GMO Quality Fund (GQETX) N-CSR Certified annual shareholder report (management investment company)

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, MA02110

(Address of principal executive offices) (Zip Code)

Tara Pari, 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: 02/28/22

Date of reporting period: 02/28/22

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the period ended February 28, 2022 are filed herewith.

GMO Trust

Annual Report

February 28, 2022

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund (formerly Cyclical Focus Fund)

Quality Fund

Resources Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com 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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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-PORT, which is available on the Commission’s website at www.sec.gov. 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 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, 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, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Climate Change Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Emerging Domestic Opportunities Fund
Management Discussion and Analysis of Fund Performance	8
Performance Graph	9
Investment Concentration Summary	10
Schedule of Investments	11
Emerging Markets ex-China Fund
Management Discussion and Analysis of Fund Performance	14
Performance Graph	15
Investment Concentration Summary	16
Schedule of Investments	17
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance	22
Performance Graph	23
Investment Concentration Summary	24
Schedule of Investments	25
International Equity Fund
Management Discussion and Analysis of Fund Performance	32
Performance Graph	33
Investment Concentration Summary	34
Schedule of Investments	35
Japan Value Creation Fund
Management Discussion and Analysis of Fund Performance	40
Performance Graph	41
Investment Concentration Summary	42
Schedule of Investments	43
Quality Cyclical Fund (formerly Cyclical Focus Fund)
Management Discussion and Analysis of Fund Performance	46
Performance Graph	47
Investment Concentration Summary	48
Schedule of Investments	49
Quality Fund
Management Discussion and Analysis of Fund Performance	52
Performance Graph	53
Investment Concentration Summary	54
Schedule of Investments	55
Resources Fund
Management Discussion and Analysis of Fund Performance	58
Performance Graph	59
Investment Concentration Summary	60
Schedule of Investments	61
Tax-Managed International Equities Fund
Management Discussion and Analysis of Fund Performance	64
Performance Graph	65
Investment Concentration Summary	66
Schedule of Investments	67
U.S. Equity Fund
Management Discussion and Analysis of Fund Performance	72
Performance Graph	73
Investment Concentration Summary	74
Schedule of Investments	75

U.S. Small Cap Value Fund
Management Discussion and Analysis of Fund Performance	80
Performance Graph	81
Investment Concentration Summary	82
Schedule of Investments	83
Portfolio, Counterparty and Currency Abbreviations	87
Fund Financial Statements:
Statements of Assets and Liabilities	88
Statements of Operations	94
Statements of Changes in Net Assets	97
Financial Highlights	103
Notes to Financial Statements	119
Report of Independent Registered Public Accounting Firm	160
Board Review of Investment Management Agreements	161
Fund Expenses	163
Tax Information	165
Trustees and Officers	166

GMO Climate Change Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.

Class III shares of GMO Climate Change Fund returned +2.91% (net) for the fiscal year ended February 28, 2022, as compared with +7.81% for the MSCI ACWI.

The Fund’s clean energy holdings declined about 7% during the year and held back performance relative to the index. Solar and wind companies were lower, while biofuels were essentially flat.

The Fund’s copper exposure gained approximately 36%. Ivanhoe Mines and Freeport- McMoRan Inc. were among the best performers.

The Fund’s agriculture exposure also performed well. The Mosaic Company, one of the world’s largest suppliers of phosphate and potash, was a strong contributor to performance.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

2

GMO Climate Change Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Climate Change Fund Class III Shares and the MSCI ACWI

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, R6 and I the gross expense ratio of 0.91%, 0.89% and 0.99%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.78%, 0.78% and 0.88% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

3

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.9	%
Mutual Funds		8.1
Preferred Stocks		1.7
Short-Term Investments		0.2
Other		(7.9	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		56.4	%
Canada		10.3
Japan		4.3
China		4.2
France		4.0
Other Developed		3.7	‡
South Korea		2.9
Mexico		2.3
Spain		1.7
Russia		1.6
United Kingdom		1.6
Chile		1.6
Norway		1.5
Brazil		1.3
Argentina		1.0
Australia		1.0
Other Emerging		0.6	†
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		59.1	%
Energy Efficiency		13.4
Agriculture		9.7
Copper		7.4
Water		6.1
Electric Grid		4.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

4

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Argentina — 1.1%
	832,015	Adecoagro SA * (a)		7,954,063
		Australia — 1.1%
	320,055	Clean TeQ Water Ltd * (a)		141,301
	668,367	Sandfire Resources Ltd		3,295,007
	1,134,203	Sunrise Energy Metals Ltd * (a)		1,494,320
	1,189,773	Western Areas Ltd *		2,973,190
		Total Australia		7,903,818
		Belgium — 0.1%
	232	Elia Group SA/NV		33,400
	11,245	Umicore SA		460,029
		Total Belgium		493,429
		Brazil — 1.4%
	865,578	Sao Martinho SA		6,691,416
	438,360	SLC Agricola SA		3,723,973
		Total Brazil		10,415,389
		Canada — 11.1%
	351,200	Anaergia Inc *		3,449,657
	1,263,185	Canadian Solar Inc * (a)		39,992,437
	353,348	First Quantum Minerals Ltd (a)		10,362,087
	1,925,700	Greenlane Renewables Inc * (a)		1,656,026
	780,070	Ivanhoe Mines Ltd – Class A *		7,939,174
	876,815	Largo Inc * (a)		9,013,727
	12,900	Largo Resources Ltd *		132,613
	353,200	Li-Cycle Holdings Corp * (a)		2,744,364
	398,300	Lundin Mining Corp		3,843,163
	119,400	NFI Group Inc (a)		1,786,055
	700	Northland Power Inc (a)		22,256
		Total Canada		80,941,559
		China — 4.5%
	408,000	Beijing Energy International Holding Co Ltd *		13,612
	1,223,000	Canvest Environmental Protection Group Co Ltd (a)		595,294
	1,746,000	Chaowei Power Holdings Ltd (a)		437,664
	7,949,919	China High Speed Transmission Equipment Group Co Ltd * (a)		6,031,472
	2,275,000	China Longyuan Power Group Corp Ltd – Class H		4,694,666
	2,856,000	China Water Affairs Group Ltd (a)		3,155,207
	210,400	Hollysys Automation Technologies Ltd *		2,962,432
	135,622	Sungrow Power Supply Co Ltd – Class A		2,628,577
	2,430,000	Tianneng Power International Ltd (a)		2,229,251
	2,640,000	Wasion Holdings Ltd		1,022,145
	2,451,800	Xinjiang Goldwind Science & Technology Co Ltd – Class H		4,011,586

Shares		Description	Value ($)
		China — continued
	5,600	Xuji Electric Co Ltd – Class A		19,776
	1,226,576	Yutong Bus Co Ltd – Class A		1,899,885
	577,685	Zhuzhou CRRC Times Electric Co Ltd		3,011,195
		Total China		32,712,762
		Denmark — 0.7%
	155,168	Vestas Wind Systems A/S		5,003,655
		Finland — 0.9%
	270,589	Kemira Oyj		3,578,248
	69,325	Neste Oyj		2,703,302
		Total Finland		6,281,550
		France — 4.3%
	391,204	Electricite de France SA (a)		3,536,690
	140,489	Nexans SA		13,552,187
	272,834	Veolia Environnement SA		9,512,817
	17,193	Vilmorin & Cie SA		889,166
	114,522	Waga Energy SA * (a)		3,822,420
		Total France		31,313,280
		Germany — 1.0%
	225,513	E.ON SE		3,067,324
	70,764	Infineon Technologies AG		2,394,364
	15,139	Siemens AG (Registered)		2,132,818
		Total Germany		7,594,506
		India — 0.1%
	112,239	VA Tech Wabag Ltd *		449,798
		Japan — 4.6%
	40,100	Daiseki Co Ltd		1,633,599
	151,000	Ebara Corp		7,880,875
	161,500	GS Yuasa Corp		3,477,582
	97,000	Kurita Water Industries Ltd		4,008,506
	38,700	METAWATER Co Ltd		714,379
	23,800	Organo Corp		1,694,036
	310,500	Panasonic Corp		3,242,647
	614,700	Renesas Electronics Corp *		7,241,593
	39,300	Takuma Co Ltd (a)		499,455
	46,400	Tsukishima Kikai Co Ltd		422,908
	156,500	Yokogawa Electric Corp		2,525,021
		Total Japan		33,340,601
		Mexico — 2.5%
	3,513,218	Grupo Mexico SAB de CV – Series B		17,946,041
	355,516	Grupo Rotoplas SAB de CV *		449,928
		Total Mexico		18,395,969
		Netherlands — 0.7%
	121,061	Arcadis NV		5,532,902

See accompanying notes to the financial statements. 5

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Norway — 1.6%
	850,037	Austevoll Seafood ASA		12,002,370
		Pakistan — 0.1%
	1,233,094	Fauji Fertilizer Co Ltd		765,469
		Philippines — 0.1%
	4,867,900	Nickel Asia Corp		737,408
		Russia — 1.8%
	722,153	MMC Norilsk Nickel PJSC ADR		9,915,394
	364,903	PhosAgro PJSC GDR (Registered)		2,232,440
	169,638	Ros Agro Plc GDR (Registered)		748,449
		Total Russia		12,896,283
		South Korea — 3.1%
	47,564	LG Chem Ltd		22,571,215
		Spain — 1.9%
	28,134	Acciona SA (a)		4,807,930
	231,084	Endesa SA		5,079,554
	77,110	Fomento de Construcciones y Contratas SA		876,833
	143,408	Red Electrica Corp SA		2,840,978
		Total Spain		13,605,295
		Switzerland — 0.5%
	2,333	Gurit Holding AG (a)		3,834,836
		Thailand — 0.2%
	2,291,100	SPCG Pcl		1,250,071
	908,900	Super Energy Corp Plc NVDR		25,647
		Total Thailand		1,275,718
		Ukraine — 0.2%
	219,994	Kernel Holding SA		1,616,678
		United Kingdom — 1.7%
	668,883	Drax Group Plc		6,310,748
	171,070	Go-Ahead Group Plc *		1,515,332
	341,837	Renewi Plc *		2,812,282
	1,760,877	Stagecoach Group Plc *		2,025,828
		Total United Kingdom		12,664,190
		United States — 52.6%
	366,820	Aemetis, Inc. * (a)		4,702,632
	140,400	AGCO Corp.		16,870,464
	688,087	Ameresco, Inc. – Class A *		44,209,590
	326,000	Archaea Energy, Inc. *		5,978,840
	279,886	BorgWarner, Inc.		11,478,125
	3,725,819	Clean Energy Fuels Corp. *		27,086,704
	30,421	Constellation Energy Corp.		1,398,758

Shares		Description	Value ($)
		United States — continued
	18,500	Corteva, Inc.		962,555
	486,196	Darling Ingredients, Inc. *		35,239,486
	21,900	Deere & Co.		7,884,438
	50,900	Edison International		3,228,078
	30,200	Emerson Electric Co.		2,806,184
	52,600	EnerSys		3,825,598
	94,664	Exelon Corp.		4,028,900
	56,730	First Solar, Inc. *		4,271,202
	221,899	Freeport-McMoRan, Inc.		10,418,158
	732,100	Gevo, Inc. * (a)		2,598,955
	2,732,356	GrafTech International Ltd.		27,542,149
	171,000	Green Plains, Inc. *		5,598,540
	85,500	Infrastructure and Energy Alternatives, Inc. *		930,240
	70,400	Johnson Controls International Plc		4,573,184
	454,024	Livent Corp. * (a)		10,692,265
	552,218	Montauk Renewables, Inc. *		5,709,934
	153,647	Mosaic Co. (The)		8,055,712
	255,600	Mueller Water Products, Inc. – Class A		3,243,564
	28,500	MYR Group, Inc. *		2,557,875
	73,433	Owens Corning		6,843,221
	33,800	Pentair Plc		1,957,358
	46,600	Quanta Services, Inc.		5,076,604
	552,360	Renewable Energy Group, Inc. *		33,970,140
	100	Rockwell Automation, Inc.		26,658
	51,600	Sensata Technologies Holding Plc *		2,988,156
	99,234	SolarEdge Technologies, Inc. *		31,697,324
	1,339,537	Sunrun, Inc. * (a)		36,542,569
	27,329	TE Connectivity Ltd.		3,892,470
	15,500	Valmont Industries, Inc.		3,354,975
	63,100	Zurn Water Solutions Corp.		2,052,012
		Total United States		384,293,617
		TOTAL COMMON STOCKS (COST $704,677,489)		714,596,360
		PREFERRED STOCKS (b) — 1.7%
		Chile — 1.7%
	190,738	Sociedad Quimica y Minera de Chile SA Sponsored ADR		12,623,041
		TOTAL PREFERRED STOCKS (COST $8,475,796)		12,623,041
		MUTUAL FUNDS — 8.1%
		United States — 8.1%
		Affiliated Issuers — 8.1%
	11,771,966	GMO U.S. Treasury Fund (c)		58,977,551
		TOTAL MUTUAL FUNDS (COST $59,022,760)		58,977,551

6 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	1,374,129	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		1,374,129
		TOTAL SHORT-TERM INVESTMENTS (COST $1,374,129)		1,374,129
		TOTAL INVESTMENTS — 107.9% (Cost $773,550,174)		787,571,081
		Other Assets and Liabilities (net) — (7.9%)		(57,418,211	)
		TOTAL NET ASSETS — 100.0%		$730,152,870

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(d) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 87.

