222,380 | $ | 3,635,318,827 | $ | 1,195,637,654 | $ | 1,804,240,017 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 1,504,925,913 | $ | 3,363,228,438 | $ | 1,196,347,065 | $ | 1,622,553,235 | ||||||||
Accumulated undistributed net investment income | 14,235,619 | 26,248,386 | 16,152,217 | 20,177,338 | ||||||||||||
Accumulated net realized gain (loss) | (7,792,033 | ) | 25,999,983 | (185,597,281 | ) | (66,241,549 | ) | |||||||||
Net unrealized appreciation | 206,852,881 | 219,842,020 | 168,735,653 | 227,750,993 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,718,222,380 | $ | 3,635,318,827 | $ | 1,195,637,654 | $ | 1,804,240,017 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III shares | $ | 1,718,222,380 | $ | 3,635,318,827 | $ | 1,195,637,654 | $ | 1,804,240,017 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 70,801,885 | 392,185,894 | 65,612,177 | 155,832,596 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 24.27 | $ | 9.27 | $ | 18.22 | $ | 11.58 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 1,511,371,102 | $ | 3,415,478,798 | $ | 1,026,901,482 | $ | 1,576,489,824 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 41,950 | $ | 55,768 | $ | 41,283 | $ | 47,574 |
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2014 (Unaudited) — (Continued)
Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | Consolidated Systematic Global Macro Opportunity Fund* | ||||||||||
Assets: | ||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | — | $ | 2,454,091,984 | $ | 475,369,103 | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 522,000,338 | 1,186,163 | 837,615,010 | |||||||||
Foreign currency, at value (Note 2)(c) | 2,850,640 | — | 21,045 | |||||||||
Receivable for Fund shares sold | 1,356,396 | 9,327,743 | — | |||||||||
Dividends and interest receivable | 252,414 | 348 | 18,796 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | — | 2,509,232 | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 1,027,237 | |||||||||
Due from broker (Note 2) | 175 | — | 42,550,081 | |||||||||
Receivable for open OTC swap contracts (Note 4) | 96,238 | — | — | |||||||||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 18,114 | 20,107 | 67,954 | |||||||||
Miscellaneous receivable | 6,816 | 4,696 | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 526,581,131 | 2,464,631,041 | 1,359,178,458 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for investments purchased | 23,908,383 | 7,807,781 | 18,422 | |||||||||
Payable for Fund shares repurchased | — | 1,505,134 | — | |||||||||
Payable to affiliate for (Note 5): | ||||||||||||
Management fee | 462,341 | — | 805,248 | |||||||||
Shareholder service fee | 23,117 | — | 172,552 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | 119,700 | — | — | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | — | 55,493 | |||||||||
Payable for open OTC swap contracts (Note 4) | 133,379 | — | — | |||||||||
Written options outstanding, at value (Note 4)(d) | 770,000 | — | — | |||||||||
Payable to agents unaffiliated with the Manager | 62 | 279 | 7,789 | |||||||||
Payable to Trustees and related expenses | 510 | 663 | 1,018 | |||||||||
Accrued expenses | 54,331 | 98,983 | 194,162 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 25,471,823 | 9,412,840 | 1,254,684 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 501,109,308 | $ | 2,455,218,201 | $ | 1,357,923,774 | ||||||
|
|
|
|
|
| |||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 502,692,791 | $ | 2,164,806,924 | ||||||||
Accumulated undistributed net investment income (loss) | (308,431 | ) | 15,264,590 | |||||||||
Accumulated net realized gain (loss) | (722,374 | ) | 29,769,666 | |||||||||
Net unrealized appreciation (depreciation) | (552,678 | ) | 245,377,021 | |||||||||
|
|
|
| |||||||||
$ | 501,109,308 | $ | 2,455,218,201 | |||||||||
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||
Class III shares | $ | — | $ | 2,455,218,201 | $ | 1,357,923,774 | ||||||
|
|
|
|
|
| |||||||
Class VI shares | $ | 501,109,308 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Class III | — | 106,515,806 | 41,477,606 | |||||||||
|
|
|
|
|
| |||||||
Class VI | 25,010,731 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Class III | $ | — | $ | 23.05 | $ | 32.74 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 20.04 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | — | $ | 2,208,752,174 | $ | 475,626,028 | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 523,735,012 | $ | 1,148,952 | $ | 837,592,808 | ||||||
(c) Cost of foreign currency: | $ | 2,852,130 | $ | — | $ | 20,191 | ||||||
(d) Premiums on written options: | $ | 1,068,405 | $ | — | $ | — | ||||||
* Formerly Alternative Asset Opportunity Fund. |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited)
Alpha Only Fund | �� | Consolidated Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | ||||||||||||
Investment Income: | ||||||||||||||||
Dividends from affiliated issuers (Note 10) | $ | — | $ | 21,966,821 | $ | 28,877,719 | $ | 34,539,752 | ||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | 49,071,307 | 134,959,671 | — | — | ||||||||||||
Interest | 520,968 | 36,585,406 | 18 | 224,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 49,592,275 | 193,511,898 | 28,877,737 | 34,764,153 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 10,976,157 | 55,753,852 | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 29,288 | 2,821,154 | — | — | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 2,175,706 | 1,330,177 | — | — | ||||||||||||
Supplemental support fee – Class MF (Note 5) | — | 5,366,569 | — | — | ||||||||||||
Interest expense (Note 2) | — | 1,958 | — | — | ||||||||||||
Audit and tax fees | 35,696 | 115,644 | 15,364 | 46,460 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 561,752 | 1,983,796 | 41,952 | 52,256 | ||||||||||||
Dividend expense on short sales | — | 503,464 | — | — | ||||||||||||
Legal fees | 34,500 | 235,704 | 38,732 | 47,012 | ||||||||||||
Registration fees | 4,087 | 162,506 | — | 4,426 | ||||||||||||
Transfer agent fees | 20,148 | — | — | — | ||||||||||||
Trustees fees and related expenses (Note 5) | 21,935 | 151,628 | 23,933 | 28,863 | ||||||||||||
Miscellaneous | 32,998 | 121,699 | 15,329 | 21,634 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 13,892,267 | 68,548,151 | 135,310 | 200,651 | ||||||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (683,875 | ) | (2,572,530 | ) | (108,433 | ) | (168,201 | ) | ||||||||
Indirectly incurred fees waived or borne by Manager (Note 5) | — | (12,431,115 | ) | — | — | |||||||||||
Supplemental support fee waived – Class MF (Note 5) | — | (1,440,629 | ) | — | — | |||||||||||
Shareholder service fee waived (Note 5) | — | (2,703,398 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 13,208,392 | 49,400,479 | 26,877 | 32,450 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 36,383,883 | 144,111,419 | 28,850,860 | 34,731,703 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b) | 49,599,642 | 257,870,759 | — | 97,208 | ||||||||||||
Investments in affiliated issuers | — | 20,669,509 | 3,536,877 | 60,785,097 | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | — | 40,990,783 | 26,805,389 | ||||||||||||
Futures contracts | (169,510,034 | ) | 2,458,905 | — | — | |||||||||||
Written options | — | 33,152,318 | — | — | ||||||||||||
Swap contracts | (14,803,607 | ) | 14,184,388 | — | — | |||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (1,744,273 | ) | (33,500,418 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (136,458,272 | ) | 294,835,461 | 44,527,660 | 87,687,694 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (Net of foreign capital gains tax) | 32,027,299 | 73,755,286 | — | 71,488 | ||||||||||||
Investments in affiliated issuers | — | 25,600,840 | 122,813,732 | 73,110,759 | ||||||||||||
Investments in securities sold short | — | (19,725,233 | ) | — | — | |||||||||||
Futures contracts | (25,715,306 | ) | (2,260,135 | ) | — | — | ||||||||||
Written options | — | (3,229,176 | ) | — | — | |||||||||||
Swap contracts | 7,192,898 | (8,635,804 | ) | — | — | |||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 26,820,218 | 51,468,828 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized gain (loss) | 40,325,109 | 116,974,606 | 122,813,732 | 73,182,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (96,133,163 | ) | 411,810,067 | 167,341,392 | 160,869,941 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (59,749,280 | ) | $ | 555,921,486 | $ | 196,192,252 | $ | 195,601,644 | |||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 3,130,915 | $ | 12,676,196 | $ | — | $ | — | ||||||||
(b) Foreign capital gains tax on net realized gains (loss): | $ | — | $ | 540,716 | $ | — | $ | — | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation/(depreciation): | $ | — | $ | 1,321,970 | $ | — | $ | — |
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | International Developed Equity Allocation Fund | International Equity Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from affiliated issuers (Note 10) | $ | 16,744,276 | $ | 31,143,573 | $ | 18,068,524 | $ | 23,050,220 | ||||||||
Interest | 3 | 12 | 4 | 15 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 16,744,279 | 31,143,585 | 18,068,528 | 23,050,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Audit and tax fees | 12,604 | 12,604 | 12,604 | 12,604 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 31,372 | 39,560 | 32,752 | 32,476 | ||||||||||||
Legal fees | 13,984 | 26,711 | 9,936 | 15,916 | ||||||||||||
Registration fees | 2,480 | 18,840 | 1,612 | 10,761 | ||||||||||||
Trustees fees and related expenses (Note 5) | 8,912 | 16,549 | 6,213 | 9,707 | ||||||||||||
Miscellaneous | 7,934 | 12,861 | 6,235 | 7,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 77,286 | 127,125 | 69,352 | 89,191 | ||||||||||||
Fees and expenses reimbursed and/or waived by Manager | (67,270 | ) | (108,153 | ) | (62,403 | ) | (78,197 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 10,016 | 18,972 | 6,949 | 10,994 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 16,734,263 | 31,124,613 | 18,061,579 | 23,039,241 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in affiliated issuers | 18,902,557 | 26,392,292 | 7,288,711 | 16,052,414 | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 14,806,489 | 29,351,216 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 33,709,046 | 55,743,508 | 7,288,711 | 16,052,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in affiliated issuers | 14,978,932 | 49,050,671 | (10,416,327 | ) | 20,313,630 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized gain (loss) | 14,978,932 | 49,050,671 | (10,416,327 | ) | 20,313,630 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 48,687,978 | 104,794,179 | (3,127,616 | ) | 36,366,044 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 65,422,241 | $ | 135,918,792 | $ | 14,933,963 | $ | 59,405,285 | ||||||||
|
|
|
|
|
|
|
|
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2014 (Unaudited) — (Continued)
Consolidated Special Opportunities Fund* | Strategic Opportunities Allocation Fund | Consolidated Systematic Global Macro Opportunity Fund** | ||||||||||
Investment Income: | ||||||||||||
Dividends from affiliated issuers (Note 10) | $ | — | $ | 19,422,109 | $ | 180,386 | ||||||
Dividends from unaffiliated issuers | 205,708 | — | — | |||||||||
Interest | 67,380 | 69,312 | 201,402 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 273,088 | 19,491,421 | 381,788 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fee (Note 5) | 506,889 | — | 5,699,937 | |||||||||
Shareholder service fee – Class III (Note 5) | — | — | 1,221,415 | |||||||||
Shareholder service fee – Class VI (Note 5) | 25,344 | — | — | |||||||||
Audit and tax fees | 19,515 | 41,952 | 44,436 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 30,071 | 35,236 | 155,572 | |||||||||
Legal fees | 3,060 | 21,252 | 17,756 | |||||||||
Registration fees | 1,292 | 2,614 | — | |||||||||
Trustees fees and related expenses (Note 5) | 8,852 | 13,110 | 15,824 | |||||||||
Miscellaneous | 5,210 | 9,588 | 18,617 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 600,233 | 123,752 | 7,173,557 | |||||||||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (18,714 | ) | (108,986 | ) | (963,195 | ) | ||||||
Indirectly incurred fees waived or borne by Manager (Note 5) | — | — | (3,823 | ) | ||||||||
Shareholder service fee waived (Note 5) | — | — | (841 | ) | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 581,519 | 14,766 | 6,205,698 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (308,431 | ) | 19,476,655 | (5,823,910 | ) | |||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | (942,261 | ) | 196,597 | — | ||||||||
Investments in affiliated issuers | — | 29,734,073 | (96,716 | ) | ||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | 15,670,175 | 30,099 | |||||||||
Futures contracts | — | — | 84,896,780 | |||||||||
Swap contracts | 152,204 | — | — | |||||||||
Foreign currency, forward contracts and foreign currency related transactions | 67,683 | — | (12,035,114 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (722,374 | ) | 45,600,845 | 72,795,049 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | (1,734,674 | ) | (185,115 | ) | (55,891 | ) | ||||||
Investments in affiliated issuers | — | 46,765,619 | 179,208 | |||||||||
Futures contracts | 673,313 | — | (38,318,199 | ) | ||||||||
Written options | 298,405 | — | — | |||||||||
Swap contracts | (37,141 | ) | — | — | ||||||||
Foreign currency, forward contracts and foreign currency related transactions | 247,419 | — | (5,529,812 | ) | ||||||||
|
|
|
|
|
| |||||||
Net unrealized gain (loss) | (552,678 | ) | 46,580,504 | (43,724,694 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | (1,275,052 | ) | 92,181,349 | 29,070,355 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,583,483 | ) | $ | 111,658,004 | $ | 23,246,445 | |||||
|
|
|
|
|
|
* | For the period July 28, 2014 (commencement of operations) through August 31, 2014. |
** | Formerly Alternative Asset Opportunity Fund. |
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Statements of Changes in Net Assets
Alpha Only Fund | Consolidated Benchmark-Free Allocation Fund | |||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||
Operations: | ||||||||||||||||||
Net investment income (loss) | $ | 36,383,883 | $ | 82,124,149 | $ | 144,111,419 | $ | 168,569,815 | ||||||||||
Net realized gain (loss) | (136,458,272 | ) | (44,322,553 | ) | 294,835,461 | 299,282,574 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 40,325,109 | (73,977,925 | ) | 116,974,606 | 234,320,351 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets from operations | (59,749,280 | ) | (36,176,329 | ) | 555,921,486 | 702,172,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||
Net investment income | ||||||||||||||||||
Class III | — | (22,413 | ) | (9,950,871 | ) | (34,147,006 | ) | |||||||||||
Class IV | — | (4,341,555 | ) | (6,893,615 | ) | (24,177,771 | ) | |||||||||||
Class MF | — | — | (29,911,760 | ) | (98,643,882 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total distributions from net investment income | — | (4,363,968 | ) | (46,756,246 | ) | (156,968,659 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Net realized gains | ||||||||||||||||||
Class III | — | — | (46,089,768 | ) | (33,988,864 | ) | ||||||||||||
Class IV | — | — | (30,508,322 | ) | (25,230,938 | ) | ||||||||||||
Class MF | — | — | (128,273,881 | ) | (97,011,291 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total distributions from net realized gains | — | — | (204,871,971 | ) | (156,231,093 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Net share transactions (Note 9): | ||||||||||||||||||
Class III | 8,491,121 | (16,088,798 | ) | 1,143,117,216 | 2,049,759,394 | |||||||||||||
Class IV | 1,805,490,132 | 174,522,564 | 134,139,301 | 1,746,025,384 | ||||||||||||||
Class MF | — | — | 2,633,259,660 | 5,904,643,448 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Increase (decrease) in net assets resulting from net share transactions | 1,813,981,253 | 158,433,766 | 3,910,516,177 | 9,700,428,226 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||||
Class III | — | — | 974,491 | 2,452,052 | ||||||||||||||
Class IV | — | — | 688,798 | 1,645,714 | ||||||||||||||
Class MF | — | — | 2,777,730 | 6,822,311 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 4,441,019 | 10,920,077 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 1,813,981,253 | 158,433,766 | 3,914,957,196 | 9,711,348,303 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) in net assets | 1,754,231,973 | 117,893,469 | 4,219,250,465 | 10,100,321,291 | ||||||||||||||
Net assets: | ||||||||||||||||||
Beginning of period | 3,558,910,442 | 3,441,016,973 | 14,724,937,822 | 4,624,616,531 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
End of period | $ | 5,313,142,415 | $ | 3,558,910,442 | $ | 18,944,188,287 | $ | 14,724,937,822 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Accumulated undistributed net investment income | $ | 52,504,361 | $ | 16,120,478 | $ | 173,172,458 | $ | 75,817,285 | ||||||||||
|
|
|
|
|
|
|
|
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Benchmark-Free Fund | Global Asset Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 28,850,860 | $ | 110,678,893 | $ | 34,731,703 | $ | 118,575,976 | ||||||||
Net realized gain (loss) | 44,527,660 | 530,424,802 | 87,687,694 | 357,375,423 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 122,813,732 | (257,856,290 | ) | 73,182,247 | 47,242,990 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 196,192,252 | 383,247,405 | 195,601,644 | 523,194,389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (20,931,549 | ) | (136,665,852 | ) | (23,739,293 | ) | (125,727,878 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (20,931,549 | ) | (136,665,852 | ) | (23,739,293 | ) | (125,727,878 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | (452,986,709 | ) | (100,155,564 | ) | (210,714,482 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (452,986,709 | ) | (100,155,564 | ) | (210,714,482 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | 861,661,533 | 279,276,682 | 93,041,132 | 200,187,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 861,661,533 | 279,276,682 | 93,041,132 | 200,187,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 733,327 | 372,913 | 432,056 | 1,126,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 733,327 | 372,913 | 432,056 | 1,126,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 862,394,860 | 279,649,595 | 93,473,188 | 201,314,059 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 584,668,854 | 426,075,584 | 54,621,057 | 598,780,570 | ||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 4,367,658,023 | 3,941,582,439 | 5,362,913,398 | 4,764,132,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,952,326,877 | $ | 4,367,658,023 | $ | 5,417,534,455 | $ | 5,362,913,398 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 21,150,901 | $ | 13,231,590 | $ | 27,288,476 | $ | 16,296,066 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 61 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 16,734,263 | $ | 41,140,420 | $ | 31,124,613 | $ | 80,775,866 | ||||||||
Net realized gain (loss) | 33,709,046 | 204,945,473 | 55,743,508 | 293,939,749 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 14,978,932 | 59,492,452 | 49,050,671 | 53,407,849 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 65,422,241 | 305,578,345 | 135,918,792 | 428,123,464 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (6,230,660 | ) | (44,342,182 | ) | (10,631,647 | ) | (85,925,161 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (6,230,660 | ) | (44,342,182 | ) | (10,631,647 | ) | (85,925,161 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | (112,411,209 | ) | — | (198,839,603 | ) | (107,875,263 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (112,411,209 | ) | — | (198,839,603 | ) | (107,875,263 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | 180,258,273 | (201,948,041 | ) | 759,776,149 | 492,556,303 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 180,258,273 | (201,948,041 | ) | 759,776,149 | 492,556,303 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 123,600 | — | 776,213 | 765,632 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 123,600 | — | 776,213 | 765,632 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 180,381,873 | (201,948,041 | ) | 760,552,362 | 493,321,935 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 127,162,245 | 59,288,122 | 686,999,904 | 727,644,975 | ||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,591,060,135 | 1,531,772,013 | 2,948,318,923 | 2,220,673,948 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,718,222,380 | $ | 1,591,060,135 | $ | 3,635,318,827 | $ | 2,948,318,923 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 14,235,619 | $ | 3,732,016 | $ | 26,248,386 | $ | 5,755,420 | ||||||||
|
|
|
|
|
|
|
|
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Developed Equity Allocation Fund | International Equity Allocation Fund | |||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||
Operations: | ||||||||||||||||||
Net investment income (loss) | $ | 18,061,579 | $ | 34,743,336 | $ | 23,039,241 | $ | 51,718,669 | ||||||||||
Net realized gain (loss) | 7,288,711 | 93,945,145 | 16,052,414 | 135,965,878 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (10,416,327 | ) | 109,855,087 | 20,313,630 | 68,663,773 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets from operations | 14,933,963 | 238,543,568 | 59,405,285 | 256,348,320 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||
Net investment income | ||||||||||||||||||
Class III | (1,907,772 | ) | (35,747,161 | ) | (4,361,638 | ) | (52,864,550 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total distributions from net investment income | (1,907,772 | ) | (35,747,161 | ) | (4,361,638 | ) | (52,864,550 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Net realized gains | ||||||||||||||||||
Class III | — | — | (21,653,521 | ) | (60,156,343 | ) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total distributions from net realized gains | — | — | (21,653,521 | ) | (60,156,343 | ) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net share transactions (Note 9): | ||||||||||||||||||
Class III | 32,036,405 | (19,098,920 | ) | (19,722,202 | ) | 261,081,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Increase (decrease) in net assets resulting from net share transactions | 32,036,405 | (19,098,920 | ) | (19,722,202 | ) | 261,081,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||||
Class III | 83,504 | — | 254,584 | 758,027 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 83,504 | — | 254,584 | 758,027 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 32,119,909 | (19,098,920 | ) | (19,467,618 | ) | 261,839,941 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total increase (decrease) in net assets | 45,146,100 | 183,697,487 | 13,922,508 | 405,167,368 | ||||||||||||||
Net assets: | ||||||||||||||||||
Beginning of period | 1,150,491,554 | 966,794,067 | 1,790,317,509 | 1,385,150,141 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
End of period | $ | 1,195,637,654 | $ | 1,150,491,554 | $ | 1,804,240,017 | $ | 1,790,317,509 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Accumulated undistributed net investment income | $ | 16,152,217 | $ | — | $ | 20,177,338 | $ | 1,499,735 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Distributions in excess of net investment income | $ | — | $ | (1,590 | ) | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 63 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
For the period July 28, 2014 (commencement of operations) through August 31, 2014 (Unaudited) | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | ||||||||||||
Increase (decrease) in net assets: | ||||||||||||||
Operations: | ||||||||||||||
Net investment income (loss) | $ | (308,431 | ) | $ | 19,476,655 | $ | 68,701,248 | |||||||
Net realized gain (loss) | (722,374 | ) | 45,600,845 | 238,978,296 | ||||||||||
Change in net unrealized appreciation (depreciation) | (552,678 | ) | 46,580,504 | 52,643,122 | ||||||||||
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (1,583,483 | ) | 111,658,004 | 360,322,666 | ||||||||||
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||
Net investment income | ||||||||||||||
Class III | — | (8,814,315 | ) | (76,983,477 | ) | |||||||||
|
|
|
|
|
|
| ||||||||
Total distributions from net investment income | — | (8,814,315 | ) | (76,983,477 | ) | |||||||||
|
|
|
|
|
|
| ||||||||
Net realized gains | ||||||||||||||
Class III | — | (142,226,808 | ) | (89,148,699 | ) | |||||||||
|
|
|
|
|
|
| ||||||||
Total distributions from net realized gains | — | (142,226,808 | ) | (89,148,699 | ) | |||||||||
|
|
|
|
|
|
| ||||||||
Net share transactions (Note 9): | ||||||||||||||
Class III | — | 38,658,509 | 92,551,286 | |||||||||||
Class VI | 500,179,327 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 500,179,327 | 38,658,509 | 92,551,286 | |||||||||||
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||
Class III | — | 79,378 | 194,145 | |||||||||||
Class VI | 2,513,464 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 2,513,464 | 79,378 | 194,145 | |||||||||||
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions and purchase premiums and redemption fees | 502,692,791 | 38,737,887 | 92,745,431 | |||||||||||
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 501,109,308 | (645,232 | ) | 286,935,921 | ||||||||||
Net assets: | ||||||||||||||
Beginning of period | — | 2,455,863,433 | 2,168,927,512 | |||||||||||
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| |||||||||
End of period | $ | 501,109,308 | $ | 2,455,218,201 | $ | 2,455,863,433 | ||||||||
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| |||||||||
Accumulated undistributed net investment income (loss) | $ | (308,431 | ) | $ | 15,264,590 | $ | 4,602,250 | |||||||
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|
64 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Systematic Global Macro Opportunity Fund* | ||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (5,823,910 | ) | $ | (11,232,410 | ) | ||
Net realized gain (loss) | 72,795,049 | 73,146,405 | ||||||
Change in net unrealized appreciation (depreciation) | (43,724,694 | ) | 29,955,638 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 23,246,445 | 91,869,633 | ||||||
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|
|
| |||||
Net share transactions (Note 9): | ||||||||
Class III | (327,511,715 | ) | 610,567,812 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | (327,511,715 | ) | 610,567,812 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (304,265,270 | ) | 702,437,445 | |||||
Net assets: | ||||||||
Beginning of period | 1,662,189,044 | 959,751,599 | ||||||
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| |||||
End of period | $ | 1,357,923,774 | $ | 1,662,189,044 | ||||
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| |||||
* Formerly Alternative Asset Opportunity Fund. |
See accompanying notes to the financial statements. | 65 |
GMO Trust Funds
(For a share outstanding throughout each period)
ALPHA ONLY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011(a) | 2010(a) | 2014 | 2013 | 2012 | 2011(a) | 2010(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.98 | $ | 24.22 | $ | 24.13 | $ | 23.49 | $ | 24.55 | $ | 28.85 | $ | 23.99 | $ | 24.24 | $ | 24.14 | $ | 23.50 | $ | 24.55 | $ | 28.85 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.20 | 0.53 | (b) | 0.51 | (b) | 0.46 | (b) | 0.30 | (b) | 0.55 | (b) | 0.20 | 0.58 | (b) | 0.60 | (b) | 0.47 | (b) | 0.31 | (b) | 0.55 | (b) | ||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.44 | ) | (0.76 | ) | (0.35 | ) | 0.52 | (1.36 | ) | (3.35 | ) | (0.42 | ) | (0.80 | ) | (0.42 | ) | 0.52 | (1.36 | ) | (3.35 | ) | ||||||||||||||||||||||||||||||||||||||
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Total from investment operations | (0.24 | ) | (0.23 | ) | 0.16 | 0.98 | (1.06 | ) | (2.80 | ) | (0.22 | ) | (0.22 | ) | 0.18 | 0.99 | (1.05 | ) | (2.80 | ) | ||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.01 | ) | (0.07 | ) | (0.34 | ) | — | (1.50 | ) | — | (0.03 | ) | (0.08 | ) | (0.35 | ) | — | (1.50 | ) | ||||||||||||||||||||||||||||||||||||||||
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Total distributions | — | (0.01 | ) | (0.07 | ) | (0.34 | ) | — | (1.50 | ) | — | (0.03 | ) | (0.08 | ) | (0.35 | ) | — | (1.50 | ) | ||||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 23.74 | $ | 23.98 | $ | 24.22 | $ | 24.13 | $ | 23.49 | $ | 24.55 | $ | 23.77 | $ | 23.99 | $ | 24.24 | $ | 24.14 | $ | 23.50 | $ | 24.55 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | (1.00 | )%** | (0.94 | )% | 0.67 | % | 4.13 | % | (4.32 | )% | (10.30 | )% | (0.92 | )%** | (0.93 | )% | 0.73 | % | 4.19 | % | (4.28 | )% | (10.30 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 43,420 | $ | 35,392 | $ | 51,886 | $ | 37,752 | $ | 59,746 | $ | 71,481 | $ | 5,269,722 | $ | 3,523,518 | $ | 3,389,131 | $ | 2,086,001 | $ | 1,930,347 | $ | 1,648,282 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.65 | %* | 0.30 | %(d)(e) | 0.23 | %(d)(e) | 0.24 | %(d)(e) | 0.23 | %(d)(e) | 0.24 | %(d)(e) | 0.60 | %* | 0.26 | %(d)(e) | 0.18 | %(d)(e) | 0.19 | %(d)(e) | 0.18 | %(d)(e) | 0.18 | %(d)(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.65 | %* | 2.19 | % | 2.10 | % | 1.89 | % | 1.26 | % | 2.16 | % | 1.66 | %* | 2.42 | % | 2.47 | % | 1.91 | % | 1.27 | % | 2.11 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 35 | %** | 66 | % | 104 | % | 125 | % | 89 | % | 114 | % | 35 | %** | 66 | % | 104 | % | 125 | % | 89 | % | 114 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.03 | %* | 0.37 | %(f) | 0.44 | %(f) | 0.44 | %(f) | 0.46 | %(f) | 0.45 | %(f) | 0.03 | %* | 0.36 | %(f) | 0.44 | %(f) | 0.43 | %(f) | 0.46 | %(f) | 0.46 | %(f) |
(a) | Per share amounts were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Ratios include indirect fees waived or borne by the Fund. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
66 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED BENCHMARK-FREE ALLOCATION FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | |||||||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | 2014 | 2013(h) | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.07 | $ | 25.77 | $ | 24.03 | $ | 22.72 | $ | 21.49 | $ | 17.51 | $ | 27.06 | $ | 25.75 | $ | 24.91 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.23 | 0.48 | 0.30 | 0.21 | 0.36 | 0.64 | 0.22 | 0.46 | 0.03 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.73 | 1.57 | 1.62 | 1.44 | (b) | 1.28 | 4.11 | 0.74 | 1.61 | 0.96 | ||||||||||||||||||||||||||
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Total from investment operations | 0.96 | 2.05 | 1.92 | 1.65 | 1.64 | 4.75 | 0.96 | 2.07 | 0.99 | |||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.39 | ) | (0.18 | ) | (0.34 | ) | (0.41 | ) | (0.75 | ) | (0.07 | ) | (0.40 | ) | (0.15 | ) | ||||||||||||||||||
From net realized gains | (0.32 | ) | (0.36 | ) | — | — | — | (0.02 | ) | (0.32 | ) | (0.36 | ) | — | ||||||||||||||||||||||
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Total distributions | (0.39 | ) | (0.75 | ) | (0.18 | ) | (0.34 | ) | (0.41 | ) | (0.77 | ) | (0.39 | ) | (0.76 | ) | (0.15 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 27.64 | $ | 27.07 | $ | 25.77 | $ | 24.03 | $ | 22.72 | $ | 21.49 | $ | 27.63 | $ | 27.06 | $ | 25.75 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(c) | 3.53 | %** | 8.03 | % | 8.03 | % | 7.36 | % | 7.69 | % | 27.18 | % | 3.54 | %** | 8.12 | % | 3.99 | %** | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 4,315,611 | $ | 3,109,509 | $ | 970,749 | $ | 114,452 | $ | 3,170,573 | $ | 1,733,173 | $ | 2,697,436 | $ | 2,511,906 | $ | 705,982 | ||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.63 | %* | 0.59 | %(g)* | 0.54 | %(g) | 0.01 | %(f)(g) | 0.00 | %(e)(g) | 0.00 | %(e)(g) | 0.58 | %* | 0.54 | %(g) | 0.48 | %(g)* | ||||||||||||||||||
Interest and dividend expenses to average daily net assets(k) | 0.00 | %*(e) | — | — | — | — | — | 0.00 | %(e)* | — | — | |||||||||||||||||||||||||
Total net expenses to average daily net assets | 0.63 | %* | 0.59 | % | 0.54 | % | 0.01 | % | 0.00 | % | 0.00 | % | 0.58 | % | 0.54 | % | 0.48 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(d) | 1.68 | %* | 1.79 | % | 1.23 | % | 0.93 | % | 1.63 | % | 3.14 | % | 1.58 | %* | 1.73 | % | 0.60 | %* | ||||||||||||||||||
Portfolio turnover rate | 41 | %** | 52 | % | 42 | % | 33 | % | 19 | % | 24 | % | 41 | **% | 52 | % | 42 | %** | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(m) | 0.21 | %* | 0.27 | % | 0.41 | % | 0.05 | % | 0.01 | % | 0.01 | % | 0.21 | %* | 0.27 | % | 0.40 | %* | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.03 | $ | 0.07 | $ | 0.00 | (i) | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.03 | $ | 0.01 |
Class MF Shares | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, | ||||||||||||||
2014 | 2013(j) | ||||||||||||||
Net asset value, beginning of period | $ | 27.07 | $ | 25.76 | $ | 24.10 | |||||||||
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|
|
|
| ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(a)† | 0.24 | 0.49 | 0.33 | ||||||||||||
Net realized and unrealized gain (loss) | 0.72 | 1.58 | 1.52 | ||||||||||||
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|
|
| ||||||||||
Total from investment operations | 0.96 | 2.07 | 1.85 | ||||||||||||
|
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|
| ||||||||||
Less distributions to shareholders: | |||||||||||||||
From net investment income | (0.07 | ) | (0.40 | ) | (0.19 | ) | |||||||||
From net realized gains | (0.32 | ) | (0.36 | ) | — | ||||||||||
|
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| ||||||||||
Total distributions | (0.39 | ) | (0.76 | ) | (0.19 | ) | |||||||||
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| ||||||||||
Net asset value, end of period | $ | 27.64 | $ | 27.07 | $ | 25.76 | |||||||||
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| ||||||||||
Total Return(c) | 3.55 | %** | 8.11 | % | 7.71 | % | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net assets, end of period (000’s) | $ | 11,931,142 | $ | 9,103,523 | $ | 2,947,886 | |||||||||
Net operating expenses to average daily net assets(d) | 0.55 | %*(l) | 0.53 | %(g) | 0.49 | %(g) | |||||||||
Interest and dividend expense to average daily net assets(k) | 0.00 | %(e)* | — | — | |||||||||||
Total net expenses to average daily net assets | 0.55 | %* | 0.53 | % | 0.49 | % | |||||||||
Net investment income (loss) to average daily net assets(a) | 1.70 | %* | 1.83 | % | 1.34 | % | |||||||||
Portfolio turnover rate | 41 | %** | 52 | % | 42 | % | |||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(m) | 0.23 | %* | 0.27 | % | 0.41 | % | |||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.03 | $ | 0.06 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | Effective January 1, 2012, the Fund pays GMO a management fee of 0.65% of the Fund’s average daily net assets (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Period from December 11, 2012 (commencement of operations) through February 28, 2013. |
(i) | Purchase premiums and redemption fees were less than $0.01 per share. |
(j) | Period from March 1, 2012 (commencement of operations) through February 28, 2013. |
(k) | Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. |
(l) | Class MF net expenses include a supplemental support fee reduction (Note 5). |
(m) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 67 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE FUND
Class III Shares | ||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||
2014 | 2013 | 2012(a) | ||||||||||||||||||
Net asset value, beginning of period | $ | 22.09 | $ | 21.33 | $ | 20.76 | $ | 20.00 | ||||||||||||
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| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(b)† | 0.14 | 0.59 | 0.52 | 0.41 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.86 | 1.45 | 1.34 | 0.83 | ||||||||||||||||
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| |||||||||||||
Total from investment operations | 1.00 | 2.04 | 1.86 | 1.24 | ||||||||||||||||
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| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.10 | ) | (0.74 | ) | (0.68 | ) | (0.40 | ) | ||||||||||||
From net realized gains | (2.14 | ) | (0.54 | ) | (0.61 | ) | (0.08 | ) | ||||||||||||
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| |||||||||||||
Total distributions | (2.24 | ) | (1.28 | ) | (1.29 | ) | (0.48 | ) | ||||||||||||
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| |||||||||||||
Net asset value, end of period | $ | 20.85 | $ | 22.09 | $ | 21.33 | $ | 20.76 | ||||||||||||
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| |||||||||||||
Total Return(c) | 4.48 | %** | 9.66 | % | 9.25 | % | 6.35 | %** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 4,952,327 | $ | 4,367,658 | $ | 3,941,582 | $ | 3,515,321 | ||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f)* | ||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.24 | %* | 2.67 | % | 2.51 | % | 2.91 | %* | ||||||||||||
Portfolio turnover rate | 36 | %** | 51 | % | 31 | % | 23 | %** | ||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.00 | %(g)* | 0.00 | %(g) | 0.01 | % | 0.02 | %* | ||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†(h) | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 |
(a) | Period from June 15, 2011 (commencement of operations) through February 29, 2012. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Fees and expenses reimbursed by the manager were less than 0.01%. |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
68 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL ASSET ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.80 | $ | 10.90 | $ | 10.40 | $ | 10.22 | $ | 9.30 | $ | 7.28 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.08 | 0.27 | 0.29 | 0.24 | 0.17 | 0.27 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.36 | 0.91 | 0.50 | 0.21 | 0.94 | 2.10 | ||||||||||||||||||||||||