See accompanying notes to the financial statements. 7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC and GMO Singapore Pte. Limited.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI Emerging Markets Index is included for comparative purposes.

Class II shares of GMO Emerging Domestic Opportunities Fund returned -14.13% (net) for the fiscal year ended February 28, 2022, as compared with -10.69% for the MSCI Emerging Markets Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. The Fund’s overweight in China Communication Services and overweight in Russia Communication Services hurt relative performance.

Stock selection contributed to the Fund’s relative returns for the fiscal year. The Fund’s stock selection in China Consumer Discretionary and China Information Technology helped performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

8

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Emerging Domestic Opportunities Fund Class II Shares and the MSCI Emerging Markets Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

* For the period from October 27, 2011 to November 29, 2013, no Class V shares were outstanding. Performance for that period is that of Class II, which has higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class II, V and I the gross expense ratio of 1.15%, 1.02% and 1.25%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 1.13%, 1.00% and 1.16% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

9

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		87.9	%
Investment Funds		5.6
Short-Term Investments		4.7
Mutual Funds		0.3
Preferred Stocks		0.2
Other		1.3
		100.0	%
Country/Region Summary¤	% of Investments
China		26.1	%
Taiwan		18.3
India		13.7
South Korea		9.0
Saudi Arabia		4.4
Brazil		4.2
Indonesia		3.6
Mexico		3.4
United States		3.0
South Africa		2.9
Thailand		1.7
Qatar		1.5
Vietnam		1.5
Greece		1.3
Switzerland		1.0
Russia		1.0
United Arab Emirates		0.9
Hong Kong		0.8
Philippines		0.4
Netherlands		0.4
Malaysia		0.4
Poland		0.2
Singapore		0.2
Peru		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		26.2	%
Semiconductors & Semiconductor Equipment		14.0
Technology Hardware & Equipment		10.5
Food, Beverage & Tobacco		5.6
Diversified Financials		5.5
Retailing		5.5
Media & Entertainment		5.2
Telecommunication Services		3.5
Software & Services		3.4
Capital Goods		2.8
Consumer Durables & Apparel		2.7
Food & Staples Retailing		2.7
Materials		2.3
Transportation		2.3
Insurance		2.1
Automobiles & Components		1.5
Pharmaceuticals, Biotechnology & Life Sciences		1.3
Consumer Services		0.7
Utilities		0.5
Household & Personal Products		0.5
Commercial & Professional Services		0.4
Health Care Equipment & Services		0.4
Real Estate		0.3
Energy		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

10

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 87.9%
		Brazil — 2.7%
	736,900	Atacadao SA		2,716,326
	1,068,100	B3 SA – Brasil Bolsa Balcao		3,004,976
	579,800	Banco BTG Pactual SA		2,880,613
	282,600	Blau Farmaceutica SA		1,629,876
	572,800	Cyrela Brazil Realty SA Empreendimentos e Participacoes		1,672,442
	280,400	Localiza Rent a Car SA		3,121,509
	983,200	Movida Participacoes SA		3,105,227
	1,256,700	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		2,673,699
		Total Brazil		20,804,668
		China — 24.5%
	785,688	Alibaba Group Holding Ltd *		10,342,698
	3,300	Bafang Electric Suzhou Co Ltd – Class A		105,491
	217,300	Baidu Inc – Class A *		4,101,716
	154,500	BYD Co Ltd – Class H		4,787,545
	87,477	Changzhou Xingyu Automotive Lighting Systems Co Ltd – Class A		2,148,410
	15,277,000	China Construction Bank Corp – Class H		11,457,208
	4,006,400	China International Capital Corp Ltd – Class H		9,747,258
	804,000	China Mengniu Dairy Co Ltd *		5,227,944
	2,164,002	China Merchants Bank Co Ltd – Class H		18,241,035
	7,090,000	China Modern Dairy Holdings Ltd		1,310,244
	577,200	China Yangtze Power Co Ltd – Class A		2,125,519
	25,900	Contemporary Amperex Technology Co Ltd – Class A		2,220,597
	526,500	GoerTek Inc – Class A		3,689,623
	1,156,355	Haier Smart Home Co Ltd – Class A		4,692,175
	322,000	Hua Hong Semiconductor Ltd *		1,677,546
	482,727	JD.com Inc – Class A *		17,242,729
	178,697	Jiangsu Hengli Hydraulic Co Ltd – Class A		1,906,467
	9,286	Kweichow Moutai Co Ltd – Class A		2,643,245
	444,000	Longfor Group Holdings Ltd		2,374,300
	236,900	Meituan – Class B *		5,262,771
	338,200	Midea Group Co Ltd – Class A		3,596,001
	190,600	NARI Technology Co Ltd		1,076,764
	128,675	NetEase Inc		2,488,793
	35,800	Pinduoduo Inc ADR *		1,856,588
	971,800	Ping An Bank Co Ltd – Class A		2,433,975
	1,068,000	Ping An Insurance Group Co of China Ltd – Class H		8,280,911
	13,076,000	Postal Savings Bank of China Co Ltd – Class H		10,736,493
	46,400	Proya Cosmetics Co Ltd – Class A		1,370,506
	215,800	SF Holding Co Ltd – Class A		2,072,376
	213,085	Shanghai Baosight Software Co Ltd – Class A		1,824,414
	134,272	Shenzhen Inovance Technology Co Ltd – Class A		1,367,841
	97,600	Shenzhou International Group Holdings Ltd		1,639,349
	111,300	Sunny Optical Technology Group Co Ltd		2,667,188

Shares		Description	Value ($)
		China — continued
	418,784	Tencent Holdings Ltd		22,598,134
	890,000	Tingyi Cayman Islands Holding Corp		1,969,038
	514,000	Tsingtao Brewery Co Ltd – Class H		4,945,112
	896,000	Weichai Power Co Ltd – Class H		1,516,147
	76,585	Wuliangye Yibin Co Ltd – Class A		2,320,432
	7,100	Yum China Holdings Inc		369,342
		Total China		186,433,925
		Greece — 1.3%
	8,611,019	Eurobank Ergasias Services and Holdings SA *		9,432,774
		Hong Kong — 0.7%
	528,000	AIA Group Ltd		5,482,670
		India — 12.9%
	579,586	Allcargo Logistics Ltd		2,497,362
	77,216	Angel One Ltd		1,373,070
	38,646	Apollo Hospitals Enterprise Ltd		2,461,869
	48,105	Asian Paints Ltd		2,031,274
	335,187	Axis Bank Ltd *		3,322,304
	490,511	Canara Bank *		1,439,188
	78,909	Central Depository Services India Ltd		1,434,113
	970,239	Devyani International Ltd *		2,015,108
	99,539	Escorts Ltd		2,452,628
	2,085,888	Gayatri Projects Ltd *		678,758
	167,908	Godrej Consumer Products Ltd *		1,715,059
	191,399	Gujarat Gas Ltd		1,497,407
	209,736	HCL Technologies Ltd		3,151,189
	64,779	HDFC Bank Ltd		1,231,883
	37,292	Housing Development Finance Corp Ltd		1,177,323
	935,127	ICICI Bank Ltd		9,249,713
	387,424	Infosys Ltd		8,846,839
	77,197	JB Chemicals & Pharmaceuticals Ltd		1,657,199
	105,045	Kajaria Ceramics Ltd		1,519,838
	44,708	L&T Technology Services Ltd		2,698,756
	192,606	Larsen & Toubro Ltd		4,666,074
	1,094,319	Laxmi Organic Industries Ltd (a) (b)		5,986,759
	82,200	MakeMyTrip Ltd *		2,308,176
	13,733	Maruti Suzuki India Ltd		1,520,384
	270,539	Metro Brands Ltd *		1,946,078
	186,033	Muthoot Finance Ltd		3,409,138
	17,763	Reliance Industries Ltd		558,131
	555,938	Rupa & Co Ltd		3,394,989
	246,970	Satin Creditcare Network Ltd *		288,458
	73,766	SRF Ltd		2,352,824
	584,573	State Bank of India		3,780,369
	183,005	Sun Pharmaceutical Industries Ltd		2,056,504
	72,295	Tata Consultancy Services Ltd		3,420,836
	298,234	Tata Motors Ltd *		1,807,550
	84,851	Tech Mahindra Ltd		1,596,425

See accompanying notes to the financial statements. 11

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		India — continued
	244,952	UPL Ltd		2,177,495
	350,350	Wipro Ltd		2,593,080
	590,770	Zee Entertainment Enterprises Ltd		1,834,551
		Total India		98,148,701
		Indonesia — 3.4%
	26,102,600	Bank Central Asia Tbk PT		14,736,633
	34,136,000	Bank Rakyat Indonesia Persero Tbk PT		10,915,332
		Total Indonesia		25,651,965
		Malaysia — 0.3%
	1,877,100	CIMB Group Holdings Bhd		2,556,974
		Mexico — 3.2%
	5,874,200	America Movil SAB de CV – Series L		5,340,443
	1,360,500	Banco del Bajio SA		3,308,085
	126,000	Grupo Aeroportuario del Pacifico SAB de CV – Class B *		1,845,367
	722,500	Grupo Financiero Banorte SAB de CV – Class O		4,903,094
	2,366,124	Wal-Mart de Mexico SAB de CV		9,011,165
		Total Mexico		24,408,154
		Netherlands — 0.4%
	4,435	ASML Holding NV		2,967,121
		Peru — 0.1%
	3,100	Credicorp Ltd		468,875
		Philippines — 0.4%
	60,245	Globe Telecom Inc		3,027,121
		Poland — 0.2%
	50,313	Bank Polska Kasa Opieki SA		1,380,288
		Qatar — 1.4%
	1,812,687	Qatar National Bank QPSC		10,877,575
		Russia — 0.5%
	34,988	Magnit PJSC		842,160
	546,960	Mobile TeleSystems PJSC		1,083,873
	132,504	Sberbank of Russia PJSC Sponsored ADR		138,475
	46,548	TCS Group Holding Plc GDR (Registered)		445,040
	69,200	Yandex NV – Class A * (c)		911,572
		Total Russia		3,421,120
		Singapore — 0.2%
	77,800	TDCX Inc ADR *		1,174,780
		South Africa — 2.7%
	235,274	Aspen Pharmacare Holdings Ltd		3,081,955

Shares		Description	Value ($)
		South Africa — continued
	44,411	Capitec Bank Holdings Ltd		5,996,048
	433,945	MTN Group Ltd *		5,416,738
	432,685	Nedbank Group Ltd		6,160,483
		Total South Africa		20,655,224
		South Korea — 8.4%
	19,430	Iljin Materials Co Ltd		1,487,302
	222,427	KB Financial Group Inc		10,973,312
	2,915	LG Chem Ltd		1,383,296
	775,562	Samsung Electronics Co Ltd		46,730,229
	17,690	SK Hynix Inc		1,844,262
	36,839	SK Telecom Co Ltd		1,681,077
		Total South Korea		64,099,478
		Switzerland — 1.0%
	57,940	Nestle SA (Registered)		7,549,334
		Taiwan — 17.2%
	189,000	Allied Supreme Corp		1,705,372
	558,450	Chailease Holding Co Ltd		5,068,219
	4,702,000	CTBC Financial Holding Co Ltd		4,596,099
	719,000	Delta Electronics Inc		6,407,805
	3,727,724	E.Sun Financial Holding Co Ltd		3,940,401
	314,000	Giant Manufacturing Co Ltd		3,259,885
	963,000	Hotai Finance Co Ltd		4,279,610
	337,000	MediaTek Inc		13,316,834
	3,090,000	Mega Financial Holding Co Ltd		4,164,087
	109,000	Realtek Semiconductor Corp		1,797,187
	16,000	Silergy Corp		2,132,018
	502,000	Sinbon Electronics Co Ltd		4,826,067
	2,896,800	Taiwan Semiconductor Manufacturing Co Ltd		62,279,914
	1,958,000	United Microelectronics Corp		3,689,560
	375,000	Vanguard International Semiconductor Corp		1,701,886
	119,779	VisEra Technologies Co Ltd		2,198,080
	6,334,000	Yuanta Financial Holding Co Ltd		5,658,115
		Total Taiwan		131,021,139
		Thailand — 1.6%
	1,018,900	Advanced Info Service Pcl (Foreign Registered)		7,172,360
	2,517,500	CP ALL Pcl (Foreign Registered)		5,259,601
		Total Thailand		12,431,961
		United Arab Emirates — 0.9%
	1,178,501	First Abu Dhabi Bank PJSC		6,641,146
		United States — 2.5%
	1,000	Alphabet, Inc. – Class A *		2,701,140
	26,800	Apple, Inc.		4,425,216
	72,200	PepsiCo, Inc.		11,822,028
		Total United States		18,948,384

12 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)

February 28, 2022

Shares		Description	Value ($)
		Vietnam — 1.4%
	2,833,368	Bank for Foreign Trade of Vietnam JSC		10,507,613
		TOTAL COMMON STOCKS (COST $658,820,397)		668,090,990
		PREFERRED STOCKS (d) — 0.2%
		Brazil — 0.2%
	839,000	Randon SA Implementos e Participacoes		1,712,499
		TOTAL PREFERRED STOCKS (COST $1,766,654)		1,712,499
		INVESTMENT FUNDS — 5.6%
		Brazil — 1.0%
	231,100	iShares MSCI Brazil ETF		7,600,879
		Russia — 0.5%
	352,300	VanEck Russia ETF		3,822,455
		Saudi Arabia — 4.1%
	670,300	iShares MSCI Saudi Arabia ETF		31,229,277
		TOTAL INVESTMENT FUNDS (COST $43,515,971)		42,652,611

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.3%
		United States — 0.3%
		Affiliated Issuers — 0.3%
	465,374	GMO U.S. Treasury Fund		2,331,522
		TOTAL MUTUAL FUNDS (COST $2,340,826)		2,331,522
		SHORT-TERM INVESTMENTS — 4.7%
		Money Market Funds — 0.8%
	5,882,875	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		5,882,875
		U.S. Government — 3.9%
	800,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (f)		798,113
	27,000,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (f)		26,918,825
	2,000,000	U.S. Treasury Bill, 0.63%, due 08/25/22 (f)		1,993,631
		Total U.S. Government		29,710,569
		TOTAL SHORT-TERM INVESTMENTS (COST $35,590,412)		35,593,444
		TOTAL INVESTMENTS — 98.7% (Cost $742,034,260)		750,381,066
		Other Assets and Liabilities (net) — 1.3%		10,139,735
		TOTAL NET ASSETS — 100.0%		$760,520,801

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 February 28, 2022
Laxmi Organic Industries Ltd	03/02/21	$	1,924,110	0.79%	$	5,986,759

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) The security is restricted as to resale.

(b) Investment valued using significant unobservable inputs (Note 2).

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs(Note 2).

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of February 28, 2022.

(f) 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 87.

See accompanying notes to the financial statements. 13

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO Emerging Markets ex-China Fund returned -16.15% (net) for the period from the Fund’s inception on October 18, 2021 until the end of fiscal year ended February 28, 2022, as compared with -4.10% for the MSCI Emerging Markets ex-China Index.

Country-sector allocation detracted from the Fund’s relative returns for the period. In particular, the Fund’s overweight positions in Russian Materials, Russian Energy, and Russian Financials hurt relative performance.

Stock selection detracted from the Fund’s relative returns for the period. The Fund’s stock selection in Russian Materials, Russian Energy, and Russian Financials hurt relative performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

14

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO Emerging Markets ex-China Fund Class VI Shares and the MSCI Emerging Markets ex-China Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, VI and I the gross expense ratio of 1.16%, 1.07 and 1.33%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.80%, 0.67% and 0.95% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

15

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		92.8	%
Preferred Stocks		5.1
Short-Term Investments		1.1
Investment Funds		0.5
Mutual Funds		0.0	^
Other		0.5
		100.0	%
Country/Region Summary¤	% of Investments
Taiwan		37.1	%
South Korea		24.1
Mexico		11.9
Russia		7.1
Brazil		6.6
India		4.5
Indonesia		2.5
Turkey		1.1
Thailand		0.9
Chile		0.7
United Kingdom		0.5	*
United States		0.5	*
Egypt		0.5
South Africa		0.4
Philippines		0.4
Poland		0.4
Peru		0.3
Hungary		0.3
Czech Republic		0.2
Malaysia		0.0	^
		100.0	%
Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		19.4	%
Banks		17.9
Materials		16.6
Semiconductors & Semiconductor Equipment		13.6
Energy		6.2
Insurance		5.4
Food, Beverage & Tobacco		5.2
Telecommunication Services		3.0
Capital Goods		2.5
Food & Staples Retailing		2.5
Diversified Financials		2.1
Utilities		1.9
Software & Services		1.2
Household & Personal Products		0.8
Real Estate		0.5
Consumer Durables & Apparel		0.5
Media & Entertainment		0.3
Transportation		0.2
Automobiles & Components		0.1
Pharmaceuticals, Biotechnology & Life Sciences		0.1
Health Care Equipment & Services		0.0	^
Commercial & Professional Services		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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 revenue or profits from emerging markets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

16

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 92.8%
		Brazil — 2.0%
	156,500	Ambev SA		459,290
	35,600	Blau Farmaceutica SA		205,321
	12,100	Cia de Saneamento Basico do Estado de Sao Paulo		97,093
	10,900	Cia Siderurgica Nacional SA		53,647
	12,300	Equatorial Energia SA		60,827
	112,200	Transmissora Alianca de Energia Eletrica SA		859,792
	215,800	Vale SA Sponsored ADR – Class B		3,990,142
	142,150	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		302,432
		Total Brazil		6,028,544
		Chile — 0.6%
	56,089	Aguas Andinas SA – Class A		11,830
	419,684	Banco de Chile		44,496
	1,097,482	Banco Santander Chile		53,891
	5,100	Banco Santander Chile ADR		99,552
	28,622	CAP SA		331,308
	24,755	Cencosud SA		45,514
	55,591	Cencosud Shopping SA		59,656
	24,100	Cia Cervecerias Unidas SA Sponsored ADR		385,118
	3,402,440	Colbun SA		248,085
	3,332	Empresas COPEC SA		25,838
	526,587	Enel Americas SA		61,659
	92,049	Inversiones La Construccion SA		368,661
		Total Chile		1,735,608
		Czech Republic — 0.2%
	9,265	Moneta Money Bank AS		36,666
	895	Philip Morris CR AS		647,519
		Total Czech Republic		684,185
		Egypt — 0.5%
	216,835	Commercial International Bank Egypt SAE *		660,440
	992,792	Eastern Co SAE		686,370
	2,750	Misr Fertilizers Production Co SAE		15,558
		Total Egypt		1,362,368
		Hungary — 0.3%
	30,675	MOL Hungarian Oil & Gas Plc		239,274
	14,810	OTP Bank Nyrt Plc *		565,138
		Total Hungary		804,412
		India — 4.4%
	20,000	Axis Bank Ltd GDR (Registered) *		979,313
	118,500	HDFC Bank Ltd ADR		7,367,145
	80,000	ICICI Bank Ltd Sponsored ADR		1,557,600
	141,100	Infosys Ltd Sponsored ADR		3,169,106

Shares		Description	Value ($)
		India — continued
	193	Reliance Industries Ltd GDR		12,114
		Total India		13,085,278
		Indonesia — 2.5%
	1,370,700	Adaro Energy Tbk PT		234,844
	261,800	AKR Corporindo Tbk PT		13,849
	3,813,300	Bank Central Asia Tbk PT		2,152,859
	1,528,900	Bank Mandiri Persero Tbk PT		826,586
	171,700	Bank Negara Indonesia Persero Tbk PT		96,206
	10,242,300	Bank Rakyat Indonesia Persero Tbk PT		3,275,079
	366,200	Bukit Asam Tbk PT		80,449
	107,800	Indika Energy Tbk PT *		16,814
	121,100	Indo Tambangraya Megah Tbk PT		225,230
	1,515,600	Telkom Indonesia Persero Tbk PT		457,579
	44,900	United Tractors Tbk PT		78,350
		Total Indonesia		7,457,845
		Malaysia — 0.0%
	173,100	Kossan Rubber Industries Bhd		71,364
		Mexico — 11.7%
	153,900	America Movil SAB de CV – Class L Sponsored ADR		2,788,668
	1,929,500	America Movil SAB de CV – Series L		1,754,177
	119,100	Arca Continental SAB de CV		785,045
	289,900	Banco del Bajio SA		704,898
	13,100	Bolsa Mexicana de Valores SAB de CV		25,322
	8,800	Coca-Cola Femsa SAB de CV Sponsored ADR		484,528
	539,400	Credito Real SAB de CV SOFOM ER *		42,402
	180,300	Fomento Economico Mexicano SAB de CV		1,448,756
	69,700	Fomento Economico Mexicano SAB de CV Sponsored ADR		5,603,880
	3,500	GCC SAB de CV		23,239
	20,100	Gentera SAB de CV *		15,133
	3,515	Gruma SAB de CV – Class B		47,599
	300	Grupo Aeroportuario del Centro Norte SAB de CV ADR		17,439
	4,500	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		32,410
	800	Grupo Aeroportuario del Pacifico SAB de CV – Class B *		11,717
	15,535	Grupo Aeroportuario del Sureste SAB de CV – Class B		334,441
	9,100	Grupo Bimbo SAB de CV – Series A		28,170
	1,189,400	Grupo Financiero Banorte SAB de CV – Class O		8,071,613
	11,100	Grupo Financiero Inbursa SAB de CV – Class O *		18,140
	178,600	Grupo Mexico SAB de CV – Series B		912,315
	206,100	Industrias Bachoco SAB de CV – Series B		690,120
	1,100	Industrias Penoles SAB de CV		13,819
	27,700	Kimberly-Clark de Mexico SAB de CV – Class A		38,721
	6,900	Megacable Holdings SAB de CV CPO		20,298

See accompanying notes to the financial statements. 17

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Mexico — continued
	11,600	Orbia Advance Corp SAB de CV		29,633
	84,500	Qualitas Controladora SAB de CV		462,912
	99,600	Regional SAB de CV		591,492
	99,700	Ternium SA Sponsored ADR		3,916,216
	1,524,800	Wal-Mart de Mexico SAB de CV		5,807,060
		Total Mexico		34,720,163
		Peru — 0.3%
	6,300	Credicorp Ltd		952,875
		Philippines — 0.4%
	64,460	GT Capital Holdings Inc		729,991
	638,300	Puregold Price Club Inc		438,533
		Total Philippines		1,168,524
		Poland — 0.4%
	1,122	Grupa Lotos SA *		14,396
	5,774	Polski Koncern Naftowy ORLEN SA		97,533
	49,619	Polskie Gornictwo Naftowe i Gazownictwo SA		65,393
	120,881	Powszechny Zaklad Ubezpieczen SA		906,928
		Total Poland		1,084,250
		Russia — 6.5%
	4,036,000	Alrosa PJSC		2,602,881
	434,347	Etalon Group Plc GDR (Registered)		176,657
	131,280	Evraz Plc		253,067
	236,860,000	Federal Grid Co Unified Energy System PJSC		163,869
	98,320	Gazprom Neft PJSC		320,626
	787	Gazprom Neft PJSC Sponsored ADR		12,470
	448,906	Gazprom PJSC Sponsored ADR		1,187,592
	6,151,400	Inter RAO UES PJSC		137,400
	122,088	LUKOIL PJSC Sponsored ADR		2,289,988
	4,327,340	Magnitogorsk Iron & Steel Works PJSC		1,522,963
	78,325	MMC Norilsk Nickel PJSC ADR		1,075,427
	172,200	Mobile TeleSystems PJSC ADR (a)		658,720
	88,090	Moscow Exchange MICEX-RTS PJSC		66,045
	9,337	Novatek PJSC Sponsored GDR (Registered)		359,681
	381,910	Novolipetsk Steel PJSC		549,508
	102,160	Novolipetsk Steel PJSC GDR		783,245
	14,846	PhosAgro PJSC GDR (Registered)		90,826
	276,810	Polymetal International Plc		1,294,196
	5,594	Polyus PJSC		588,423
	12,617	Polyus PJSC GDR (Registered)		673,352
	73,800	QIWI Plc Sponsored ADR (a)		291,035
	55,866	Raspadskaya OJSC		126,262
	4,917	Ros Agro Plc GDR (Registered)		21,694
	48,335,000	RusHydro PJSC		269,370
	17,394	RusHydro PJSC ADR		8,726
	861,608	Sberbank of Russia PJSC Sponsored ADR		900,433
	140,607	Severstal PAO GDR (Registered)		713,816