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|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.44 | 1.18 | 0.79 | 0.45 | 1.11 | 2.37 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.28 | ) | (0.29 | ) | (0.27 | ) | (0.19 | ) | (0.35 | ) | ||||||||||||||||||
From net realized gains | (0.47 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.52 | ) | (0.28 | ) | (0.29 | ) | (0.27 | ) | (0.19 | ) | (0.35 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 11.72 | $ | 11.80 | $ | 10.90 | $ | 10.40 | $ | 10.22 | $ | 9.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 3.70 | %** | 10.88 | % | 7.65 | % | 4.51 | % | 11.98 | % | 32.60 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 5,417,534 | $ | 5,362,913 | $ | 4,764,133 | $ | 3,612,740 | $ | 3,457,703 | $ | 3,104,293 | ||||||||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.26 | %* | 2.33 | % | 2.70 | % | 2.37 | % | 1.73 | % | 3.00 | % | ||||||||||||||||||
Portfolio turnover rate | 14 | %** | 46 | % | 29 | % | 40 | % | 32 | % | 29 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):(f)† | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 69 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL DEVELOPED EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.00 | $ | 21.13 | $ | 19.49 | $ | 19.32 | $ | 16.74 | $ | 12.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.25 | 0.61 | 0.57 | 0.40 | 0.28 | 0.42 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.80 | 3.96 | 1.73 | 0.18 | 2.59 | 4.47 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.05 | 4.57 | 2.30 | 0.58 | 2.87 | 4.89 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.70 | ) | (0.66 | ) | (0.41 | ) | (0.29 | ) | (0.44 | ) | ||||||||||||||||||
From net realized gains | (1.69 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (1.78 | ) | (0.70 | ) | (0.66 | ) | (0.41 | ) | (0.29 | ) | (0.44 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 24.27 | $ | 25.00 | $ | 21.13 | $ | 19.49 | $ | 19.32 | $ | 16.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 4.13 | %** | 21.68 | % | 11.95 | % | 3.14 | % | 17.19 | % | 39.64 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,718,222 | $ | 1,591,060 | $ | 1,531,772 | $ | 1,235,143 | $ | 1,215,043 | $ | 1,059,840 | ||||||||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.98 | %* | 2.62 | % | 2.86 | % | 2.11 | % | 1.61 | % | 2.64 | % | ||||||||||||||||||
Portfolio turnover rate | 10 | %** | 36 | % | 31 | % | 27 | % | 20 | % | 16 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
70 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.43 | $ | 8.60 | $ | 8.49 | $ | 8.60 | $ | 7.40 | $ | 5.29 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.09 | 0.28 | 0.25 | 0.19 | 0.15 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.35 | 1.21 | 0.57 | 0.00 | (b) | 1.17 | 2.11 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.44 | 1.49 | 0.82 | 0.19 | 1.32 | 2.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.29 | ) | (0.26 | ) | (0.20 | ) | (0.12 | ) | (0.15 | ) | ||||||||||||
From net realized gains | (0.57 | ) | (0.37 | ) | (0.45 | ) | (0.10 | ) | — | (0.05 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.60 | ) | (0.66 | ) | (0.71 | ) | (0.30 | ) | (0.12 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.27 | $ | 9.43 | $ | 8.60 | $ | 8.49 | $ | 8.60 | $ | 7.40 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 4.63 | %** | 17.60 | % | 10.01 | % | 2.47 | % | 17.97 | % | 43.73 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,635,319 | $ | 2,948,319 | $ | 2,220,674 | $ | 1,636,875 | $ | 1,485,712 | $ | 704,866 | ||||||||||||
Net expenses to average daily net assets(e)(f) | 0.00 | %* | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.91 | %* | 3.02 | % | 2.90 | % | 2.27 | % | 1.96 | % | 2.78 | % | ||||||||||||
Portfolio turnover rate | 8 | %** | 51 | % | 24 | % | 28 | % | 6 | % | 34 | % | ||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | % | 0.02 | % | ||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (g) | $ | 0.00 | (g) | $ | 0.00 | (g) | $ | 0.00 | (g) | $ | 0.01 | $ | 0.01 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 71 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.99 | $ | 14.86 | $ | 13.87 | $ | 15.23 | $ | 12.69 | $ | 9.20 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.28 | 0.54 | 0.50 | 0.36 | 0.18 | 0.41 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.02 | ) | 3.16 | 0.97 | (1.35 | ) | 2.54 | 3.49 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.26 | 3.70 | 1.47 | (0.99 | ) | 2.72 | 3.90 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.57 | ) | (0.48 | ) | (0.37 | ) | (0.18 | ) | (0.41 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.03 | ) | (0.57 | ) | (0.48 | ) | (0.37 | ) | (0.18 | ) | (0.41 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 18.22 | $ | 17.99 | $ | 14.86 | $ | 13.87 | $ | 15.23 | $ | 12.69 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 1.43 | %** | 25.02 | % | 10.71 | % | (6.32 | )% | 21.53 | % | 42.22 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,195,638 | $ | 1,150,492 | $ | 966,794 | $ | 810,338 | $ | 796,026 | $ | 661,103 | ||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.02 | %* | 3.28 | % | 3.59 | % | 2.53 | % | 1.34 | % | 3.39 | % | ||||||||||||
Portfolio turnover rate | 4 | %** | 52 | % | 17 | % | 26 | % | 14 | % | 20 | % | ||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | % | 0.02 | % | ||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (f) | — | — | — | — | $ | 0.00 | (f) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
72 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.37 | $ | 10.43 | $ | 9.98 | $ | 10.80 | $ | 8.96 | $ | 6.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.15 | 0.35 | 0.32 | 0.23 | 0.13 | 0.28 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.23 | 1.32 | 0.45 | (0.81 | ) | 1.87 | 2.81 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.38 | 1.67 | 0.77 | (0.58 | ) | 2.00 | 3.09 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.34 | ) | (0.32 | ) | (0.24 | ) | (0.16 | ) | (0.20 | ) | ||||||||||||
From net realized gains | (0.14 | ) | (0.39 | ) | — | — | — | (0.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.17 | ) | (0.73 | ) | (0.32 | ) | (0.24 | ) | (0.16 | ) | (0.30 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 11.58 | $ | 11.37 | $ | 10.43 | $ | 9.98 | $ | 10.80 | $ | 8.96 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 3.29 | %** | 16.22 | % | 7.79 | % | (5.21 | )% | 22.43 | % | 50.37 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,804,240 | $ | 1,790,318 | $ | 1,385,150 | $ | 1,166,993 | $ | 1,277,551 | $ | 1,017,731 | ||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 2.49 | %* | 3.15 | % | 3.26 | % | 2.33 | % | 1.39 | % | 3.21 | % | ||||||||||||
Portfolio turnover rate | 5 | %** | 40 | % | 21 | % | 29 | % | 13 | % | 11 | % | ||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | % | ||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.01 | $ | 0.01 | $ | 0.00 | (f) | $ | 0.01 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 73 |
GMO Trust Funds
Consolidated Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SPECIAL OPPORTUNITIES FUND
Class VI Shares | |||||
Period from July 28, 2014 (commencement of operations) through August 31, 2014 (Unaudited) | |||||
Net asset value, beginning of period | $ | 20.00 | |||
|
| ||||
Income (loss) from investment operations: | |||||
Net investment income (loss)† | (0.01 | ) | |||
Net realized and unrealized gain (loss) | 0.05 | (a) | |||
|
| ||||
Total from investment operations | 0.04 | ||||
|
| ||||
Net asset value, end of period | $ | 20.04 | |||
|
| ||||
Total Return(b) | 0.20 | %** | |||
Ratios/Supplemental Data: | |||||
Net assets, end of period (000’s) | $ | 501,109 | |||
Net expenses to average daily net assets | 1.26 | %* | |||
Net investment income (loss) to average daily net assets | (0.67 | )%* | |||
Portfolio turnover rate | 4 | %** | |||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.04 | %* | |||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.10 | * |
(a) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
74 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
STRATEGIC OPPORTUNITIES ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.43 | $ | 21.47 | $ | 21.26 | $ | 20.78 | $ | 18.54 | $ | 14.37 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.19 | 0.68 | 0.65 | 0.48 | 0.33 | 0.54 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.91 | 2.96 | 1.57 | 0.51 | 2.26 | 4.26 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.10 | 3.64 | 2.22 | 0.99 | 2.59 | 4.80 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.78 | ) | (0.75 | ) | (0.51 | ) | (0.35 | ) | (0.63 | ) | ||||||||||||||||||
From net realized gains | (1.39 | ) | (0.90 | ) | (1.26 | ) | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (1.48 | ) | (1.68 | ) | (2.01 | ) | (0.51 | ) | (0.35 | ) | (0.63 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 23.05 | $ | 23.43 | $ | 21.47 | $ | 21.26 | $ | 20.78 | $ | 18.54 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 4.64 | %** | 17.24 | % | 10.81 | % | 4.93 | % | 14.02 | % | 33.44 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,455,218 | $ | 2,455,863 | $ | 2,168,928 | $ | 2,022,555 | $ | 1,752,168 | $ | 1,851,213 | ||||||||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.56 | %* | 2.99 | % | 3.01 | % | 2.33 | % | 1.73 | % | 3.04 | % | ||||||||||||||||||
Portfolio turnover rate | 10 | %** | 53 | % | 34 | % | 35 | % | 36 | % | 14 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.00 | (f) | — | — | $ | 0.00 | (f) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 75 |
GMO Trust Funds
Consolidated Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SYSTEMATIC GLOBAL MACRO OPPORTUNITY FUND (FORMERLY ALTERNATIVE ASSET OPPORTUNITY FUND)
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 32.18 | $ | 30.47 | $ | 30.05 | $ | 32.55 | $ | 27.24 | $ | 21.94 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | (0.12 | ) | (0.22 | ) | (0.18 | ) | 0.00 | (b) | 0.11 | 0.46 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.68 | 1.93 | 0.60 | (2.50 | ) | 5.20 | 4.84 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.56 | 1.71 | 0.42 | (2.50 | ) | 5.31 | 5.30 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 32.74 | $ | 32.18 | $ | 30.47 | $ | 30.05 | $ | 32.55 | $ | 27.24 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 1.74 | %** | 5.61 | % | 1.40 | % | (7.68 | )% | 19.49 | % | 24.16 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,357,924 | $ | 1,662,189 | $ | 959,752 | $ | 44,320 | $ | 25,546 | $ | 23,100 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.76 | %* | 0.75 | % | 0.75 | %(e) | 0.69 | %(e) | 0.60 | % | 0.60 | % | ||||||||||||||||||
Net investment income to average daily net assets(a) | (0.72 | )%* | (0.70 | )% | (0.61 | )% | (0.01 | )% | 0.38 | % | 1.85 | % | ||||||||||||||||||
Portfolio turnover rate | 20 | %** | 97 | % | 17 | % | 48 | % | 60 | % | 73 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.12 | %* | 0.13 | % | 0.17 | % | 1.64 | % | 1.15 | % | 1.06 | % | ||||||||||||||||||
Redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 0.03 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | Net investment income was less than $0.01 per share. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
76 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2014 (Unaudited)
1. | Organization |
Each of Alpha Only Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, Special Opportunities Fund (commenced operations on July 28, 2014), Strategic Opportunities Allocation Fund and Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).
The Funds may invest in U.S. Treasury Fund and money market funds that are unaffiliated with GMO.
Many of the Funds invest primarily in other GMO Funds, and in the case of Systematic Global Macro Opportunity Fund in Alternative Asset SPC Ltd., (“underlying funds”). As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. As of August 31, 2014, shares of Benchmark-Free Fund, Implementation Fund and Systematic Global Macro Opportunity Fund were not publicly offered for sale.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Principal Investment Objective | ||
Alpha Only Fund | Citigroup 3-Month Treasury Bill Index | Total return greater than benchmark | ||
Benchmark-Free Allocation Fund | Not Applicable | Positive total return, not “relative” return | ||
Benchmark-Free Fund | Not Applicable | Positive total return | ||
Global Asset Allocation Fund | GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Barclays U.S. Aggregate Index) | Total return greater than benchmark | ||
Global Developed Equity Allocation Fund | MSCI World Index | Total return greater than benchmark | ||
Global Equity Allocation Fund | MSCI ACWI | Total return greater than benchmark | ||
International Developed Equity Allocation Fund | MSCI EAFE Index | Total return greater than benchmark | ||
International Equity Allocation Fund | MSCI ACWI ex USA | Total return greater than benchmark | ||
Special Opportunities Fund | Not Applicable | Positive total return | ||
Strategic Opportunities Allocation Fund | GMO Strategic Opportunities Allocation Index (75% MSCI World Index, 25% Barclays U.S. Aggregate Index) | Total return greater than benchmark | ||
Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | Citigroup 3-Month Treasury Bill Index | Long-term total return |
Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund, Strategic Opportunities Allocation Fund and Systematic Global Macro Opportunity Fund currently limit subscriptions.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.
77
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund
Benchmark-Free Allocation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund include the accounts of their wholly-owned investments in Implementation Fund, Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include 100% of the assets and liabilities of each wholly-owned subsidiary. All interfund accounts and transactions have been eliminated in consolidation.
Portfolio valuation
Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2014. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below and as described in the disclosures of the underlying funds.
Typically, the Funds and the underlying funds value each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by GMO. Although GMO normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Funds and the underlying funds, those alternative sources are not typically part of the valuation process and do not necessarily confirm the security price used by the Funds and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available. Non-emerging market fixed income securities with a remaining maturity of sixty days or less may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.
As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, fair valued using inputs obtained from an independent pricing service or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis,
78
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2014 is as follows:
Securities and Derivatives
Fund Name | Fair valued using direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | Single source; No alternative pricing source was available | |||||||||
Alpha Only Fund | — | 32% | — | |||||||||
Consolidated Benchmark-Free Allocation Fund | < 1% | 31% | < 1% | |||||||||
Benchmark-Free Fund | < 1% | 33% | < 1% | |||||||||
Global Asset Allocation Fund | < 1% | 37% | < 1% | |||||||||
Global Developed Equity Allocation Fund | < 1% | 61% | — | |||||||||
Global Equity Allocation Fund | < 1% | 60% | — | |||||||||
International Developed Equity Allocation Fund | < 1% | 95% | — | |||||||||
International Equity Allocation Fund | < 1% | 94% | — | |||||||||
Consolidated Special Opportunities Fund | — | 25% | 4% | |||||||||
Strategic Opportunities Allocation Fund | < 1% | 42% | < 1% | |||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | < 1% | < 1% | < 1% |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2014, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations with a remaining maturity of greater than sixty days, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of sixty days or less valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
79
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2014:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Alpha Only Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 19,267,594 | $ | — | $ | 19,267,594 | ||||||||
Austria | — | 7,774,537 | — | 7,774,537 | ||||||||||||
Belgium | — | 13,838,767 | — | 13,838,767 | ||||||||||||
Canada | 9,155,343 | — | — | 9,155,343 | ||||||||||||
Denmark | — | 13,338,276 | — | 13,338,276 | ||||||||||||
Finland | — | 25,524,416 | — | 25,524,416 | ||||||||||||
France | — | 334,162,027 | — | 334,162,027 | ||||||||||||
Germany | — | 246,917,847 | — | 246,917,847 | ||||||||||||
Hong Kong | — | 17,672,940 | — | 17,672,940 | ||||||||||||
Ireland | — | 7,517,895 | — | 7,517,895 | ||||||||||||
Israel | 14,232,408 | 7,239,622 | — | 21,472,030 | ||||||||||||
Italy | — | 99,380,992 | — | 99,380,992 | ||||||||||||
Japan | — | 320,983,065 | — | 320,983,065 | ||||||||||||
Netherlands | — | 34,614,687 | — | 34,614,687 | ||||||||||||
New Zealand | — | 5,325,747 | — | 5,325,747 | ||||||||||||
Norway | — | 39,746,453 | — | 39,746,453 | ||||||||||||
Portugal | — | 6,635,283 | — | 6,635,283 | ||||||||||||
Singapore | — | 10,931,250 | — | 10,931,250 | ||||||||||||
Spain | — | 102,336,030 | — | 102,336,030 | ||||||||||||
Sweden | — | 28,770,353 | — | 28,770,353 | ||||||||||||
Switzerland | — | 29,594,932 | — | 29,594,932 | ||||||||||||
United Kingdom | — | 308,003,234 | — | 308,003,234 | ||||||||||||
United States | 2,308,109,314 | — | — | 2,308,109,314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 2,331,497,065 | 1,679,575,947 | — | 4,011,073,012 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 37,946,006 | — | 37,946,006 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 37,946,006 | — | 37,946,006 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 836,782 | — | — | 836,782 | ||||||||||||
Hong Kong | 66,130 | — | — | 66,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 902,912 | — | — | 902,912 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 1,238,775,807 | — | — | 1,238,775,807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 3,571,175,784 | 1,717,521,953 | — | 5,288,697,737 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
80
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Alpha Only Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 19,622,737 | $ | — | $ | 19,622,737 | ||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | — | 4,526,383 | — | 4,526,383 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 430,256 | — | 430,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,571,175,784 | $ | 1,742,101,329 | $ | — | $ | 5,313,277,113 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (589,763 | ) | $ | — | $ | (589,763 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (93,557,753 | ) | (15,435,570 | ) | — | (108,993,323 | ) | |||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (8,984,577 | ) | — | (8,984,577 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (93,557,753 | ) | $ | (25,009,910 | ) | $ | — | $ | (118,567,663 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Benchmark-Free Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 37,402,372 | $ | — | $ | 37,402,372 | ||||||||
Austria | — | 15,181,958 | — | 15,181,958 | ||||||||||||
Belgium | — | 26,430,357 | — | 26,430,357 | ||||||||||||
Brazil | 33,686,408 | 127,411,223 | — | 161,097,631 | ||||||||||||
Canada | 39,115,456 | — | — | 39,115,456 | ||||||||||||
Chile | 2,061,329 | 1,652,372 | — | 3,713,701 | ||||||||||||
Colombia | 186,732 | — | — | 186,732 | ||||||||||||
Czech Republic | — | 17,808,136 | — | 17,808,136 | ||||||||||||
Denmark | — | 25,845,428 | — | 25,845,428 | ||||||||||||
Egypt | — | 7,072,567 | — | 7,072,567 | ||||||||||||
Finland | — | 52,756,694 | — | 52,756,694 | ||||||||||||
France | — | 637,592,429 | — | 637,592,429 | ||||||||||||
Germany | — | 483,059,929 | — | 483,059,929 | ||||||||||||
Greece | — | 196,450 | — | 196,450 | ||||||||||||
Hong Kong | — | 29,518,035 | — | 29,518,035 | ||||||||||||
Hungary | — | 7,066,065 | — | 7,066,065 | ||||||||||||
India | 8,273,945 | 150,661,356 | — | 158,935,301 | ||||||||||||
Indonesia | 1,616,706 | 25,811,314 | — | 27,428,020 | ||||||||||||
Ireland | — | 12,970,749 | — | 12,970,749 | ||||||||||||
Israel | 21,100,042 | 13,975,194 | — | 35,075,236 | ||||||||||||
Italy | — | 203,018,858 | — | 203,018,858 | ||||||||||||
Japan | — | 652,228,556 | — | 652,228,556 | ||||||||||||
Malaysia | — | 676,109 | — | 676,109 | ||||||||||||
Mexico | 30,663,268 | — | — | 30,663,268 | ||||||||||||
Netherlands | 3,664,452 | 66,640,987 | 0 | ** | 70,305,439 | |||||||||||
New Zealand | — | 10,300,747 | — | 10,300,747 | ||||||||||||
Norway | — | 69,846,782 | — | 69,846,782 | ||||||||||||
Peru | 12,155,650 | — | — | 12,155,650 | ||||||||||||
Philippines | 348,864 | 1,323,433 | — | 1,672,297 | ||||||||||||
Poland | — | 41,485,546 | — | 41,485,546 | ||||||||||||
Portugal | — | 12,594,387 | — | 12,594,387 | ||||||||||||
81
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Benchmark-Free Allocation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Qatar | $ | — | $ | 421,544 | $ | — | $ | 421,544 | ||||||||
Russia | 8,764,794 | 222,967,450 | — | 231,732,244 | ||||||||||||
Singapore | — | 21,186,987 | — | 21,186,987 | ||||||||||||
South Africa | 96,481 | 51,779,978 | 252 | 51,876,711 | ||||||||||||
South Korea | 2,722,782 | 294,674,517 | — | 297,397,299 | ||||||||||||
Spain | — | 206,103,130 | — | 206,103,130 | ||||||||||||
Sri Lanka | — | 52,356 | — | 52,356 | ||||||||||||
Sweden | — | 47,423,619 | — | 47,423,619 | ||||||||||||
Switzerland | — | 51,695,444 | — | 51,695,444 | ||||||||||||
Taiwan | 14,025,549 | 202,708,871 | — | 216,734,420 | ||||||||||||
Thailand | — | 55,687,092 | — | 55,687,092 | ||||||||||||
Turkey | 166,788 | 116,532,609 | 2,410,207 | 119,109,604 | ||||||||||||
United Arab Emirates | — | 1,769,221 | — | 1,769,221 | ||||||||||||
United Kingdom | 160,000,380 | 581,785,184 | — | 741,785,564 | ||||||||||||
United States | 3,670,439,109 | — | — | 3,670,439,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 4,009,088,735 | 4,585,316,035 | 2,410,459 | 8,596,815,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 58,831,613 | 106,791,510 | — | 165,623,123 | ||||||||||||
Germany | — | 77,467,079 | — | 77,467,079 | ||||||||||||
Russia | — | 29,855,614 | — | 29,855,614 | ||||||||||||
South Korea | — | 17,665,079 | — | 17,665,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 58,831,613 | 231,779,282 | — | 290,610,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 1,831,860 | — | — | 1,831,860 | ||||||||||||
Hong Kong | 151,786 | — | — | 151,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 1,983,646 | — | — | 1,983,646 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Thailand | — | 535,988 | — | 535,988 | ||||||||||||
United States | 7,431,340 | — | — | 7,431,340 | ||||||||||||
|
|
|
|
|
| �� |
| |||||||||
TOTAL INVESTMENT FUNDS | 7,431,340 | 535,988 | — | 7,967,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | — | 964,973,527 | 574,099 | 965,547,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 964,973,527 | 574,099 | 965,547,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 5,833,718,473 | — | — | 5,833,718,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 5,833,718,473 | — | — | 5,833,718,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | — | 10,635,514 | — | 10,635,514 | ||||||||||||
Short-Term Investments | 3,049,204,327 | 124,998,219 | — | 3,174,202,546 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 12,960,258,134 | 5,918,238,565 | 2,984,558 | 18,881,481,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 12,189,871 | — | 12,189,871 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 4,539,932 | — | — | 4,539,932 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 23,113,082 | — | 23,113,082 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,964,798,066 | $ | 5,953,541,518 | $ | 2,984,558 | $ | 18,921,324,142 | ||||||||
|
|
|
|
|
|
|
| |||||||||
82
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Benchmark-Free Allocation Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Italy | $ | — | $ | (11,801,992 | ) | $ | — | $ | (11,801,992 | ) | ||||||
Switzerland | — | (1,512,240 | ) | — | (1,512,240 | ) | ||||||||||
United States | (582,125,353 | ) | — | — | (582,125,353 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (582,125,353 | ) | (13,314,232 | ) | — | (595,439,585 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | (863,857,250 | ) | — | — | (863,857,250 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | (863,857,250 | ) | — | — | (863,857,250 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (480,475 | ) | — | (480,475 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (6,800,067 | ) | — | — | (6,800,067 | ) | ||||||||||
Written Options | ||||||||||||||||
Equity Risk | (1,414,000 | ) | — | — | (1,414,000 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (39,976,467 | ) | — | (39,976,467 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,454,196,670 | ) | $ | (53,771,174 | ) | $ | — | $ | (1,507,967,844 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 4,952,332,205 | $ | — | $ | — | $ | 4,952,332,205 | ||||||||
Short-Term Investments | 71,234 | — | — | 71,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 4,952,403,439 | — | — | 4,952,403,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,952,403,439 | $ | — | $ | — | $ | 4,952,403,439 | ||||||||
|
|
|
|
|
|
|
| |||||||||
�� | ||||||||||||||||
Global Asset Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 5,414,126,517 | $ | — | $ | — | $ | 5,414,126,517 | ||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | — | 159,646 | 3,292,473 | 3,452,119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 159,646 | 3,292,473 | 3,452,119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 112,507 | — | — | 112,507 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 5,414,239,024 | 159,646 | 3,292,473 | 5,417,691,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,414,239,024 | $ | 159,646 | $ | 3,292,473 | $ | 5,417,691,143 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,718,223,983 | $ | — | $ | — | $ | 1,718,223,983 | ||||||||
Short-Term Investments | 41,950 | — | — | 41,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,718,265,933 | — | — | 1,718,265,933 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,718,265,933 | $ | — | $ | — | $ | 1,718,265,933 | ||||||||
|
|
|
|
|
|
|
| |||||||||
83
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 3,635,320,818 | $ | — | $ | — | $ | 3,635,320,818 | ||||||||
Short-Term Investments | 55,768 | — | — | 55,768 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 3,635,376,586 | — | — | 3,635,376,586 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,635,376,586 | $ | — | $ | — | $ | 3,635,376,586 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,195,637,135 | $ | — | $ | — | $ | 1,195,637,135 | ||||||||
Short-Term Investments | 41,283 | — | — | 41,283 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,195,678,418 | — | — | 1,195,678,418 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,195,678,418 | $ | — | $ | — | $ | 1,195,678,418 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,804,240,817 | $ | — | $ | — | $ | 1,804,240,817 | ||||||||
Short-Term Investments | 47,574 | — | — | 47,574 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,804,288,391 | — | — | 1,804,288,391 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,804,288,391 | $ | — | $ | — | $ | 1,804,288,391 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 4,056,850 | $ | — | $ | — | $ | 4,056,850 | ||||||||
Canada | 2,768,675 | — | — | 2,768,675 | ||||||||||||
Italy | — | 5,562,519 | — | 5,562,519 | ||||||||||||
Norway | — | 13,977,879 | — | 13,977,879 | ||||||||||||
Romania | — | 5,290,299 | — | 5,290,299 | ||||||||||||
South Korea | — | 13,546,901 | — | 13,546,901 | ||||||||||||
United Kingdom | 6,303,289 | 22,397,715 | — | 28,701,004 | ||||||||||||
United States | 132,954,382 | — | — | 132,954,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 146,083,196 | 60,775,313 | — | 206,858,509 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Argentina | 236,305 | — | — | 236,305 | ||||||||||||
Greece | — | 5,795,640 | — | 5,795,640 | ||||||||||||
South Korea | — | 30,766,211 | — | 30,766,211 | ||||||||||||
United States | 936,990 | — | — | 936,990 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 1,173,295 | 36,561,851 | — | 37,735,146 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Romania | — | 29,601,034 | — | 29,601,034 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | — | 29,601,034 | — | 29,601,034 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
Argentina | — | 9,352,039 | — | 9,352,039 | ||||||||||||
Iceland | — | — | 11,469,318 | 11,469,318 | ||||||||||||
Puerto Rico | — | 12,181,531 | — | 12,181,531 | ||||||||||||
Spain | — | — | 6,208,414 | 6,208,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 21,533,570 | 17,677,732 | 39,211,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
84
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Special Opportunities Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Options Purchased | ||||||||||||||||
United States | $ | 44,950 | $ | — | $ | — | $ | 44,950 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL OPTIONS PURCHASED | 44,950 | — | — | 44,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 160,051,267 | 48,498,130 | — | 208,549,397 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 307,352,708 | 196,969,898 | 17,677,732 | 522,000,338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Physical Commodity Contract Risk | 673,313 | — | — | 673,313 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 96,238 | — | 96,238 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 308,026,021 | $ | 197,066,136 | $ | 17,677,732 | $ | 522,769,889 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (770,000 | ) | $ | — | $ | — | $ | (770,000 | ) | ||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (133,379 | ) | — | (133,379 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (770,000 | ) | $ | (133,379 | ) | $ | — | $ | (903,379 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 2,454,091,984 | $ | — | $ | — | $ | 2,454,091,984 | ||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | — | — | 1,089,657 | 1,089,657 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 96,506 | — | — | 96,506 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,454,188,490 | — | 1,089,657 | 2,455,278,147 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,454,188,490 | $ | — | $ | 1,089,657 | $ | 2,455,278,147 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 475,369,103 | $ | — | $ | — | $ | 475,369,103 | ||||||||
Short-Term Investments | 298,639,620 | 538,975,390 | — | 837,615,010 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 774,008,723 | 538,975,390 | — | 1,312,984,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 2,509,232 | — | 2,509,232 | ||||||||||||
Futures Contracts | ||||||||||||||||
Physical Commodity Contract Risk | 1,961,535 | — | — | 1,961,535 | ||||||||||||
Equity Risk | 15,577,947 | 2,995,973 | — | 18,573,920 | ||||||||||||
Interest Rate Risk | 2,022,797 | — | — | 2,022,797 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 793,571,002 | $ | 544,480,595 | $ | — | $ | 1,338,051,597 | ||||||||
|
|
|
|
|
|
|
| |||||||||
85
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) (continued) |
| |||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (55,493 | ) | $ | — | $ | (55,493 | ) | ||||||
Futures Contracts | ||||||||||||||||
Physical Commodity Contract Risk | (12,961,734 | ) | — | — | (12,961,734 | ) | ||||||||||
Equity Risk | (947,984 | ) | (6,157,018 | ) | — | (7,105,002 | ) | |||||||||
Interest Rate Risk | (2,514,841 | ) | — | — | (2,514,841 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (16,424,559 | ) | $ | (6,212,511 | ) | $ | — | $ | (22,637,070 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
* | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
** | Represents the interest in securities that were determined to have a value of zero at August 31, 2014. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds, for the period ended August 31, 2014, there were no material transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2014 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3* | Transfer out of Level 3* | Balances as of August 31, 2014 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2014 | |||||||||||||||||||||||||||||||
Consolidated Benchmark-Free Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
South Africa | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 252 | ** | $ | — | $ | 252 | $ | — | |||||||||||||||||||
Turkey | — | — | — | — | — | — | 2,410,207 | ** | — | 2,410,207 | — | |||||||||||||||||||||||||||||
Rights and Warrants | ||||||||||||||||||||||||||||||||||||||||
South Korea | — | — | (198,932 | ) | — | — | — | 198,932 | ** *** | — | — | — | ||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities United States | 516,099 | — | — | 19,434 | — | 38,566 | — | — | 574,099 | 38,566 | ||||||||||||||||||||||||||||||
Bank Loans | 1,145,624 | — | (1,157,717 | ) | 4,935 | 6,372 | 786 | — | — | — | ||||||||||||||||||||||||||||||
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Total | $ | 1,661,723 | $ | — | $ | (1,356,649 | ) | $ | 24,369 | $ | 6,372 | $ | 39,352 | $ | 2,609,391 | $ | — | $ | 2,984,558 | $ | 38,566 | |||||||||||||||||||
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Global Asset Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 9,201,717 | $ | 166 | $ | (6,276,596 | ) | $ | 190,316 | $ | 97,055 | $ | 79,815 | $ | — | $ | — | $ | 3,292,473 | $ | (36,135 | ) | ||||||||||||||||||
U.S. Government Agency | 7,475 | — | (7,488 | ) | 12 | — | 1 | — | — | — | — | |||||||||||||||||||||||||||||
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Total | $ | 9,209,192 | $ | 166 | $ | (6,284,084 | )# | $ | 190,328 | $ | 97,055 | $ | 79,816 | $ | — | $ | — | $ | 3,292,473 | $ | (36,135 | ) | ||||||||||||||||||
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86
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Balances as of February 28, 2014 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3* | Transfer out of Level 3* | Balances as of August 31, 2014 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2014 | |||||||||||||||||||||||||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Bank Loans | $ | — | $ | 6,341,286 | $ | — | $ | — | $ | — | $ | (132,872 | ) | $ | — | $ | — | $ | 6,208,414 | $ | (132,872 | ) | ||||||||||||||||||
Trade Claims | — | 11,222,281 | — | — | — | 247,037 | — | — | 11,469,318 | 247,037 | ||||||||||||||||||||||||||||||
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Total | $ | — | $ | 17,563,567 | $ | — | $ | — | $ | — | $ | 114,165 | — | $ | — | $ | 17,677,732 | $ | 114,165 | |||||||||||||||||||||
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Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 2,963,366 | $ | 45 | $ | (1,946,981 | ) | $ | 12,116 | $ | 246,226 | $ | (185,115 | ) | $ | — | $ | — | $ | 1,089,657 | $ | (10,349 | ) | |||||||||||||||||
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Total | $ | 2,963,366 | $ | 45 | $ | (1,946,981 | )## | $ | 12,116 | $ | 246,226 | $ | (185,115 | ) | $ | — | $ | — | $ | 1,089,657 | $ | (10,349 | ) | |||||||||||||||||
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* | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
** | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
*** | Represents the interest in securities that were determined to have a value of zero at August 31, 2014. |
# | Includes $543,397 of proceeds received from principal paydowns. |
## | Includes $164,381 of proceeds received from principal paydowns. |
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Funds’ net assets) as of August 31, 2014 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Alpha Only Fund | — | |||
Consolidated Benchmark-Free Allocation Fund | 5% | |||
Benchmark-Free Fund | 5% | |||
Global Asset Allocation Fund | 5% | |||
Global Developed Equity Allocation Fund | < 1% | |||
Global Equity Allocation Fund | < 1% | |||
International Developed Equity Allocation Fund | < 1% | |||
International Equity Allocation Fund | < 1% | |||
Consolidated Special Opportunities Fund | 2% | |||
Strategic Opportunities Allocation Fund | 4% | |||
Consolidated Systematic Global Macro Opportunity Fund | < 1% |
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated
87
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Loan assignments and participations
The Funds may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Repurchase agreements
The Funds may enter into repurchase agreements with banks and broker-dealers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. That Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to that Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, that Fund’s recovery of cash from the seller may be delayed and, even if that Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes that Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Inflation-indexed bonds
The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond are generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is covered. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
88
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Taxes and distributions
Each Fund, except Systematic Global Macro Opportunity Fund (see below), intends to qualify each tax year as a regulated investment company (each a “RIC Fund”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each RIC Fund intends to distribute substantially all of its net investment income, if any, and all of its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each RIC Fund makes no provision for U.S. federal income or excise taxes. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each RIC Fund’s investments in certain jurisdictions may be higher if a significant portion of each RIC Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary.