Shares		Description	Value ($)
		Russia — continued
	2,387,800	Surgutneftegas PJSC		432,107
	109,514	Tatneft PJSC Sponsored ADR		1,492,445
	9,408	TCS Group Holding Plc GDR (Registered)		231,129
		Total Russia		19,293,953
		South Africa — 0.4%
	3,577	AVI Ltd		16,686
	1,793	Capitec Bank Holdings Ltd		242,078
	2,586	Investec Ltd		14,558
	14,766	Kumba Iron Ore Ltd		583,682
	4,804	Ninety One Ltd		15,672
	467,495	Old Mutual Ltd		383,820
		Total South Africa		1,256,496
		South Korea — 23.8%
	152	BGF retail Co Ltd		21,533
	40,422	BNK Financial Group Inc		266,100
	10,335	Cheil Worldwide Inc		194,318
	747	CJ CheilJedang Corp		236,616
	349	Coway Co Ltd		20,960
	81,095	Daewoo Engineering & Construction Co Ltd *		426,551
	61,233	Daou Data Corp		708,418
	738	Daou Technology Inc		13,296
	5,932	DB Insurance Co Ltd		305,398
	2,650	DGB Financial Group Inc		20,976
	2,221	DL E&C Co Ltd		239,436
	923	Dongkuk Steel Mill Co Ltd		12,826
	149,218	Dongwon Development Co Ltd		606,816
	88	GOLFZON Co Ltd *		11,192
	26,809	GS Engineering & Construction Corp		963,491
	1,469	GS Holdings Corp		49,122
	75,044	Hana Financial Group Inc		3,048,875
	423	Hankook Tire & Technology Co Ltd		12,463
	14,205	Hanwha Life Insurance Co Ltd *		35,080
	37,172	HDC Hyundai Development Co-Engineering & Construction *		500,264
	1,045	Huchems Fine Chemical Corp		19,442
	25,525	Hyundai Engineering & Construction Co Ltd		929,932
	22,150	Hyundai Marine & Fire Insurance Co Ltd		532,023
	407	Hyundai Mobis Co Ltd		76,421
	3,812	Industrial Bank of Korea		34,245
	2,291	JB Financial Group Co Ltd		15,692
	95,959	KB Financial Group Inc		4,734,083
	5,881	KCC Glass Corp		285,695
	2,428	Kia Corp		150,525
	617	KIWOOM Securities Co Ltd *		52,392
	4,564	Korea Investment Holdings Co Ltd *		303,210
	2,337	Korea Petrochemical Ind Co Ltd *		334,286
	162,307	Korea Real Estate Investment & Trust Co Ltd		297,159
	2,171	Korea Zinc Co Ltd		995,709

18 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		South Korea — continued
	2,729	Korean Reinsurance Co		22,036
	90,016	KT Skylife Co Ltd		639,205
	48,732	KT&G Corp		3,239,535
	6,649	Kumho Petrochemical Co Ltd *		897,021
	270	Kyung Dong Navien Co Ltd		10,027
	722	LG Household & Health Care Ltd		572,866
	7,600	Lotte Chemical Corp		1,400,678
	1,340	LOTTE Fine Chemical Co Ltd		89,144
	388	LS Electric Co Ltd		13,988
	3,335	LX Semicon Co Ltd		320,337
	1,357	Meritz Financial Group Inc		41,727
	2,381	Meritz Fire & Marine Insurance Co Ltd		81,828
	16,935	Meritz Securities Co Ltd		82,930
	11,697	Namsun Aluminum Co Ltd *		23,005
	16,282	NH Investment & Securities Co Ltd *		157,560
	48	NongShim Co Ltd		12,290
	576	PI Advanced Materials Co Ltd *		21,019
	626	Poongsan Corp		16,673
	22,596	POSCO		5,376,125
	51	POSCO International Corp		885
	7,300	POSCO Sponsored ADR		433,036
	212	S-1 Corp		12,341
	2,695	Samsung C&T Corp		248,898
	875	Samsung Card Co Ltd		23,500
	497,682	Samsung Electronics Co Ltd		29,987,021
	45,404	Samsung Engineering Co Ltd *		886,970
	6,944	Samsung Fire & Marine Insurance Co Ltd		1,104,239
	13,723	Samsung Life Insurance Co Ltd		686,144
	3,573	Samsung Securities Co Ltd		126,634
	14,686	Sangsangin Co Ltd		114,608
	666	SD Biosensor Inc		30,364
	96,321	Shinhan Financial Group Co Ltd		3,133,875
	139	SK Gas Ltd		13,819
	7,834	SK Telecom Co Ltd		357,490
	703	Songwon Industrial Co Ltd		12,002
	13,751	Spigen Korea Co Ltd		488,867
	938	TY Holdings Co Ltd *		21,386
	412	Unid Co Ltd		30,046
	286,916	Woori Financial Group Inc		3,431,973
		Total South Korea		70,616,637
		Taiwan — 36.4%
	10,000	Accton Technology Corp		90,686
	363,000	Acer Inc		376,732
	4,000	Acter Group Corp Ltd		31,580
	10,000	Advanced Ceramic X Corp		96,955
	20,000	Advantech Co Ltd		263,370
	4,000	Airtac International Group		133,048
	1,171,000	AmTRAN Technology Co Ltd		678,028
	9,000	Arcadyan Technology Corp		37,278

Shares		Description	Value ($)
		Taiwan — continued
	261,000	Asia Vital Components Co Ltd		1,043,550
	11,000	ASROCK Inc		89,943
	175,000	Asustek Computer Inc		2,334,583
	86,000	Aten International Co Ltd		248,706
	243,000	AU Optronics Corp		181,928
	20,000	Aurora Corp		65,646
	27,000	Capital Securities Corp		15,278
	175,000	Catcher Technology Co Ltd		898,242
	2,479,000	Cathay Financial Holding Co Ltd		5,574,368
	290,000	Chailease Holding Co Ltd		2,631,898
	60,000	Chicony Electronics Co Ltd		193,001
	1,328,176	China Development Financial Holding Corp		909,554
	550,000	China General Plastics Corp		684,556
	3,341,000	China Steel Corp		4,344,484
	167,000	Chipbond Technology Corp		415,539
	1,000	Chlitina Holding Ltd		7,540
	449,000	Chung Hung Steel Corp		666,776
	623,000	Chunghwa Telecom Co Ltd		2,768,996
	9,000	Cleanaway Co Ltd		68,400
	12,000	CTCI Corp		17,662
	208,000	Delta Electronics Inc		1,853,718
	955,000	E.Sun Financial Holding Co Ltd		1,009,485
	24,000	Eclat Textile Co Ltd		497,476
	42,000	Elan Microelectronics Corp		249,440
	114,000	Elite Material Co Ltd		1,117,913
	61,000	Elite Semiconductor Microelectronics Technology Inc		321,174
	64,000	Everlight Electronics Co Ltd		115,272
	36,000	Feng Hsin Steel Co Ltd		108,572
	33,000	First Financial Holding Co Ltd		30,384
	99,000	FLEXium Interconnect Inc *		337,949
	35,000	Flytech Technology Co Ltd		92,555
	110,000	Formosa Advanced Technologies Co Ltd		157,104
	115,000	Formosa Chemicals & Fibre Corp		326,033
	13,000	Formosa Petrochemical Corp		45,729
	951,000	Formosa Plastics Corp		3,590,990
	309,897	Foxconn Technology Co Ltd		713,306
	1,737,000	Fubon Financial Holding Co Ltd		4,690,011
	9,000	Gamania Digital Entertainment Co Ltd		20,468
	159,000	Gigabyte Technology Co Ltd		814,747
	19,000	Global Mixed Mode Technology Inc		164,433
	1,000	Global Unichip Corp		16,591
	457,000	Grand Pacific Petrochemical		468,733
	66,000	Greatek Electronics Inc		172,740
	1,292,000	HannStar Display Corp		745,172
	5,000	Hiwin Technologies Corp		47,738
	56,000	Holtek Semiconductor Inc		218,783
	1,052,000	Hon Hai Precision Industry Co Ltd		3,907,715
	299,000	IEI Integration Corp		498,050
	225,000	Inventec Corp		207,787

See accompanying notes to the financial statements. 19

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Taiwan — continued
	8,000	Kindom Development Co Ltd		10,668
	2,000	King Slide Works Co Ltd		30,749
	483,000	King’s Town Bank Co Ltd		697,910
	143,000	Kung Long Batteries Industrial Co Ltd		700,252
	62,000	Largan Precision Co Ltd		4,505,714
	290,000	Lite-On Technology Corp		713,075
	85,000	MediaTek Inc		3,358,845
	737,000	Mega Financial Holding Co Ltd		993,182
	210,000	Micro-Star International Co Ltd		1,183,723
	152,000	Mitac Holdings Corp		183,744
	793,000	Nan Ya Plastics Corp		2,501,122
	242,528	Nantex Industry Co Ltd		646,032
	35,000	Nanya Technology Corp		98,014
	106,000	Novatek Microelectronics Corp		1,757,317
	138,000	Pegatron Corp		342,041
	107,000	Phison Electronics Corp		1,979,728
	129,000	Powertech Technology Inc		437,560
	116,000	Quanta Computer Inc		387,892
	190,000	Radiant Opto-Electronics Corp		687,007
	31,000	Realtek Semiconductor Corp		511,127
	7,000	Rexon Industrial Corp Ltd		10,783
	126,000	Ruentex Development Co Ltd		325,335
	105,000	Shanghai Commercial & Savings Bank Ltd (The)		172,961
	989,000	Shin Kong Financial Holding Co Ltd		401,074
	22,000	Simplo Technology Co Ltd		246,878
	503,000	SinoPac Financial Holdings Co Ltd		308,873
	110,000	Sitronix Technology Corp		1,165,421
	44,000	Sonix Technology Co Ltd		138,872
	33,000	Supreme Electronics Co Ltd		63,367
	527,000	TA Chen Stainless Pipe *		1,007,545
	114,000	Taita Chemical Co Ltd		134,742
	1,334,000	Taiwan Cement Corp		2,264,629
	365,000	Taiwan Glass Industry Corp		303,752
	300,000	Taiwan PCB Techvest Co Ltd		552,724
	240,300	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		25,714,503
	47,000	Taiwan Union Technology Corp		145,626
	26,000	TCI Co Ltd		182,326
	27,000	Tripod Technology Corp		123,791
	92,730	Tung Ho Steel Enterprise Corp		233,570
	58,000	TXC Corp		202,742
	152,000	Uni-President Enterprises Corp		365,696
	108,000	United Integrated Services Co Ltd		683,731
	97,000	Universal Inc		139,709
	603,000	USI Corp		618,455
	333,000	Vanguard International Semiconductor Corp		1,511,275
	151,000	Walsin Technology Corp *		799,818
	215,000	Weikeng Industrial Co Ltd		238,223
	1,199,000	Yuanta Financial Holding Co Ltd		1,071,058
		Total Taiwan		108,261,576

Shares		Description	Value ($)
		Thailand — 0.9%
	39,000	AP Thailand Pcl NVDR		12,677
	200,600	Bangkok Bank Pcl NVDR		864,255
	385,300	CP ALL Pcl NVDR		804,975
	133,600	Kasikornbank Pcl NVDR		671,909
	16,700	PTT Exploration & Production Pcl NVDR		70,311
	30,500	PTT Pcl NVDR		37,127
	49,200	Siam Commercial Bank Pcl NVDR (The)		190,121
	21,200	Supalai Pcl NVDR		14,278
		Total Thailand		2,665,653
		Turkey — 1.0%
	2,289,812	Akbank TAS		1,168,784
	123,454	Enerjisa Enerji AS		118,397
	107,851	Eregli Demir ve Celik Fabrikalari TAS		242,730
	915,120	Turkiye Garanti Bankasi AS		733,438
	3,250,936	Yapi ve Kredi Bankasi AS		839,680
		Total Turkey		3,103,029
		United Kingdom — 0.5%
	30,000	Unilever Plc		1,506,959
		TOTAL COMMON STOCKS (COST $335,104,347)		275,859,719
		PREFERRED STOCKS (b) — 5.1%
		Brazil — 4.4%
	6,100	Bradespar SA		35,113
	729,100	Cia Energetica de Minas Gerais		1,791,594
	170,600	Cia Energetica de Minas Gerais Sponsored ADR		429,912
	1,007,400	Cia Paranaense de Energia – Class B		1,346,081
	54,700	Gerdau SA		271,302
	21,900	Itausa SA		42,412
	1,300,400	Petroleo Brasileiro SA		8,548,123
	50,800	Petroleo Brasileiro SA Sponsored ADR		664,972
		Total Brazil		13,129,509
		Chile — 0.1%
	9,977	Embotelladora Andina SA – Class B		21,726
	4,500	Sociedad Quimica y Minera de Chile SA Sponsored ADR		297,810
		Total Chile		319,536
		Russia — 0.5%
	3,948,700	Surgutneftegas PJSC		1,110,830
	315	Transneft PJSC		389,258
		Total Russia		1,500,088

20 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares / Par Value†		Description	Value ($)
		Taiwan — 0.1%
	224,635	China Development Financial Holding Corp		74,678
		TOTAL PREFERRED STOCKS (COST $15,642,013)		15,023,811
		INVESTMENT FUNDS — 0.5%
		United States — 0.5%
	26,130	iShares Core MSCI Emerging Markets ETF		1,495,420
		TOTAL INVESTMENT FUNDS (COST $1,558,697)		1,495,420
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	873	GMO U.S. Treasury Fund		4,374
		TOTAL MUTUAL FUNDS (COST $4,391)		4,374
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 0.3%
	911,285	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		911,285
		U.S. Government — 0.8%
	1,400,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (d)		1,395,791
	900,000	U.S. Treasury Bill, 0.90%, due 12/29/22 (d)		893,296
		Total U.S. Government		2,289,087
		TOTAL SHORT-TERM INVESTMENTS (COST $3,203,298)		3,200,372
		TOTAL INVESTMENTS — 99.5% (Cost $355,512,746)		295,583,696
		Other Assets and Liabilities (net) — 0.5%		1,513,564
		TOTAL NET ASSETS — 100.0%		$297,097,260

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of February 28, 2022.