Systematic Global Macro Opportunity Fund (a “Partnership Fund”) has elected to be treated as a partnership for U.S. federal income tax purposes and each shareholder is responsible for their tax liabilities, if any, related to their allocable share of Partnership Fund taxable income, gains, losses, deductions, credits and items of tax preference. The Partnership Fund’s activities do not generally constitute those of a U.S. trade or business. Accordingly, the Partnership Fund is generally not subject to U.S. federal, state and/or other income-based U.S. taxes (other than certain withholding taxes). Dividends and other income may be subject to withholding or similar taxes imposed by the country in which such dividends or other income originate.
Implementation Fund is disregarded as an entity separate from its sole shareholder, Benchmark-Free Allocation Fund (“BFAF”) for U.S. federal income tax purposes. BFAF will be treated as owning Implementation Fund’s assets directly for U.S. federal income tax purposes. As such, any income, gain, loss, deduction or other tax items arising in respect of Implementation Fund’s assets will be treated as if they are realized or incurred, as applicable, directly by BFAF. Alternative Asset SPC, Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of Systematic Global Macro Opportunity Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.
Foreign taxes paid by each RIC Fund may be treated, to the extent permissible under the Code and if that RIC Fund so elects, as if paid by U.S. shareholders of that RIC Fund.
Each RIC Fund intends to distribute net investment income, if any, semi-annually. Each RIC Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically distributions are reinvested in additional shares of each RIC Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each RIC Fund on the ex-dividend date.
Because the Partnership Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Partnership Fund to declare and pay non-redeeming distributions in the sole discretion of the Trustees (or their delegates). Distributions made by the Partnership Fund, if any, other than distributions made in partial or complete redemption of shareholders’ interests in the Partnership Fund, are reported in the Partnership Fund’s Statements of Changes in Net Assets as Partnership Fund distributions to shareholders.
Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2014, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Income and capital gain distributions for each RIC Fund are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Distributions in excess of a RIC Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
89
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
As of February 28, 2014, the RIC Funds listed below elected to defer to March 1, 2014 late-year ordinary losses and post-October capital losses as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses ($) | ||||||
Alpha Only Fund | — | — | ||||||
Consolidated Benchmark-Free Allocation Fund | — | — | ||||||
Benchmark-Free Fund | — | — | ||||||
Global Asset Allocation Fund | — | (7,585,829) | ||||||
Global Developed Equity Allocation Fund | — | (2,923,154) | ||||||
Global Equity Allocation Fund | — | (5,162,102) | ||||||
International Developed Equity Allocation Fund | (1,590) | — | ||||||
International Equity Allocation Fund | (2,697) | — | ||||||
Consolidated Special Opportunities Fund | — | — | ||||||
Strategic Opportunities Allocation Fund | — | (1,074,215) |
As of February 28, 2014, the RIC Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 28, 2014, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The RIC Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Total Short- Term ($) | Long- Term ($) | ||||||||||||||||||
Fund Name | Expiration 2/28/2018 | Expiration 2/28/2019 | No Expiration Date | No Expiration Date | ||||||||||||||||
Alpha Only Fund | (403,440,156) | (95,046,616) | (156,989,797) | (655,476,569) | — | |||||||||||||||
Consolidated Benchmark-Free Allocation Fund | (29,764,428) | (7,441,107) | — | (37,205,535) | — | |||||||||||||||
Benchmark-Free Fund | — | — | — | — | — | |||||||||||||||
Global Asset Allocation Fund | — | — | — | — | — | |||||||||||||||
Global Developed Equity Allocation Fund | — | — | — | — | — | |||||||||||||||
Global Equity Allocation Fund | — | — | — | — | — | |||||||||||||||
International Developed Equity Allocation Fund | (39,084,586) | (22,515,333) | (286,710) | (61,886,629) | (25,410,389) | |||||||||||||||
International Equity Allocation Fund | — | — | — | — | — | |||||||||||||||
Consolidated Special Opportunities Fund | — | — | — | — | — | |||||||||||||||
Strategic Opportunities Allocation Fund | — | — | — | — | — |
90
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
As of August 31, 2014, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Alpha Only Fund | 5,178,471,076 | 189,524,092 | (79,297,431) | 110,226,661 | ||||||||||||
Benchmark-Free Allocation Fund | 18,450,498,835 | 687,136,102 | (256,153,680) | 430,982,422 | ||||||||||||
Benchmark-Free Fund | 4,909,013,290 | 111,057,037 | (67,666,888) | 43,390,149 | ||||||||||||
Global Asset Allocation Fund | 5,205,303,115 | 234,852,238 | (22,464,210) | 212,388,028 | ||||||||||||
Global Developed Equity Allocation Fund | 1,549,990,392 | 168,275,541 | — | 168,275,541 | ||||||||||||
Global Equity Allocation Fund | 3,442,399,667 | 192,976,919 | — | 192,976,919 | ||||||||||||
International Developed Equity Allocation Fund | 1,132,274,485 | 63,403,933 | — | 63,403,933 | ||||||||||||
International Equity Allocation Fund | 1,652,560,269 | 151,728,122 | — | 151,728,122 | ||||||||||||
Consolidated Special Opportunities Fund | 524,541,508 | 5,669,200 | (8,210,370) | (2,541,170) | ||||||||||||
Strategic Opportunities Allocation Fund | 2,223,433,075 | 232,054,880 | (209,808) | 231,845,072 | ||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | 1,318,048,603 | 12,199,259 | (17,263,749) | (5,064,490) |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.
Expenses
Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees and supplemental support fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent for all Funds except Alpha Only Fund. For Alpha Only Fund, Brown Brothers Harriman & Co. (“BBH”) serves as the custodian and fund accounting agent and
91
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
State Street serves as the transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Each of the Funds may charge purchase premiums and redemption fees. Purchase premiums and redemption fees for the Funds are typically reassessed annually by GMO based on the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the purchase premiums and/or redemption fees, if any, imposed by the underlying funds in which the Funds invest. If that weighted average is less than 0.05%, the Funds usually will not charge a purchase premium or redemption fee.
Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when they use portfolio securities to redeem their shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchase or redemption of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those accounts will tend to benefit more from waivers of the underlying funds’ purchase premiums and redemption fees than other underlying fund shareholders.
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As of August 31, 2014, the premium on cash purchases and the fee on cash redemptions were as follows:
Alpha Only | Benchmark-Free Allocation Fund(1) | Benchmark-Free Fund(2) | Global Asset Allocation Fund(3) | Global Developed Equity Allocation Fund(4) | Global Equity Allocation Fund(5) | International Developed Equity Allocation Fund(6) | International Equity Allocation Fund(7) | Special Opportunities Fund | Strategic Opportunities Allocation Fund(8) | Sytematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | ||||||||||||
Purchase Premium | — | 0.13% | 0.13% | 0.11% | 0.08% | 0.11% | 0.08% | 0.20% | 0.50% | 0.06% | — | |||||||||||
Redemption Fee | — | 0.13% | 0.13% | 0.11% | 0.08% | 0.11% | 0.08% | 0.20% | 0.50% | 0.06% | — |
(1) | Prior to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.11% of the amount invested or redeemed. Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.12% of the amount invested or redeemed. |
(2) | Prior to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.14% of the amount invested or redeemed. Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.13% of the amount invested or redeemed. |
(3) | Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.10% of the amount invested or redeemed. |
(4) | Prior to June 30, 2014, there was no premium on cash purchases or fee on cash redemptions. |
(5) | Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.12% of the amount invested or redeemed. |
(6) | Prior to June 30, 2014, there was no premium on cash purchases or fee on cash redemptions. |
(7) | Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.21% of the amount invested or redeemed. |
(8) | Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.07% of the amount invested or redeemed. |
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3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:
Alpha Only Fund | Benchmark-Free Allocation Fund | Benchmark-Free Fund | Global Asset Allocation Fund | Global Developed Equity Allocation Fund | Global Equity Allocation Fund | International Developed Equity Allocation Fund | International Equity Allocation Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund | Systematic Global Macro Fund (formerly Alternative Asset Opportunity Fund) | ||||||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Market Risk – Fixed Income Investments | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Market Risk – Asset-Backed Securities | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Credit Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Smaller Company Risk | X | X | X | X | X | X | X | X | X | |||||||||||||
Derivatives Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Currency Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Leveraging Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Commodities Risk | X | X | X | X | X | X | ||||||||||||||||
Merger Arbitrage Risk | X | X | X | |||||||||||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Fund of Funds Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Non-Diversified Funds | X | X | X | X | X | X | X | X | X | X | X |
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Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in wholly-owned subsidiaries, other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed as well as the risk that investments made through underlying funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through its underlying funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation of those investments. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Fixed Income Investments. Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Illiquidity Risk” below for more information about these risks.
A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations.
The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.
The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. There can be no assurance, however, that the value of inflation-indexed bonds will change in the same proportion as changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value.
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Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Market risk for fixed income securities denominated in foreign currencies is also affected by currency risk. See “Currency Risk” below.
Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions, and may have to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
Asset-Backed Securities. Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.
Funds investing in asset-backed securities are exposed to the risk of severe credit downgrades, illiquidity, and defaults to a greater extent than many other types of fixed income investments. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.
As described under “Market Risk — Fixed Income Investments” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a reduction in the payment stream GMO expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may expose a Fund to significantly greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.
With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.
The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease.
In addition, the existence of insurance on an asset-backed security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.
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The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality), whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.
U.S. government securities historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.
As described under “Market Risk — Asset Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities” above.
The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by their effective duration.
Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distress or defaulted instruments generally are considered speculative and may involve substantial risks not normally associated investments in healthier companies, including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur addition expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, a Fund may lose a substantial portion or all of its investment or it may be
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required to accept cash or instruments with a value less than the Fund’s original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased illiquidity risks. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may have inexperienced managers or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that changes in their value may not move as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund will typically not receive the collateral for one or more days after the collateral is requested by the Fund.
The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.
Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.
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A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.
There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.
Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some of the rules are not yet final), its ultimate impact remains unclear.
Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
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These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. Some Funds are permitted to write options. The market price of written options will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time prior to the option’s expiration, the writer of an American-style option has no control over when it may be required to fulfill its obligations as a writer of the option. (This risk is not present when writing a European-style option because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO may constitute such a group. These limits could restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders at ordinary income tax rates. Due to Risk Premium Fund’s primary investment strategy of selling put options on various stock indices, a substantial portion of that Fund’s income could consist of short-term capital gains.
Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund.
In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund and/or its shareholders may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated
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from the sale or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).
U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of GMO’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.
Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).
• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is
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particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.
A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, country (e.g., Taiwan or Japan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.
• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions may not be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will still have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and may continue to be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared
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derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives positions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of the funds held in the omnibus account for the relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodity Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives Risk” above for a discussion of certain specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• MERGER ARBITRAGE RISK. Some Funds may engage in merger arbitrage transactions, where a Fund will purchase securities at prices below GMO’s anticipated value of the cash, securities or other consideration to be paid or exchanged for such securities upon successful completion of a proposed merger, exchange offer, tender offer, or other similar transaction. Such purchase price may be substantially in excess of the market price of the securities prior to the announcement of the merger, exchange offer, tender offer, or other similar transaction.
If a Fund purchases securities in anticipation of a proposed merger, exchange offer, tender offer, or other similar transaction, and that transaction later appears unlikely to be consummated or in fact is not consummated or is delayed, the market price of the security purchased by the Fund may decline sharply and result in losses to the Fund if such securities are sold, transferred or exchanged for securities or cash, the value of which is less than the purchase price. There is typically asymmetry in the risk/reward payout of merger arbitrage strategies — the losses that can occur in the event of deal break-ups can far exceed the gains to be had if deals close successfully. The consummation of mergers, exchange offers, tender offers, and similar transactions can be prevented or delayed by a variety of factors, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.
Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical in nature. During periods when merger activity is low, it may be difficult or impossible to identify opportunities for profit or to identify a sufficient number of such opportunities to provide diversification among potential merger transactions. Merger arbitrage strategies are also subject to the risk of overall market movements. To the extent that a general increase or decline in equity market values affects the securities involved in a merger arbitrage position differently, the position may be exposed to loss.
In conjunction with merger arbitrage transactions, a Fund may make short sales of securities in an effort to maximize risk-adjusted returns. For example, when the terms of a proposed acquisition call for an exchange of securities, a Fund may sell short the securities of the acquiring company in order to protect against a decline in the market value of those securities prior to the acquisition’s completion. A Fund also may employ a variety of hedging strategies to protect against market fluctuations or other risks, and may use derivatives otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers.
At any given time, a Fund can become improperly hedged, which can lead to inadvertent market-related losses. Also, a Fund may not be able to hedge against market fluctuations or other risks, and market movements can result in losses to the Fund even if the proposed transaction is consummated. In addition, a Fund may sell short securities expected to be issued in a merger or exchange offer in anticipation of the short position being covered by delivery of such security when issued. If the merger or exchange offer is not consummated, the Fund may be forced to cover its short position by acquiring, converting, or exchanging securities to replace the borrowed securities at a time when the securities sold short have appreciated in value, thus resulting in a loss.
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• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, a default by the U.S. government or a downgrade of its credit rating would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the United States and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• LARGE SHAREHOLDER RISK. If a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. Additionally, in the case of Funds that are regulated investment companies for U.S. federal income tax purposes, they also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors, or limitations in those analyses and models could affect a Fund’s performance. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.
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With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its NAV, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of underlying funds, including wholly-owned subsidiaries, other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies, are exposed to the risk that the underlying Funds will not perform as expected.
Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.
The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Because some underlying Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.
Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers and/or foreign currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act. Each of the Funds may invest without limitation in other GMO Funds that are not diversified.
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Alpha Only Fund |
• | Implementation Fund |
• | Special Opportunities Fund |
• | Systematic Global Macro Opportunity Fund |
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political, or other conditions.
The Funds (other than Systematic Global Macro Opportunity Fund) normally do not take temporary defensive positions. Systematic Global Macro Opportunity Fund may, from time to time, take temporary defensive positions if deemed prudent by GMO. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
At August 31, 2014, only Alpha Only Fund, Implementation Fund (a wholly-owned subsidiary of Benchmark-Free Allocation Fund), Special Opportunities Fund and Systematic Global Macro Opportunity Fund, held derivative financial instruments directly. For a listing of derivative
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financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Implementation Fund and Systematic Global Macro Opportunity Fund.
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
Use of Derivatives by Alpha Only Fund and Special Opportunities Fund
The Fund’s investment program involves having both long and short investment exposures. The Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that it expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.
The Fund may use derivatives to gain long investment exposure to securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts, and options) to gain exposure to a given currency.
The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). The Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Fund may use derivatives to effect transactions intended as substitutes for securities lending.
The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
The Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Use of Derivatives by Implementation Fund (a wholly owned subsidiary of Benchmark-Free Allocation Fund)
The Fund may use derivatives to gain long investment exposure to securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero) or the investment exposures of Benchmark-Free Allocation Fund (“BFAF”). The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its or BFAF’s portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Fund may use derivatives in an attempt to adjust elements of its or BFAF’s investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund or BFAF holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting investment exposures, the Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its or BFAF’s portfolio. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.
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The Fund may use derivatives to effect transactions intended as substitutes for securities lending.
The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
Use of Derivatives by Systematic Global Macro Opportunity Fund
The Fund invests in a range of global equity, bond, currency, and commodity markets using exchange-traded futures and forward non-U.S. exchange contracts. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Fund may use derivatives to gain long investment exposure to global equities, bonds, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Fund may use derivatives, such as futures, related options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Fund may also use derivatives to effect transactions intended as substitutes for securities lending.
The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
***
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
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For Funds that held derivatives during the period ended August 31, 2014, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Alpha Only Fund | Consolidated Benchmark-Free Allocation Fund* | Consolidated Special Opportunities Fund | Consolidated Systematic Global Macro Opportunity Fund** | ||||
Forward currency contracts | ||||||||
Adjust currency exchange rate risk | X | |||||||
Adjust exposure to foreign currencies | X | X | X | |||||
To hedge some or all of the currency exposure of the assets in which the Fund invests | X | |||||||
To manage against anticipated currency exchange rate changes | X | X | ||||||
Futures contracts | ||||||||
Adjust interest rate exposure | X | |||||||
Adjust exposure to certain securities markets | X | |||||||
Maintain the diversity and liquidity of the portfolio | X | X | ||||||
Used as a substitute for direct investment | X | X | ||||||
To hedge some or all of the broad market exposure of the assets in which the Fund invests | X | |||||||
Options (Purchased) | ||||||||
Used option contracts as a substitute for direct equity investment | X | |||||||
Used option contracts to achieve returns from the decline in an equity investment | X | |||||||
Adjust currency exchange rate risk | X | |||||||
Adjust exposure to foreign currencies | X | |||||||
Adjust interest rate exposure | X | |||||||
Options (Written) | ||||||||
Used option contracts as a substitute for direct equity investment | X | X | ||||||
Swap contracts | ||||||||
Adjust interest rate exposure | X | |||||||
To achieve returns comparable to holding a direct equity | X | |||||||
To hedge some or all of the broad market exposure of the assets in which the Fund invests | X | |||||||
Rights and/or warrants | ||||||||
Received as a result of corporate actions | X | X |
* | Derivatives are held by Benchmark-Free Allocation Fund’s wholly-owned subsidiary. |
** | Certain derivatives are held by Systematic Global Macro Opportunity Fund’s wholly-owned subsidiary. |
*** | Certain derivatives are held by Special Opportunities Fund’s wholly-owned subsidiary. |
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Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
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For the period ended August 31, 2014, investment activity in options contracts written by the Funds was as follows:
Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Consolidated Benchmark-Free Allocation Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | 9,905 | $ | 11,507,469 | — | — | $ | — | ||||||||||||||||
Options written | — | 43,807 | 52,717,910 | — | 1,400 | 2,221,163 | ||||||||||||||||||
Options bought back | — | (21,567 | ) | (24,002,926 | ) | — | — | — | ||||||||||||||||
Options expired | — | (32,145 | ) | (40,222,453 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | 1,400 | $ | 2,221,163 | ||||||||||||||||
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Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
Options written | — | 2,800 | 1,068,405 | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | — | — | — | ||||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | 2,800 | $ | 1,068,405 | — | — | $ | — | ||||||||||||||||
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Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.
Swap contracts
The Funds may enter into various types of swap contracts, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
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In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if the Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.
Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if a Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
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As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure:
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2014 and the Statements of Operations for the period ended August 31, 2014^:
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | 902,912 | $ | — | $ | — | $ | — | $ | 902,912 | ||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 19,622,737 | — | — | 19,622,737 | |||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | 4,526,383 | — | — | — | 4,526,383 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts | — | — | 430,256 | — | — | — | 430,256 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 5,859,551 | $ | 19,622,737 | $ | — | $ | — | $ | 25,482,288 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | 902,912 | $ | — | $ | — | $ | — | $ | 902,912 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 4,956,639 | $ | 19,622,737 | $ | — | $ | — | $ | 24,579,376 | ||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (589,763 | ) | $ | — | $ | — | $ | (589,763 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | (108,993,323 | ) | — | — | — | (108,993,323 | ) | |||||||||||||||||||
Unrealized Depreciation on Swap Contracts | — | — | (8,984,577 | ) | — | — | — | (8,984,577 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (117,977,900 | ) | $ | (589,763 | ) | $ | — | $ | — | $ | (118,567,663 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (117,977,900 | ) | (589,763 | ) | $ | — | $ | — | $ | (118,567,663 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 6,687 | $ | — | $ | — | $ | — | $ | 6,687 | ||||||||||||||
Forward Currency Contracts | — | — | — | (1,485,445 | ) | — | — | (1,485,445 | ) | |||||||||||||||||||
Futures Contracts | — | — | (169,510,034 | ) | — | — | — | (169,510,034 | ) | |||||||||||||||||||
Swap Contracts | — | — | (14,803,607 | ) | — | — | — | (14,803,607 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (184,306,954 | ) | $ | (1,485,445 | ) | $ | — | $ | — | $ | (185,792,399 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 345,066 | $ | — | $ | — | $ | — | $ | 345,066 | ||||||||||||||
Forward Currency Contracts | — | — | — | 26,799,058 | — | — | 26,799,058 | |||||||||||||||||||||
Futures Contracts | — | — | (25,715,306 | ) | — | — | — | (25,715,306 | ) | |||||||||||||||||||
Swap Contracts | — | — | 7,192,898 | — | — | — | 7,192,898 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (18,177,342 | ) | $ | 26,799,058 | $ | — | $ | — | $ | 8,621,716 | |||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
112
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated Benchmark-Free Allocation Fund | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | 1,983,646 | $ | — | $ | — | $ | — | $ | 1,983,646 | ||||||||||||||
Investments, at value (purchased options) | — | — | 3,500,000 | 2,492,066 | 4,643,448 | — | 10,635,514 | |||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 12,189,871 | — | — | 12,189,871 | |||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | — | 4,539,932 | — | 4,539,932 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | — | — | — | — | 23,113,082 | — | 23,113,082 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 5,483,646 | $ | 14,681,937 | $ | 32,296,462 | $ | — | $ | 52,462,045 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | 1,983,646 | $ | — | $ | — | $ | — | $ | 1,983,646 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 3,500,000 | $ | 14,681,937 | $ | 32,296,462 | $ | — | $ | 50,478,399 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (480,475 | ) | $ | — | $ | — | $ | (480,475 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | — | — | (6,800,067 | ) | — | (6,800,067 | ) | |||||||||||||||||||
Written Options, at value | — | — | (1,414,000 | ) | — | — | — | (1,414,000 | ) | |||||||||||||||||||
Unrealized Depreciation on Swap Contracts* | — | — | — | — | (39,976,467 | ) | — | (39,976,467 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (1,414,000 | ) | $ | (480,475 | ) | $ | (46,776,534 | ) | $ | — | $ | (48,671,009 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (1,414,000 | ) | $ | (480,475 | ) | $ | (46,776,534 | ) | $ | — | $ | (48,671,009 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 1,319,059 | $ | — | $ | — | $ | — | $ | 1,319,059 | ||||||||||||||
Investments (purchased options) | — | — | — | (836,063 | ) | — | — | (836,063 | ) | |||||||||||||||||||
Forward Currency Contracts | — | — | — | (32,839,547 | ) | — | — | (32,839,547 | ) | |||||||||||||||||||
Futures Contracts | — | — | — | — | 2,458,905 | — | 2,458,905 | |||||||||||||||||||||
Written Options | — | — | 33,152,318 | — | — | — | 33,152,318 | |||||||||||||||||||||
Swap Contracts | — | — | — | — | 14,184,388 | — | 14,184,388 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 34,471,377 | $ | (33,675,610 | ) | $ | 16,643,293 | $ | — | $ | 17,439,060 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 831,493 | $ | — | $ | — | $ | — | $ | 831,493 | ||||||||||||||
Investments (purchased options) | — | — | 135,212 | 130,094 | — | — | 265,306 | |||||||||||||||||||||
Forward Currency Contracts | — | — | — | 51,949,223 | — | — | 51,949,223 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | (2,260,135 | ) | — | (2,260,135 | ) | |||||||||||||||||||
Written Options | — | — | (3,229,176 | ) | — | — | — | (3,229,176 | ) | |||||||||||||||||||
Swap Contracts | — | — | — | — | (8,635,804 | ) | — | (8,635,804 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (2,262,471 | ) | $ | 52,079,317 | $ | (10,895,939 | ) | $ | — | $ | 38,920,907 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | 44,950 | $ | — | $ | — | $ | — | $ | 44,950 | ||||||||||||||
Unrealized Appreciation on Future Contracts* | — | 673,313 | — | — | — | — | 673,313 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts | — | 96,238 | — | — | — | 96,238 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 673,313 | $ | 141,188 | $ | — | $ | — | $ | — | $ | 814,501 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | 673,313 | $ | 141,188 | $ | — | $ | — | $ | — | $ | 814,501 | ||||||||||||||
|
|
|
|
|
|
|
| �� |
|
|
|
|
| |||||||||||||||
113
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated Special Opportunities Fund (continued) |
| |||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Written Options, at value | $ | — | $ | — | $ | (770,000 | ) | $ | — | $ | — | $ | — | $ | (770,000 | ) | ||||||||||||
Unrealized Depreciation on Swap Contracts | — | (133,379 | ) | — | — | — | (133,379 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (903,379 | ) | $ | — | $ | — | $ | — | $ | (903,379 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (903,379 | ) | $ | — | $ | — | $ | — | $ | (903,379 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Swap Agreements | $ | — | $ | — | $ | 152,204 | $ | — | $ | — | $ | — | $ | 152,204 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 152,204 | $ | — | $ | — | $ | — | $ | 152,204 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Future Contracts | $ | — | $ | 673,313 | $ | — | $ | — | $ | — | $ | — | $ | 673,313 | ||||||||||||||
Written Options | — | — | 298,405 | — | — | — | 298,405 | |||||||||||||||||||||
Swap Contracts | — | — | (37,141 | ) | — | — | — | (37,141 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 673,313 | $ | 261,264 | $ | — | $ | — | $ | — | $ | 934,577 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) |
| |||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 2,509,232 | $ | — | $ | — | $ | 2,509,232 | ||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | 1,961,535 | 18,573,920 | — | 2,022,797 | — | 22,558,252 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 1,961,535 | $ | 18,573,920 | $ | 2,509,232 | $ | 2,022,797 | $ | — | $ | 25,067,484 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | 1,961,535 | $ | 18,573,920 | $ | 2,509,232 | $ | 2,022,797 | $ | — | $ | 25,067,484 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (55,493 | ) | $ | — | $ | — | $ | (55,493 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts* | — | (12,961,734 | ) | (7,105,002 | ) | — | (2,514,841 | ) | — | (22,581,577 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | (12,961,734 | ) | $ | (7,105,002 | ) | $ | (55,493 | ) | $ | (2,514,841 | ) | $ | — | $ | (22,637,070 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | (12,961,734 | ) | $ | (7,105,002 | ) | $ | (55,493 | ) | $ | (2,514,841 | ) | $ | — | $ | (22,637,070 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (9,595,759 | ) | $ | — | $ | — | $ | (9,595,759 | ) | ||||||||||||
Futures Contracts | — | 10,723,557 | 56,715,130 | — | 17,458,093 | — | 84,896,780 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 10,723,557 | $ | 56,715,130 | $ | (9,595,759 | ) | $ | 17,458,093 | $ | — | $ | 75,301,021 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (5,204,751 | ) | $ | — | $ | — | $ | (5,204,751 | ) | ||||||||||||
Futures Contracts | — | (13,372,651 | ) | (19,953,483 | ) | — | (4,992,065 | ) | — | (38,318,199 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | (13,372,651 | ) | $ | (19,953,483 | ) | $ | (5,204,751 | ) | $ | (4,992,065 | ) | $ | — | $ | (43,522,950 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
114
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
* | The table includes cumulative appreciation/depreciation of futures and cleared swap contracts as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts is reported within the Statements of Assets and Liabilities. |
The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. If termination events were triggered by a Fund on August 31, 2014, that Fund may be required to potentially settle positions at the amounts noted in its Schedule of Investments. For more information about other uncertainties and risks, see “Investment and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2014, if any.
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2014:
Alpha Only Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 1,131,638 | $ | — | $ | (610,041 | ) | $ | 521,597 | |||||||
Barclays Bank plc | 4,854,750 | — | (83,231 | ) | 4,771,519 | |||||||||||
Brown Brothers Harriman & Co. | 3,722,862 | — | (4,106 | ) | 3,718,756 | |||||||||||
Deutsche Bank AG | 2,760,133 | — | (165,947 | ) | 2,594,186 | |||||||||||
Goldman Sachs International | 486,910 | — | (205,446 | ) | 281,464 | |||||||||||
JPMorgan Chase Bank, N.A. | 6,542,881 | — | (6,182,324 | ) | 360,557 | |||||||||||
Morgan Stanley & Co. International PLC | 553,819 | — | (126,507 | ) | 427,312 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 20,052,993 | $ | — | $ | (7,377,602 | ) | $ | 12,675,391 | |||||||
|
|
|
|
|
|
|
| |||||||||
115
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Alpha Only Fund (continued)
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 610,041 | $ | — | $ | 610,041 | $ | — | ||||||||
Barclays Bank plc | 83,231 | — | 83,231 | — | ||||||||||||
Brown Brothers Harriman & Co. | 4,106 | — | 4,106 | — | ||||||||||||
Citibank N.A. | 2,196,738 | (2,196,738 | ) | — | — | * | ||||||||||
Deutsche Bank AG | 165,947 | — | 165,947 | — | ||||||||||||
Goldman Sachs International | 205,446 | — | 205,446 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 6,182,324 | — | 6,182,324 | — | * | |||||||||||
Morgan Stanley & Co. International PLC | 126,507 | — | 126,507 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,574,340 | $ | (2,196,738 | ) | $ | 7,377,602 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Benchmark-Free Allocation Fund
Counterparty | Gross Derivative Assets Subject to | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 497,892 | $ | — | $ | (23,375 | ) | $ | 474,517 | |||||||
Barclays Bank plc | 2,424,759 | — | (100,959 | ) | 2,323,800 | |||||||||||
Brown Brothers Harriman & Co. | 152,865 | — | — | 152,865 | ||||||||||||
Citibank N.A. | 3,865,756 | — | — | 3,865,756 | ||||||||||||
Deutsche Bank AG | 5,486,664 | (1,190,000 | ) | (263,970 | ) | 4,032,694 | ||||||||||
Goldman Sachs International | 3,573,009 | — | (92,171 | ) | 3,480,838 | |||||||||||
JPMorgan Chase Bank, N.A. | 2,032,858 | (1,447,032 | ) | — | 585,826 | |||||||||||
Morgan Stanley & Co. International PLC | 1,291,582 | — | — | 1,291,582 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 19,325,385 | $ | (2,637,032 | ) | $ | (480,475 | ) | $ | 16,207,878 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 23,375 | $ | — | $ | 23,375 | $ | — | ||||||||
Barclays Bank plc | 100,959 | — | 100,959 | — | ||||||||||||
Deutsche Bank AG | 263,970 | — | 263,970 | — | ||||||||||||
Goldman Sachs International | 92,171 | — | 92,171 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 480,475 | $ | — | $ | 480,475 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
116
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Special Opportunities Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Credit Suisse International | $ | 96,238 | $ | — | $ | 96,238 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 96,238 | $ | — | $ | 96,238 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Credit Suisse International | $ | 133,379 | $ | — | $ | (96,238 | ) | $ | 37,141 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 133,379 | $ | — | $ | (96,238 | ) | $ | 37,141 | |||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Bank plc | $ | 592,747 | $ | (448,968 | ) | $ | — | $ | 143,779 | |||||||
Credit Suisse International | 1,255,246 | (1,122,877 | ) | — | 132,369 | |||||||||||
JPMorgan Chase Bank, N.A. | 413,178 | — | (55,493 | ) | 357,685 | |||||||||||
Morgan Stanley & Co. International PLC | 248,061 | — | — | 248,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,509,232 | $ | (1,571,845 | ) | $ | (55,493 | ) | $ | 881,894 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
JPMorgan Chase Bank, N.A. | $ | 55,493 | $ | — | $ | 55,493 | $ | — | * | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 55,493 | $ | — | $ | 55,493 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following tables present the Funds’ exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2014:
Alpha Only Fund
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Goldman Sachs & Co. – Futures | $ | 5,692,445 | $ | (5,692,445 | ) | $ | — | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,692,445 | $ | (5,692,445 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
117
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Consolidated Benchmark-Free Allocation Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Capital Inc. – Cleared Swaps | $ | 318,667 | $ | — | $ | — | $ | 318,667 | ||||||||
Credit Suisse Securities (USA) LLC – Cleared Swaps | 42,511 | — | — | 42,511 | ||||||||||||
J.P.Morgan Futures Incorporated – Futures | 463,050 | — | — | 463,050 | ||||||||||||
Morgan Stanley & Co. Incorporated – Options | 3,500,000 | — | (1,414,000 | ) | 2,086,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,324,228 | $ | — | $ | (1,414,000 | ) | $ | 2,910,228 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley & Co. Incorporated – Options | $ | 1,414,000 | $ | — | $ | 1,414,000 | $ | — | * | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,414,000 | $ | — | $ | 1,414,000 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Morgan Stanley & Co. Incorporated – Options | $ | 44,950 | $ | — | $ | 44,950 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 44,950 | $ | — | $ | 44,950 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Goldman Sachs & Co. – Futures | $ | 119,700 | $ | (119,700 | ) | $ | — | $ | — | * | ||||||
Morgan Stanley & Co. Incorporated – Options | 770,000 | — | (44,950 | ) | 725,050 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 889,700 | $ | (119,700 | ) | $ | (44,950 | ) | $ | 725,050 | ||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Systematic Global Macro Opportunity Fund
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
J.P.Morgan Futures Incorporated – Futures | $ | 741,540 | $ | — | $ | — | $ | 741,540 | ||||||||
UBS Securities LLC – Futures | 285,697 | — | — | 285,697 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,027,237 | $ | — | $ | — | $ | 1,027,237 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
118
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap contracts) or number of contracts (options) outstanding at each month-end was as follows for the period ended August 31, 2014:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options | Rights and/or Warrants ($) | |||||||||||||||
Alpha Only Fund | 877,212,564 | 2,676,389,274 | 664,721,921 | — | 864,435 | |||||||||||||||
Consolidated Benchmark-Free Allocation Fund | 1,410,625,251 | 3,134,952,197 | 2,397,441,925 | 255,233,983 | 2,025,824 | |||||||||||||||
Consolidated Special Opportunities Fund | — | 1,277,631 | 1,226,091 | 515 | — | |||||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | 576,382,069 | 2,034,439,938 | — | — | — |
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Alpha Only | Benchmark-Free Allocation Fund | Benchmark-Free Fund | Global Asset Allocation Fund | Global Developed Equity Allocation Fund | Global Equity Allocation Fund | International Developed Equity Allocation Fund | International Equity Allocation Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund | Systematic Global Macro Opportunity Fund | ||||||||||||||||||||||||||||||||||
Management Fee | 0.50% | 0.65% | — | — | — | — | — | — | 1.10% | — | 0.70%* |
* | Prior to August 8, 2014, GMO waived the Fund’s management fee to 0.60% of the Fund’s daily net assets. |
GMO decides how to allocate the assets of the Fund among underlying funds. For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.
119
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
In addition, each class of shares of certain Funds pays GMO a shareholder service and/or supplemental support fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service and/or supplemental support fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class III | Class IV | Class V | Class VI | Class MF | |||||||||||||||
Alpha Only Fund | 0.15% | 0.10% | ||||||||||||||||||
Consolidated Benchmark-Free Allocation Fund | 0.15% | 0.10% | 0.10% | |||||||||||||||||
Benchmark-Free Fund | 0.00% | |||||||||||||||||||
Global Asset Allocation Fund | 0.00% | |||||||||||||||||||
Global Developed Equity Allocation Fund | 0.00% | |||||||||||||||||||
Global Equity Allocation Fund | 0.00% | |||||||||||||||||||
International Developed Equity Allocation Fund | 0.00% | |||||||||||||||||||
International Equity Allocation Fund | 0.00% | |||||||||||||||||||
Consolidated Special Opportunities Fund | 0.15% | * | 0.10%* | 0.085%* | 0.055% | |||||||||||||||
Strategic Opportunities Allocation Fund | 0.00% | |||||||||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Allocation Fund) | 0.15% |
* | Class is offered but has no shareholders as of August 31, 2014. |
For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Special Opportunities Fund, the manager has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee, GMO has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund, other than Benchmark-Free Allocation Fund, that charges a shareholder service fee, GMO has agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2015 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplement support agreement.
For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, effective March 1, 2014, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fee paid to GMO. This reduction will continue through at least June 30, 2015, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.
120
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2014 is shown in the table below and included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with the Manager ($) | ||||||
Alpha Only Fund | 21,935 | 2,392 | ||||||
Consolidated Benchmark-Free Allocation Fund | 151,628 | 16,928 | ||||||
Benchmark-Free Fund | 23,933 | 2,944 | ||||||
Global Asset Allocation Fund | 28,863 | 3,588 | ||||||
Global Developed Equity Allocation Fund | 8,912 | 1,104 | ||||||
Global Equity Allocation Fund | 16,549 | 1,932 | ||||||
International Developed Equity Allocation Fund | 6,213 | 736 | ||||||
International Equity Allocation Fund | 9,707 | 1,288 | ||||||
Consolidated Special Opportunities Fund | 8,852 | 68 | ||||||
Strategic Opportunities Allocation Fund | 13,110 | 1,656 | ||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | 15,824 | 1,104 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2014 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Indirect Interest Expense | Total Indirect Expense | ||||||||||||
Alpha Only Fund | 0.000% | 0.000% | 0.000% | 0.000% | ||||||||||||
Consolidated Benchmark-Free Allocation Fund | 0.148% | 0.032% | < 0.001% | 0.180% | ||||||||||||
Benchmark-Free Fund | 0.432% | 0.071% | < 0.001% | 0.503% | ||||||||||||
Global Asset Allocation Fund | 0.425% | 0.074% | 0.001% | 0.500% | ||||||||||||
Global Developed Equity Allocation Fund | 0.459% | 0.073% | 0.000% | 0.532% | ||||||||||||
Global Equity Allocation Fund | 0.471% | 0.072% | 0.000% | 0.543% | ||||||||||||
International Developed Equity Allocation Fund | 0.534% | 0.086% | 0.000% | 0.620% | ||||||||||||
International Equity Allocation Fund | 0.576% | 0.082% | 0.000% | 0.658% | ||||||||||||
Consolidated Special Opportunities Fund | 0.000% | 0.000% | 0.000% | 0.000% | ||||||||||||
Strategic Opportunities Allocation Fund | 0.426% | 0.069% | 0.000% | 0.495% | ||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | 0.001% | < 0.001% | 0.000% | 0.001% |
121
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2014 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Alpha Only Fund | — | 2,297,391,103 | — | 1,125,152,453 | ||||||||||||
Consolidated Benchmark-Free Allocation Fund | 456,209,354 | 5,851,921,722 | 2,446,437,051 | 3,243,247,325 | ||||||||||||
Benchmark-Free Fund | — | 2,140,077,121 | — | 1,681,741,469 | ||||||||||||
Global Asset Allocation Fund | — | 785,736,320 | — | 865,377,391 | ||||||||||||
Global Developed Equity Allocation Fund | — | 255,834,328 | — | 162,553,556 | ||||||||||||
Global Equity Allocation Fund | — | 868,636,764 | — | 255,323,271 | ||||||||||||
International Developed Equity Allocation Fund | — | 97,856,588 | — | 49,560,204 | ||||||||||||
International Equity Allocation Fund | — | 87,152,543 | — | 109,609,406 | ||||||||||||
Consolidated Special Opportunities Fund | — | 323,445,808 | — | 7,395,846 | ||||||||||||
Strategic Opportunities Allocation Fund | — | 252,905,247 | — | 330,171,898 | ||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | — | 135,210,485 | — | 330,000,000 |
7. | Guarantees |
In the normal course of business the Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Fund. Based on experience, GMO is of the view that the risk of loss to the Fund in connection with the Fund’s indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.
8. | Principal shareholders and related parties as of August 31, 2014 |
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion | ||||||||||||
Alpha Only Fund | 3 | * | 89.35 | % | 0.01 | % | 99.96 | % | ||||||||
Consolidated Benchmark-Free Allocation Fund | 1 | 62.98 | % | 0.58 | % | 1.00 | % | |||||||||
Benchmark-Free Fund | — | — | — | 98.82 | % | |||||||||||
Global Asset Allocation Fund | 1 | ** | 15.17 | % | 0.13 | % | 15.17 | % | ||||||||
Global Developed Equity Allocation Fund | 3 | 38.71 | % | — | — | |||||||||||
Global Equity Allocation Fund | — | — | < 0.01 | % | 0.22 | % | ||||||||||
International Developed Equity Allocation Fund | 3 | 38.42 | % | < 0.01 | % | — | ||||||||||
International Equity Allocation Fund | 5 | *** | 70.89 | % | 1.54 | % | 18.10 | % |
122
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Fund Name | Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion | ||||||||||||
Consolidated Special Opportunities Fund | 2 | * | 100.00 | % | < 0.01 | % | 100.00 | % | ||||||||
Strategic Opportunities Allocation Fund | 1 | 28.87 | % | 0.02 | % | 99.96 | % | |||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | 3 | **** | 97.80 | % | — | 100.00 | % |
* | Two of the shareholders are other funds of the Trust. |
** | This shareholder is another fund managed by GMO. |
*** | One of the shareholders is another fund managed by GMO, and two of the shareholders are other funds of the Trust. |
**** | Three of the shareholders are other funds of the Trust. |
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Alpha Only Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 357,056 | $ | 8,597,841 | 93,123 | $ | 2,244,600 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 323 | 7,809 | ||||||||||||
Shares repurchased | (4,429 | ) | (106,720 | ) | (759,781 | ) | (18,341,207 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 352,627 | $ | 8,491,121 | (666,335 | ) | $ | (16,088,798 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 76,549,512 | $ | 1,845,582,893 | 75,869,698 | $ | 1,831,415,950 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 179,603 | 4,340,992 | ||||||||||||
Shares repurchased | (1,676,019 | ) | (40,092,761 | ) | (69,011,623 | ) | (1,661,234,378 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 74,873,493 | $ | 1,805,490,132 | 7,037,678 | $ | 174,522,564 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Benchmark-Free Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 48,188,693 | $ | 1,333,451,895 | 83,570,700 | $ | 2,220,037,812 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,858,441 | 51,553,147 | 2,330,556 | 62,154,776 | ||||||||||||
Shares repurchased | (8,734,517 | ) | (241,887,826 | ) | (8,725,787 | ) | (232,433,194 | ) | ||||||||
Purchase premiums | — | 922,373 | — | 2,418,537 | ||||||||||||
Redemption fees | — | 52,118 | — | 33,515 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 41,312,617 | $ | 1,144,091,707 | 77,175,469 | $ | 2,052,211,446 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
123
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Consolidated Benchmark-Free Allocation Fund (continued) | ||||||||||||||||
Class IV: | ||||||||||||||||
Shares sold | 14,259,830 | $ | 397,137,224 | 63,820,323 | $ | 1,703,418,517 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,346,966 | 37,351,367 | 1,842,657 | 49,276,554 | ||||||||||||
Shares repurchased | (10,788,968 | ) | (300,349,290 | ) | (251,261 | ) | (6,669,687 | ) | ||||||||
Purchase premiums | — | 655,133 | — | 1,617,686 | ||||||||||||
Redemption fees | — | 33,665 | — | 28,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,817,828 | $ | 134,828,099 | 65,411,719 | $ | 1,747,671,098 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF: | ||||||||||||||||
Shares sold | 89,718,920 | $ | 2,475,074,019 | 215,517,302 | $ | 5,736,217,510 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,702,438 | 158,185,640 | 7,331,127 | 195,655,173 | ||||||||||||
Shares repurchased | — | — | (1,008,672 | ) | (27,229,235 | ) | ||||||||||
Purchase premiums | — | 2,631,896 | — | 6,720,897 | ||||||||||||
Redemption fees | — | 145,834 | — | 101,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 95,421,358 | $ | 2,636,037,390 | 221,839,757 | $ | 5,911,465,759 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 24,473,835 | $ | 556,325,810 | 10,993,786 | $ | 239,070,485 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 22,292,116 | 465,682,296 | 10,583,028 | 231,171,191 | ||||||||||||
Shares repurchased | (7,025,411 | ) | (160,346,573 | ) | (8,643,943 | ) | (190,964,994 | ) | ||||||||
Purchase premiums | — | 623,509 | — | 218,347 | ||||||||||||
Redemption fees | — | 109,818 | — | 154,566 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 39,740,540 | $ | 862,394,860 | 12,932,871 | $ | 279,649,595 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Asset Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 14,267,898 | $ | 172,730,061 | 61,023,261 | $ | 688,169,291 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 19,400,388 | 228,342,563 | 9,754,231 | 113,531,587 | ||||||||||||
Shares repurchased | (25,843,908 | ) | (308,031,492 | ) | (53,127,599 | ) | (601,513,021 | ) | ||||||||
Purchase premiums | — | 141,695 | — | 608,300 | ||||||||||||
Redemption fees | — | 290,361 | — | 517,902 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 7,824,378 | $ | 93,473,188 | 17,649,893 | $ | 201,314,059 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 4,359,589 | $ | 112,614,900 | 520,502 | $ | 11,983,195 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,828,729 | 118,641,869 | 1,810,571 | 44,342,181 | ||||||||||||
Shares repurchased | (2,030,681 | ) | (50,998,496 | ) | (11,196,118 | ) | (258,273,417 | ) | ||||||||
Purchase premiums | — | 86,481 | — | — | ||||||||||||
Redemption fees | — | 37,119 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 7,157,637 | $ | 180,381,873 | (8,865,045 | ) | $ | (201,948,041 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
124
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Equity Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 72,919,477 | $ | 702,007,120 | 73,809,558 | $ | 669,415,693 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 21,505,962 | 201,510,864 | 19,805,161 | 181,832,730 | ||||||||||||
Shares repurchased | (14,860,111 | ) | (143,741,835 | ) | (39,119,950 | ) | (358,692,120 | ) | ||||||||
Purchase premiums | — | 645,647 | — | 421,910 | ||||||||||||
Redemption fees | — | 130,566 | — | 343,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 79,565,328 | $ | 760,552,362 | 54,494,769 | $ | 493,321,935 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 4,233,181 | $ | 78,513,317 | 5,893,408 | $ | 100,118,600 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 90,362 | 1,698,807 | 1,826,575 | 31,707,291 | ||||||||||||
Shares repurchased | (2,649,608 | ) | (48,175,719 | ) | (8,849,973 | ) | (150,924,811 | ) | ||||||||
Purchase premiums | — | 47,827 | — | — | ||||||||||||
Redemption fees | — | 35,677 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,673,935 | $ | 32,119,909 | (1,129,990 | ) | $ | (19,098,920 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 5,085,364 | $ | 58,441,850 | 38,371,666 | $ | 409,049,396 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,180,772 | 25,842,145 | 10,052,575 | 111,978,780 | ||||||||||||
Shares repurchased | (8,912,495 | ) | (104,006,197 | ) | (23,810,967 | ) | (259,946,262 | ) | ||||||||
Purchase premiums | — | 48,683 | — | 234,323 | ||||||||||||
Redemption fees | — | 205,901 | — | 523,704 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,646,359 | ) | $ | (19,467,618 | ) | 24,613,274 | $ | 261,839,941 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund* | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 25,010,731 | $ | 500,179,327 | |||||||||||||
Purchase premium fees | — | 2,513,464 | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 25,010,731 | $ | 502,692,791 | |||||||||||||
|
|
|
| |||||||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,034,188 | $ | 24,075,700 | 6,558,371 | $ | 151,655,878 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 6,496,728 | 150,594,150 | 7,180,527 | 164,017,906 | ||||||||||||
Shares repurchased | (5,840,434 | ) | (136,011,341 | ) | (9,935,021 | ) | (223,122,498 | ) | ||||||||
Purchase premiums | — | 6,101 | — | 72,793 | ||||||||||||
Redemption fees | — | 73,277 | — | 121,352 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,690,482 | $ | 38,737,887 | 3,803,877 | $ | 92,745,431 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
125
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,764,532 | $ | 57,075,899 | 39,928,840 | $ | 1,223,650,248 | ||||||||||
Shares repurchased | (11,939,110 | ) | (384,587,614 | ) | (19,774,814 | ) | (613,082,436 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,174,578 | ) | $ | (327,511,715 | ) | 20,154,026 | $ | 610,567,812 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | The period under the heading “Six Months Ended August 31, 2014” represents the period from July 28, 2014 (commencement of operations) through August 31, 2014. |
10. | Investments in affiliated issuers |
A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2014 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income** | Distributions of Realized Gains** | Value, end of period | ||||||||||||||||||
Consolidated Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||
GMO Alpha Only Fund, Class IV | $ | 2,059,932,497 | $ | 981,621,494 | $ | — | $ | — | $ | — | $ | 3,008,866,587 | ||||||||||||
GMO Debt Opportunities Fund, Class VI | 809,249,532 | 85,764,275 | 83,580,921 | — | — | 836,997,433 | ||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 521,745,697 | 103,803,581 | — | 21,966,821 | — | 663,841,169 | ||||||||||||||||||
GMO Special Opportunities Fund, Class VI | — | 378,239,895 | — | — | — | 377,139,507 | ||||||||||||||||||
GMO Systematic Global Macro Opportunity Fund, Class III* | 1,174,026,482 | 12,548,980 | 255,903,387 | — | — | 946,873,777 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 4,564,954,208 | $ | 1,561,978,225 | $ | 339,484,308 | $ | 21,966,821 | $ | — | $ | 5,833,718,473 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||
GMO Alpha Only Fund, Class IV | $ | 208,616,077 | $ | 102,083,199 | $ | 121,864 | $ | — | $ | — | $ | 307,200,360 | ||||||||||||
GMO Asset Allocation Bond Fund, Class VI | 671,093,221 | 370,076,376 | 9,941,584 | 513,164 | — | 1,055,865,718 | ||||||||||||||||||
GMO Currency Hedged International Equity Fund, Class III | 1,016,093,779 | 14,121,506 | 1,022,092,100 | 668,668 | 13,452,838 | — | ||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | 178,380,316 | 32,441,763 | — | — | — | 216,555,153 | ||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 194,550,630 | 12,289,549 | 8,490,310 | 7,275,035 | — | 212,376,636 | ||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 515,889,087 | 34,902,618 | 88,568,686 | — | — | 534,120,199 | ||||||||||||||||||
GMO International Equity Fund, Class IV | — | 1,182,567,332 | 22,398,682 | 18,203,877 | — | 1,132,230,876 | ||||||||||||||||||
GMO Risk Premium Fund, Class VI | 274,986,361 | 30,995,115 | 63,276,033 | — | 7,400,050 | 248,541,442 | ||||||||||||||||||
GMO Special Oppurtunities Fund, Class VI | — | 124,431,452 | — | — | — | 124,054,200 | ||||||||||||||||||
GMO Special Situations Fund, Class VI | 24,336,040 | — | 24,326,733 | — | — | — | ||||||||||||||||||
GMO Strategic Fixed Income Fund, Class VI | 87,645,942 | 275,031 | 89,297,149 | 275,031 | — | — | ||||||||||||||||||
GMO Systematic Global Macro Opportunity Fund, Class III* | 192,414,859 | 22,115,481 | — | — | — | 218,251,272 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI*** | 942,031,777 | 83,563,295 | 193,191,613 | 1,916,641 | 20,131,801 | 871,350,803 | ||||||||||||||||||
GMO U.S. Treasury Fund | 61,607,857 | 130,214,404 | 160,036,715 | 25,303 | 6,094 | 31,785,546 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 4,367,645,946 | $ | 2,140,077,121 | $ | 1,681,741,469 | $ | 28,877,719 | $ | 40,990,783 | $ | 4,952,332,205 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
126
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income** | Distributions of Realized Gains** | Value, end of period | ||||||||||||||||||
Global Asset Allocation Fund | ||||||||||||||||||||||||
GMO Alpha Only Fund, Class IV | $ | 501,775,894 | $ | 223,188,540 | $ | 14,855,351 | $ | — | $ | — | $ | 703,199,597 | ||||||||||||
GMO Asset Allocation Bond Fund, Class VI | 669,281,486 | 262,784,289 | 35,122,299 | 465,488 | — | 920,394,387 | ||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | 203,208,896 | 80,761,523 | 47,046,072 | — | — | 243,409,163 | ||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 190,722,157 | 8,096,025 | 20,708,061 | 7,098,147 | — | 191,811,151 | ||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 446,494,991 | 3,053,000 | 51,449,588 | — | — | 461,764,221 | ||||||||||||||||||
GMO International Equity Fund, Class IV | 1,465,521,943 | 41,002,117 | 50,797,106 | 24,037,862 | — | 1,433,432,788 | ||||||||||||||||||
GMO Risk Premium Fund, Class VI | 130,663,795 | 7,932,749 | 2,701,173 | — | 4,205,705 | 138,181,475 | ||||||||||||||||||
GMO Special Situations Fund, Class VI | 26,425,429 | — | 26,421,509 | — | — | — | ||||||||||||||||||
GMO Strategic Fixed Income Fund, Class VI | 241,443,599 | 750,927 | 245,965,521 | 750,927 | — | — | ||||||||||||||||||
GMO Systematic Global Macro Opportunity Fund, Class III* | 283,699,150 | — | 123,779,897 | — | — | 163,009,560 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI*** | 1,101,695,599 | 35,051,421 | 225,794,962 | 2,151,037 | 22,593,825 | 957,605,505 | ||||||||||||||||||
GMO U.S. Treasury Fund | 92,637,902 | 123,115,729 | 14,434,961 | 36,291 | 5,859 | 201,318,670 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 5,353,570,841 | $ | 785,736,320 | $ | 859,076,500 | $ | 34,539,752 | $ | 26,805,389 | $ | 5,414,126,517 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 155,716,435 | $ | 8,513,120 | $ | 15,162,866 | $ | — | $ | — | $ | 171,609,044 | ||||||||||||
GMO International Equity Fund, Class IV | 776,904,002 | 184,011,836 | 11,136,504 | 15,334,629 | — | 930,184,846 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI*** | 658,441,285 | 63,309,372 | 136,254,186 | 1,409,647 | 14,806,489 | 616,430,093 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 1,591,061,722 | $ | 255,834,328 | $ | 162,553,556 | $ | 16,744,276 | $ | 14,806,489 | $ | 1,718,223,983 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 382,740,582 | $ | 82,608,639 | $ | 43,082,148 | $ | — | $ | — | $ | 480,663,321 | ||||||||||||
GMO International Equity Fund, Class IV | 1,385,658,404 | 534,713,125 | 37,264,121 | 28,349,200 | — | 1,843,250,056 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI*** | 1,178,165,377 | 251,315,001 | 174,977,002 | 2,794,373 | 29,351,216 | 1,311,407,441 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 2,946,564,363 | $ | 868,636,765 | $ | 255,323,271 | $ | 31,143,573 | $ | 29,351,216 | $ | 3,635,320,818 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Developed Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 112,686,463 | $ | 11,275,498 | $ | 20,192,874 | $ | — | $ | — | $ | 120,012,594 | ||||||||||||
GMO International Equity Fund, Class IV | 1,037,781,904 | 86,581,091 | 29,367,330 | 18,068,524 | — | 1,075,624,541 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 1,150,468,367 | $ | 97,856,588 | $ | 49,560,204 | $ | 18,068,524 | $ | — | $ | 1,195,637,135 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 408,776,259 | $ | 8,488,392 | $ | 53,107,718 | $ | — | $ | — | $ | 422,907,703 | ||||||||||||
GMO International Equity Fund, Class IV | 1,381,555,377 | 78,664,151 | 56,501,688 | 23,050,220 | — | 1,381,333,114 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 1,790,331,636 | $ | 87,152,543 | $ | 109,609,406 | $ | 23,050,220 | $ | — | $ | 1,804,240,817 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||
GMO Asset Allocation Bond Fund, Class VI | $ | 371,271,791 | $ | 156,687,425 | $ | 22,414,411 | $ | 261,428 | $ | — | $ | 518,559,988 | ||||||||||||
GMO Debt Opportunities Fund, Class VI | 90,854,965 | 6,926,208 | 5,065,131 | — | — | 95,458,601 | ||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 106,134,175 | 3,898,815 | 8,283,930 | 3,834,823 | — | 109,263,240 | ||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 270,476,553 | 188,235 | 46,312,374 | — | — | 261,924,256 | ||||||||||||||||||
GMO International Equity Fund, Class IV | 869,771,136 | 22,849,228 | 50,326,740 | 13,988,391 | — | 829,519,380 | ||||||||||||||||||
GMO Risk Premium Fund, Class VI | 75,787,760 | 2,333,512 | 2,935,586 | — | 2,333,512 | 76,526,534 | ||||||||||||||||||
GMO Strategic Fixed Income Fund, Class VI | 20,522,948 | 64,400 | 20,909,590 | 64,400 | — | — | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI*** | 648,092,634 | 15,407,259 | 127,426,990 | 1,269,713 | 13,336,663 | 562,839,985 | ||||||||||||||||||
GMO U.S. Treasury Fund | — | 44,550,165 | 44,550,165 | 3,354 | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 2,452,911,962 | $ | 252,905,247 | $ | 328,224,917 | $ | 19,422,109 | $ | 15,670,175 | $ | 2,454,091,984 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
127
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income** | Distributions of Realized Gains** | Value, end of period | ||||||||||||||||||
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 2,736,930 | $ | — | $ | — | $ | — | $ | — | $ | 2,819,422 | ||||||||||||
GMO U.S. Treasury Fund | 667,339,196 | 135,210,485 | 330,000,000 | 180,386 | 30,099 | 472,549,681 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 670,076,126 | $ | 135,210,485 | $ | 330,000,000 | $ | 180,386 | $ | 30,099 | $ | 475,369,103 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | Formerly Alternative Asset Opportunity Fund |
** | The table above includes estimate sources of all distribution paid by the underlying funds during the period March 1, 2014 through August 31, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015. |
*** | Formerly U.S. Core Equity Fund. |
11. | Subsequent events |
Subsequent to August 31, 2014, GMO Alpha Only Fund received redemption requests in the amount of $2,228,428,823.
128
GMO Trust Funds
Board Review of Management Agreements
August 31, 2014 (Unaudited)
GMO Alpha Only Fund
Approval of renewal of management agreement for GMO Alpha Only Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees considered that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
129
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Benchmark-Free Allocation Fund
Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing and supplemental support fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to the Fund’s management agreement. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
130
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Benchmark-Free Fund
Approval of renewal of management agreement for GMO Benchmark-Free Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
131
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Global Asset Allocation Fund
Approval of renewal of management agreement for GMO Global Asset Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
132
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Global Developed Equity Allocation Fund
Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
133
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Global Equity Allocation Fund
Approval of renewal of management agreement for GMO Global Equity Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
134
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO International Developed Equity Allocation Fund
Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
135
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO International Equity Allocation Fund
Approval of renewal of management agreement for GMO International Equity Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
136
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Special Opportunities Fund
Approval of initial management agreement for GMO Special Opportunities Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the Fund’s management agreement for an initial two-year term commencing June 27, 2014. In approving the initial management agreement, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
At meetings on April 28, 2014 and June 5, 2014, the Trustees discussed materials provided by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to the Trustees for purposes of considering the Manager’s proposal to establish the Fund as a new series of the Trust and the proposed new management agreement between the Trust, on behalf of the Fund, and the Manager. During the meeting on April 28, 2014, the Trustees met with members of the Manager’s Asset Allocation Team, the investment division that would be primarily responsible for the investment management of the Fund.
At meetings throughout the year, the Trustees had considered information relevant to the approval of the Fund’s initial management agreement, including information provided at meetings with representatives of the Manager (including members of the Manager’s Asset Allocation Team, the investment division primarily responsible for investment management of the Fund) with respect to other series of the Trust (collectively, “GMO funds”).
Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees considered the performance of the other GMO funds managed by the investment division that would manage the Fund.
The Trustees considered the Fund’s estimated total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by the Manager to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees to be paid to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees to be paid by the Fund as compared to the management fees of funds determined by the Manager to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged to different share classes of the Fund in light of the services provided by the Manager.
Since the Fund had not yet commenced operations, the Trustees were unable to review information regarding the Manager’s profitability with respect to the Fund. The Trustees did, however, consider how the proposed fees compared to fees paid by other GMO funds and took note of various “fallout benefits” to the Manager that would result from its management of the Fund. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to the Manager associated with managing the Fund.
The Trustees considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager would employ in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources and other matters concerning the Manager’s business and organization and the nature and quality of its services to be provided to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the the Fund’s initial management agreement.
137
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Strategic Opportunities Allocation Fund
Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees considered that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
138
GMO Trust Funds
Board Review of Management Agreements — (Continued)
August 31, 2014 (Unaudited)
GMO Systematic Global Macro Opportunity Fund
Approval of renewal of management agreement for GMO Systematic Global Macro Opportunity Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to the Fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
139
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2014 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2014.
As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2014 through August 31, 2014.
Actual Expenses
This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||||||
Class III | $1,000.00 | $990.00 | $3.26 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
Class IV | $1,000.00 | $990.80 | $3.01 | $1,000.00 | $1,022.18 | $3.06 | 0.60% | |||||||||||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,035.30 | $4.16 | $1,000.00 | $1,021.12 | $4.13 | 0.81% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,035.40 | $3.90 | $1,000.00 | $1,021.37 | $3.87 | 0.76% | |||||||||||||||||||||
Class MF | $1,000.00 | $1,035.50 | $3.75 | $1,000.00 | $1,021.53 | $3.72 | 0.73% | |||||||||||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||||||
Class III | $1,000.00 | $1,044.80 | $2.58 | $1,000.00 | $1,022.68 | $2.55 | 0.50% | |||||||||||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,037.00 | $2.57 | $1,000.00 | $1,022.68 | $2.55 | 0.50% | |||||||||||||||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,041.30 | $2.73 | $1,000.00 | $1,022.53 | $2.70 | 0.53% | |||||||||||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,046.30 | $2.79 | $1,000.00 | $1,022.48 | $2.75 | 0.54% | |||||||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,014.30 | $3.15 | $1,000.00 | $1,022.08 | $3.16 | 0.62% | |||||||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,032.90 | $3.38 | $1,000.00 | $1,021.88 | $3.36 | 0.66% | |||||||||||||||||||||
Special Opportunities Fund |
| |||||||||||||||||||||||||||
Class VI(a) | $1,000.00 | $1,002.00 | $1.17 | $1,000.00 | $1,003.48 | $1.18 | 1.26% | |||||||||||||||||||||
Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,046.40 | $2.58 | $1,000.00 | $1,022.68 | $2.55 | 0.50% |
140
GMO Trust Funds
(A Series of GMO Trust)
Fund Expenses — (Continued)
August 31, 2014 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund) |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,017.40 | $3.86 | $1,000.00 | $1,021.37 | $3.87 | 0.76% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2014, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
(a) | For the period July 28, 2014 (commencement of operations) through August 31, 2014. Expenses are calculated using the class’s annualized net expense ratio for the period ended August 31, 2014, multiplied by the average account value over the period, multiplied by 34 days in the period, divided by 365 days in the year. |
141
Semiannual Report
August 31, 2014
For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect).
An investment in the Fund is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Fund will achieve the stated investment objective. Please see the Fund’s private placement memorandum regarding specific principal risks for the Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivative risk.