(d) 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 87.

See accompanying notes to the financial statements. 21

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Fund returned -15.13% (net) for the fiscal year ended February 28, 2022, as compared with -10.69% for the MSCI Emerging Markets Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. In particular, the Fund’s overweight positions in Russian Materials, Russian Energy, and Russian Financials hurt relative performance.

Stock selection detracted from the Fund’s relative returns for the fiscal year. The Fund’s stock selection in Russian Materials, Russian Energy, and Russian Financials hurt relative performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

22

GMO Emerging Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Emerging Markets Fund Class II Shares, the MSCI Emerging Markets Index and

the S&P/IFCI Composite

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class II, III, VI, R6 and I the gross expense ratio of 0.97%, 0.90%, 0.81%, 0.97% and 1.07%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.94%, 0.89%, 0.76%, 0.94% and 0.99% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

23

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.0	%
Preferred Stocks		5.4
Short-Term Investments		1.6
Investment Funds		1.5
Debt Obligations		0.4
Futures Contracts		(0.3	)
Other		0.4
		100.0	%
Country/Region Summary¤	% of Investments
China		28.0	%
Taiwan		22.8
South Korea		13.3
United States		9.0	*
Russia		6.0
Mexico		5.4
India		4.6
Brazil		4.0
Indonesia		2.4
Turkey		0.8
United Kingdom		0.6	*
Kuwait		0.6
South Africa		0.5
Qatar		0.5
Thailand		0.5
Philippines		0.4
Chile		0.2
Czech Republic		0.2
Poland		0.1
Argentina		0.1
Sri Lanka		0.0	^
Colombia		0.0	^
Malaysia		0.0	^
Egypt		0.0	^
Hungary		0.0	^
Vietnam		0.0	^
United Arab Emirates		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		19.9	%
Technology Hardware & Equipment		16.6
Materials		11.8
Semiconductors & Semiconductor Equipment		8.4
Energy		5.6
Insurance		5.5
Capital Goods		5.2
Food, Beverage & Tobacco		4.3
Media & Entertainment		3.8
Software & Services		3.1
Real Estate		3.0
Utilities		2.9
Consumer Durables & Apparel		2.5
Diversified Financials		1.5
Retailing		1.4
Food & Staples Retailing		1.2
Household & Personal Products		1.1
Automobiles & Components		0.8
Transportation		0.7
Pharmaceuticals, Biotechnology & Life Sciences		0.3
Consumer Services		0.2
Health Care Equipment & Services		0.1
Telecommunication Services		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

24

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 91.0%
		Argentina — 0.1%
	171,300	Banco BBVA Argentina SA ADR *		553,299
	156,300	Grupo Financiero Galicia SA ADR (a)		1,480,161
		Total Argentina		2,033,460
		Brazil — 1.6%
	796,500	Blau Farmaceutica SA *		4,593,759
	1,097,500	Cia Siderurgica Nacional SA		5,401,602
	335,700	Petroleo Brasileiro SA		2,386,967
	466,400	Petroleo Brasileiro SA Sponsored ADR		6,664,856
	135,900	Transmissora Alianca de Energia Eletrica SA		1,041,406
	4,631,300	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		9,853,348
		Total Brazil		29,941,938
		Chile — 0.2%
	5,059,503	Banco de Chile		536,419
	11,124,876	Banco Santander Chile		546,274
	49,300	Banco Santander Chile ADR		962,336
	20,638	CAP SA		238,891
	130,516	Cencosud SA		239,962
	333,998	Cencosud Shopping SA		358,420
	23,000	Cia Cervecerias Unidas SA Sponsored ADR		367,540
	7,527,391	Colbun SA		548,852
	22,767	Empresas COPEC SA		176,547
	1,899,134	Enel Americas SA		222,373
		Total Chile		4,197,614
		China — 29.0%
	2,606,000	361 Degrees International Ltd *		1,281,184
	621,750	A-Living Smart City Services Co Ltd		1,114,500
	1,852,300	Agricultural Bank of China Ltd – Class A		875,893
	76,484,590	Agricultural Bank of China Ltd – Class H		28,966,172
	238,000	AK Medical Holdings Ltd		163,919
	87,100	Angang Steel Co Ltd – Class A		53,170
	19,150	Anhui Conch Cement Co Ltd – Class A		122,705
	688,800	ANTA Sports Products Ltd		10,520,181
	138,800	Autohome Inc ADR		4,245,892
	284,800	Autohome Inc – Class A *		2,102,960
	360,400	Baidu Inc – Class A *		6,802,847
	12,655,200	Bank of China Ltd – Class A		6,220,708
	532,700	Budweiser Brewing Co APAC Ltd		1,653,485
	28,435	BYD Co Ltd – Class A		1,144,464
	2,142,000	BYD Electronic International Co Ltd (a)		6,044,321
	816,000	China BlueChemical Ltd – Class H		244,336
	7,787,878	China Communications Services Corp Ltd – Class H		4,272,594
	511,500	China Construction Bank Corp – Class A		489,804
	68,378,148	China Construction Bank Corp – Class H		51,281,187

Shares		Description	Value ($)
		China — continued
	8,453,000	China Datang Corp Renewable Power Co Ltd – Class H		3,203,242
	4,695,000	China Dongxiang Group Co Ltd		354,312
	20,184,000	China Feihe Ltd		24,084,751
	364,500	China Hongqiao Group Ltd		510,303
	1,538,000	China Lesso Group Holdings Ltd		2,367,881
	4,655,000	China Longyuan Power Group Corp Ltd – Class H		9,606,010
	480,000	China Medical System Holdings Ltd		854,714
	2,801,426	China Merchants Bank Co Ltd – Class A		22,164,678
	7,806,095	China Molybdenum Co Ltd – Class A		7,495,167
	708,000	China Molybdenum Co Ltd – Class H		426,147
	2,118,000	China Oriental Group Co Ltd		615,659
	602,511	China Pacific Insurance Group Co Ltd – Class A		2,536,254
	563,600	China Pacific Insurance Group Co Ltd – Class H		1,569,387
	5,825,000	China Reinsurance Group Corp – Class H		559,846
	924,000	China Resources Gas Group Ltd		4,243,922
	3,238,000	China Resources Land Ltd		15,750,596
	450,000	China Risun Group Ltd		280,319
	1,465,500	China Shenhua Energy Co Ltd – Class A		5,872,811
	292,381	China Tourism Group Duty Free Corp Ltd – Class A		9,452,186
	458,000	CIFI Ever Sunshine Services Group Ltd		832,904
	556,000	Country Garden Services Holdings Co Ltd		3,325,968
	100,000	CSPC Pharmaceutical Group Ltd		118,536
	902,000	Dongyue Group Ltd		1,308,567
	917,100	ENN Energy Holdings Ltd		13,281,802
	6,237,330	Fangda Special Steel Technology Co Ltd – Class A		8,148,069
	438,955	Fuyao Glass Industry Group Co Ltd – Class A		3,083,593
	219,600	Fuyao Glass Industry Group Co Ltd – Class H		1,077,378
	284,000	Geely Automobile Holdings Ltd		528,991
	839,000	Greenland Hong Kong Holdings Ltd		143,623
	303,322	Hangzhou Robam Appliances Co Ltd – Class A		1,605,769
	4,780,138	Hisense Home Appliances Group Co Ltd – Class A		10,315,784
	280,000	Hisense Home Appliances Group Co Ltd – Class H		314,255
	78,100	Hollysys Automation Technologies Ltd *		1,099,648
	10,248,000	Hua Han Health Industry Holdings Ltd * (b)		1
	428,100	Huayu Automotive Systems Co Ltd – Class A		1,728,428
	33,881,847	Industrial & Commercial Bank of China Ltd – Class H		20,225,940
	5,727,809	Inner Mongolia Eerduosi Resources Co Ltd – Class A		23,680,868
	39,536	JD.com Inc – Class A *		1,412,203
	658,000	JS Global Lifestyle Co Ltd		758,916
	402,000	KE Holdings Inc ADR *		7,802,820
	216,500	Kingboard Laminates Holdings Ltd		360,764

See accompanying notes to the financial statements. 25

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		China — continued
	2,910,000	Kunlun Energy Co Ltd		2,862,519
	42,213	Kweichow Moutai Co Ltd – Class A		12,015,861
	430,500	KWG Group Holdings Ltd		201,570
	423,000	KWG Living Group Holdings Ltd		175,229
	190,000	Li Ning Co Ltd		1,897,748
	519,000	Logan Group Co Ltd (a)		172,447
	2,563,000	Lonking Holdings Ltd		683,105
	245,000	Lufax Holding Ltd ADR *		1,585,150
	218,100	Midea Group Co Ltd – Class A		2,319,006
	2,472,000	MMG Ltd *		895,431
	24,250	NetEase Inc		469,036
	28,250	NetEase Inc ADR		2,693,355
	288,000	Newborn Town Inc *		162,467
	450,000	Nexteer Automotive Group Ltd		450,711
	676,000	PAX Global Technology Ltd		504,500
	25,109,000	PICC Property & Casualty Co Ltd – Class H		26,504,717
	18,210,610	Postal Savings Bank of China Co Ltd – Class A		16,146,852
	151,000	Q Technology Group Co Ltd		142,601
	4,526,400	Qingling Motors Co Ltd – Class H		875,184
	1,978,581	Shenzhen YUTO Packaging Technology Co Ltd – Class A		9,142,050
	1,832,000	Sihuan Pharmaceutical Holdings Group Ltd (a)		392,833
	2,044,000	Sinopec Engineering Group Co Ltd – Class H		977,820
	1,982,500	Sinotruk Hong Kong Ltd		2,959,212
	138,000	SITC International Holdings Co Ltd		568,996
	2,969,000	Sunac China Holdings Ltd		2,426,858
	538,000	Sunac Services Holdings Ltd *		459,811
	651,200	Sunny Optical Technology Group Co Ltd		15,605,325
	696,765	Tencent Holdings Ltd		37,598,353
	115,100	Tencent Holdings Ltd ADR		6,191,229
	770,700	Tencent Music Entertainment Group ADR*		4,154,073
	1,466,000	Tianli Education International Holdings Ltd (c)		358,311
	1,102,708	Vipshop Holdings Ltd ADR *		9,560,478
	409,500	Xiabuxiabu Catering Management China Holdings Co Ltd *		257,680
	5,391,000	Xinyi Glass Holdings Ltd		14,360,226
	26,000	Xinyi Solar Holdings Ltd		47,226
	18,872,400	Yangzijiang Shipbuilding Holdings Ltd		19,305,531
	68,000	Yihai International Holding Ltd * (a)		284,519
	68,307	Zhejiang Supor Co Ltd – Class A		549,034
	1,923,962	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		3,938,702
	1,406,000	Zhenro Properties Group Ltd (a)		121,052
	280,000	Zhongsheng Group Holdings Ltd		1,955,218
	233,000	Zhou Hei Ya International Holdings Co Ltd *		155,669
	9,470,579	Zijin Mining Group Co Ltd – Class A		16,964,540
	156,000	Zijin Mining Group Co Ltd – Class H		231,532
	937,800	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		623,828
		Total China		560,650,929

Shares		Description	Value ($)
		Czech Republic — 0.2%
	960,228	Moneta Money Bank AS		3,800,042
	761	Philip Morris CR AS		550,572
		Total Czech Republic		4,350,614
		Egypt — 0.0%
	137,416	Commercial International Bank Egypt SAE *		418,544
		Hungary — 0.0%
	49,524	MOL Hungarian Oil & Gas Plc		386,302
		India — 7.0%
	219,434	Asian Paints Ltd		9,265,784
	754,169	Axis Bank Ltd *		7,475,167
	3,891	Clean Science & Technology Ltd *		95,834
	11,567,064	Gayatri Projects Ltd * (d)		3,763,980
	34,562	Godrej Properties Ltd *		693,661
	64,522	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		474,130
	93,716	Gujarat State Fertilizers & Chemicals Ltd		156,867
	980,934	HCL Technologies Ltd		14,738,093
	195,803	HDFC Bank Ltd		3,723,527
	62,789	Hindustan Aeronautics Ltd		1,155,971
	278,953	Hindustan Petroleum Corp Ltd		1,014,785
	223,369	Hindustan Unilever Ltd		6,469,714
	201,768	Hindustan Zinc Ltd		840,098
	215,355	Housing Development Finance Corp Ltd		6,798,839
	1,139,177	ICICI Bank Ltd		11,268,052
	1,698,234	Indiabulls Real Estate Ltd *		2,454,865
	608,400	Infosys Ltd Sponsored ADR		13,664,664
	2,561,259	Jai Balaji Industries Ltd *		1,566,184
	1,128,660	Kiri Industries Ltd *		6,949,027
	54,792	Mahanagar Gas Ltd		530,596
	33,556	Marico Ltd		227,629
	209,367	Mindtree Ltd		10,841,282
	342,775	NBCC India Ltd		178,800
	1,158,051	NCC Ltd		974,887
	73,894	Oberoi Realty Ltd *		898,548
	200,357	Petronet LNG Ltd		575,994
	196,694	Prestige Estates Projects Ltd		1,190,082
	353,391	Redington India Ltd		720,313
	56,735	Sobha Ltd		583,243
	48,586	Sun TV Network Ltd		291,058
	308,777	Tata Consultancy Services Ltd		14,610,631
	266,397	Titan Co Ltd		9,082,150
	640,646	TV18 Broadcast Ltd *		519,277
	124,453	Welspun Corp Ltd		238,922
		Total India		134,032,654
		Indonesia — 2.4%
	3,909,900	Adaro Energy Tbk PT		669,889

26 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)

February 28, 2022

Shares		Description	Value ($)
		Indonesia — continued
	40,657,000	Bank Central Asia Tbk PT		22,953,548
	6,152,600	Bank Mandiri Persero Tbk PT		3,326,348
	5,667,000	Bank Negara Indonesia Persero Tbk PT		3,175,297
	12,847,600	Bank Pembangunan Daerah Jawa Timur Tbk PT		688,919
	34,886,200	Bank Rakyat Indonesia Persero Tbk PT		11,155,216
	1,355,800	Bukit Asam Tbk PT		297,850
	610,991	Indo Tambangraya Megah Tbk PT		1,136,363
	174,631,700	Panin Financial Tbk PT *		2,055,224
	18,688,280	Ramayana Lestari Sentosa Tbk PT *		821,942
	2,025,600	Timah Tbk PT *		225,454
	211,700	United Tractors Tbk PT		369,413
		Total Indonesia		46,875,463
		Kuwait — 0.6%
	175,067	Humansoft Holding Co KSC		2,130,937
	2,986,892	Kuwait Finance House KSCP		9,343,625
	768,417	Kuwait Projects Holding KSCP		497,220
		Total Kuwait		11,971,782
		Malaysia — 0.0%
	1,039,900	Kossan Rubber Industries Bhd		428,721
		Mexico — 5.6%
	171,100	Arca Continental SAB de CV		1,127,801
	913,800	Banco del Bajio SA		2,221,925
	9,700	Coca-Cola Femsa SAB de CV Sponsored ADR		534,082
	181,000	Concentradora Fibra Danhos SA de CV (REIT)		205,471
	1,055,500	Credito Real SAB de CV SOFOM ER * (a)		82,972
	79,200	El Puerto de Liverpool SAB de CV – Class C1		386,275
	224,900	Fomento Economico Mexicano SAB de CV		1,807,128
	72,800	Fomento Economico Mexicano SAB de CV Sponsored ADR		5,853,120
	17,955	Gruma SAB de CV – Class B		243,143
	53,000	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		381,721
	200	Grupo Aeroportuario del Sureste SAB de CV ADR		43,188
	18,145	Grupo Aeroportuario del Sureste SAB de CV – Class B		390,630
	64,500	Grupo Bimbo SAB de CV – Series A		199,663
	8,940,900	Grupo Financiero Banorte SAB de CV –Class O		60,675,538
	126,100	Grupo Financiero Inbursa SAB de CV – Class O *		206,072
	685,400	Grupo Mexico SAB de CV – Series B		3,501,125
	189,200	Kimberly-Clark de Mexico SAB de CV – Class A		264,479
	74,900	Orbia Advance Corp SAB de CV		191,337
	174,127	Qualitas Controladora SAB de CV		953,911

Shares		Description	Value ($)
		Mexico — continued
	339,900	Regional SAB de CV		2,018,556
	165,300	Ternium SA Sponsored ADR		6,492,984
	384,621	Unifin Financiera SAB de CV SOFOM ENR * (a)		478,875
	5,320,200	Wal-Mart de Mexico SAB de CV		20,261,491
		Total Mexico		108,521,487
		Philippines — 0.5%
	100,380	GT Capital Holdings Inc		1,136,775
	275,490	Manila Electric Co		1,982,342
	22,568,800	Megaworld Corp		1,418,018
	1,623,200	Puregold Price Club Inc		1,115,191
	4,972,700	Semirara Mining & Power Corp		2,696,283
		Total Philippines		8,348,609
		Poland — 0.1%
	37,920	Budimex SA		2,062,742
	224,651	Polskie Gornictwo Naftowe i Gazownictwo SA		296,069
		Total Poland		2,358,811
		Qatar — 0.5%
	214,638	Doha Bank QPSC		167,818
	1,325,938	Qatar National Bank QPSC		7,956,691
	729,137	Qatar National Cement Co QSC		1,240,829
		Total Qatar		9,365,338
		Russia — 5.0%
	31,701,260	Alrosa PJSC		20,444,648
	380,350	Detsky Mir PJSC		267,959
	39,977	Evraz Plc		77,063
	1,432,600,000	Federal Grid Co Unified Energy System PJSC		991,130
	653,911	Fix Price Group Ltd GDR (b)		393,654
	219,070	Gazprom Neft PJSC		714,398
	625,430	Gazprom PJSC Sponsored ADR		1,654,591
	575,658	Globaltrans Investment Plc Sponsored GDR (Registered)		1,076,307
	78,536,400	Inter RAO UES PJSC		1,754,222
	239,440	LSR Group PJSC		986,219
	3	LSR Group PJSC GDR (Registered) (b)		3
	285,469	LUKOIL PJSC Sponsored ADR		5,354,502
	14,733,960	Magnitogorsk Iron & Steel Works PJSC		5,185,466
	212,079	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		593,846
	237,400	Mechel PJSC Sponsored ADR * (b)		371,508
	372,125	MMC Norilsk Nickel PJSC ADR		5,109,397
	249,660	Mobile TeleSystems PJSC		494,734
	35,508	Mobile TeleSystems PJSC ADR (b)		135,830
	4,133,417	Moscow Exchange MICEX-RTS PJSC		3,098,992
	1,001,556	Novolipetsk Steel PJSC GDR		7,678,781
	36,002	PhosAgro PJSC GDR (Registered)		220,257

See accompanying notes to the financial statements. 27

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Russia — continued
	916,204	Polymetal International Plc		4,283,616
	160,188	Polyus PJSC GDR (Registered)		8,549,021
	499,515	QIWI Plc Sponsored ADR (a) (b) (e)		1,969,866
	11,693	QIWI Plc Sponsored ADR (e)		39,900
	17,012	Raspadskaya OJSC		38,449
	24,938,000	RusHydro PJSC		138,979
	3,281,403	Sberbank of Russia PJSC Sponsored ADR		3,429,266
	706,464	Severstal PAO GDR (Registered)		3,586,487
	68,353	SFI PJSC *		252,174
	21,037,700	Surgutneftegas PJSC		3,807,075
	4,246,320	Surgutneftegas PJSC Sponsored ADR		7,298,600
	476,673	Tatneft PJSC Sponsored ADR		6,496,050
	8,118,000	Unipro PJSC		112,545
	556,430	United Co Rusal International PJSC *		234,576
	46,698	X5 Retail Group NV GDR (Registered)		122,178
		Total Russia		96,962,289
		South Africa — 0.5%
	652	Anglo American Platinum Ltd		101,668
	389,794	Investec Ltd		2,194,336
	110,185	Kumba Iron Ore Ltd		4,355,479
	546,611	Lewis Group Ltd		1,654,019
	10,650,393	RMB Holdings Ltd		1,157,619
		Total South Africa		9,463,121
		South Korea — 12.2%
	11,074	APTC Co Ltd		178,008
	78,985	BNK Financial Group Inc		519,962
	615,279	Daewoo Engineering & Construction Co Ltd *		3,236,300
	61,753	DB Insurance Co Ltd		3,179,234
	3,773	DL E&C Co Ltd		406,751
	11,625	Dongkuk Steel Mill Co Ltd		161,545
	996,696	Dongwon Development Co Ltd		4,053,208
	11,745	Doosan Bobcat Inc		376,954
	18,060	Fila Holdings Corp		533,685
	219,790	GS Engineering & Construction Corp		7,899,051
	5,148	GS Holdings Corp		172,144
	4,516	HAESUNG DS Co Ltd *		202,281
	171,413	Hana Financial Group Inc		6,964,139
	12,234	Hana Materials Inc		533,484
	11,277	Hankook & Co Co Ltd		126,634
	27,635	Hankook Tire & Technology Co Ltd		814,216
	12,042	Hanmi Semiconductor Co Ltd		339,471
	50,477	Hanwha Aerospace Co Ltd		2,204,117
	731,270	Hanwha Investment & Securities Co Ltd *		2,962,265
	330,499	HDC Hyundai Development Co-Engineering & Construction *		4,447,886
	754	Hyosung TNC Corp		306,604
	3,149	Hyundai Autoever Corp		285,507
	322,098	Hyundai Engineering & Construction Co Ltd		11,734,743

Shares		Description	Value ($)
		South Korea — continued
	16,957	Hyundai Marine & Fire Insurance Co Ltd		407,292
	10,452	Hyundai Mobis Co Ltd		1,962,530
	40,019	Industrial Bank of Korea		359,513
	216,783	KB Financial Group Inc		10,694,868
	18,666	KC Tech Co Ltd		325,709
	6,440	KCC Corp		1,803,139
	9,566	KCC Glass Corp		464,709
	1,016	Kia Corp		62,987
	11,805	KIWOOM Securities Co Ltd *		1,002,421
	3,768	Korea Electric Terminal Co Ltd		183,589
	11,000	Korea Petrochemical Ind Co Ltd *		1,573,447
	112,397	Korea Real Estate Investment & Trust Co Ltd		205,782
	453	Korea Zinc Co Ltd		207,764
	471,484	KT&G Corp (a)		31,342,629
	53,188	Kumho Petrochemical Co Ltd * (a)		7,175,627
	29,200	LG Electronics Inc		3,048,373
	3,229	LG Household & Health Care Ltd		2,562,029
	29,475	Lotte Chemical Corp (a)		5,432,235
	5,748	LOTTE Fine Chemical Co Ltd		382,389
	14,735	LX Semicon Co Ltd		1,415,341
	46,040	POSCO		10,954,009
	11,419	PSK Inc		455,603
	699	Samsung C&T Corp		64,557
	682	Samsung Electro-Mechanics Co Ltd		95,349
	1,046,166	Samsung Electronics Co Ltd		63,035,034
	6,416	Samsung Electronics Co Ltd GDR		9,625,149
	36,021	Samsung Engineering Co Ltd *		703,672
	4,940	Samsung SDS Co Ltd		579,947
	3,126	Samwha Capacitor Co Ltd		147,978
	26,858	SD Biosensor Inc		1,224,499
	8,234	Sebang Global Battery Co Ltd		439,760
	234,687	Shinhan Financial Group Co Ltd		7,635,716
	65,367	SL Corp *		1,303,040
	15,184	SM Entertainment Co Ltd		949,455
	3,405	SNT Motiv Co Ltd		123,115
	7,635	TES Co Ltd		162,958
	7,294	TY Holdings Co Ltd *		166,300
	1,271,127	Woori Financial Group Inc		15,204,707
	132,733	Woori Technology Investment Co Ltd * (a)		950,643
	6,673	Youlchon Chemical Co Ltd		133,314
		Total South Korea		236,205,367
		Sri Lanka — 0.1%
	103,983,101	Anilana Hotels & Properties Ltd * (d)		712,685
		Taiwan — 23.5%
	85,532	Acter Group Corp Ltd		675,274
	1,031,035	Advantech Co Ltd		13,577,192
	1,697,689	Asustek Computer Inc		22,647,976
	386,000	Aten International Co Ltd		1,116,285

28 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)