GMO Implementation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2014 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 61.1 | % | ||
Short-Term Investments | 24.1 | |||
Preferred Stocks | 2.2 | |||
Debt Obligations | 0.8 | |||
Options Purchased | 0.1 | |||
Investment Funds | 0.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Written Options | 0.0 | ^ | ||
Futures Contracts | (0.0 | )^ | ||
Swap Contracts | (0.0 | )^ | ||
Other | 11.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary | % of Investments* | |||
United States | 52.1 | % | ||
France | 8.2 | |||
Germany | 7.2 | |||
United Kingdom | 6.0 | |||
Sweden | 5.5 | |||
Brazil | 4.2 | |||
Korea | 4.1 | |||
Russia | 3.5 | |||
Mexico | 3.0 | |||
Taiwan | 2.8 | |||
Spain | 2.7 | |||
Italy | 2.5 | |||
India | 2.0 | |||
Turkey | 1.5 | |||
Norway | 0.9 | |||
Netherlands | 0.8 | |||
Finland | 0.7 | |||
South Africa | 0.7 | |||
Thailand | 0.7 | |||
Australia | 0.5 | |||
Poland | 0.5 | |||
Hong Kong | 0.4 | |||
Indonesia | 0.4 | |||
Israel | 0.4 | |||
Belgium | 0.3 | |||
Denmark | 0.3 | |||
Singapore | 0.3 | |||
Austria | 0.2 | |||
Czech Republic | 0.2 | |||
Ireland | 0.2 | |||
Peru | 0.2 | |||
Portugal | 0.2 | |||
Chile | 0.1 | |||
Egypt | 0.1 | |||
Hungary | 0.1 | |||
New Zealand | 0.1 | |||
Malaysia | 0.0 | ^ | ||
Philippines | 0.0 | ^ | ||
Qatar | 0.0 | ^ |
Country Summary | % of Investments* | |||
United Arab Emirates | 0.0 | %^ | ||
Switzerland | (2.2 | ) | ||
Japan | (5.1 | ) | ||
Canada | (6.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
1
GMO Implementation Fund
(A Series of GMO Trust)
Investment Concentration Summary — (Continued)
August 31, 2014 (Unaudited)
Industry Group Summary | % of Equity Investments** | |||
Energy | 14.0 | % | ||
Software & Services | 8.4 | |||
Technology Hardware & Equipment | 7.4 | |||
Banks | 6.7 | |||
Telecommunication Services | 6.6 | |||
Utilities | 6.3 | |||
Capital Goods | 6.0 | |||
Automobiles & Components | 5.7 | |||
Health Care Equipment & Services | 5.6 | |||
Food, Beverage & Tobacco | 5.4 | |||
Materials | 5.3 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 5.2 | |||
Retailing | 4.6 | |||
Food & Staples Retailing | 2.2 | |||
Consumer Services | 2.0 | |||
Media | 1.7 | |||
Household & Personal Products | 1.6 | |||
Insurance | 1.5 | |||
Consumer Durables & Apparel | 1.0 | |||
Transportation | 0.8 | |||
Real Estate | 0.8 | |||
Semiconductors & Semiconductor Equipment | 0.7 | |||
Diversified Financials | 0.5 | |||
Commercial & Professional Services | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
* | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
** | Investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, debt obligations and ETFs, if any. For a summary of derivative contract exposure and ETFs, if any, see the Schedule of Investments. |
2
GMO Implementation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 65.6% | ||||||||||
Australia — 0.3% | ||||||||||
5,416,054 | Arrium Ltd | 3,984,806 | ||||||||
453,823 | Bank of Queensland Ltd | 5,337,927 | ||||||||
1,091 | Bendigo and Adelaide Bank Ltd | 12,697 | ||||||||
1,088,084 | BlueScope Steel Ltd * | 5,610,370 | ||||||||
1,888,586 | Goodman Fielder Ltd | 1,129,538 | ||||||||
339,296 | Investa Office Fund (REIT) | 1,163,728 | ||||||||
3,021,487 | Mirvac Group (REIT) | 5,184,230 | ||||||||
726,016 | Pacific Brands Ltd | 359,091 | ||||||||
1,620,502 | Stockland (REIT) | 6,439,012 | ||||||||
1,489,535 | TABCORP Holdings Ltd | 4,995,262 | ||||||||
1,026,597 | Tatts Group Ltd | 3,185,711 | ||||||||
|
| |||||||||
Total Australia | 37,402,372 | |||||||||
|
| |||||||||
Austria — 0.1% | ||||||||||
222,658 | OMV AG | 8,597,875 | ||||||||
153,373 | Voestalpine AG | 6,584,083 | ||||||||
|
| |||||||||
Total Austria | 15,181,958 | |||||||||
|
| |||||||||
Belgium — 0.2% | ||||||||||
174,335 | Ageas | 5,851,429 | ||||||||
244,152 | Belgacom SA | 8,703,418 | ||||||||
170,515 | Delhaize Group | 11,875,510 | ||||||||
|
| |||||||||
Total Belgium | 26,430,357 | |||||||||
|
| |||||||||
Brazil — 1.2% | ||||||||||
205,700 | Aes Tiete SA | 1,553,892 | ||||||||
120,000 | Banco Bradesco SA | 2,145,365 | ||||||||
3,287,100 | Banco do Brasil SA | 51,380,670 | ||||||||
454,500 | Banco Santander Brasil SA | 3,138,964 | ||||||||
822,400 | Banco Santander Brasil SA ADR | 5,649,888 | ||||||||
86,400 | BR Malls Participacoes SA | 898,159 | ||||||||
686,900 | Brasil Brokers Participacoes SA | 1,110,823 | ||||||||
685,000 | Cia de Saneamento Basico do Estado de Sao Paulo ADR | 6,466,400 | ||||||||
150,200 | Cia de Saneamento de Minas Gerais-COPASA | 2,683,940 | ||||||||
11,981 | Cia de Transmissao de Energia Eletrica Paulista * | 175,018 | ||||||||
373,100 | Companhia de Saneamento Basico do Estado de Sao Paulo | 3,565,159 | ||||||||
913,600 | Companhia Siderurgica Nacional SA | 4,007,841 | ||||||||
533,000 | Companhia Siderurgica Nacional SA Sponsored ADR | 2,329,210 | ||||||||
320,000 | Cosan Ltd – Class A | 4,640,000 | ||||||||
195,400 | Cosan SA Industria e Comercio | 4,059,013 | ||||||||
371,100 | CPFL Energia SA | 3,744,985 | ||||||||
82,800 | CPFL Energia SA ADR | 1,667,592 |
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
379,300 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 2,404,408 | ||||||||
492,267 | Duratex SA | 2,214,487 | ||||||||
967,100 | EDP-Energias Do Brasil SA | 4,881,943 | ||||||||
271,500 | Equatorial Energia SA | 3,189,837 | ||||||||
99,200 | Grendene SA | 720,125 | ||||||||
189,300 | Grupo BTG Pactual | 3,179,665 | ||||||||
457,500 | Klabin SA | 2,323,777 | ||||||||
565,800 | Light SA | 6,217,860 | ||||||||
573,900 | MRV Engenharia e Participacoes SA | 2,338,159 | ||||||||
63,300 | Multiplus SA | 927,514 | ||||||||
84,900 | Porto Seguro SA | 1,258,424 | ||||||||
184,157 | Sul America SA | 1,272,687 | ||||||||
587,200 | Tim Participacoes SA | 3,292,097 | ||||||||
333,900 | Tractebel Energia SA | 5,595,081 | ||||||||
412,700 | Transmissora Alianca de Energia Eletrica SA | 4,303,068 | ||||||||
124,100 | Ultrapar Participacoes SA | 3,198,271 | ||||||||
125,300 | Vale SA | 1,629,991 | ||||||||
990,300 | Vale SA Sponsored ADR | 12,933,318 | ||||||||
|
| |||||||||
Total Brazil | 161,097,631 | |||||||||
|
| |||||||||
Canada — 0.3% | ||||||||||
45,800 | Canadian Tire Corp Ltd – Class A | 4,731,220 | ||||||||
40,700 | Catamaran Corp * | 1,917,784 | ||||||||
218,500 | First Quantum Minerals Ltd | 4,905,348 | ||||||||
84,600 | Home Capital Group Inc | 4,218,718 | ||||||||
35,400 | RONA Inc | 465,250 | ||||||||
284,400 | Tim Hortons Inc | 22,877,136 | ||||||||
|
| |||||||||
Total Canada | 39,115,456 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
2,933,723 | Enersis SA | 996,624 | ||||||||
121,900 | Enersis SA Sponsored ADR | 2,061,329 | ||||||||
56,625 | ENTEL Chile SA | 655,748 | ||||||||
|
| |||||||||
Total Chile | 3,713,701 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
5,400 | Ecopetrol SA Sponsored ADR | 186,732 | ||||||||
|
| |||||||||
Czech Republic — 0.1% | ||||||||||
613,761 | CEZ AS | 17,808,136 | ||||||||
|
| |||||||||
Denmark — 0.2% | ||||||||||
7,003 | AP Moeller – Maersk A/S | 17,592,845 | ||||||||
60,790 | Carlsberg A/S | 5,557,907 | ||||||||
49,222 | Jyske Bank A/S (Registered) * | 2,694,676 | ||||||||
|
| |||||||||
Total Denmark | 25,845,428 | |||||||||
|
|
See accompanying notes to the financial statements. | 3 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Egypt — 0.1% | ||||||||||
1,137,330 | Al Ezz Steel Rebars SAE * | 2,717,051 | ||||||||
204,018 | Global Telecom Holding * | 153,598 | ||||||||
291,399 | Global Telecom Holding GDR * | 1,047,450 | ||||||||
8,357,038 | Orascom Telecom Media And Technology Holding SAE * | 1,463,266 | ||||||||
106,292 | Sidi Kerir Petrochemicals Co | 298,105 | ||||||||
693,037 | Telecom Egypt Co | 1,393,097 | ||||||||
|
| |||||||||
Total Egypt | 7,072,567 | |||||||||
|
| |||||||||
Finland — 0.4% | ||||||||||
425,746 | Fortum Oyj | 10,695,480 | ||||||||
74,429 | Metso Oyj | 2,923,996 | ||||||||
64,598 | Neste Oil Oyj | 1,263,339 | ||||||||
3,694,671 | Nokia Oyj | 31,029,442 | ||||||||
454,719 | UPM – Kymmene Oyj | 6,844,437 | ||||||||
|
| |||||||||
Total Finland | 52,756,694 | |||||||||
|
| |||||||||
France — 4.9% | ||||||||||
2,053 | Air France – KLM * | 21,504 | ||||||||
119,445 | Alstom SA * | 4,231,116 | ||||||||
874,168 | ArcelorMittal | 12,705,763 | ||||||||
286,841 | AXA | 7,117,601 | ||||||||
167,399 | BNP Paribas | 11,311,663 | ||||||||
311,112 | Bouygues SA | 11,434,202 | ||||||||
163,914 | Carrefour SA | 5,688,517 | ||||||||
118,889 | CNP Assurances | 2,347,221 | ||||||||
519,296 | Compagnie de Saint-Gobain | 26,382,617 | ||||||||
214,082 | Compagnie Generale des Etablissements Michelin | 23,683,141 | ||||||||
544,617 | Credit Agricole SA | 8,082,363 | ||||||||
250,110 | Electricite de France | 8,131,064 | ||||||||
2,180,488 | GDF Suez | 53,745,733 | ||||||||
53,004 | Lafarge SA | 4,064,523 | ||||||||
3,556,118 | Orange | 53,828,922 | ||||||||
718,920 | Peugeot SA * | 10,114,469 | ||||||||
287,106 | Renault SA | 22,498,699 | ||||||||
580,599 | Sanofi | 63,629,225 | ||||||||
182,985 | Schneider Electric SA | 15,480,262 | ||||||||
20,991 | SCOR SE | 642,756 | ||||||||
251,514 | Societe Generale | 12,756,963 | ||||||||
48,246 | Technicolor * | 370,634 | ||||||||
2,663,532 | Total SA | 175,762,472 | ||||||||
106,883 | Vallourec SA | 4,776,440 | ||||||||
471,773 | Veolia Environnement SA | 8,666,954 | ||||||||
532,261 | Vinci SA | 34,815,537 | ||||||||
2,123,806 | Vivendi SA | 55,302,068 | ||||||||
|
| |||||||||
Total France | 637,592,429 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Germany — 3.7% | ||||||||||
168,493 | Allianz SE (Registered) | 28,774,129 | ||||||||
124,019 | Aurubis AG | 6,100,165 | ||||||||
914,741 | BASF SE | 94,303,756 | ||||||||
492,438 | Bayerische Motoren Werke AG | 57,471,135 | ||||||||
1,118,894 | Daimler AG | 91,788,000 | ||||||||
272,501 | Deutsche Bank AG (Registered) | 9,343,001 | ||||||||
303,613 | Deutsche Lufthansa AG (Registered) | 5,276,116 | ||||||||
2,060,185 | Deutsche Telekom AG (Registered) | 30,876,314 | ||||||||
52,163 | Duerr AG | 4,027,328 | ||||||||
3,537,095 | E.ON AG | 64,375,330 | ||||||||
131,942 | Freenet AG | 3,535,335 | ||||||||
19,134 | Fresenius Medical Care AG & Co | 1,348,151 | ||||||||
37,360 | Hannover Rueck SE | 3,107,593 | ||||||||
272 | HeidelbergCement AG | 20,590 | ||||||||
248,368 | K+S AG (Registered) | 7,727,841 | ||||||||
253,146 | Kloeckner & Co SE * | 3,466,918 | ||||||||
186,537 | Metro AG * | 6,570,576 | ||||||||
68,009 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 13,654,441 | ||||||||
994,406 | RWE AG | 38,994,119 | ||||||||
78,694 | Salzgitter AG | 2,942,997 | ||||||||
41,642 | Volkswagen AG | 9,356,094 | ||||||||
|
| |||||||||
Total Germany | 483,059,929 | |||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
13,685 | Hellenic Telecommunications Organization SA * | 196,450 | ||||||||
|
| |||||||||
Hong Kong — 0.2% | ||||||||||
200,098 | Cheung Kong Holdings Ltd | 3,642,497 | ||||||||
3,666,308 | Esprit Holdings Ltd | 5,939,446 | ||||||||
58,000 | Hongkong Land Holdings Ltd | 397,389 | ||||||||
694,552 | Link (REIT) | 4,125,205 | ||||||||
562,319 | Sun Hung Kai Properties Ltd | 8,536,693 | ||||||||
73,500 | Swire Pacific Ltd – Class A | 988,897 | ||||||||
337,000 | Wharf Holdings Ltd (The) | 2,639,195 | ||||||||
1,050,500 | Yue Yuen Industrial Holdings | 3,248,713 | ||||||||
|
| |||||||||
Total Hong Kong | 29,518,035 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
876,350 | Magyar Telekom Telecommunications Plc * | 1,350,463 | ||||||||
16,942 | MOL Hungarian Oil and Gas Plc | 835,012 | ||||||||
282,196 | OTP Bank Plc | 4,880,590 | ||||||||
|
| |||||||||
Total Hungary | 7,066,065 | |||||||||
|
|
4 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — 1.2% | ||||||||||
201,245 | Aban Offshore Ltd | 2,352,952 | ||||||||
18,173 | ACC Ltd | 448,076 | ||||||||
1,347,093 | Allahabad Bank | 2,533,714 | ||||||||
825,780 | Andhra Bank | 980,188 | ||||||||
1,471,081 | Ashok Leyland Ltd * | 891,308 | ||||||||
261,537 | Aurobindo Pharma Ltd | 3,532,260 | ||||||||
303,114 | Axis Bank Ltd (a) | 1,984,627 | ||||||||
14,805 | Bajaj Auto Ltd | 553,184 | ||||||||
256,888 | Bank of Baroda (a) | 3,700,159 | ||||||||
819,714 | Bank of India | 3,740,664 | ||||||||
1,806,837 | Bharat Heavy Electricals Ltd | 7,120,394 | ||||||||
67,498 | Biocon Ltd | 518,965 | ||||||||
1,040,165 | Cairn India Ltd | 5,603,931 | ||||||||
637,994 | Canara Bank Ltd | 3,988,522 | ||||||||
784,501 | Coal India Ltd | 4,620,838 | ||||||||
999,603 | DLF Ltd | 2,931,581 | ||||||||
404,555 | GAIL India Ltd | 2,959,594 | ||||||||
70,097 | HCL Technologies Ltd | 1,888,847 | ||||||||
1,080,527 | HDFC Bank Ltd (a) | 15,069,542 | ||||||||
38,275 | Hero MotoCorp Ltd | 1,647,421 | ||||||||
1,321,033 | Hindalco Industries Ltd | 3,709,636 | ||||||||
1,295,822 | Housing Development & Infrastructure Ltd * | 1,935,490 | ||||||||
29,906 | ICICI Bank Ltd | 767,031 | ||||||||
21,000 | ICICI Bank Ltd Sponsored ADR | 1,123,500 | ||||||||
617,598 | IDFC Ltd (a) | 1,474,404 | ||||||||
20,985 | Infosys Ltd | 1,246,733 | ||||||||
77,250 | Infosys Ltd Sponsored ADR | 4,596,375 | ||||||||
79,791 | Jai Balaji Industries Ltd * | 28,447 | ||||||||
1,281,275 | Jaiprakash Associates Ltd * | 992,644 | ||||||||
19,809 | JSW Steel Ltd | 405,912 | ||||||||
883,234 | Karnataka Bank Ltd | 1,787,659 | ||||||||
73,705 | Kiri Industries Ltd * | 161,379 | ||||||||
138,466 | LIC Housing Finance Ltd | 692,962 | ||||||||
137,908 | Mahindra & Mahindra Ltd | 3,203,382 | ||||||||
2,178,950 | NHPC Ltd | 775,587 | ||||||||
1,361,749 | NMDC Ltd | 3,817,985 | ||||||||
2,045,873 | NTPC Ltd | 4,640,320 | ||||||||
588,368 | Oil & Natural Gas Corp Ltd | 4,231,598 | ||||||||
70,068 | Oil India Ltd | 709,890 | ||||||||
571,941 | Oriental Bank of Commerce | 2,470,426 | ||||||||
691,205 | Power Finance Corp | 2,859,717 | ||||||||
467,696 | Punjab National Bank Ltd (a) | 7,320,085 | ||||||||
83,148 | Reliance Capital Ltd * | 728,318 | ||||||||
1,448,073 | Reliance Communications Ltd * | 2,780,259 | ||||||||
92,267 | Reliance Industries Ltd | 1,523,829 | ||||||||
202,814 | Reliance Infrastructure Ltd * | 2,340,421 | ||||||||
303,268 | Rural Electrification Corp Ltd | 1,346,621 | ||||||||
1,013,680 | Sesa Sterlite Ltd | 4,647,636 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
189,229 | State Bank of India | 7,697,648 | ||||||||
614,234 | Syndicate Bank | 1,214,311 | ||||||||
305,469 | Tata Global Beverages Ltd | 761,753 | ||||||||
651,149 | Tata Motors Ltd | 5,640,905 | ||||||||
54,778 | Tata Motors Ltd – Class A | 342,534 | ||||||||
53,000 | Tata Motors Ltd Sponsored ADR | 2,554,070 | ||||||||
1,083,653 | Tata Power Co Ltd | 1,547,883 | ||||||||
329,077 | Tata Steel Ltd | 2,792,171 | ||||||||
136,559 | Tech Mahindra Ltd | 5,308,967 | ||||||||
176,037 | UCO Bank | 258,957 | ||||||||
81,806 | United Phosphorus Ltd | 427,341 | ||||||||
86,163 | Wipro Ltd | 803,289 | ||||||||
21,281 | Yes Bank Ltd | 200,459 | ||||||||
|
| |||||||||
Total India | 158,935,301 | |||||||||
|
| |||||||||
Indonesia — 0.2% | ||||||||||
5,831,600 | Adaro Energy Tbk PT | 656,561 | ||||||||
12,913,900 | Astra International Tbk PT | 8,361,338 | ||||||||
2,451,400 | Bank Tabungan Negara Persero Tbk PT | 233,637 | ||||||||
1,397,400 | Gajah Tunggal Tbk PT | 211,474 | ||||||||
5,157,100 | Global Mediacom Tbk PT | 853,053 | ||||||||
5,683,100 | Harum Energy Tbk PT | 1,044,802 | ||||||||
666,700 | Indo Tambangraya Megah Tbk PT | 1,605,986 | ||||||||
577,800 | Indosat Tbk PT * | 189,233 | ||||||||
1,176,100 | Media Nusantara Citra Tbk PT | 282,026 | ||||||||
31,229,500 | MNC Investama Tbk PT | 1,006,469 | ||||||||
4,022,500 | Perusahaan Gas Negara Persero Tbk PT | 1,994,556 | ||||||||
2,682,400 | Ramayana Lestari Sentosa Tbk PT | 228,144 | ||||||||
623,000 | Tambang Batubara Bukit Asam Persero Tbk PT | 711,876 | ||||||||
33,352,400 | Telekomunikasi Indonesia Persero Tbk PT | 7,623,353 | ||||||||
35,100 | Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR | 1,616,706 | ||||||||
1,589,600 | XL Axiata Tbk PT | 808,806 | ||||||||
|
| |||||||||
Total Indonesia | 27,428,020 | |||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
376,217 | CRH Plc | 8,670,930 | ||||||||
189,454 | Smurfit Kappa Group Plc | 4,299,819 | ||||||||
|
| |||||||||
Total Ireland | 12,970,749 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
449,486 | Bank Hapoalim BM | 2,547,211 | ||||||||
1,519,587 | Bank Leumi Le-Israel * | 5,933,389 | ||||||||
297,100 | Check Point Software Technologies Ltd * | 21,100,042 |
See accompanying notes to the financial statements. | 5 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Israel — continued | ||||||||||
2,355,650 | Israel Discount Bank Ltd – Class A * | 3,958,694 | ||||||||
212,984 | Partner Communications Co Ltd * | 1,535,900 | ||||||||
|
| |||||||||
Total Israel | 35,075,236 | |||||||||
|
| |||||||||
Italy — 1.5% | ||||||||||
5,760,898 | A2A SPA | 6,321,997 | ||||||||
10,981,200 | Enel SPA | 58,163,780 | ||||||||
2,690,962 | ENI SPA | 67,196,054 | ||||||||
127,397 | Exor SPA | 5,073,727 | ||||||||
1,100,233 | Fiat SPA * | 10,760,322 | ||||||||
711,027 | Finmeccanica SPA * | 6,667,533 | ||||||||
70,798 | Italcementi SPA-Di RISP | 512,217 | ||||||||
1,489,840 | Mediaset SPA * | 6,162,208 | ||||||||
472,933 | Mediolanum SPA | 3,522,094 | ||||||||
67,726 | Recordati SPA | 1,103,415 | ||||||||
108,647 | Saipem SPA * | 2,579,950 | ||||||||
22,245,421 | Telecom Italia SPA * | 25,661,837 | ||||||||
10,092,272 | Telecom Italia SPA-Di RISP | 9,293,724 | ||||||||
|
| |||||||||
Total Italy | 203,018,858 | |||||||||
|
| |||||||||
Japan — 5.0% | ||||||||||
16,679 | Adastria Holdings Co Ltd | 334,124 | ||||||||
530,800 | Aeon Co Ltd | 5,739,781 | ||||||||
55,700 | Aisin Seiki Co Ltd | 2,061,583 | ||||||||
57,400 | Alfresa Holdings Corp | 3,409,696 | ||||||||
10,000 | Aoyama Trading Co Ltd | 247,522 | ||||||||
550,000 | Asahi Glass Co Ltd | 2,980,283 | ||||||||
380,000 | Asahi Kasei Corp | 3,049,285 | ||||||||
15,600 | Asatsu-DK, Inc. | 411,665 | ||||||||
79,500 | Brother Industries Ltd | 1,543,019 | ||||||||
382,000 | Calsonic Kansei Corp | 2,205,347 | ||||||||
524,500 | Canon Inc | 17,116,307 | ||||||||
45,900 | Central Japan Railway Co | 6,435,774 | ||||||||
255,600 | Chubu Electric Power Co Inc * | 2,953,328 | ||||||||
1,994,935 | Cosmo Oil Co Ltd | 3,741,671 | ||||||||
70,900 | Daihatsu Motor Co Ltd | 1,217,401 | ||||||||
578,000 | Daikyo Inc | 1,107,592 | ||||||||
84,200 | Daito Trust Construction Co Ltd | 10,423,035 | ||||||||
131,000 | Denki Kagaku Kogyo K K | 443,867 | ||||||||
6,463 | DIC Corp | 14,744 | ||||||||
24,500 | Electric Power Development Co Ltd | 802,629 | ||||||||
134,700 | FujiFilm Holdings Corp | 4,067,158 | ||||||||
86,100 | Fuji Oil Co Ltd | 1,415,310 | ||||||||
195,000 | Gunze Ltd | 551,270 | ||||||||
205,400 | Hakuhodo DY Holdings Inc | 2,125,534 | ||||||||
319,000 | Hanwa Co Ltd | 1,258,592 | ||||||||
559,307 | Haseko Corp | 4,634,098 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
36,400 | Hitachi Chemical Co Ltd | 677,675 | ||||||||
725,000 | Honda Motor Co Ltd | 24,611,014 | ||||||||
131,100 | Idemitsu Kosan Co Ltd | 2,877,431 | ||||||||
796,500 | Inpex Corp | 11,419,553 | ||||||||
211,300 | IT Holdings Corp | 3,896,218 | ||||||||
1,506,400 | Itochu Corp | 19,168,873 | ||||||||
1,577,900 | Japan Tobacco, Inc. | 54,064,464 | ||||||||
352,300 | JFE Holdings Inc | 7,132,197 | ||||||||
34,800 | JSR Corp | 605,027 | ||||||||
1,937,100 | JX Holdings Inc | 9,967,898 | ||||||||
189,842 | K’s Holdings Corp | 5,303,605 | ||||||||
53,000 | Kaneka Corp | 313,706 | ||||||||
3,266,000 | Kawasaki Kisen Kaisha Ltd | 7,861,064 | ||||||||
118,600 | KDDI Corp. | 6,853,328 | ||||||||
3,808,000 | Kobe Steel Ltd | 6,194,732 | ||||||||
45,986 | Kohnan Shoji Co Ltd | 482,870 | ||||||||
87,000 | Kuraray Co Ltd | 1,083,910 | ||||||||
299,100 | Kyocera Corp | 14,009,235 | ||||||||
480,900 | Leopalace21 Corp * | 2,767,376 | ||||||||
1,810,600 | Marubeni Corp | 13,074,782 | ||||||||
253,604 | Medipal Holdings Corp | 3,284,059 | ||||||||
1,693,600 | Mitsubishi Chemical Holdings Corp | 8,454,127 | ||||||||
1,240,800 | Mitsubishi Corp | 25,672,881 | ||||||||
291,100 | Mitsubishi UFJ Lease & Finance Co Ltd | 1,555,956 | ||||||||
1,903,000 | Mitsui Chemicals Inc | 5,621,234 | ||||||||
2,250,667 | Mitsui Engineering & Shipbuilding Co Ltd | 4,917,165 | ||||||||
1,469,900 | Mitsui & Co Ltd | 23,980,316 | ||||||||
781,012 | Mitsui Mining & Smelting Co Ltd | 2,406,237 | ||||||||
1,628,134 | Mitsui OSK Lines Ltd | 5,966,099 | ||||||||
230,100 | Net One Systems Co Ltd | 1,434,168 | ||||||||
141,000 | Nichirei Corp | 664,322 | ||||||||
1,249,700 | Nippon Light Metal Co Ltd | 1,997,157 | ||||||||
2,932 | Nippon Paper Industries Co Ltd | 47,328 | ||||||||
177,000 | Nippon Electric Glass Co Ltd | 890,591 | ||||||||
488,800 | Nippon Telegraph & Telephone Corp | 32,832,834 | ||||||||
2,061,000 | Nippon Yusen Kabushiki Kaisha | 6,066,983 | ||||||||
351,141 | Nipro Corp | 3,099,753 | ||||||||
4,757,900 | Nissan Motor Co Ltd | 45,702,116 | ||||||||
263,000 | Nisshinbo Holdings Inc | 2,454,864 | ||||||||
26,400 | Nisshin Seifun Group Inc | 304,497 | ||||||||
10,800 | NOK Corp | 233,402 | ||||||||
296,286 | North Pacific Bank Ltd | 1,201,964 | ||||||||
1,166,129 | NTT Docomo, Inc. | 20,194,026 | ||||||||
30,700 | Okinawa Electric Power Co | 999,250 | ||||||||
1,138 | ORIX JREIT Inc (REIT) | 1,522,780 | ||||||||
508,000 | Osaka Gas Co Ltd | 2,089,299 |
6 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
26,000 | Rengo Co Ltd | 122,214 | ||||||||
1,171,800 | Resona Holdings Inc | 6,360,251 | ||||||||
291,900 | Ricoh Co Ltd | 3,168,433 | ||||||||
170,000 | Round One Corp | 1,106,429 | ||||||||
11,200 | Ryohin Keikaku Co Ltd | 1,258,277 | ||||||||
900 | Sega Sammy Holdings Inc | 17,183 | ||||||||
18,000 | Seino Holdings Co Ltd | 168,898 | ||||||||
133,100 | Sekisui House Ltd | 1,673,644 | ||||||||
28,100 | Shimamura Co Ltd | 2,533,252 | ||||||||
656,000 | Showa Denko KK | 946,607 | ||||||||
561,800 | Showa Shell Sekiyu KK | 6,032,477 | ||||||||
4,725,300 | Sojitz Corp | 7,822,772 | ||||||||
138,000 | Sumitomo Chemical Co Ltd | 495,427 | ||||||||
1,297,100 | Sumitomo Corp | 16,757,557 | ||||||||
1,600 | Sumitomo Electric Industries Ltd | 23,456 | ||||||||
9,000 | Sumitomo Forestry Co Ltd | 100,566 | ||||||||
197,000 | Sumitomo Heavy Industries Ltd | 1,018,267 | ||||||||
418,000 | Sumitomo Metal Mining Co Ltd | 6,347,490 | ||||||||
1,266,500 | Sumitomo Mitsui Construction Co Ltd * | 1,547,776 | ||||||||
72,600 | Sumitomo Rubber Industries | 1,038,315 | ||||||||
54,452 | Suzuken Co Ltd | 1,814,102 | ||||||||
253,995 | Takeda Pharmaceutical Co., Ltd. | 11,603,450 | ||||||||
12,200 | TDK Corp | 608,275 | ||||||||
108,000 | Tokuyama Corp | 357,744 | ||||||||
1,320,800 | Tokyo Electric Power Co Inc (The) * | 4,768,901 | ||||||||
969,754 | Tokyo Electron Ltd | 67,953,869 | ||||||||
249,000 | TonenGeneral Sekiyu KK | 2,271,263 | ||||||||
1,373,000 | Tosoh Corp | 5,685,482 | ||||||||
346,400 | Toyota Tsusho Corp | 9,151,052 | ||||||||
514,000 | Ube Industries Ltd | 870,309 | ||||||||
505,700 | UNY Co Ltd | 2,843,136 | ||||||||
45,500 | West Japan Railway Co | 2,152,747 | ||||||||
2,146,967 | Yamada Denki Co Ltd | 6,897,516 | ||||||||
52,000 | Yokohama Rubber Co Ltd (The) | 462,438 | ||||||||
|
| |||||||||
Total Japan | 652,228,556 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
148,013 | Hong Leong Bank Berhad | 676,109 | ||||||||
|
| |||||||||
Mexico — 0.2% | ||||||||||
1,165,600 | America Movil SAB de CV ADR | 28,568,856 | ||||||||
1,704,300 | America Movil SAB de CV – Class L | 2,094,412 | ||||||||
|
| |||||||||
Total Mexico | 30,663,268 | |||||||||
|
| |||||||||
Netherlands — 0.5% | ||||||||||
1,122,340 | Aegon NV | 8,875,050 | ||||||||
85,782 | Corbion NV | 1,437,208 |
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
44,454 | Delta Lloyd NV | 1,071,156 | ||||||||
28,325 | Fugro NV | 1,027,187 | ||||||||
22,204 | Heineken NV | 1,690,481 | ||||||||
1,099,026 | ING Groep NV * | 15,125,728 | ||||||||
890,956 | Koninklijke Ahold NV | 15,221,729 | ||||||||
584,565 | Koninklijke BAM Groep NV | 1,385,017 | ||||||||
27,728 | Koninklijke DSM NV | 1,852,550 | ||||||||
4,823,000 | Koninklijke KPN NV * | 16,099,404 | ||||||||
85,275 | SNS REAAL NV * (b) | — | ||||||||
430,100 | VimpelCom Ltd Sponsored ADR | 3,664,452 | ||||||||
60,000 | Ziggo NV | 2,855,477 | ||||||||
|
| |||||||||
Total Netherlands | 70,305,439 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
488,199 | Chorus Ltd | 717,062 | ||||||||
467,016 | Fletcher Building Ltd | 3,596,139 | ||||||||
2,439,271 | Spark New Zealand Ltd | 5,987,546 | ||||||||
|
| |||||||||
Total New Zealand | 10,300,747 | |||||||||
|
| |||||||||
Norway — 0.5% | ||||||||||
45,777 | Aker Solutions ASA | 696,222 | ||||||||
281,184 | DNB ASA | 5,262,171 | ||||||||
10,286 | Fred Olsen Energy ASA | 241,686 | ||||||||
377,838 | Golden Ocean Group Ltd | 622,618 | ||||||||
142,722 | Petroleum Geo-Services ASA | 1,075,730 | ||||||||
1,397,848 | Statoil ASA | 39,321,154 | ||||||||
115,372 | Storebrand ASA * | 642,961 | ||||||||
62,291 | Subsea 7 SA | 1,038,395 | ||||||||
297,076 | Telenor ASA | 6,824,174 | ||||||||
95,904 | TGS Nopec Geophysical Co ASA | 2,709,702 | ||||||||
227,611 | Yara International ASA | 11,411,969 | ||||||||
|
| |||||||||
Total Norway | 69,846,782 | |||||||||
|
| |||||||||
Peru — 0.1% | ||||||||||
319,055 | Companhia de Minas Buenaventura SA ADR | 4,645,441 | ||||||||
228,900 | Southern Copper Corp. | 7,510,209 | ||||||||
|
| |||||||||
Total Peru | 12,155,650 | |||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
26,480 | GT Capital Holdings Inc | 571,168 | ||||||||
4,600 | Philippine Long Distance Telephone Co Sponsored ADR | 348,864 | ||||||||
905,900 | Puregold Price Club Inc | 752,265 | ||||||||
|
| |||||||||
Total Philippines | 1,672,297 | |||||||||
|
| |||||||||
Poland — 0.3% | ||||||||||
16,336 | Asseco Poland SA | 215,786 | ||||||||
255,069 | Boryszew SA * | 494,178 |
See accompanying notes to the financial statements. | 7 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Poland — continued | ||||||||||
58,486 | Energa SA | 381,015 | ||||||||
105,647 | Jastrzebska Spolka Weglowa SA * | 1,105,845 | ||||||||
685,248 | KGHM Polska Miedz SA | 28,242,266 | ||||||||
76,064 | Orange Polska SA | 255,363 | ||||||||
1,152,628 | PGE SA | 7,850,183 | ||||||||
108,240 | Polski Koncern Naftowy Orlen SA | 1,336,030 | ||||||||
22,770 | Powszechna Kasa Oszczednosci Bank Polski SA | 272,272 | ||||||||
1,183 | Powszechny Zaklad Ubezpieczen SA | 173,464 | ||||||||
635,099 | Synthos SA | 914,067 | ||||||||
156,914 | Tauron Polska Energia SA | 245,077 | ||||||||
|
| |||||||||
Total Poland | 41,485,546 | |||||||||
|
| |||||||||
Portugal — 0.1% | ||||||||||
2,599,312 | EDP-Energias de Portugal SA | 12,594,387 | ||||||||
|
| |||||||||
Qatar — 0.0% | ||||||||||
7,913 | Industries Qatar QSC | 421,544 | ||||||||