February 28, 2022

Shares		Description	Value ($)
		Taiwan — continued
	115,200	Aurora Corp		378,122
	9,050,000	Catcher Technology Co Ltd		46,451,930
	9,418,153	Cathay Financial Holding Co Ltd		21,177,993
	1,524,808	Chailease Holding Co Ltd		13,838,410
	79,000	Chicony Electronics Co Ltd		254,117
	546,000	Chong Hong Construction Co Ltd		1,491,808
	237,000	Chunghwa Telecom Co Ltd		1,053,374
	1,581,400	Coretronic Corp		4,052,655
	236,000	Delta Electronics Inc		2,103,257
	92,000	Elan Microelectronics Corp		546,392
	137,000	Elite Material Co Ltd		1,343,457
	1,247,000	Farglory Land Development Co Ltd		2,728,193
	474,000	First Financial Holding Co Ltd		436,430
	686,000	FIT Hon Teng Ltd *		124,417
	2,795,000	FLEXium Interconnect Inc *		9,541,094
	1,253,000	Formosa Plastics Corp		4,731,347
	1,879,778	Foxconn Technology Co Ltd		4,326,783
	40,000	Foxsemicon Integrated Technology Inc		314,062
	15,428,419	Fubon Financial Holding Co Ltd		41,657,719
	115,000	Gamania Digital Entertainment Co Ltd		261,539
	1,720,000	Grand Pacific Petrochemical		1,764,158
	10,000	Grand Plastic Technology Corp		114,931
	163,000	HannStar Display Corp		94,012
	176,000	Holtek Semiconductor Inc		687,603
	9,265,532	Hon Hai Precision Industry Co Ltd		34,417,356
	1,304,000	Huaku Development Co Ltd		4,233,140
	1,270,806	IEI Integration Corp		2,116,807
	149,000	International Games System Co Ltd		3,682,757
	266,000	King’s Town Bank Co Ltd		384,356
	243,000	Kung Long Batteries Industrial Co Ltd		1,189,938
	94,000	Largan Precision Co Ltd		6,831,244
	1,472,000	Lite-On Technology Corp		3,619,470
	26,000	MediaTek Inc		1,027,411
	1,551,000	Micro-Star International Co Ltd		8,742,640
	405,000	Mitac Holdings Corp		489,580
	1,882,000	Nan Ya Plastics Corp		5,935,828
	1,013,000	Nantex Industry Co Ltd		2,698,372
	249,810	Novatek Microelectronics Corp		4,141,466
	220,000	Pegatron Corp		545,282
	521,000	Phison Electronics Corp		9,639,610
	433,000	Powertech Technology Inc		1,468,710
	7,377,870	Radiant Opto-Electronics Corp		26,677,106
	114,000	Shanghai Commercial & Savings Bank Ltd (The)		187,786
	634,000	Shinkong Insurance Co Ltd		1,079,434
	348,468	Simplo Technology Co Ltd		3,910,418
	487,000	SinoPac Financial Holdings Co Ltd		299,048
	1,649,250	Syncmold Enterprise Corp		4,019,685
	96,024	Tah Hsin Industrial Corp *		288,753
	2,890,000	Taiwan Cement Corp		4,906,130

Shares		Description		Value ($)
		Taiwan — continued
	4,813,000	Taiwan Semiconductor Manufacturing Co Ltd			103,477,364
	46,610	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR			4,987,736
	201,000	Test Research Inc			451,002
	27,000	Thinking Electronic Industrial Co Ltd			135,766
	827,000	Transcend Information Inc			2,097,513
	719,160	Tripod Technology Corp			3,297,232
	72,000	Tung Ho Steel Enterprise Corp			181,355
	17,000	TXC Corp			59,424
	675,224	United Integrated Services Co Ltd			4,274,739
	742,000	Universal Inc			1,068,700
	86,000	Vanguard International Semiconductor Corp			390,299
	84,000	Visual Photonics Epitaxy Co Ltd			341,693
	303,000	Walsin Technology Corp *			1,604,933
	4,000	Yageo Corp			65,627
	121,000	Yulon Nissan Motor Co Ltd			1,074,753
	262,000	Zeng Hsing Industrial Co Ltd			1,345,063
		Total Taiwan			454,876,056
		Thailand — 0.5%
	627,000	CP ALL Pcl (Foreign Registered)			1,309,938
	308,700	Delta Electronics Thailand Pcl (Foreign Registered)			3,816,826
	334,000	Kasikornbank Pcl (Foreign Registered)			1,679,773
	2,857,500	Pruksa Holding Pcl (Foreign Registered)			1,259,781
	330,000	SPCG Pcl			180,055
	1,583,475	Supalai Pcl (Foreign Registered)			1,066,419
		Total Thailand			9,312,792
		Turkey — 0.8%
	17,487,043	Akbank TAS			8,925,871
	119,119	Arcelik AS			476,627
	461,063	Enerjisa Enerji AS			442,178
	4,849,630	Turkiye Garanti Bankasi AS			3,886,816
	7,105,358	Yapi ve Kredi Bankasi AS			1,835,234
		Total Turkey			15,566,726
		United Arab Emirates — 0.0%
	118,400	Dubai Islamic Bank PJSC	��		196,771
		United Kingdom — 0.6%
	241,625	Unilever Plc			12,137,300
		Vietnam — 0.0%
	15	Hoa Phat Group JSC			31
	213,700	Pha Lai Thermal Power JSC			209,424
		Total Vietnam			209,455
		TOTAL COMMON STOCKS (COST $2,022,736,268)			1,759,524,828

See accompanying notes to the financial statements. 29

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		PREFERRED STOCKS (f) — 5.4%
		Brazil — 2.6%
	118,200	Bradespar SA		680,389
	1,570,900	Cia Energetica de Minas Gerais		3,860,123
	752,200	Cia Energetica de Minas Gerais Sponsored ADR		1,895,544
	5,644,400	Cia Paranaense de Energia – Class B		7,542,008
	594,500	Gerdau SA		2,948,610
	76,600	Metalurgica Gerdau SA		153,951
	4,211,100	Petroleo Brasileiro SA		27,681,483
	385,900	Petroleo Brasileiro SA Sponsored ADR		5,051,431
	174,800	Usinas Siderurgicas de Minas Gerais SA Usiminas – Class A		494,117
		Total Brazil		50,307,656
		Chile — 0.0%
	5,900	Sociedad Quimica y Minera de Chile SA Sponsored ADR		390,462
		Colombia — 0.0%
	2,217,585	Grupo Aval Acciones y Valores SA		597,063
		Russia — 1.2%
	194,570	Nizhnekamskneftekhim PJSC		111,766
	79,676,700	Surgutneftegas PJSC		22,414,272
	869	Transneft PJSC		1,073,858
		Total Russia		23,599,896
		South Korea — 1.5%
	531,957	Samsung Electronics Co Ltd		29,399,925
		Taiwan — 0.1%
	256,798	Chailease Holding Co Ltd		934,594
		TOTAL PREFERRED STOCKS (COST $113,313,946)		105,229,596

Shares / Par Value†		Description	Value ($)
		INVESTMENT FUNDS — 1.5%
		United States — 1.5%
	509,860	iShares Core MSCI Emerging Markets ETF		29,179,288
		TOTAL INVESTMENT FUNDS (COST $30,380,692)		29,179,288
		DEBT OBLIGATIONS — 0.4%
		United States — 0.4%
	8,157,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 04/30/23 (g)		8,159,722
		TOTAL DEBT OBLIGATIONS (COST $8,159,232)		8,159,722
		SHORT-TERM INVESTMENTS — 1.6%
		Money Market Funds — 0.5%
	8,529,314	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		8,529,314
		Total Money Market Funds		8,529,314
		U.S. Government — 1.1%
	4,800,000	U.S. Treasury Bill, 0.60%, due 08/04/22 (g) (i)		4,787,645
	11,200,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (i)		11,166,327
	6,000,000	U.S. Treasury Bill, 0.66%, due 08/25/22 (i)		5,980,894
		Total U.S. Government		21,934,866
		TOTAL SHORT-TERM INVESTMENTS (COST $30,459,840)		30,464,180
		TOTAL INVESTMENTS — 99.9% (Cost $2,205,049,978)		1,932,557,614
		Other Assets and Liabilities (net) — 0.1%		2,174,774
		TOTAL NET ASSETS — 100.0%		$1,934,732,388

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 2,563	Mini MSCI Emerging Markets	March 2022	$	150,640,325	$	(6,332,907	)
Sales 1,238	SGX Nifty 50	March 2022	$	41,748,726	$	840,989

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

30 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Affiliated company (Note 10).

(e) Securities are traded on separate exchanges for the same entity.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(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) The rate disclosed is the 7 day net yield as of February 28, 2022.

(i) 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 87.

See accompanying notes to the financial statements. 31

GMO International Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class II shares of GMO International Equity Fund returned +5.00% (net) for the fiscal year ended February 28, 2022, as compared with +2.83% for the MSCI EAFE Index.

The environment saw a shift to tailwinds for Value, with strong performance from our valuation-oriented models. The magnitude of the favorable conditions for Value is illustrated by the 3.5% outperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Index for the fiscal year ended February 28, 2022.

Areas of notable positive stock selection included areas which had been challenging in the prior year, Japan, the Netherlands, Industrials, Consumer Discretionary, and Health Care. Stock selection was also strong in Communication Services. Top contributors included overweight positioning in Norsk Hydro (Norway Materials), British American Tobacco (UK Consumer Staples), DBS Group (Singapore Financials), and Mercedes-Benz Group (Germany Consumer Discretionary). Underweight positioning toward SoftBank Group (Japan Communication Services) also added value.

The UK was a challenging area for stock selection, along with value lost from names not held and underweight positioning toward Energy. Top detractors included underweight positioning in Nestle (Switzerland Consumer Staples), Royal Dutch Shell (UK Energy), and Novo Nordisk (Denmark Health Care). Overweights toward Fortescue Metals (Australia Materials) and WH Group (Hong Kong Consumer Staples) also detracted from performance.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

32

GMO International Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO International Equity Fund Class II Shares and the MSCI EAFE Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class II, III, IV and I the gross expense ratio of 0.76%, 0.69%, 0.63% and 0.86%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.73%, 0.66%, 0.60% and 0.83% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

33

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		99.6	%
Short-Term Investments		4.1
Preferred Stocks		0.3
Other		(4.0	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		26.9	%
United Kingdom		16.6
France		9.3
Netherlands		7.2
Germany		6.5
Switzerland		6.3
Spain		4.5
Singapore		4.4
Norway		4.3
Australia		3.8
Italy		3.4
Hong Kong		2.3
Belgium		1.7
Other Developed		1.7	‡
Ireland		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		14.9	%
Pharmaceuticals, Biotechnology & Life Sciences		12.5
Banks		11.0
Materials		10.4
Food, Beverage & Tobacco		9.1
Telecommunication Services		7.2
Consumer Durables & Apparel		4.8
Automobiles & Components		4.5
Food & Staples Retailing		3.5
Retailing		3.4
Diversified Financials		3.3
Technology Hardware & Equipment		3.1
Commercial & Professional Services		2.3
Insurance		2.2
Energy		1.8
Software & Services		1.7
Transportation		1.4
Media & Entertainment		1.1
Semiconductors & Semiconductor Equipment		0.9
Real Estate		0.5
Utilities		0.3
Health Care Equipment & Services		0.1
Consumer Services		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

34

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 99.6%
		Australia — 3.8%
	718,948	BlueScope Steel Ltd		10,646,077
	240,493	GrainCorp Ltd – Class A		1,470,938
	89,611	Pact Group Holdings Ltd		168,926
	680,833	Rio Tinto Ltd		58,713,001
	443,950	Sandfire Resources Ltd		2,188,645
		Total Australia		73,187,587
		Belgium — 1.7%
	91,042	AGFA-Gevaert NV *		369,139
	52,409	Bekaert SA		2,280,234
	205,428	KBC Group NV		14,800,457
	131,018	UCB SA		14,298,875
		Total Belgium		31,748,705
		Denmark — 0.1%
	9,627	Per Aarsleff Holding A/S		380,382
	6,561	Schouw & Co A/S		572,056
		Total Denmark		952,438
		Finland — 0.5%
	301,836	Kesko Oyj – B Shares		8,882,942
	103,849	Outokumpu Oyj *		612,149
		Total Finland		9,495,091
		France — 9.3%
	12,756	Alten SA		1,925,872
	31,964	APERAM SA		1,789,734
	675,997	BNP Paribas SA		39,224,402
	3,116	Christian Dior SE		2,206,636
	658,289	Cie de Saint-Gobain		40,817,260
	165,498	Derichebourg SA		1,719,459
	36,691	Ipsen SA		4,269,350
	55,260	IPSOS		2,633,566
	121,054	Metropole Television SA		2,399,416
	71,988	Publicis Groupe SA		4,777,535
	240,552	Sanofi		25,145,502
	138,341	Schneider Electric SE		21,434,014
	21,273	Societe BIC SA		1,122,513
	691,458	Societe Generale SA		19,552,726
	87,400	STMicroelectronics NV – NY Shares		3,698,768
	263,720	Television Francaise 1		2,603,272
	14,633	TotalEnergies SE		751,510
		Total France		176,071,535
		Germany — 6.2%
	96,472	ADVA Optical Networking SE *		1,633,355
	175,446	Bayerische Motoren Werke AG		16,896,708