|
| |||||||||
Russia — 1.8% | ||||||||||
508,368 | Aeroflot-Russian Airlines * | 645,595 | ||||||||
85,704 | Bashneft OAO – Class S | 4,501,285 | ||||||||
177,300 | CTC Media, Inc. | 1,609,884 | ||||||||
23,712 | Eurasia Drilling Co Ltd GDR | 686,005 | ||||||||
85,518 | Gazprom Neft JSC Sponsored ADR | 1,649,163 | ||||||||
7,469,409 | Gazprom OAO Sponsored ADR | 53,415,775 | ||||||||
91,044 | Globaltrans Investment Plc Sponsored GDR | 833,736 | ||||||||
1,390,284 | Lukoil OAO Sponsored ADR | 77,411,447 | ||||||||
62,718 | MegaFon OAO GDR | 1,775,070 | ||||||||
387,800 | Mobile Telesystems Sponsored ADR | 7,154,910 | ||||||||
164,490 | Moscow Exchange | 276,715 | ||||||||
44,528 | NovaTek OAO GDR | 4,481,313 | ||||||||
3,088,646 | Rosneft OJSC GDR (Registered) | 18,857,688 | ||||||||
10,335 | Rostelecom OJSC Sponsored ADR | 165,097 | ||||||||
3,993,457 | Sberbank Sponsored ADR | 32,611,636 | ||||||||
134,523 | Sistema JSFC Sponsored GDR (Registered) | 3,058,623 | ||||||||
2,229,358 | Surgutneftegas Sponsored ADR | 15,435,950 | ||||||||
188,343 | Tatneft Sponsored ADR | 6,995,603 | ||||||||
31,484 | TCS Group Holding Plc (Registered) GDR * | 166,749 | ||||||||
|
| |||||||||
Total Russia | 231,732,244 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Singapore — 0.2% | ||||||||||
2,948,085 | Ezra Holdings Ltd | 2,642,308 | ||||||||
15,782,000 | Golden Agri-Resources Ltd | 6,442,741 | ||||||||
5,936,000 | Noble Group Ltd | 6,453,124 | ||||||||
330,000 | Singapore Technologies Engineering Ltd | 966,479 | ||||||||
1,003,000 | Swiber Holdings Ltd | 393,657 | ||||||||
4,599,644 | Yangzijiang Shipbuilding Holdings Ltd | 4,288,678 | ||||||||
|
| |||||||||
Total Singapore | 21,186,987 | |||||||||
|
| |||||||||
South Africa — 0.4% | ||||||||||
2,691,606 | African Bank Investments Ltd (b) | 252 | ||||||||
14,111 | Barclays Africa Group Ltd | 220,404 | ||||||||
25,560 | Bidvest Group Ltd | 674,720 | ||||||||
361,500 | Capital Property Fund (REIT) | 405,009 | ||||||||
182,531 | Kumba Iron Ore Ltd | 5,471,764 | ||||||||
823,854 | MTN Group Ltd | 18,635,921 | ||||||||
124,627 | Naspers Ltd-N Shares | 15,896,423 | ||||||||
89,471 | Sasol Ltd | 5,199,855 | ||||||||
1,647 | Sasol Ltd Sponsored ADR | 96,481 | ||||||||
328,134 | Vodacom Group Ltd | 3,957,425 | ||||||||
101,392 | Wilson Bayly Holmes-Ovcon Ltd | 1,318,457 | ||||||||
|
| |||||||||
Total South Africa | 51,876,711 | |||||||||
|
| |||||||||
South Korea — 2.3% | ||||||||||
188,082 | BS Financial Group Inc | 3,117,589 | ||||||||
46,344 | Capro Corp * | 176,857 | ||||||||
42,403 | CJ E & M Corp * | 1,982,341 | ||||||||
653 | CJ O Shopping Co Ltd | 231,846 | ||||||||
16,758 | Daelim Industrial Co Ltd | 1,445,744 | ||||||||
67,444 | Daou Technology Inc | 825,801 | ||||||||
53,197 | DGB Financial Group Inc | 929,124 | ||||||||
59,189 | Dongbu Insurance Co Ltd | 3,573,748 | ||||||||
31,082 | GS Engineering & Construction Corp * | 1,130,695 | ||||||||
60,898 | GS Holdings | 2,586,368 | ||||||||
272,026 | Hana Financial Group Inc | 11,424,582 | ||||||||
10,262 | Hankook Tire Co Ltd | 532,649 | ||||||||
73,370 | Hankook Tire WorldwideCo Ltd | 1,581,833 | ||||||||
26,594 | Hanwha Corp | 793,791 | ||||||||
11,011 | Hyundai Engineering & Construction | 694,478 | ||||||||
85,833 | Hyundai Marine & Fire Insurance Co Ltd | 2,637,287 | ||||||||
56,585 | Hyundai Mobis | 16,414,756 | ||||||||
73,709 | Hyundai Motor Co | 16,944,180 | ||||||||
162,810 | Iljin Holdings Co Ltd | 1,055,517 | ||||||||
382,148 | Industrial Bank of Korea | 6,638,073 | ||||||||
48,160 | Jahwa Electronics Co Ltd | 653,534 | ||||||||
205,400 | KB Financial Group Inc | 8,386,181 |
8 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
29,313 | Kginicis Co Ltd | 328,363 | ||||||||
361,663 | Kia Motors Corp | 21,840,041 | ||||||||
9,605 | Kolon Industries Inc | 569,858 | ||||||||
9,943 | Korea Zinc Co Ltd | 4,125,220 | ||||||||
385,240 | KT Corp | 13,311,751 | ||||||||
21,700 | KT Corp Sponsored ADR | 371,070 | ||||||||
11,386 | Kwangju Bank * | 127,528 | ||||||||
12,554 | Kyongnam Bank * | 168,484 | ||||||||
61,890 | LF Corp | 1,861,956 | ||||||||
3,113 | LG Chem Ltd | 828,114 | ||||||||
30,907 | LG International Corp | 850,947 | ||||||||
65,076 | LIG Insurance Co Ltd | 1,941,574 | ||||||||
5,004 | Lotte Chemical Corp | 807,695 | ||||||||
4,026 | Lotte Shopping Co Ltd | 1,318,643 | ||||||||
20,106 | Lumens Co Ltd * | 163,997 | ||||||||
95,203 | Meritz Fire & Marine Insurance Co Ltd | 1,287,011 | ||||||||
7,123 | Mirae Asset Securities Co Ltd | 340,816 | ||||||||
17,543 | Neowiz Games Corp * | 349,721 | ||||||||
6,328 | NHN Entertainment Corp * | 451,904 | ||||||||
48,795 | Partron Co Ltd | 456,791 | ||||||||
47,338 | S-Oil Corp | 2,187,317 | ||||||||
18,740 | Samsung Card Co | 901,264 | ||||||||
76,277 | Samsung Electronics Co Ltd | 92,874,180 | ||||||||
2,634 | Samsung Electronics Co Ltd GDR (Registered) | 1,604,865 | ||||||||
7,209 | Samsung Electro-Mechanics Co Ltd | 390,597 | ||||||||
72,768 | Samsung Engineering Co Ltd * | 4,589,103 | ||||||||
83,635 | Samsung Heavy Industries Co Ltd | 2,250,218 | ||||||||
23,555 | Samsung SDI Co Ltd | 3,522,956 | ||||||||
10,000 | Seah Besteel Corp | 353,025 | ||||||||
22,767 | SFA Engineering Corp | 988,699 | ||||||||
207,030 | Shinhan Financial Group Co Ltd | 10,725,112 | ||||||||
28,715 | Silicon Works Co Ltd | 647,548 | ||||||||
3,521 | SK Gas Co Ltd | 392,662 | ||||||||
11,244 | SK Holdings Co Ltd | 1,781,019 | ||||||||
121,835 | SK Innovation Co Ltd | 11,314,619 | ||||||||
58,660 | SK Telecom Co Ltd | 15,851,582 | ||||||||
78,600 | SK Telecom Co Ltd ADR | 2,351,712 | ||||||||
90,248 | Sungwoo Hitech Co Ltd | 1,518,742 | ||||||||
581,559 | Woori Finance Holdings Co Ltd * | 7,893,621 | ||||||||
|
| |||||||||
Total South Korea | 297,397,299 | |||||||||
|
| |||||||||
Spain — 1.6% | ||||||||||
29,083 | Acciona SA * | 2,327,845 | ||||||||
138,678 | ACS Actividades de Construccion y Servicios SA | 5,841,365 | ||||||||
167,895 | Enagas | 5,599,966 |
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
523,168 | Gas Natural SDG SA | 16,040,993 | ||||||||
6,979,348 | Iberdrola SA | 51,280,468 | ||||||||
406,816 | Indra Sistemas SA | 6,117,995 | ||||||||
319,112 | Mapfre SA | 1,196,817 | ||||||||
943,153 | Repsol YPF SA | 23,423,447 | ||||||||
5,942,359 | Telefonica SA | 94,274,234 | ||||||||
|
| |||||||||
Total Spain | 206,103,130 | |||||||||
|
| |||||||||
Sri Lanka — 0.0% | ||||||||||
1,065,600 | Anilana Hotels & Properties Ltd * | 52,356 | ||||||||
|
| |||||||||
Sweden — 0.4% | ||||||||||
846,232 | Ericsson LM – Class B | 10,545,346 | ||||||||
23,805 | Industrivarden AB – Class C | 429,532 | ||||||||
108,187 | Investor AB | 4,017,771 | ||||||||
187,216 | Sandvik AB | 2,337,153 | ||||||||
157,847 | Skanska AB – Class B | 3,266,565 | ||||||||
268,405 | Tele2 AB – B Shares | 3,343,229 | ||||||||
2,987,830 | TeliaSonera AB | 21,822,626 | ||||||||
138,959 | Volvo AB – Class B | 1,661,397 | ||||||||
|
| |||||||||
Total Sweden | 47,423,619 | |||||||||
|
| |||||||||
Switzerland — 0.4% | ||||||||||
81,771 | ABB Ltd (Registered) | 1,859,834 | ||||||||
158,811 | Holcim Ltd (Registered) | 12,640,020 | ||||||||
135,231 | Novartis AG (Registered) | 12,150,019 | ||||||||
11,816 | Swiss Life Holding AG (Registered) * | 2,980,914 | ||||||||
3,542 | Swisscom AG (Registered) | 2,057,716 | ||||||||
150,275 | Transocean Ltd | 5,788,862 | ||||||||
47,095 | Zurich Insurance Group AG | 14,218,079 | ||||||||
|
| |||||||||
Total Switzerland | 51,695,444 | |||||||||
|
| |||||||||
Taiwan — 1.7% | ||||||||||
3,360,000 | Acer Inc * | 2,781,379 | ||||||||
187,000 | Advantech Co Ltd | 1,756,475 | ||||||||
280,000 | ALI Corp | 267,242 | ||||||||
191,000 | Asia Plastic Recycling Holding Ltd | 293,434 | ||||||||
1,837,000 | Asustek Computer Inc | 19,223,569 | ||||||||
1,007,000 | Career Technology MFG Co Ltd | 1,552,852 | ||||||||
60,000 | Casetek Holdings Ltd | 363,653 | ||||||||
927,000 | Catcher Technology Co Ltd * | 9,403,079 | ||||||||
1,609,000 | China Man-Made Fiber Corp * | 510,152 | ||||||||
3,007,000 | China Petrochemical Development Corp * | 1,072,365 | ||||||||
1,655,000 | Chipbond Technology Corp | 2,896,875 | ||||||||
668,837 | Chong Hong Construction Co Ltd * | 1,822,147 | ||||||||
2,443,470 | Chunghwa Telecom Co Ltd | 7,612,262 |
See accompanying notes to the financial statements. | 9 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
500 | Chunghwa Telecom Co Ltd ADR | 15,610 | ||||||||
10,261,000 | Compal Electronics Inc | 9,120,376 | ||||||||
1,395,000 | Coretronic Corp | 2,317,183 | ||||||||
203,000 | Delta Electronics Inc | 1,427,321 | ||||||||
205,000 | Dynapack International Technology Corp | 606,192 | ||||||||
5,184,371 | E.Sun Financial Holding Co Ltd | 3,410,684 | ||||||||
495,000 | Elan Microelectronics Corp | 849,654 | ||||||||
218,000 | Elitegroup Computer Systems Co Ltd | 157,836 | ||||||||
869,000 | Far EasTone Telecommunications Co Ltd | 1,850,882 | ||||||||
127,000 | Faraday Technology Corp | 151,710 | ||||||||
452,151 | Flexium Interconnect Inc | 1,282,309 | ||||||||
1,695,750 | Foxconn Technology Co Ltd | 4,257,131 | ||||||||
230,000 | Fubon Financial Holding Co Ltd | 375,641 | ||||||||
1,351,500 | Highwealth Construction Corp | 2,393,758 | ||||||||
9,633,120 | Hon Hai Precision Industry Co Ltd | 32,950,107 | ||||||||
1,526,000 | HTC Corp * | 7,025,882 | ||||||||
211,000 | Huaku Development Co Ltd | 507,875 | ||||||||
267,540 | ILI Technology Corp | 667,182 | ||||||||
243,000 | Kinsus Interconnect Technology Corp | 1,028,061 | ||||||||
2,569,628 | Lite-On Technology Corp | 4,261,668 | ||||||||
306,222 | Makalot Industrial Co Ltd | 1,512,097 | ||||||||
56,022 | MediaTek Inc | 936,283 | ||||||||
582,000 | Novatek Microelectronics Corp Ltd | 2,988,131 | ||||||||
2,761,000 | Pegatron Corp | 5,854,573 | ||||||||
384,000 | Phison Electronics Corp | 2,780,153 | ||||||||
887,000 | Pou Chen Corp | 1,026,907 | ||||||||
2,287,808 | Powertech Technology Inc | 4,336,382 | ||||||||
3,085,000 | Quanta Computer Inc | 8,712,479 | ||||||||
1,751,020 | Radiant Opto-Electronics Corp | 7,563,445 | ||||||||
886,330 | Realtek Semiconductor Corp | 3,231,011 | ||||||||
78,332 | Silicon Motion Technology Corp ADR | 2,111,831 | ||||||||
602,000 | Simplo Technology Co Ltd | 3,381,452 | ||||||||
78,000 | Soft-World International Corp | 258,371 | ||||||||
1,293,000 | Synnex Technology International Corp | 1,973,371 | ||||||||
2,369,175 | Taishin Financial Holding Co Ltd | 1,204,596 | ||||||||
229,000 | Taiwan Cement Corp | 364,273 | ||||||||
677,000 | Taiwan Mobile Co Ltd | 2,157,504 | ||||||||
701,044 | Taiwan PCB Techvest Co Ltd | 1,145,308 | ||||||||
290,000 | Taiwan Semiconductor Manufacturing Co Ltd | 1,211,990 | ||||||||
568,200 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 11,898,108 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
1,756,085 | TPK Holding Co Ltd | 11,936,021 | ||||||||
1,349,000 | Tripod Technology Corp | 2,742,073 | ||||||||
2,490,000 | Unimicron Technology Corp | 2,103,972 | ||||||||
6,252,909 | Wistron Corp | 7,326,808 | ||||||||
200,260 | Wistron NeWeb Corp | 523,007 | ||||||||
1,495,000 | WPG Holdings Co Ltd | 1,948,325 | ||||||||
522,000 | Yungtay Engineering Co Ltd | 1,293,403 | ||||||||
|
| |||||||||
Total Taiwan | 216,734,420 | |||||||||
|
| |||||||||
Thailand — 0.4% | ||||||||||
1,566,400 | Bangchak Petroleum Pcl (Foreign Registered) | 1,680,818 | ||||||||
8,162,500 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 4,984,673 | ||||||||
8,339,300 | Banpu Pcl (Foreign Registered) | 8,434,282 | ||||||||
461,450 | Electricity Generating Pcl (Foreign Registered) | 2,464,362 | ||||||||
553,100 | Glow Energy Pcl (Foreign Registered) | 1,517,909 | ||||||||
1,506,500 | PTT Exploration & Production Pcl (Foreign Registered) | 7,758,140 | ||||||||
377,700 | PTT Global Chemical Pcl (Foreign Registered) | 733,437 | ||||||||
1,695,900 | PTT Pcl (Foreign Registered) | 17,053,076 | ||||||||
1,157,900 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a) | 2,112,745 | ||||||||
21,374,300 | Sansiri Pcl (Foreign Registered) | 1,393,372 | ||||||||
2,919,900 | Thai Oil Pcl (Foreign Registered) | 4,732,624 | ||||||||
1,322,000 | Thanachart Capital Pcl (Foreign Registered) | 1,448,837 | ||||||||
3,505,400 | TTW Pcl (Foreign Registered) | 1,372,817 | ||||||||
|
| |||||||||
Total Thailand | 55,687,092 | |||||||||
|
| |||||||||
Turkey — 0.9% | ||||||||||
2,454,414 | Akbank TAS | 9,356,973 | ||||||||
4,201,341 | Asya Katilim Bankasi AS * | 2,410,207 | ||||||||
69,065 | Dogus Gayrimenkul Yatirim Ortakligi AS (REIT) * | 140,559 | ||||||||
94,773 | Dogus Otomotiv Servis ve Ticaret AS | 383,950 | ||||||||
1,704,586 | EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS | 1,640,050 | ||||||||
4,077,952 | Emlak Konut Gayrimenkul Yatirim (REIT) | 5,123,526 | ||||||||
802,283 | Eregli Demir ve Celik Fabrikalari TAS | 1,559,729 | ||||||||
995,371 | Gubre Fabrikalari TAS | 2,003,905 | ||||||||
577,724 | Haci Omer Sabanci Holding AS | 2,674,377 | ||||||||
1,753,020 | Ipek Dogal Enerji Kaynaklari Ve Uretim AS * | 1,806,122 |
10 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
412,706 | KOC Holding AS | 2,108,222 | ||||||||
398,956 | Koza Altin Isletmeleri AS | 4,284,335 | ||||||||
1,673,369 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 1,747,987 | ||||||||
243,563 | Park Elektrik Madencilik Tekstil Sanayi ve Ticaret AS | 427,278 | ||||||||
1,390,669 | Tekfen Holding AS * | 3,494,679 | ||||||||
92,018 | Tupras-Turkiye Petrol Rafineriler AS | 2,160,540 | ||||||||
185,322 | Turk Hava Yollari Anonim Ortakligi * | 587,522 | ||||||||
1,586,279 | Turk Telekomunikasyon AS | 4,593,970 | ||||||||
1,554,940 | Turkcell Iletisim Hizmetleri AS * | 9,123,408 | ||||||||
11,300 | Turkcell Iletisim Hizmetleri AS ADR * | 166,788 | ||||||||
2,082,805 | Turkiye Garanti Bankasi AS | 8,157,318 | ||||||||
7,955,484 | Turkiye IS Bankasi – Class C | 20,543,544 | ||||||||
630,810 | Turkiye Sise ve Cam Fabrikalari AS | 851,947 | ||||||||
4,877,877 | Turkiye Vakiflar Bankasi TAO – Class D | 11,237,949 | ||||||||
1,897,359 | Turkiye Halk Bankasi AS | 13,917,568 | ||||||||
3,866,446 | Yapi ve Kredi Bankasi AS | 8,607,151 | ||||||||
|
| |||||||||
Total Turkey | 119,109,604 | |||||||||
|
| |||||||||
United Arab Emirates — 0.0% | ||||||||||
3,143,953 | Dana Gas PJSC * | 600,024 | ||||||||
3,154,771 | Eshraq Properties Co PJSC * | 1,169,197 | ||||||||
|
| |||||||||
Total United Arab Emirates | 1,769,221 | |||||||||
|
| |||||||||
United Kingdom — 5.6% | ||||||||||
289,447 | Amlin Plc | 2,163,716 | ||||||||
1,188,489 | AstraZeneca Plc | 90,691,709 | ||||||||
925,658 | Aviva Plc | 8,011,423 | ||||||||
1,320,148 | BAE Systems Plc | 9,769,152 | ||||||||
1,418,758 | Balfour Beatty Plc | 5,712,167 | ||||||||
379,830 | BG Group Plc | 7,571,373 | ||||||||
13,377,164 | BP Plc | 106,710,440 | ||||||||
144,859 | Bunzl Plc | 3,960,004 | ||||||||
99,244 | Cairn Energy Plc * | 296,109 | ||||||||
162,020 | Cape Plc | 836,074 | ||||||||
108,130 | Carillion Plc | 604,708 | ||||||||
267,860 | Catlin Group Ltd | 2,287,019 | ||||||||
2,337,306 | Centrica Plc | 12,406,714 | ||||||||
719,559 | Cobham Plc | 3,551,371 | ||||||||
1,255,225 | Debenhams Plc | 1,384,845 | ||||||||
788,235 | Dixons Carphone Plc | 4,519,400 | ||||||||
446,800 | Drax Group Plc | 4,655,100 | ||||||||
175,443 | Evraz Plc | 328,957 | ||||||||
2,362,428 | FirstGroup Plc * | 4,992,810 | ||||||||
177,127 | Friends Life Group Ltd | 903,042 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
1,691,050 | Glencore Plc | 10,182,586 | ||||||||
13,916 | Halfords Group Plc | 110,239 | ||||||||
1,168,559 | Home Retail Group Plc | 3,557,436 | ||||||||
701,872 | Imperial Tobacco Group Plc | 30,633,170 | ||||||||
387,666 | Inchcape Plc | 4,349,409 | ||||||||
381,909 | Intermediate Capital Group Plc | 2,590,118 | ||||||||
35,898 | JD Wetherspoon Plc | 444,011 | ||||||||
456,288 | J Sainsbury Plc | 2,203,121 | ||||||||
262,101 | Kingfisher Plc | 1,323,155 | ||||||||
33,612 | Lancashire Holdings Ltd | 349,593 | ||||||||
4,349,490 | Man Group Plc | 8,556,730 | ||||||||
689,252 | Marks & Spencer Group Plc | 4,923,285 | ||||||||
78,455 | Micro Focus International Plc | 1,136,041 | ||||||||
70,826 | Mitie Group Plc | 371,824 | ||||||||
95,772 | National Express Group Plc | 408,211 | ||||||||
36,974 | Next Plc | 4,356,732 | ||||||||
174,836 | Pearson Plc | 3,226,216 | ||||||||
88,624 | Premier Oil Plc | 512,121 | ||||||||
2,267,993 | Royal Dutch Shell Plc A Shares (London) | 91,789,390 | ||||||||
1,441,323 | Royal Dutch Shell Plc B Shares (London) | 60,880,067 | ||||||||
344,443 | RSA Insurance Group Plc | 2,620,094 | ||||||||
392,031 | Scottish & Southern Energy Plc | 9,887,540 | ||||||||
654,800 | Shire Plc ADR | 160,000,380 | ||||||||
334,180 | Spirit Pub Co Plc | 417,289 | ||||||||
518,527 | Standard Life Assurance Plc | 3,312,837 | ||||||||
5,339,092 | Tesco Plc | 20,408,343 | ||||||||
2,566,177 | Thomas Cook Group Plc * | 5,323,796 | ||||||||
931,004 | TUI Travel Plc | 5,759,855 | ||||||||
7,171,867 | Vodafone Group Plc | 24,648,848 | ||||||||
2,083,917 | WM Morrison Supermarkets Plc | 6,146,994 | ||||||||
|
| |||||||||
Total United Kingdom | 741,785,564 | |||||||||
|
| |||||||||
United States — 28.0% | ||||||||||
345,300 | 3M Co. | 49,723,200 | ||||||||
730,400 | Abbott Laboratories | 30,852,096 | ||||||||
331,690 | Accenture Plc – Class A | 26,886,791 | ||||||||
28,400 | Akamai Technologies, Inc. * | 1,715,928 | ||||||||
63,100 | Allergan, Inc. | 10,328,208 | ||||||||
826,585 | Amazon.com, Inc. * | 280,245,378 | ||||||||
68,600 | Ametek, Inc. | 3,631,684 | ||||||||
205,200 | Amgen, Inc. | 28,600,776 | ||||||||
41,700 | Amphenol Corp. – Class A | 4,295,517 | ||||||||
127,200 | Analog Devices, Inc. | 6,502,464 | ||||||||
18,300 | Ansys, Inc. * | 1,487,790 | ||||||||
38,900 | Apache Corp. | 3,961,187 | ||||||||
42,000 | Apollo Education Group, Inc. * | 1,166,340 | ||||||||
599,500 | Apple, Inc. | 61,448,750 |
See accompanying notes to the financial statements. | 11 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
10,500 | Applied Industrial Technologies, Inc. | 511,455 | ||||||||
11,200 | AptarGroup, Inc. | 718,480 | ||||||||
316,200 | Bally Technologies, Inc. * | 25,071,498 | ||||||||
299,200 | Baxter International, Inc. | 22,434,016 | ||||||||
109,800 | Becton, Dickinson and Co. | 12,865,266 | ||||||||
411,200 | Bed Bath & Beyond, Inc. * | 26,423,712 | ||||||||
56,800 | Biogen Idec, Inc. * | 19,484,672 | ||||||||
24,200 | Brown-Forman Corp. – Class B | 2,242,372 | ||||||||
156,400 | CA, Inc. | 4,416,736 | ||||||||
63,700 | Cerner Corp. * | 3,672,942 | ||||||||
798,000 | Chevron Corp. | 103,301,100 | ||||||||
66,300 | Church & Dwight Co., Inc. | 4,524,312 | ||||||||
79,400 | CH Robinson Worldwide, Inc. | 5,419,844 | ||||||||
2,915,900 | Cisco Systems, Inc. | 72,868,341 | ||||||||
102,600 | Citrix Systems, Inc. * | 7,208,676 | ||||||||
11,600 | Clarcor, Inc. | 733,236 | ||||||||
177,000 | Coach, Inc. | 6,518,910 | ||||||||
2,070,500 | Coca-Cola Co. (The) | 86,381,260 | ||||||||
300,100 | Cognizant Technology Solutions Corp. – Class A * | 13,723,573 | ||||||||
473,200 | Colgate-Palmolive Co. | 30,630,236 | ||||||||
293,700 | ConocoPhillips | 23,854,314 | ||||||||
159,600 | Costco Wholesale Corp. | 19,324,368 | ||||||||
3,145,578 | Covidien Plc | 273,130,538 | ||||||||
37,700 | CR Bard, Inc. | 5,596,188 | ||||||||
309,500 | Danaher Corp. | 23,710,795 | ||||||||
71,600 | Denbury Resources, Inc. | 1,232,952 | ||||||||
16,100 | Devon Energy Corp. | 1,214,262 | ||||||||
1,347,000 | DIRECTV * | 116,448,150 | ||||||||
29,800 | Donaldson Co., Inc. | 1,247,428 | ||||||||
59,000 | Dover Corp. | 5,184,330 | ||||||||
663,500 | eBay, Inc. * | 36,824,250 | ||||||||
23,300 | Edwards Lifesciences Corp. * | 2,312,758 | ||||||||
224,100 | Eli Lilly & Co. | 14,243,796 | ||||||||
1,268,200 | EMC Corp. | 37,449,946 | ||||||||
419,700 | Emerson Electric Co. | 26,869,194 | ||||||||
27,200 | Equifax, Inc. | 2,142,272 | ||||||||
25,400 | Estee Lauder Cos., Inc. (The) – Class A | 1,951,482 | ||||||||
70,300 | Expeditors International of Washington, Inc. | 2,903,390 | ||||||||
1,978,992 | Express Scripts Holding Co. * | 146,306,879 | ||||||||
510,400 | Exxon Mobil Corp. | 50,764,384 | ||||||||
37,100 | F5 Networks, Inc. * | 4,607,449 | ||||||||
8,500 | FactSet Research Systems, Inc. | 1,082,900 | ||||||||
48,300 | Fastenal Co. | 2,187,024 | ||||||||
10,800 | Fossil Group, Inc. * | 1,093,932 | ||||||||
118,200 | General Mills, Inc. | 6,309,516 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
46,900 | Gentex Corp. | 1,385,895 | ||||||||
76,100 | Genuine Parts Co. | 6,677,014 | ||||||||
18,900 | Global Payments, Inc. | 1,374,408 | ||||||||
137,300 | Google, Inc. – Class A * | 79,958,028 | ||||||||
56,300 | Google, Inc. – Class C * | 32,181,080 | ||||||||
12,900 | Grand Canyon Education, Inc. * | 557,796 | ||||||||
35,100 | Hasbro, Inc. | 1,848,191 | ||||||||
12,400 | Heartland Express, Inc. | 290,780 | ||||||||
36,200 | Henry Schein, Inc. * | 4,332,778 | ||||||||
99,100 | Herbalife Ltd. | 5,052,118 | ||||||||
15,600 | Hershey Co. (The) | 1,426,152 | ||||||||
16,300 | Hess Corp. | 1,647,930 | ||||||||
312,600 | Hewlett-Packard Co. | 11,878,800 | ||||||||
41,700 | Hormel Foods Corp. | 2,113,356 | ||||||||
15,900 | Hubbell, Inc. – Class B | 1,922,310 | ||||||||
2,928,706 | Hudson City Bancorp, Inc. | 28,906,328 | ||||||||
90,100 | Humana, Inc. | 11,599,474 | ||||||||
207,300 | Illinois Tool Works, Inc. | 18,285,933 | ||||||||
533,300 | International Business Machines Corp. | 102,553,590 | ||||||||
4,431,000 | International Game Technology | 74,706,660 | ||||||||
117,700 | Intuit, Inc. | 9,790,286 | ||||||||
8,000 | Intuitive Surgical, Inc. * | 3,760,080 | ||||||||
4,200 | J&J Snack Foods Corp. | 397,782 | ||||||||
25,000 | Jack Henry & Associates, Inc. | 1,445,250 | ||||||||
978,500 | Johnson & Johnson | 101,499,805 | ||||||||
1,530,900 | JPMorgan Chase & Co. | 91,012,005 | ||||||||
28,700 | Laboratory Corp. of America Holdings * | 3,077,501 | ||||||||
5,600 | Lancaster Colony Corp. | 495,096 | ||||||||
14,400 | Landstar System, Inc. | 977,256 | ||||||||
94,900 | Linear Technology Corp. | 4,280,939 | ||||||||
1,067,300 | Lorillard, Inc. | 63,717,810 | ||||||||
104,891 | Magnachip Semiconductor Corp. * | 1,293,306 | ||||||||
106,800 | Marathon Oil Corp. | 4,452,492 | ||||||||
14,500 | Masimo Corp. * | 325,380 | ||||||||
91,700 | Mastercard, Inc. – Class A | 6,951,777 | ||||||||
184,400 | Mattel, Inc. | 6,359,956 | ||||||||
34,800 | McCormick & Co., Inc. (Non Voting) | 2,425,212 | ||||||||
389,100 | McDonald’s Corp. | 36,466,452 | ||||||||
19,300 | Mednax, Inc. * | 1,104,925 | ||||||||
145,281 | Medtronic, Inc. | 9,276,192 | ||||||||
7,900 | Mettler-Toledo International, Inc. * | 2,136,792 | ||||||||
24,100 | Micros Systems, Inc. * | 1,638,077 | ||||||||
2,858,500 | Microsoft Corp. | 129,861,655 | ||||||||
266,100 | Monsanto Co. | 30,774,465 |
12 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
17,200 | Monster Beverage Corp. * | 1,520,652 | ||||||||
12,000 | MSC Industrial Direct Co., Inc. – Class A | 1,081,680 | ||||||||
27,800 | Murphy Oil Corp. | 1,736,666 | ||||||||
96,100 | NetApp, Inc. | 4,051,576 | ||||||||
20,100 | NeuStar, Inc. – Class A * | 592,749 | ||||||||
15,700 | Newfield Exploration Co. * | 703,674 | ||||||||
339,700 | Nike, Inc. – Class B | 26,683,435 | ||||||||
125,600 | Occidental Petroleum Corp. | 13,028,488 | ||||||||
13,000 | Oceaneering International, Inc. | 904,280 | ||||||||
3,421,500 | Oracle Corp. | 142,094,895 | ||||||||
29,300 | Pall Corp. | 2,472,041 | ||||||||
27,900 | Patterson Cos., Inc. | 1,123,533 | ||||||||
119,200 | Paychex, Inc. | 4,964,680 | ||||||||
344,900 | PepsiCo, Inc. | 31,899,801 | ||||||||
1,819,500 | Philip Morris International, Inc. | 155,712,810 | ||||||||
15,500 | Polaris Industries, Inc. | 2,253,390 | ||||||||
66,100 | Precision Castparts Corp. | 16,132,366 | ||||||||
1,064,100 | Procter & Gamble Co. (The) | 88,437,351 | ||||||||
956,500 | Qualcomm, Inc. | 72,789,650 | ||||||||
27,100 | Ralph Lauren Corp. | 4,585,320 | ||||||||
22,300 | Red Hat, Inc. * | 1,358,516 | ||||||||
22,600 | ResMed, Inc. | 1,198,930 | ||||||||
168,400 | Reynolds American, Inc. | 9,846,348 | ||||||||
57,700 | Rockwell Automation, Inc. | 6,728,397 | ||||||||
13,300 | Rockwell Collins, Inc. | 1,023,834 | ||||||||
23,000 | Roper Industries, Inc. | 3,462,880 | ||||||||
31,000 | Ross Stores, Inc. | 2,338,020 | ||||||||
1,001,000 | Safeway, Inc. | 34,814,780 | ||||||||
46,500 | Sigma-Aldrich Corp. | 4,836,000 | ||||||||
150,900 | St Jude Medical, Inc. | 9,897,531 | ||||||||
17,200 | Steven Madden Ltd. * | 584,628 | ||||||||
15,100 | Stone Energy Corp. * | 531,369 | ||||||||
164,600 | Stryker Corp. | 13,712,826 | ||||||||
237,200 | Sysco Corp. | 8,973,276 | ||||||||
10,200 | Techne Corp. | 974,304 | ||||||||
282,300 | Teradata Corp. * | 12,892,641 | ||||||||
24,700 | Texas Roadhouse, Inc. | 656,773 | ||||||||
16,300 | Tiffany & Co. | 1,645,322 | ||||||||
741,000 | Time Warner Cable, Inc. | 109,616,130 | ||||||||
168,000 | TJX Cos, Inc. (The) | 10,014,480 | ||||||||
65,400 | Total System Services, Inc. | 2,057,484 | ||||||||
322,500 | Trulia, Inc. * | 19,875,675 | ||||||||
16,900 | Tupperware Brands Corp. | 1,238,094 | ||||||||
9,400 | United Natural Foods, Inc. * | 604,326 | ||||||||
533,700 | UnitedHealth Group, Inc. | 46,261,116 | ||||||||
31,300 | Urban Outfitters, Inc. * | 1,245,427 | ||||||||
40,000 | Varian Medical Systems, Inc. * | 3,400,800 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
165,500 | VF Corp. | 10,611,860 | ||||||||
22,000 | Wabtec Corp. | 1,833,920 | ||||||||
512,900 | Wal-Mart Stores, Inc. | 38,723,950 | ||||||||
23,500 | Waters Corp. * | 2,430,605 | ||||||||
83,000 | WellPoint, Inc. | 9,670,330 | ||||||||
591,300 | Wells Fargo & Co. | 30,416,472 | ||||||||
9,900 | Whiting Petroleum Corp. * | 917,334 | ||||||||
31,600 | Williams Partners LP | 1,675,116 | ||||||||
53,900 | WPX Energy, Inc. * | 1,434,818 | ||||||||
25,600 | WW Grainger, Inc. | 6,302,720 | ||||||||
156,300 | Xilinx, Inc. | 6,603,675 | ||||||||
71,000 | Zimmer Holdings, Inc. | 7,051,010 | ||||||||
|
| |||||||||
Total United States | 3,670,439,109 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $8,147,232,727) | 8,596,815,229 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 2.2% | ||||||||||
Brazil — 1.3% | ||||||||||
659,200 | AES Tiete SA | 5,924,996 | ||||||||
358,890 | Banco Bradesco SA | 6,547,718 | ||||||||
512,210 | Banco Bradesco SA ADR | 9,342,710 | ||||||||
575,900 | Banco do Estado do Rio Grande do Sul SA – Class B | 3,974,829 | ||||||||
109,550 | Bradespar SA | 1,000,803 | ||||||||
171,800 | Companhia de Transmissao de Energia Eletrica Paulista | 2,502,747 | ||||||||
1,443,539 | Companhia Energetica de Minas Gerais Sponsored ADR | 12,400,000 | ||||||||
322,200 | Companhia Energetica de Sao Paulo – Class B | 4,561,322 | ||||||||
243,200 | Companhia Paranaense de Energia – Class B | 4,308,828 | ||||||||
160,100 | Companhia Paranaense de Energia Sponsored ADR | 2,849,780 | ||||||||
1,587,427 | Companhia Energetica de Minas Gerais | 13,587,269 | ||||||||
734,100 | Eletropaulo Metropolitana SA | 3,377,811 | ||||||||
899,300 | Gerdau SA | 5,206,579 | ||||||||
335,700 | Gerdau SA Sponsored ADR | 1,943,703 | ||||||||
28,200 | Gol Linhas Aereas Inteligentes SA ADR | 173,430 | ||||||||
538,716 | Itau Unibanco Holding SA | 9,713,012 | ||||||||
600,666 | Itau Unibanco Holding SA ADR | 10,811,988 | ||||||||
3,879,108 | Itausa-Investimentos Itau SA | 18,888,665 | ||||||||
438,100 | Metalurgica Gerdau SA | 3,103,983 | ||||||||
5,257,600 | Oi SA | 3,405,638 | ||||||||
1,417,200 | Oi SA ADR | 949,524 | ||||||||
331,100 | Telefonica Brasil SA | 7,077,568 |
See accompanying notes to the financial statements. | 13 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
653,000 | Telefonica Brasil SA ADR | 13,974,200 | ||||||||
197,100 | Tim Participacoes SA ADR | 5,514,858 | ||||||||
1,173,100 | Vale SA | 13,609,742 | ||||||||
74,800 | Vale SA Sponsored ADR | 871,420 | ||||||||
|
| |||||||||
Total Brazil | 165,623,123 | |||||||||
|
| |||||||||
Germany — 0.6% | ||||||||||
237,053 | Porsche Automobil Holding SE | 21,634,493 | ||||||||
247,721 | Volkswagen AG | 55,832,586 | ||||||||
|
| |||||||||
Total Germany | 77,467,079 | |||||||||
|
| |||||||||
Russia — 0.2% | ||||||||||
2,316,641 | Sberbank * | 3,462,153 | ||||||||
30,035,134 | Surgutneftegaz OJSC * | 22,153,584 | ||||||||
1,923 | Transneft * | 4,239,877 | ||||||||
|
| |||||||||
Total Russia | 29,855,614 | |||||||||
|
| |||||||||
South Korea — 0.1% | ||||||||||
22,655 | Hyundai Motor Co | 3,509,149 | ||||||||
20,888 | Hyundai Motor Co | 3,091,409 | ||||||||
10,907 | Samsung Electronics Co Ltd | 10,983,436 | ||||||||
163 | Samsung Electronics Co Ltd GDR (Registered) | 81,085 | ||||||||
|
| |||||||||
Total South Korea | 17,665,079 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $276,015,334) | 290,610,895 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
France — 0.0% | ||||||||||
864,865 | Peugeot SA Warrants, Expires 04/29/17 * | 1,831,860 | ||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
61,589 | Sun Hung Kai Properties Ltd Warrants, Expires 04/22/16 * | 151,786 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $1,106,602) | 1,983,646 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 0.1% | ||||||||||
Thailand — 0.0% | ||||||||||
850,940 | BTS Rail Mass Transit Growth Infrastructure Fund | 274,445 | ||||||||
818,900 | TRUE Telecommunication Growth Infrastructure Fund | 261,543 | ||||||||
|
| |||||||||
Total Thailand | 535,988 | |||||||||
|
|
Shares / Par Value ($) / Number of Contracts | Description | Value ($) | ||||||||
United States — 0.1% | ||||||||||
164,921 | iShares MSCI Emerging Markets ETF | 7,431,340 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $8,036,110) | 7,967,328 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 7.4% | ||||||||||
United States — 7.4% | ||||||||||
Asset-Backed Securities — 0.0% | ||||||||||
1,599,399 | American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52 | 1,599 | ||||||||
2,500,000 | Toll Road Investment Part II, Series C, 144A, NPFG, Zero Coupon, due 02/15/37 | 572,500 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 574,099 | |||||||||
|
| |||||||||
U.S. Government — 7.4% | ||||||||||
939,360,912 | U.S. Treasury Inflation Indexed Bonds 1.88%, due 07/15/15 (c) | 964,973,527 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $968,229,630) | 965,547,626 | |||||||||
|
| |||||||||
OPTIONS PURCHASED — 0.1% | ||||||||||
Currency Options — 0.0% | ||||||||||
USD | 79,000,000 | USD Put/JPY Call, Expires 11/20/14, Strike 98.90, (OTC) (CP – DB) | 96,143 | |||||||
USD | 79,000,000 | USD Call/JPY Put, Expires 11/20/14, Strike 103.60, (OTC) (CP – DB) | 1,104,341 | |||||||
USD | 82,000,000 | USD Call/JPY Put, Expires 02/19/15, Strike 106.13, (OTC) (CP – MSCI) | 857,720 | |||||||
USD | 82,000,000 | USD Put/JPY Call, Expires 02/19/15, Strike 98.95, (OTC) (CP – MSCI) | 433,862 | |||||||
|
| |||||||||
Total Currency Options | 2,492,066 | |||||||||
|
| |||||||||
Equity Options — 0.0% | ||||||||||
1,400 | Zillow, Inc. Put, Expires 02/20/15, Strike 150.00 | 3,500,000 | ||||||||
|
|
14 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Principal Amount / Par Value ($) | Description | Value ($) | ||||||||
Options on Interest Rate Swaps — 0.1% | ||||||||||
USD | 77,400,000 | USD Swaption Put, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 77,400,000 USD in which it will pay a rate of 2.69% and will receive 3 month USD LIBOR, maturing on 10/21/24. (OTC) (CP – JPM) | 278,408 | |||||||
USD | 77,400,000 | USD Swaption Call, Expires 10/17/14, Strike 2.69, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 77,400,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.69%, maturing on 10/21/24. (OTC) (CP – JPM) | 1,295,521 | |||||||
USD | 234,100,000 | USD Swaption Call, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 234,100,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.52%, maturing on 10/01/24. (OTC) (CP – GS) | 1,431,990 | |||||||
USD | 234,100,000 | USD Swaption Put, Expires 09/29/14, Strike 2.52, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 234,100,000 USD in which it will pay a rate of 2.52% and will receive 3 month USD LIBOR, maturing on 10/01/24. (OTC) (CP – GS) | 1,637,529 | |||||||
|
| |||||||||
Total Options on Interest Rate Swaps | 4,643,448 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $10,370,208) | 10,635,514 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 24.1% | ||||||||||
Money Market Funds — 0.3% | ||||||||||
39,709,309 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (d) | 39,709,309 | ||||||||
|
| |||||||||
U.S. Government — 23.8% | ||||||||||
125,000,000 | U.S. Treasury Bill, 0.03%, due 09/18/14 (e) | 124,998,219 |
Par Value ($) / Shares | Description | Value ($) | ||||||||
U.S. Government — continued | ||||||||||
476,700,000 | U.S. Treasury Bill, 0.03%, due 11/06/14 (e) | 476,678,548 | ||||||||
339,570,000 | U.S. Treasury Bill, 0.02%, due 12/11/14 (e) | 339,550,984 | ||||||||
665,000,000 | U.S. Treasury Bill, 0.02%, due 01/08/15 (e) | 664,952,785 | ||||||||
75,000,000 | U.S. Treasury Bill, 0.03%, due 11/28/14 (e) | 74,995,050 | ||||||||
720,000,000 | U.S. Treasury Bill, 0.02%, due 12/04/14 (e) (f) | 719,971,920 | ||||||||
525,118,000 | U.S. Treasury Bill, 0.03%, due 12/26/14 (e) (f) | 525,067,589 | ||||||||
200,000,000 | U.S. Treasury Bill, 0.03%, due 01/15/15 (e) | 199,981,200 | ||||||||
|
| |||||||||
Total U.S. Government | 3,126,196,295 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $3,165,725,738) | 3,165,905,604 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.5% (Cost $12,576,716,349) | 13,039,465,842 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (11.1)% | ||||||||||
COMMON STOCKS — (4.5)% | ||||||||||
Italy — (0.1)% | ||||||||||
(494,946 | ) | GTECH SpA | (11,801,992 | ) | ||||||
|
| |||||||||
Switzerland — (0.0)% | ||||||||||
(19,000 | ) | Holcim Ltd (Registered) * | (1,512,240 | ) | ||||||
|
| |||||||||
United States — (4.4)% | ||||||||||
(1,760,102 | ) | AbbVie, Inc. | (97,298,439 | ) | ||||||
(26,860 | ) | Access Midstream Partners LP | (1,728,441 | ) | ||||||
(3,152,142 | ) | Applied Materials, Inc. | (72,830,241 | ) | ||||||
(1,755,922 | ) | AT&T, Inc. | (61,387,033 | ) | ||||||
(228,225 | ) | Burger King Worldwide, Inc. | (7,312,329 | ) | ||||||
(2,130,375 | ) | Comcast Corp. – Class A | (116,595,424 | ) | ||||||
(33,780 | ) | Liberty Global Plc * | (1,416,395 | ) | ||||||
(13,692 | ) | Liberty Global Plc – Class A * | (597,930 | ) | ||||||
(246,097 | ) | M&T Bank Corp. | (30,424,972 | ) | ||||||
(2,731,176 | ) | Medtronic, Inc. | (174,385,588 | ) | ||||||
(310,391 | ) | Reynolds American, Inc. | (18,148,561 | ) | ||||||
|
| |||||||||
Total United States | (582,125,353 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $581,260,383) | (595,439,585 | ) | ||||||||
|
|
See accompanying notes to the financial statements. | 15 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||
DEBT OBLIGATIONS — (6.6)% | ||||||||
United States — (6.6)% | ||||||||
U.S. Government Agency — (6.6)% | ||||||||
(815,200,000) | Federal National Mortgage Association, TBA, 4.00%, 02/01/42 | (863,857,250 | ) | |||||
|
| |||||||
TOTAL DEBT OBLIGATIONS (PROCEEDS $858,311,219) | (863,857,250 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,439,571,602) | (1,459,296,835 | ) | ||||||
|
| |||||||
Other Assets and Liabilities (net) — 11.6% | 1,530,933,657 | |||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $13,111,102,664 | |||||||
|
|
A summary of outstanding financial instruments at August 31, 2014 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
10/31/2014 | BOA | CAD | 9,471,300 | USD | 8,708,313 | $ | 9,342 | |||||||||||||||
10/31/2014 | DB | CAD | 9,156,900 | USD | 8,347,532 | (62,676 | ) | |||||||||||||||
10/28/2014 | BCLY | EUR | 47,562,500 | USD | 63,106,401 | 590,070 | ||||||||||||||||
10/28/2014 | BOA | EUR | 35,671,875 | USD | 47,361,834 | 474,586 | ||||||||||||||||
10/28/2014 | DB | EUR | 107,015,625 | USD | 142,136,066 | 1,474,322 | ||||||||||||||||
10/31/2014 | BOA | EUR | 660,000 | USD | 881,489 | 13,964 | ||||||||||||||||
10/31/2014 | BBH | GBP | 6,774,768 | USD | 11,394,665 | 152,865 | ||||||||||||||||
10/31/2014 | BCLY | GBP | 1,613,040 | USD | 2,710,292 | 33,673 | ||||||||||||||||
10/31/2014 | BOA | GBP | 16,130,400 | USD | 26,742,816 | (23,375 | ) | |||||||||||||||
10/31/2014 | GS | GBP | 15,983,760 | USD | 26,936,312 | 413,449 | ||||||||||||||||
10/31/2014 | JPM | GBP | 7,507,968 | USD | 12,640,514 | 182,069 | ||||||||||||||||
09/02/2014 | BCLY | JPY | 837,700,000 | USD | 8,182,838 | 131,514 | ||||||||||||||||
09/02/2014 | CITI | JPY | 15,900,000,000 | USD | 156,684,248 | 3,865,756 | ||||||||||||||||
09/02/2014 | DB | JPY | 10,500,000,000 | USD | 103,530,184 | 2,612,312 | ||||||||||||||||
09/02/2014 | JPM | JPY | 1,100,000,000 | USD | 10,849,209 | 276,860 | ||||||||||||||||
10/31/2014 | BCLY | JPY | 9,493,129,500 | USD | 91,379,554 | 99,715 | ||||||||||||||||
10/31/2014 | DB | JPY | 9,351,441,000 | USD | 90,116,999 | 199,546 | ||||||||||||||||
10/31/2014 | GS | JPY | 9,493,129,500 | USD | 91,369,880 | 90,041 | ||||||||||||||||
09/09/2014 | BCLY | SEK | 507,000,000 | USD | 74,108,451 | 1,569,787 | ||||||||||||||||
09/02/2014 | BCLY | USD | 91,341,571 | JPY | 9,493,129,500 | (100,959 | ) | |||||||||||||||
09/02/2014 | DB | USD | 90,080,106 | JPY | 9,351,441,000 | (201,294 | ) | |||||||||||||||
09/02/2014 | GS | USD | 91,332,783 | JPY | 9,493,129,500 | (92,171 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 11,709,396 | |||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
7,998 | Euro Dollar 90 Day | December 2014 | $ | 1,648,117,389 | $ | 2,191,923 | ||||||
8,895 | Euro Dollar 90 Day | June 2015 | 1,826,221,300 | 548,032 | ||||||||
378 | U.S. Long Bond (CBT) | December 2014 | 52,955,438 | 192,456 | ||||||||
3,002 | U.S. Treasury Note 5 Yr. (CBT) | December 2014 | 356,745,486 | 735,421 | ||||||||
2,436 | U.S. Treasury Note 10 Yr. (CBT) | December 2014 | 306,403,125 | 872,100 | ||||||||
|
|
|
| |||||||||
$ | 4,190,442,738 | $ | 4,539,932 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
4,021 | Canadian Government Bond 10 Yr. | December 2014 | $ | 507,867,129 | $ | (3,490,086 | ) | |||||
8,205 | Euro Dollar 90 Day | September 2015 | 1,681,238,016 | (554,310 | ) | |||||||
690 | Euro Dollar 90 Day | December 2015 | 141,118,921 | (66,821 | ) | |||||||
910 | Japanese Government Bond 10 Yr. (OSE) | September 2014 | 1,278,959,104 | (2,688,850 | ) | |||||||
|
|
|
| |||||||||
$ | 3,609,183,170 | $ | (6,800,067 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the underlying asset to the contract. Sales - Fund is short the underlying asset to the contract. |
16 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Written Options
Number of Contracts | Expiration Date | Description | Premiums | Market Value | ||||||||||||
Call | 1,400 | 02/20/2015 | Zillow, Inc., Strike 170 | $ | 2,221,163 | $ | (1,414,000 | ) | ||||||||
|
|
|
|
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
168,000,000 | CHF | 9/17/2024 | BCI (g) | (Pay) | 1.45% | 6 Month CHF LIBOR | $ | (11,461,677 | ) | |||||||||
473,000,000 | GBP | 7/16/2024 | BCI (g) | (Pay) | 3.45% | 6 Month GBP LIBOR | (17,218,621 | ) | ||||||||||
1,329,000,000 | MXN | 8/11/2021 | BCI (g) | Receive | 5.54% | TIIE | (202,671 | ) | ||||||||||
664,000,000 | MXN | 8/12/2021 | BCI (g) | Receive | 5.60% | TIIE | 68,658 | |||||||||||
669,000,000 | MXN | 8/19/2021 | BCI (g) | Receive | 5.61% | TIIE | 96,589 | |||||||||||
32,000,000 | NZD | 7/21/2024 | BCI (g) | Receive | 5.20% | 3 Month NZD Bank Bill Rate | 368,736 | |||||||||||
415,000,000 | SEK | 8/5/2016 | BCI (g) | Receive | 0.63% | 3 Month SEK STIBOR | 101,211 | |||||||||||
940,000,000 | SEK | 8/6/2016 | BCI (g) | Receive | 0.62% | 3 Month SEK STIBOR | 201,975 | |||||||||||
1,109,000,000 | SEK | 8/7/2016 | BCI (g) | Receive | 0.63% | 3 Month SEK STIBOR | 276,575 | |||||||||||
469,000,000 | SEK | 8/11/2016 | BCI (g) | Receive | 0.62% | 3 Month SEK STIBOR | 105,737 | |||||||||||
710,000,000 | SEK | 8/13/2016 | BCI (g) | Receive | 0.63% | 3 Month SEK STIBOR | 168,085 | |||||||||||
257,000,000 | SEK | 8/13/2016 | BCI (g) | Receive | 0.63% | 3 Month SEK STIBOR | 64,048 | |||||||||||
796,000,000 | SEK | 8/15/2016 | BCI (g) | Receive | 0.63% | 3 Month SEK STIBOR | 181,239 | |||||||||||
1,354,000,000 | SEK | 8/18/2016 | BCI (g) | Receive | 0.62% | 3 Month SEK STIBOR | 293,096 | |||||||||||
796,000,000 | SEK | 8/19/2016 | BCI (g) | Receive | 0.62% | 3 Month SEK STIBOR | 174,343 | |||||||||||
1,255,000,000 | SEK | 8/20/2016 | BCI (g) | Receive | 0.63% | 3 Month SEK STIBOR | 279,955 | |||||||||||
1,000,000,000 | SEK | 8/21/2016 | BCI (g) | Receive | 0.61% | 3 Month SEK STIBOR | 179,199 | |||||||||||
790,000,000 | SEK | 9/17/2021 | BCI (g) | Receive | 1.50% | 3 Month SEK STIBOR | 1,295,590 | |||||||||||
1,938,600,000 | USD | 7/16/2019 | CSS (g) | Receive | 3.09% | 3 Month USD LIBOR | 3,946,303 | |||||||||||
271,000,000 | USD | 7/24/2021 | CSS (g) | Receive | 3.34% | 3 Month USD LIBOR | 981,340 | |||||||||||
336,000,000 | USD | 7/24/2021 | CSS (g) | Receive | 3.33% | 3 Month USD LIBOR | 1,186,573 | |||||||||||
335,000,000 | USD | 7/24/2021 | CSS (g) | Receive | 3.40% | 3 Month USD LIBOR | 1,558,474 | |||||||||||
335,000,000 | USD | 7/29/2021 | CSS (g) | Receive | 3.32% | 3 Month USD LIBOR | 1,109,036 | |||||||||||
345,000,000 | USD | 7/29/2021 | CSS (g) | Receive | 3.34% | 3 Month USD LIBOR | 1,280,997 | |||||||||||
340,000,000 | USD | 7/30/2021 | CSS (g) | Receive | 3.32% | 3 Month USD LIBOR | 1,138,368 | |||||||||||
408,000,000 | USD | 8/5/2021 | CSS (g) | Receive | 3.46% | 3 Month USD LIBOR | 2,349,548 | |||||||||||
83,800,000 | USD | 8/5/2024 | CSS (g) | Receive | 2.62% | 3 Month USD LIBOR | 1,021,424 | |||||||||||
83,800,000 | USD | 8/5/2024 | CSS (g) | Receive | 2.64% | 3 Month USD LIBOR | 1,142,951 | |||||||||||
98,000,000 | USD | 8/7/2024 | CSS (g) | Receive | 2.63% | 3 Month USD LIBOR | 1,280,047 | |||||||||||
46,200,000 | USD | 8/11/2024 | CSS (g) | (Pay) | 2.59% | 3 Month USD LIBOR | (408,256 | ) | ||||||||||
43,500,000 | USD | 8/12/2024 | CSS (g) | (Pay) | 2.55% | 3 Month USD LIBOR | (236,568 | ) | ||||||||||
59,700,000 | USD | 8/13/2024 | CSS (g) | Receive | 2.60% | 3 Month USD LIBOR | 530,488 | |||||||||||
61,800,000 | USD | 8/15/2024 | CSS (g) | (Pay) | 2.57% | 3 Month USD LIBOR | (417,244 | ) | ||||||||||
55,300,000 | USD | 8/19/2024 | CSS (g) | (Pay) | 2.53% | 3 Month USD LIBOR | (192,880 | ) | ||||||||||
136,500,000 | USD | 8/20/2024 | CSS (g) | Receive | 2.63% | 3 Month USD LIBOR | 1,732,497 | |||||||||||
17,000,000 | USD | 8/27/2024 | CSS (g) | (Pay) | 2.53% | 3 Month USD LIBOR | (58,534 | ) |
See accompanying notes to the financial statements. | 17 |
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2014 (Unaudited)
Interest Rate Swaps (continued)
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
28,000,000 | USD | 7/24/2049 | CSS (g) | (Pay) | 3.66% | 3 Month USD LIBOR | $ | (1,030,802 | ) | |||||||||
35,000,000 | USD | 7/24/2049 | CSS (g) | (Pay) | 3.67% | 3 Month USD LIBOR | (1,335,123 | ) | ||||||||||
35,000,000 | USD | 7/29/2049 | CSS (g) | (Pay) | 3.33% | 3 Month USD LIBOR | (1,217,662 | ) | ||||||||||
36,000,000 | USD | 7/29/2049 | CSS (g) | (Pay) | 3.66% | 3 Month USD LIBOR | (1,316,379 | ) | ||||||||||
35,000,000 | USD | 7/29/2049 | CSS (g) | (Pay) | 3.72% | 3 Month USD LIBOR | (1,652,722 | ) | ||||||||||
36,000,000 | USD | 7/30/2049 | CSS (g) | (Pay) | 3.62% | 3 Month USD LIBOR | (1,098,641 | ) | ||||||||||
43,000,000 | USD | 8/5/2049 | CSS (g) | (Pay) | 3.73% | 3 Month USD LIBOR | (2,128,687 | ) | ||||||||||
|
| |||||||||||||||||
$ | (16,863,385 | ) | ||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | 8,227,581 | ||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
CDO - Collateralized Debt Obligation
CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.
CMBS - Commercial Mortgage Backed Security
CP - Counterparty
ETF - Exchange-Traded Fund
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDR - Global Depository Receipt
LIBOR - London Interbank Offered Rate
NPFG - National Public Finance Guarantee Corporation
OJSC - Open Joint-Stock Company
OTC - Over-the-Counter
REIT - Real Estate Investment Trust
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
TBA - To Be Announced - Delayed Delivery Security
TIIE - Tasa de Interes Interbacaria de Equilibrio – 28 – Day Interbank Equilibrium Interest Rate – Mexico
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2). |
(c) | Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2). |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2014. Note: Yield rounds to 0.00%. |
(e) | The rate shown represents yield-to-maturity. |
(f) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(g) | Interest rate swap was cleared through the CME Group. |
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co.
BCI - Barclays Capital Inc.
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CITI - Citibank N.A.
CSS - Credit Suisse Securities (USA) LLC
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
MXN - Mexican Peso
NZD - New Zealand Dollar
SEK - Swedish Krona
USD - United States Dollar
18 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Statement of Assets and Liabilities — August 31, 2014 (Unaudited)
Assets: | ||||
Investments, at value (Note 2)(a) | $ | 13,039,465,842 | ||
Foreign currency, at value (Note 2)(b) | 8,894,148 | |||
Receivable for investments sold | 2,942,577 | |||
Receivable for investments sold short | 861,786,641 | |||
Receivable for Fund shares sold | 21,316,257 | |||
Dividends and interest receivable | 20,728,859 | |||
Foreign taxes receivable | 7,282,246 | |||
Unrealized appreciation on open forward currency contracts (Note 4) | 12,189,871 | |||
Receivable for variation margin on open futures contracts (Note 4) | 463,050 | |||
Receivable for variation margin on open cleared swap contracts (Note 4) | 361,178 | |||
Due from broker (Note 2) | 623,552,355 | |||
Receivable for expenses reimbursed and/or waived by Manager (Note 5) | 366,616 | |||
Miscellaneous receivable | 5,121 | |||
|
| |||
Total assets | 14,599,354,761 | |||
|
| |||
Liabilities: | ||||
Investments sold short, at value(c) | 1,459,296,835 | |||
Payable for investments purchased | 23,165,629 | |||
Accrued capital gain taxes payable (Note 2) | 1,904,023 | |||
Unrealized depreciation on open forward currency contracts (Note 4) | 480,475 | |||
Interest and dividend payable for short sales | 487,482 | |||
Written options outstanding, at value (Note 4)(d) | 1,414,000 | |||
Payable to agents unaffiliated with the Manager | 1,240 | |||
Payable to Trustees and related expenses | 1,845 | |||
Accrued expenses | 1,500,568 | |||
|
| |||
Total liabilities | 1,488,252,097 | |||
|
| |||
Net assets | $ | 13,111,102,664 | ||
|
| |||
Net assets attributable to: | ||||
Core shares | $ | 13,111,102,664 | ||
|
| |||
Shares outstanding: | ||||
Core shares | 984,415,772 | |||
|
| |||
Net asset value per share: | ||||
Core Shares | $ | 13.32 | ||
|
| |||
(a) Cost of investments – unaffiliated issuers: | $ | 12,576,716,349 | ||
(b) Cost of foreign currency: | $ | 8,911,213 | ||
(c) Proceeds from securities sold short: | $ | 1,439,571,602 | ||
(d) Premiums on written options: | $ | 2,221,163 |
See accompanying notes to the financial statements. | 19 |
GMO Implementation Fund
(A Series of GMO Trust)
Statement of Operations — Six Months Ended August 31, 2014 (Unaudited)
Investment Income: | ||||
Dividends (Net of withholding tax)(a) | $ | 134,959,671 | ||
Interest | 36,585,406 | |||
|
| |||
Total investment income | 171,545,077 | |||
|
| |||
Expenses: | ||||
Interest expense (Note 2) | 1,958 | |||
Audit and tax fees | 74,796 | |||
Custodian, fund accounting agent and transfer agent fees | 1,889,036 | |||
Dividend expense on short sales | 503,464 | |||
Legal fees | 97,336 | |||
Trustees fees and related expenses (Note 5) | 62,334 | |||
Miscellaneous | 57,350 | |||
|
| |||
Total expenses | 2,686,274 | |||
Fees and expenses reimbursed and/or waived by Manager (Note 5) | (2,084,395 | ) | ||
|
| |||
Net expenses | 601,879 | |||
|
| |||
Net investment income (loss) | 170,943,198 | |||
|
| |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) on: | ||||
Investments (Net of foreign capital gains tax) (Note 2)(b) | 257,870,759 | |||
Futures contracts | 2,458,905 | |||
Written options | 33,152,318 | |||
Swap contracts | 14,184,388 | |||
Foreign currency, forward contracts and foreign currency related transactions | (33,500,418 | ) | ||
|
| |||
Net realized gain (loss) | 274,165,952 | |||
|
| |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investments (Net of foreign capital gains tax) (Note 2)(c) | 73,755,286 | |||
Securities sold short | (19,725,233 | ) | ||
Futures contracts | (2,260,135 | ) | ||
Written options | (3,229,176 | ) | ||
Swap contracts | (8,635,804 | ) | ||
Foreign currency, forward contracts and foreign currency related transactions | 51,468,828 | |||
|
| |||
Net unrealized gain (loss) | 91,373,766 | |||
|
| |||
Net realized and unrealized gain (loss) | 365,539,718 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | 536,482,916 | ||
|
| |||
(a) Withholding tax: | $ | 12,676,196 | ||
(b) Foreign capital gains tax on net realized gains (loss): | $ | 540,716 | ||
(c) Foreign capital gains tax on change in net unrealized appreciation/(depreciation): | $ | 1,321,970 |
20 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Statements of Changes in Net Assets
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 170,943,198 | $ | 153,985,165 | ||||
Net realized gain (loss) | 274,165,952 | 280,266,308 | ||||||
Change in net unrealized appreciation (depreciation) | 91,373,766 | 228,026,894 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 536,482,916 | 662,278,367 | ||||||
|
|
|
| |||||
Net share transactions (Note 9): | ||||||||
Core Class | 2,413,715,105 | 7,027,298,698 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 2,950,198,021 | 7,689,577,065 | ||||||
Net assets: | ||||||||
Beginning of period | 10,160,904,643 | 2,471,327,578 | ||||||
|
|
|
| |||||
End of period | $ | 13,111,102,664 | $ | 10,160,904,643 | ||||
|
|
|
|
See accompanying notes to the financial statements. | 21 |
GMO Implementation Fund
(A Series of GMO Trust)
(For a share outstanding throughout each period)
Core Shares | |||||||||||||||
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | Period from March 1, 2012 (commencement of operations) through February 28, 2013 | |||||||||||||
Net asset value, beginning of period | $ | 12.71 | $ | 11.30 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)† | 0.19 | 0.32 | 0.24 | ||||||||||||
Net realized and unrealized gain (loss) | 0.42 | 1.09 | 1.06 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.61 | 1.41 | 1.30 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ | 13.32 | $ | 12.71 | $ | 11.30 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(a) | 4.80 | %** | 12.48 | % | 13.00 | % | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net assets, end of period (000’s) | $ | 13,111,103 | $ | 10,160,905 | $ | 2,471,328 | |||||||||
Net operating expenses to average daily net assets | 0.00 | %(b)* | 0.00 | %(b)(c) | 0.00 | %(b) | |||||||||
Interest and dividend expense to average daily net assets(d) | 0.01 | %* | — | — | |||||||||||
Total net expenses to average daily net assets | 0.01 | %* | — | — | |||||||||||
Net investment income (loss) to average daily net assets | 2.87 | %* | 2.61 | % | 2.21 | % | |||||||||
Portfolio turnover rate | 56 | %** | 65 | % | 66 | % | |||||||||
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets: | 0.04 | %* | 0.08 | % | 0.23 | % |
(a) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(b) | Ratio is less than 0.01%. |
(c) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(d) | Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
22 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
August 31, 2014 (Unaudited)
1. | Organization |
Implementation Fund (the “Fund”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).
The Fund may invest in U.S. Treasury Fund and money market funds that are unaffiliated with GMO.
The following table provides information about the Fund’s principal investment objectives and benchmarks (if any):
Benchmark | Principal Investment Objective | |
Not Applicable | Positive total return, not “relative” return |
The Fund currently limits subscriptions.
2. | Significant accounting policies |
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.
Portfolio valuation
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Fund classifies such securities as Level 3 (levels defined below). For the period ended August 31, 2014, the Fund did not reduce the value of any of its over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of its counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Fund that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2014. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
Typically, the Fund values each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by GMO. Although GMO normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price
23
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
supplied is not reliable. Although alternative prices may be available for securities held by the Fund, those alternative sources are not typically part of the valuation process and do not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. See the table below for information about securities for which no alternative pricing source was available. Non-emerging market fixed income securities with a remaining maturity of sixty days or less, may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that the Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.
As discussed above, the Fund invests in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, fair valued using inputs obtained from an independent pricing service or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Fund’s exposure. The net aggregate direct exposure to these valuation methodologies (based on the Fund’s net assets) as of August 31, 2014 is as follows:
Securities and derivatives
Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | Single source; no alternative | ||
< 1% | 37% | < 1% |
U.S. GAAP requires the Fund to disclose the fair value of its investments in a three-level hierarchy (Levels 1, 2, and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to the Fund’s total net assets separately identified in the table below). At August 31, 2014, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations with a remaining maturity of greater than sixty days, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of sixty days or less valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
24
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.
The following is a summary of the respective levels assigned to the Fund’s direct securities and derivatives, if any, as of August 31, 2014:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 37,402,372 | $ | — | $ | 37,402,372 | ||||||||
Austria | — | 15,181,958 | — | 15,181,958 | ||||||||||||
Belgium | — | 26,430,357 | — | 26,430,357 | ||||||||||||
Brazil | 33,686,408 | 127,411,223 | — | 161,097,631 | ||||||||||||
Canada | 39,115,456 | — | — | 39,115,456 | ||||||||||||
Chile | 2,061,329 | 1,652,372 | — | 3,713,701 | ||||||||||||
Colombia | 186,732 | — | — | 186,732 | ||||||||||||
Czech Republic | — | 17,808,136 | — | 17,808,136 | ||||||||||||
Denmark | — | 25,845,428 | — | 25,845,428 | ||||||||||||
Egypt | — | 7,072,567 | — | 7,072,567 | ||||||||||||
Finland | — | 52,756,694 | — | 52,756,694 | ||||||||||||
France | — | 637,592,429 | — | 637,592,429 | ||||||||||||
Germany | — | 483,059,929 | — | 483,059,929 | ||||||||||||
Greece | — | 196,450 | — | 196,450 | ||||||||||||
Hong Kong | — | 29,518,035 | — | 29,518,035 | ||||||||||||
Hungary | — | 7,066,065 | — | 7,066,065 | ||||||||||||
India | 8,273,945 | 150,661,356 | — | 158,935,301 | ||||||||||||
Indonesia | 1,616,706 | 25,811,314 | — | 27,428,020 | ||||||||||||
Ireland | — | 12,970,749 | — | 12,970,749 | ||||||||||||
Israel | 21,100,042 | 13,975,194 | — | 35,075,236 | ||||||||||||
Italy | — | 203,018,858 | — | 203,018,858 | ||||||||||||
Japan | — | 652,228,556 | — | 652,228,556 | ||||||||||||
Malaysia | — | 676,109 | — | 676,109 | ||||||||||||
Mexico | 30,663,268 | — | — | 30,663,268 | ||||||||||||
Netherlands | 3,664,452 | 66,640,987 | 0 | ** | 70,305,439 | |||||||||||
New Zealand | — | 10,300,747 | — | 10,300,747 | ||||||||||||
Norway | — | 69,846,782 | — | 69,846,782 | ||||||||||||
Peru | 12,155,650 | — | — | 12,155,650 | ||||||||||||
Philippines | 348,864 | 1,323,433 | — | 1,672,297 | ||||||||||||
Poland | — | 41,485,546 | — | 41,485,546 | ||||||||||||
Portugal | — | 12,594,387 | — | 12,594,387 | ||||||||||||
Qatar | — | 421,544 | — | 421,544 | ||||||||||||
Russia | 8,764,794 | 222,967,450 | — | 231,732,244 | ||||||||||||
Singapore | — | 21,186,987 | — | 21,186,987 | ||||||||||||
South Africa | 96,481 | 51,779,978 | 252 | 51,876,711 | ||||||||||||
South Korea | 2,722,782 | 294,674,517 | — | 297,397,299 | ||||||||||||
Spain | — | 206,103,130 | — | 206,103,130 | ||||||||||||
Sri Lanka | — | 52,356 | — | 52,356 | ||||||||||||
Sweden | — | 47,423,619 | — | 47,423,619 | ||||||||||||
Switzerland | — | 51,695,444 | — | 51,695,444 | ||||||||||||
Taiwan | 14,025,549 | 202,708,871 | — | 216,734,420 | ||||||||||||
Thailand | — | 55,687,092 | — | 55,687,092 | ||||||||||||
Turkey | 166,788 | 116,532,609 | 2,410,207 | 119,109,604 | ||||||||||||
25
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
United Arab Emirates | $ | — | $ | 1,769,221 | $ | — | $ | 1,769,221 | ||||||||
United Kingdom | 160,000,380 | 581,785,184 | — | 741,785,564 | ||||||||||||
United States | 3,670,439,109 | — | — | 3,670,439,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 4,009,088,735 | 4,585,316,035 | 2,410,459 | 8,596,815,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 58,831,613 | 106,791,510 | — | 165,623,123 | ||||||||||||
Germany | — | 77,467,079 | — | 77,467,079 | ||||||||||||
Russia | — | 29,855,614 | — | 29,855,614 | ||||||||||||
South Korea | — | 17,665,079 | — | 17,665,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 58,831,613 | 231,779,282 | — | 290,610,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
France | 1,831,860 | — | — | 1,831,860 | ||||||||||||
Hong Kong | 151,786 | — | — | 151,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 1,983,646 | — | — | 1,983,646 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Thailand | — | 535,988 | — | 535,988 | ||||||||||||
United States | 7,431,340 | — | — | 7,431,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 7,431,340 | 535,988 | — | 7,967,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | — | 964,973,527 | 574,099 | 965,547,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 964,973,527 | 574,099 | 965,547,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | — | 10,635,514 | — | 10,635,514 | ||||||||||||
Short-Term Investments | 3,040,907,385 | 124,998,219 | — | 3,165,905,604 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 7,118,242,719 | 5,918,238,565 | 2,984,558 | 13,039,465,842 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 12,189,871 | $ | — | $ | 12,189,871 | ||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 4,539,932 | — | — | 4,539,932 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 23,113,082 | — | 23,113,082 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,122,782,651 | $ | 5,953,541,518 | $ | 2,984,558 | $ | 13,079,308,727 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Italy | $ | — | $ | (11,801,992 | ) | $ | — | $ | (11,801,992 | ) | ||||||
Switzerland | — | (1,512,240 | ) | — | (1,512,240 | ) | ||||||||||
United States | (582,125,353 | ) | — | — | | (582,125,353 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (582,125,353 | ) | (13,314,232 | ) | — | (595,439,585 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | (863,857,250 | ) | — | — | (863,857,250 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | (863,857,250 | ) | — | — | (863,857,250 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
26
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liability Valuation Inputs (continued) | ||||||||||||||||
Derivatives* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (480,475 | ) | $ | — | $ | (480,475 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (6,800,067 | ) | — | — | (6,800,067 | ) | ||||||||||
Written Options | ||||||||||||||||
Equity Risk | (1,414,000 | ) | — | — | (1,414,000 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (39,976,467 | ) | — | (39,976,467 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,454,196,670 | ) | $ | (53,771,174 | ) | $ | — | $ | (1,507,967,844 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
* | The table above is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
** | Represents the interest in securities that were determined to have a value of zero at August 31, 2014. |
Investments in other GMO Funds (“underlying funds”), if any, held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For the period ended August 31, 2014, there were no material transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 28, 2014 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3* | Transfer out of Level 3* | Balances as of August 31, 2014 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2014 | |||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
South Africa | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 252 | ** | $ | — | $ | 252 | $ | — | |||||||||||||||||||
Rights and Warrants | ||||||||||||||||||||||||||||||||||||||||
Turkey | — | — | — | — | — | — | 2,410,207 | ** | — | 2,410,207 | — | |||||||||||||||||||||||||||||
South Korea | — | — | (198,932 | ) | — | — | — | 198,932 | **,*** | — | — | — | ||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||||||||||||||||||
United States | 516,099 | — | — | 19,434 | — | 38,566 | — | — | 574,099 | 38,566 | ||||||||||||||||||||||||||||||
Bank Loans | ||||||||||||||||||||||||||||||||||||||||
United States | 1,145,624 | — | (1,157,717 | ) | 4,935 | 6,372 | 786 | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 1,661,723 | $ | — | $ | (1,356,649 | ) | $ | 24,369 | $ | 6,372 | $ | 39,352 | $ | 2,609,391 | $ | — | $ | 2,984,558 | $ | 38,566 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
* | The Fund accounts for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the year. |
** | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
*** | Security transferred into Level 3 is shown at cost. |
27
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Fund’s exposure (based on the Fund’s net assets) as of August 31, 2014 were as follows:
Level 3 securities and derivatives |
< 1% |
Cash
Cash and foreign currency, if any, on the Statement of Assets and Liabilities consists of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statement of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Loan agreements and participations
The Fund may invest in loans to corporate, governmental or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
Repurchase agreements
The Fund may enter into repurchase agreements with banks and broker-dealers. Under a repurchase agreement the Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
Reverse repurchase agreements
The Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
Inflation-indexed bonds
The Fund may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.
28
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will change in the same proportion as changes in nominal interest rates and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond are generally included in the Fund’s gross income, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
Short sales
The Fund may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statement of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is covered. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
Taxes and distributions
For U.S. federal income tax purposes, the Fund is disregarded as an entity separate from its sole shareholder, GMO Benchmark-Free Allocation Fund (“BFAF”), another series of the Trust. BFAF intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. BFAF is treated as owning Implementation Fund’s assets directly for U.S. federal income tax purposes. As such, any income, gain, loss, deduction or other tax items arising in respect of the Fund’s assets will be treated as if they are realized or incurred, as applicable, directly by BFAF. The Fund may make distributions to BFAF in the sole discretion of the Trustees (or their delegates).
The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2014, if any, are reflected as part of Net realized gain (loss) in the Statement of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
As of August 31, 2014, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||
12,599,183,353 | 644,366,772 | (204,084,283) | 440,282,489 |
The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which it invests. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted.
Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income
is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis.
29
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Expenses
Most of the expenses of the Trust are directly attributable to an individual fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds.
State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance the Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statement of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statement of Operations.
3. | Investment and other risks |
Investing in mutual funds involves many risks. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.
An investment in the Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• MARKET RISK. The Fund is subject to market risk, which is the risk that the market value of its holdings will decline. Market risks include:
Equities. The Fund runs the risk that the market prices of its equity investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner. If the Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation of those investments. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Fixed Income Investments. The Fund’s investments in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and the Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease. During periods of economic uncertainty and change, the market price of the Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing the Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Illiquidity Risk” below for more information about these risks.
A risk of the Fund’s investments in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater when the Fund invests in fixed income securities with longer durations.
The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.
30
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. There can be no assurance, however, that the value of inflation-indexed bonds will change in the same proportion as changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, if the Fund has invested a substantial portion of its assets in U.S. Treasury obligations, it will have a negative return unless GMO waives or reduces its management fees.
Market risk for fixed income securities denominated in foreign currencies is also affected by currency risk. See “Currency Risk” below.
Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions, and may have to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
• NON-U.S. INVESTMENT RISK. Because the Fund invests in non-U.S. securities, it is subject to additional and more varied risks than funds whose investments are limited to U.S. securities. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
The Fund and/or its shareholders may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale or other disposition of those investments. The Fund may seek to collect a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. The Fund’s decision to pursue a refund is in its sole discretion, and, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of the Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of the Fund.
Also, investing in non-U.S. securities exposes the Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also will affect the market value of the Fund’s non-U.S. investments (see “Currency Risk” below).
U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, the Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including the Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of GMO’s clients could cause the suspension or revocation of a license and thereby limit the Fund’s investment opportunities.
Because the Fund may invest a significant portion of its assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets), it is subject to greater non-U.S. investment risk than funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in the Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on the Fund’s
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August 31, 2014 (Unaudited)
ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.
• MANAGEMENT AND OPERATIONAL RISK. The Fund is subject to management risk because it relies on GMO’s ability to achieve its investment objective. The Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors or limitations in those analyses and models could affect the Fund’s performance. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Fund also runs the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Fund’s investment objective.
The Fund also is subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent the Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Fund for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Fund. Other Fund service providers also have limitations on their liability to the Fund for losses resulting from their errors.
With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its NAV, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• DERIVATIVES RISK. The Fund may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that changes in their value may not move as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, the Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.
The Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, the Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, the Fund will typically not receive the collateral for one or more days after the collateral is requested by the Fund.
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(A Series of GMO Trust)
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August 31, 2014 (Unaudited)
The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.
Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values the Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.
The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.
There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. The Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.
Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some of the rules are not yet final), its ultimate impact remains unclear.
Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Fund is not a member of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Fund holds cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Fund makes payments (including margin payments) to and receives payments from a clearing house through its accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Fund may be required to provide more margin for cleared derivatives positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to the Fund, a clearing member generally can require termination of an existing cleared derivatives position at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of the Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose the Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, the Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Fund and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for the Fund, the Fund is still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and/or loss of hedging protection. In addition, the documentation governing the relationship between the Fund and clearing members is drafted by the clearing members and generally is less favorable to the Fund than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Fund in favor of the clearing member for losses the clearing member incurs as the Fund’s clearing member and typically does not provide the Fund any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.
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GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Fund. For example, swap execution facilities typically charge fees, and if the Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, the Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If the Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
These and other new rules and regulations could, among other things, further restrict the Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These rules and regulations are new and evolving, so their potential impact on the Fund and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Fund to new kinds of costs and risks.
Options. The Fund is permitted to write options. The market price of written options will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time prior to the option’s expiration, the writer of an American-style option has no control over when it may be required to fulfill its obligations as a writer of the option. (This risk is not present when writing a European-style option because the holder may only exercise the option on its expiration date.) If the Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. The Fund, GMO, and other funds advised by GMO may constitute such a group. These limits could restrict the Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While the Fund has greater flexibility to tailor an OTC option, OTC options generally expose the Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to the Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, the Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders as ordinary income.
Short Investment Exposure. The Fund may make short sales as part of its investment program in an attempt to increase its returns or for hedging purposes. The Fund may make short sales “against the box,” meaning the Fund may make short sales where it owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose the Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund.
In addition, the Fund is permitted to engage in short sales of securities or currencies, including securities or currencies that it does not own. To do so, the Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third-party. If the Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses. The Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies the
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GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. The Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents the Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, the Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent the Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, and emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing the Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of the Fund’s investments. Currency risk includes the risk that the foreign currencies in which the Fund’s investments are traded, in which the Fund receives income, or in which the Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.
The Fund may use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of its portfolio. If the exchange rates of the currencies involved do not move as expected, the Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.
Some currencies are illiquid (e.g., some emerging country currencies), and the Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality), whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when
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GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and if the Fund holds such a security, the Fund is subject to the risk that the investment’s rating will be downgraded.
U.S. government securities historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of the Fund’s investments.
As described under “Market Risk Asset-Backed Securities” below, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk Asset-Backed Securities” below.
The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” above for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by their effective duration.
Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted instruments generally are considered speculative and may involve substantial risks not normally associated with investments in healthier companies, including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, it at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and the Fund may incur additional expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, the Fund may lose a substantial portion or all of its investment or it may be required to accept cash or instruments with a value less than the Fund’s original investment. In the event of default of sovereign debt, the Fund may be unable to pursue legal action against the sovereign issuer.
Market Risk—Asset-Backed Securities. Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.
Funds investing in asset-backed securities are exposed to the risk of severe credit downgrades, illiquidity, and defaults to a greater extent than many other types of fixed income investments. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.
As described under “Market Risk Fixed Income Investments” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a reduction in the payment stream GMO expected the Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may expose the Fund to significantly greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. See “Credit Risk” below for more information about credit risk.
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GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.
The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and the Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease.
The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.
• COUNTERPARTY RISK. To the extent the Fund enters into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or lends its securities, it runs the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Fund is not subject to any limits on its exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions may not be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose the Fund to greater counterparty risk than exchange-traded derivatives. The Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to the Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will still have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when the Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases the Fund’s counterparty risk. To the extent the Fund uses swap contracts, it is subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.
The Fund also is subject to counterparty risk because it executes its securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or be unable to dispose of investments it would prefer to sell, resulting in losses for the Fund.
Counterparty risk with respect to derivatives has been and may continue to be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are
37
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives positions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in instruments permitted under the applicable regulations. Therefore, the Fund might not be fully protected in the event of the bankruptcy of the Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of the funds held in the omnibus account for the relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodity Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Fund’s initial margin, the Fund is subject to the risk that a clearing house will use the Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Fund is therefore subject to the risk that a clearing house will not make variation margin payments owed to the Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that the Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Fund, or in the event of fraud or misappropriation of customer assets by a clearing member, the Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.
• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., the Fund’s investment exposures exceed its net asset value). Leverage increases the Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. The Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
The Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, the Fund may perform as if it were leveraged.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Fund is subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in these markets, including investments of the Fund. While the U.S. government has honored its credit obligations continuously for the last 200 years, a default by the U.S. government or a downgrade of its credit rating would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Fund’s investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the United States and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively affect the Fund. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Fund’s investments. During such market disruptions, the Fund’s exposure to the risks described elsewhere in this “Investment and other risk” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Fund from implementing its investment programs for a period of time and achieving its investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Fund’s derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates or indices, or to offer them on a more limited basis. To the extent the Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
38
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
• MERGER ARBITRAGE RISK. The Fund may engage in merger arbitrage transactions, where it will purchase securities at prices below GMO’s anticipated value of the cash, securities or other consideration to be paid or exchanged for such securities upon successful completion of a proposed merger, exchange offer, tender offer, or other similar transaction. Such purchase price may be substantially in excess of the market price of the securities prior to the announcement of the merger, exchange offer, tender offer, or other similar transaction.
If the Fund purchases securities in anticipation of a proposed merger, exchange offer, tender offer, or other similar transaction, and that transaction later appears unlikely to be consummated or in fact is not consummated or is delayed, the market price of the security purchased by the Fund may decline sharply and result in losses to the Fund if such securities are sold, transferred or exchanged for securities or cash, the value of which is less than the purchase price. There is typically asymmetry in the risk/reward payout of merger arbitrage strategies — the losses that can occur in the event of deal break-ups can far exceed the gains to be had if deals close successfully. The consummation of mergers, exchange offers, tender offers, and similar transactions can be prevented or delayed by a variety of factors, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.
Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical in nature. During periods when merger activity is low, it may be difficult or impossible to identify opportunities for profit or to identify a sufficient number of such opportunities to provide diversification among potential merger transactions. Merger arbitrage strategies are also subject to the risk of overall market movements. To the extent that a general increase or decline in equity market values affects the securities involved in a merger arbitrage position differently, the position may be exposed to loss.
In conjunction with merger arbitrage transactions, the Fund may make short sales of securities in an effort to maximize risk-adjusted returns. For example, when the terms of a proposed acquisition call for an exchange of securities, the Fund may sell short the securities of the acquiring company in order to protect against a decline in the market value of those securities prior to the acquisition’s completion. The Fund also may employ a variety of hedging strategies to protect against market fluctuations or other risks, and may use derivatives otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers.
At any given time, the Fund can become improperly hedged, which can lead to inadvertent market-related losses. Also, the Fund may not be able to hedge against market fluctuations or other risks, and market movements can result in losses to the Fund even if the proposed transaction is consummated. In addition, the Fund may sell short securities expected to be issued in a merger or exchange offer in anticipation of the short position being covered by delivery of such security when issued. If the merger or exchange offer is not consummated, the Fund may be forced to cover its short position by acquiring, converting, or exchanging securities to replace the borrowed securities at a time when the securities sold short have appreciated in value, thus resulting in a loss.
• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, are subject to greater overall risk than funds whose investments are more diversified. To the extent the Fund invests in the securities of a limited number of issuers, it is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.
To the extent the Fund focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, it is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, to the extent the Fund has a significant portion of its assets in investments tied economically to (or related to) a particular geographic region, country or particular market (e.g., emerging markets), it has more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.
• LARGE SHAREHOLDER RISK. If a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g. GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of its Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Fund are not limited in how often they may purchase or sell Fund shares. Asset allocation decisions by GMO may result in substantial redemptions from (or investments in) the Fund. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. In addition, to the extent the Fund invests in other GMO Funds subject to large shareholder risk, it is indirectly subject to this risk.
39
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. The Fund may invest in shares of underlying funds, including other GMO Funds, closed-end funds money market funds, ETFs and other investment companies, and is exposed to the risk that the underlying Funds will not perform as expected.
Because the Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if the Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.
The Fund also is indirectly exposed to all of the risks of an investment in the underlying Funds.
Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.
• NON-DIVERSIFIED FUNDS. The Fund is a “non-diversified investment company” within the meaning of the Investment Company Act of 1940, as amended. This means that it is allowed to invest in the securities of relatively few issuers and/or foreign currencies. As a result, it may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on its performance, than if it was “diversified.”
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with the Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political or other conditions. The Fund normally does not take temporary defensive positions. To the extent the Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Fund may use derivatives to gain long investment exposure to securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero) or the investment exposures of GMO Benchmark-Free Allocation Fund (“BFAF”). The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its or BFAF’s portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Fund may use derivatives in an attempt to adjust elements of its or BFAF’s investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund or BFAF holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting investment exposures, the Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its or BFAF’s portfolio. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.
The Fund may use derivatives to effect transactions intended as substitutes for securities lending.
The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
Certain derivatives transactions that may be used by the Fund, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Fund holds cleared derivatives transactions, if any, through clearing
40
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Fund holds exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of the Fund to pursue its investment strategy. Also, the Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
The Fund held derivatives during the period ended August 31, 2014. The following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | ||||
Forward currency contracts | ||||
Adjust exposure to foreign currencies | X | |||
To manage against anticipated currency exchange rate changes | X | |||
Futures contracts | ||||
Adjust interest rate exposure | X | |||
Maintain the diversity and liquidity of the portfolio | X | |||
Options (Purchased) | ||||
Used purchased put option contracts as a substitute for direct equity investment | X | |||
Adjust currency exchange rate risk | X | |||
Adjust exposure to foreign currencies | X | |||
Adjust interest rate exposure | X | |||
Options (Written) | ||||
Used written call option contracts as substitute for direct equity investment | X | |||
Swap contracts | ||||
Adjust interest rate exposure | X | |||
Rights and/or warrants | ||||
Received as a result of corporate actions | X |
Forward currency contracts
The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
Futures contracts
The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract,
41
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
Options
The Fund may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium, if any, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statement of Operations.
For the period ended August 31, 2014, investment activity in options contracts written by the Fund was as follows:
| Puts | Calls | ||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Outstanding, beginning of period | $ | — | 9,905 | $ | 11,507,469 | $ | — | — | $ | — | ||||||||||||||
Options written | — | 43,807 | 52,717,910 | — | 1,400 | 2,221,163 | ||||||||||||||||||
Options bought back | — | (21,567 | ) | (24,002,926 | ) | — | — | — | ||||||||||||||||
Options expired | — | (32,145 | ) | (40,222,453 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | $ | — | — | $ | — | $ | — | 1,400 | $ | 2,221,163 | ||||||||||||||
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Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service
42
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Fund values OTC options using inputs provided by primary pricing sources and industry models.
Swap contracts
The Fund may enter into various types of swap contracts, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statement of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Fund prices its OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statement of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that the Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
43
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
Rights and warrants
The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Fund (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure:
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2014 and Statement of Operations for the period ended August 31, 2014^:
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Asset: | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 1,983,646 | $ | — | $ | — | $ | — | $ | 1,983,646 | ||||||||||||
Investments, at value (purchased options) | — | 3,500,000 | 2,492,066 | 4,643,448 | — | 10,635,514 | ||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 12,189,871 | — | — | 12,189,871 | ||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | — | — | — | 4,539,932 | — | 4,539,932 | ||||||||||||||||||
Unrealized Appreciation on Swap Contracts* | — | — | — | 23,113,082 | — | 23,113,082 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 5,483,646 | $ | 14,681,937 | $ | 32,296,462 | $ | — | $ | 52,462,045 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 1,983,646 | $ | — | $ | — | $ | — | $ | 1,983,646 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | 3,500,000 | $ | 14,681,937 | $ | 32,296,462 | $ | — | $ | 50,478,399 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability: | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (480,475 | ) | $ | — | $ | — | $ | (480,475 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts* | — | — | — | (6,800,067 | ) | — | (6,800,067 | ) | ||||||||||||||||
Written Options, at value | — | (1,414,000 | ) | — | — | — | (1,414,000 | ) | ||||||||||||||||
Unrealized Depreciation on Swap Contracts* | — | — | — | (39,976,467 | ) | — | (39,976,467 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (1,414,000 | ) | $ | (480,475 | ) | $ | (46,776,534 | ) | $ | — | $ | (48,671,009 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (1,414,000 | ) | $ | (480,475 | ) | $ | (46,776,534 | ) | $ | — | $ | (48,671,009 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Realized Gain (Loss) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 1,319,059 | $ | — | $ | — | $ | — | $ | 1,319,059 | ||||||||||||
Investments (purchased options) | — | — | (836,063 | ) | — | — | (836,063 | ) | ||||||||||||||||
Forward Currency Contracts | — | — | (32,839,547 | ) | — | — | (32,839,547 | ) | ||||||||||||||||
Futures Contracts | — | — | — | 2,458,905 | — | 2,458,905 | ||||||||||||||||||
Written Options, at value | — | 33,152,318 | — | — | — | 33,152,318 | ||||||||||||||||||
Swap Contracts | — | — | — | 14,184,388 | — | 14,184,388 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 34,471,377 | $ | (33,675,610 | ) | $ | 16,643,293 | $ | — | $ | 17,439,060 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Appreciation (Depreciation) on: | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 831,493 | $ | — | $ | — | $ | — | $ | 831,493 | ||||||||||||
Investments (purchased options) | — | 135,212 | 130,094 | — | — | 265,306 | ||||||||||||||||||
Forward Currency Contracts | — | — | 51,949,223 | — | — | 51,949,223 | ||||||||||||||||||
Futures Contracts | — | — | — | (2,260,135 | ) | — | (2,260,135 | ) | ||||||||||||||||
Written Options | — | (3,229,176 | ) | — | — | — | (3,229,176 | ) | ||||||||||||||||
Swap Contracts | — | — | — | (8,635,804 | ) | — | (8,635,804 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (2,262,471 | ) | $ | 52,079,317 | $ | (10,895,939 | ) | $ | — | $ | 38,920,907 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
44
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The risks referenced in the table above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
^ | Because the Fund recognizes changes in value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
* | The table includes cumulative appreciation/depreciation of futures and cleared swaps contracts as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts is reported within the Statements of Assets and Liabilities. |
The Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on the Fund’s operations. If termination events were triggered by a Fund on August 31, 2014, that Fund may be required to potentially settle positions at the amounts noted in the Schedule of Investments. For more information about other uncertainties and risks, see “Investment and other risks” above.
For financial reporting purposes, on the Statement of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Fund is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Fund is noted in the Schedule of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Fund. For financial reporting purposes, the Fund’s Statement of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Fund at August 31, 2014, if any.
The tables above present the Fund’s derivative assets and liabilities by type of financial instrument. The following tables present the Fund’s OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Fund as of August 31, 2014:
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 497,892 | $ | — | $ | (23,375 | ) | $ | 474,517 | |||||||
Barclays Bank plc | 2,424,759 | — | (100,959 | ) | 2,323,800 | |||||||||||
Brown Brothers Harriman & Co. | 152,865 | — | — | 152,865 | ||||||||||||
Citibank N.A. | 3,865,756 | — | — | 3,865,756 | ||||||||||||
Deutsche Bank AG | 5,486,664 | (1,190,000 | ) | (263,970 | ) | 4,032,694 | ||||||||||
Goldman Sachs International | 3,573,009 | — | (92,171 | ) | 3,480,838 | |||||||||||
JPMorgan Chase Bank, N.A. | 2,032,858 | (1,447,032 | ) | — | 585,826 | |||||||||||
Morgan Stanley & Co. International PLC | 1,291,582 | — | — | 1,291,582 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 19,325,385 | $ | (2,637,032 | ) | $ | (480,475 | ) | $ | 16,207,878 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 23,375 | $ | — | $ | 23,375 | $ | — | ||||||||
Barclays Bank plc | 100,959 | — | 100,959 | — | ||||||||||||
Deutsche Bank AG | 263,970 | — | 263,970 | — | ||||||||||||
Goldman Sachs International | 92,171 | — | 92,171 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 480,475 | $ | — | $ | 480,475 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
45
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
The following tables present the Fund’s exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Fund as of August 31, 2014:
Counterparty | Gross Derivative Assets in the Statement of Assets and Liabilities | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Capital Inc.—Cleared Swaps | $ | 318,667 | $ | — | $ | — | $ | 318,667 | ||||||||
Credit Suisse Securities (USA) LLC—Cleared Swaps | 42,511 | — | — | 42,511 | ||||||||||||
J.P. Morgan Futures Incorporated—Futures | 463,050 | — | — | 463,050 | ||||||||||||
Morgan Stanley & Co. Incorporated—Options | 3,500,000 | — | (1,414,000 | ) | 2,086,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,324,228 | $ | — | $ | (1,414,000 | ) | $ | 2,910,228 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities in the Statement of Assets and Liabilities | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley & Co. Incorporated—Options | $ | 1,414,000 | $ | — | $ | 1,414,000 | $ | — | * | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,414,000 | $ | — | $ | 1,414,000 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
The average derivative activity, based on absolute values (forward currency contracts, futures contracts and rights and/or warrants) notional amounts (swap contracts) or number of contracts (options) outstanding at each month-end, was as follows for the period ended August 31, 2014:
Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options | Rights and/or warrants ($) | ||||||||||||
1,410,625,251 | 3,134,952,197 | 2,397,441,925 | 255,233,983 | 2,025,824 |
5. | Fees and other transactions with affiliates |
GMO does not charge the Fund any management or shareholder service fees for its services.
GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to the Fund concurrently with the payment of management fees to GMO. “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
This contractual reimbursement will continue through at least June 30, 2015 for the Fund unless the Fund’s Board of Trustees authorizes its modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing agreement.
The Fund’s portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with GMO during the period ended August 31, 2014 is shown in the table below and is included in the Statement of Operations.
Independent Trustees and their legal counsel ($) | Agent unaffiliated with the Manager ($) | |||
62,334 | 6,900 |
46
GMO Implementation Fund
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
August 31, 2014 (Unaudited)
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2014 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||
U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | |||
456,209,354 | 4,289,943,497 | 2,446,437,051 | 2,903,763,016 |
7. | Guarantees |
In the normal course of business the Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Fund. Based on experience, GMO is of the view that the risk of loss to the Fund in connection with the Fund’s indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.
8. | Principal shareholders and related parties as of August 31, 2014 |
Number of shareholders that held more than 10% of the outstanding shares of the Fund | Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund | Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion | |||||||||
1* | 100% | — | 100% |
* | The Shareholder is another fund of the Trust. |
9. | Share transactions |
The Declaration of Trust permits the Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Fund’s shares were as follows:
Six Months Ended August 31, 2014 (Unaudited) | Year Ended February 28, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Core Class: | ||||||||||||||||
Shares sold | 227,074,462 | $ | 2,972,327,184 | 589,121,162 | $ | 7,131,278,760 | ||||||||||
Shares repurchased | (41,853,656 | ) | (558,612,079 | ) | (8,627,752 | ) | (103,980,062 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 185,220,806 | $ | 2,413,715,105 | 580,493,410 | $ | 7,027,298,698 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
47
GMO Implementation Fund
(A Series of GMO Trust)
Board Review of Management Agreement
August 31, 2014 (Unaudited)
Approval of renewal of management agreement for GMO Implementation Fund. At a meeting on June 5, 2014, the Trustees of GMO Trust (the “Trust”) approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2014. In approving the renewal, the Trustees considered information that they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the series of the Trust generally (collectively, the “GMO funds”).
The Trustees met throughout the year with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). They also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered additional information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2014, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to evaluate their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them in response to their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 5, 2014. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees considered that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in GMO Benchmark-Free Allocation Fund. The Trustees also considered the Fund’s performance compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and with respect to GMO Benchmark-Free Allocation Fund, which owns all of the Fund’s shares. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund investors and other matters concerning the Manager’s business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement.
48
GMO Implementation Fund
(A Series of GMO Trust)
August 31, 2014 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2014.
As a shareholder of the Fund, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2014 through August 31, 2014.
Actual Expenses
This section of the table for the class below provides information about actual account values and actual expenses. you may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
This section of the table for the class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Beginning Account Value March 1, 2014 | Ending Account Value August 31, 2014 | Expenses Paid* During the Period | Annualized Expense Ratio | ||||||||||||||||||||||
Core | $1,000.00 | $1,048.00 | $0.05 | $1,000.00 | $1,025.16 | $0.05 | 0.00%** |
* | Expenses are calculated using the annualized expense ratio (including indirect expenses incurred) for the six months ended August 31, 2014, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
** | Ratio rounds to 0.00%. |
49
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this registrant.
Item 6. Schedule of Investments.
The complete schedule of investments for each series of the registrant is included as part of the semiannual reports to shareholders filed under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) Not applicable to this filing.
(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.
(a)(3) Not applicable to this registrant.
(b) | Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GMO Trust | |||
By (Signature and Title): | /s/ J.B. Kittredge | |||
J.B. Kittredge, Chief Executive Officer | ||||
Date: | November 3, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
(Registrant) | GMO Trust | |||
By (Signature and Title): | /s/ J.B. Kittredge | |||
J.B. Kittredge, Principal Executive Officer | ||||
Date: | November 3, 2014 |
By (Signature and Title): | /s/ Sheppard N. Burnett | |||
Sheppard N. Burnett, Principal Financial Officer | ||||
Date: | November 3, 2014 |