Shares		Description	Value ($)
		Germany — continued
	526,733	Daimler AG (Registered)		41,148,106
	219,578	Deutsche Post AG (Registered)		11,036,473
	3,109	Hornbach Holding AG & Co KGaA		407,233
	5,326	Indus Holding AG		189,949
	465,117	Kloeckner & Co SE *		6,292,259
	133,921	Merck KGaA		26,562,891
	36,288	RTL Group SA		2,022,036
	49,805	Traton SE		1,017,237
	39,746	Volkswagen AG		10,279,876
		Total Germany		117,486,123
		Hong Kong — 2.3%
	214,900	ASM Pacific Technology Ltd		2,357,671
	1,229,487	Champion (REIT)		557,534
	711,712	Chow Tai Fook Jewellery Group Ltd *		1,477,897
	209,000	CK Asset Holdings Ltd		1,320,053
	608,400	Dah Sing Banking Group Ltd		550,840
	229,269	Dah Sing Financial Holdings Ltd		742,462
	3,995,207	Esprit Holdings Ltd *		455,804
	3,817,585	IGG Inc		2,286,398
	485,901	Johnson Electric Holdings Ltd		809,087
	297,640	Kerry Logistics Network Ltd		722,160
	420,326	Luk Fook Holdings International Ltd		1,116,687
	1,232,331	Pacific Textiles Holdings Ltd		597,868
	1,301,023	Shun Tak Holdings Ltd *		332,485
	359,526	SmarTone Telecommunications Holdings Ltd		205,079
	84,500	Sun Hung Kai Properties Ltd		982,378
	280,000	Techtronic Industries Co Ltd		4,691,696
	313,588	Television Broadcasts Ltd *		205,045
	1,016,000	VSTECS Holdings Ltd		1,044,551
	325,800	VTech Holdings Ltd		2,678,458
	29,823,015	WH Group Ltd		20,827,666
		Total Hong Kong		43,961,819
		Ireland — 1.1%
	145,807	AIB Group Plc *		384,679
	835,871	Bank of Ireland Group Plc *		5,546,210
	173,452	CRH Plc Sponsored ADR		7,786,260
	99,674	Glanbia Plc		1,395,340
	49,019	Kingspan Group Plc		4,787,304
	19,058	Smurfit Kappa Group Plc		945,699
		Total Ireland		20,845,492
		Italy — 3.3%
	339,828	Anima Holding SPA		1,606,408
	92,082	Banca IFIS SPA		1,943,329
	774,212	Banco BPM SPA		2,656,505
	90,779	De’ Longhi SPA		2,880,553
	101,444	Esprinet SPA		1,264,854
	340,051	EXOR NV		25,764,169

See accompanying notes to the financial statements. 35

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Italy — continued
	605,347	Italgas SPA		3,907,522
	36,751	La Doria SPA		677,411
	137,441	OVS SPA *		346,744
	753,770	Poste Italiane SPA		8,645,376
	2,362	Sesa SPA		377,369
	421,929	Stellantis NV		7,667,242
	97,344	Unieuro SPA		1,927,204
	805,018	Unipol Gruppo SPA		4,084,726
		Total Italy		63,749,412
		Japan — 26.9%
	133,500	AGC Inc		5,922,399
	8,600	Aisin Corp		313,249
	63,520	AOKI Holdings Inc		331,417
	1,842,015	Asahi Kasei Corp		17,286,992
	1,670,584	Astellas Pharma Inc		27,872,385
	491,396	Brother Industries Ltd		8,943,841
	952,700	Canon Inc		22,419,835
	31,300	Canon Inc Sponsored ADR		739,619
	39,584	Cawachi Ltd		845,340
	17,400	Dai Nippon Printing Co Ltd		454,222
	203,500	Daiwa House Industry Co Ltd		5,771,315
	281,090	Daiwabo Holdings Co Ltd		4,351,094
	70,574	Dexerials Corp		2,014,976
	53,748	Doutor Nichires Holdings Co Ltd		757,838
	84,354	FUJIFILM Holdings Corp		5,361,888
	193,832	Fujitsu Ltd		28,160,684
	20,606	Fuyo General Lease Co Ltd		1,349,810
	90,436	Geo Holdings Corp		1,194,460
	17,653	Gunze Ltd		606,433
	415,204	Hitachi Ltd		20,532,958
	86,000	Hitachi Zosen Corp		596,129
	1,520,454	ITOCHU Corp		49,549,467
	2,088,704	Japan Tobacco Inc		38,413,687
	127,244	Kanematsu Corp		1,553,494
	1,464,196	KDDI Corp		47,646,754
	41,993	Komeri Co Ltd		1,032,533
	495,500	Konica Minolta Inc		2,099,233
	1,849,000	Marubeni Corp		19,408,281
	110,757	MCJ Co Ltd		969,707
	130,800	Mitsubishi Corp		4,397,977
	2,654,818	Mitsubishi UFJ Financial Group Inc		16,297,884
	869,938	Mitsui & Co Ltd		21,689,907
	39,684	Modec Inc		405,901
	24,600	MS&AD Insurance Group Holdings Inc		832,383
	145,633	NEC Networks & System Integration Corp		2,239,189
	97,126	Nichias Corp		2,200,224
	29,500	Nippo Corp		1,020,662
	59,031	Nippon Signal Co Ltd		447,084
	1,664,995	Nippon Telegraph & Telephone Corp		47,853,435

Shares		Description	Value ($)
		Japan — continued
	85,066	Okinawa Electric Power Co (The)		1,071,132
	621,486	Panasonic Corp		6,490,369
	82,324	Press Kogyo Co Ltd		267,962
	63,219	Prima Meat Packers Ltd		1,334,512
	29,783	San-A Co Ltd		1,105,845
	196,800	Seiko Epson Corp		3,026,869
	65,495	Seiko Holdings Corp		1,368,712
	347,112	Sekisui Chemical Co Ltd		5,684,288
	500,300	Sekisui House Ltd		10,200,161
	541,781	Sojitz Corp		8,948,642
	5,480,141	Sumitomo Chemical Co Ltd		26,163,446
	103,300	Sumitomo Forestry Co Ltd		1,991,986
	56,838	T-Gaia Corp		859,624
	17,500	Tokyo Electron Ltd		8,588,605
	26,977	Tokyo Seimitsu Co Ltd		1,123,250
	130,975	Tokyu Construction Co Ltd		811,811
	61,128	Towa Pharmaceutical Co Ltd		1,584,072
	313,455	Toyota Tsusho Corp		13,013,084
	24,269	TPR Co Ltd		293,742
	93,669	Valor Holdings Co Ltd		1,814,092
	20,256	Warabeya Nichiyo Holdings Co Ltd		322,497
	21,608	Yahagi Construction Co Ltd		147,212
	88,800	Yamaha Motor Co Ltd		1,996,190
		Total Japan		512,092,789
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		18
		Netherlands — 7.2%
	122,142	ABN AMRO Bank NV CVA		1,625,370
	5,425	ASM International NV		1,752,098
	1,334,173	Koninklijke Ahold Delhaize NV		41,042,152
	447,980	NN Group NV		21,500,747
	1,951,492	PostNL NV		7,845,943
	463,527	Randstad NV		31,588,751
	438,438	Signify NV		22,427,762
	91,817	Wolters Kluwer NV		9,355,210
		Total Netherlands		137,138,033
		Norway — 4.3%
	347,227	BW LPG Ltd		2,069,199
	848,514	Equinor ASA		26,673,457
	247,910	Europris ASA		1,581,373
	85,867	Kongsberg Gruppen ASA		3,028,451
	5,017,065	Norsk Hydro ASA		47,642,477
	23,112	SpareBank 1 SMN		381,924
		Total Norway		81,376,881
		Portugal — 0.7%
	252,529	CTT – Correios de Portugal SA		1,223,276

36 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)

February 28, 2022

Shares		Description	Value ($)
		Portugal — continued
	77,389	Galp Energia SGPS SA		856,643
	365,144	Jeronimo Martins SGPS SA		7,960,755
	557,521	REN – Redes Energeticas Nacionais SGPS SA		1,617,524
	2,270,049	Sonae SGPS SA		2,470,885
		Total Portugal		14,129,083
		Singapore — 4.4%
	1,902,325	DBS Group Holdings Ltd		47,824,702
	247,987	Jardine Cycle & Carriage Ltd		4,005,142
	376,400	Keppel Corp Ltd		1,675,715
	428,300	Sheng Siong Group Ltd		481,185
	7,075	Venture Corp Ltd		92,289
	4,356,239	Wilmar International Ltd		14,157,918
	15,668,822	Yangzijiang Shipbuilding Holdings Ltd		16,028,429
		Total Singapore		84,265,380
		Spain — 4.5%
	1,137,752	Acerinox SA		14,465,033
	6,810,698	Banco Bilbao Vizcaya Argentaria SA		40,412,803
	12,815,220	Banco de Sabadell SA *		11,080,989
	1,436,465	Banco Santander SA		4,783,450
	53,967	Ebro Foods SA		999,684
	12,544	Grupo Catalana Occidente SA		404,350
	340,338	Industria de Diseno Textil SA		8,877,977
	318,625	Mediaset Espana Comunicacion SA *		1,634,558
	2,601,025	Unicaja Banco SA		2,452,260
		Total Spain		85,111,104
		Sweden — 0.4%
	71,460	Investor AB – A Shares		1,580,158
	22,946	Skanska AB – B Shares		519,343
	444,542	SSAB AB – A Shares *		2,782,002
	128,541	Svenska Cellulosa AB SCA – Class B		2,097,216
		Total Sweden		6,978,719
		Switzerland — 6.3%
	44,851	Ascom Holding AG (Registered) *		508,938
	16,292	Cie Financiere Richemont SA – Class A (Registered)		2,181,605
	209	Forbo Holding AG (Registered)		357,391
	458,695	Novartis AG (Registered)		40,315,345
	18,200	Novartis AG Sponsored ADR		1,591,772
	184,431	Roche Holding AG – Genusschein		69,850,164
	271,818	UBS Group AG (Registered)		5,000,573
	3,995	Zehnder Group AG – Class RG		345,537
		Total Switzerland		120,151,325
		United Kingdom — 16.6%
	989,014	3i Group Plc		17,618,413
	371,516	Aviva Plc		2,081,744

Shares		Description	Value ($)
		United Kingdom — continued
	2,544,534	Barratt Developments Plc		20,725,776
	225,078	Bellway Plc		8,657,524
	102,700	BP Plc Sponsored ADR		2,999,867
	1,060,578	British American Tobacco Plc		46,481,835
	342,858	British American Tobacco Plc Sponsored ADR		15,168,038
	16,803,094	BT Group Plc		41,925,279
	552,067	Coca-Cola HBC AG *		14,026,111
	83,864	Crest Nicholson Holdings Plc		344,200
	146,391	Electrocomponents Plc		1,931,080
	1,117,494	Ferrexpo Plc		2,534,741
	233,017	Galliford Try Holdings Plc		537,559
	1,249,137	GlaxoSmithKline Plc		26,049,668
	94,648	Grafton Group Plc		1,359,158
	103,137	Halfords Group Plc		383,219
	805,249	Imperial Brands Plc		17,607,785
	399,418	Investec Plc		2,166,319
	393,221	ITV Plc *		579,351
	90,823	JD Sports Fashion Plc		182,703
	4,299,779	Kingfisher Plc		17,540,325
	1,197,862	Legal & General Group Plc		4,429,008
	197,108	M&G Plc		542,614
	292,502	Next Plc		26,782,177
	618,618	Persimmon Plc		19,909,311
	193,872	Plus500 Ltd		3,617,655
	227,539	Reach Plc		695,024
	542,563	Redrow Plc		4,136,233
	1,265,202	Royal Mail Plc		6,649,338
	24,954	Schroders Plc		1,021,569
	529,538	Spirent Communications Plc		1,732,618
	254,542	Vesuvius Plc		1,352,416
	142,984	Vistry Group Plc		1,923,255
	97,139	WPP Plc		1,366,249
		Total United Kingdom		315,058,162
		TOTAL COMMON STOCKS (COST $1,911,077,689)		1,893,799,696
		PREFERRED STOCKS (b) — 0.3%
		Germany — 0.3%
	64,652	Bayerische Motoren Werke AG		5,228,278
	18,328	Draegerwerk AG & Co KGaA		1,038,328
		Total Germany		6,266,606
		TOTAL PREFERRED STOCKS (COST $6,656,610)		6,266,606

See accompanying notes to the financial statements. 37

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.1%
		Money Market Funds — 0.2%
	4,093,174	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		4,093,174
		U.S. Government — 3.9%
	200,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (d)		199,528
	7,000,000	U.S. Treasury Bill, 0.63%, due 08/11/22 (d)		6,980,183
	13,800,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (d)		13,758,511
	12,100,000	U.S. Treasury Bill, 0.73%, due 11/03/22 (d) (e)		12,040,433
	14,450,000	U.S. Treasury Bill, 0.63%, due 12/01/22 (d)		14,381,287
	26,900,000	U.S. Treasury Bill, 0.90%, due 12/29/22 (d) (e)		26,699,629
		Total U.S. Government		74,059,571
		TOTAL SHORT-TERM INVESTMENTS (COST $78,340,717)		78,152,745
		TOTAL INVESTMENTS — 104.0% (Cost $1,996,075,016)		1,978,219,047
		Other Assets and Liabilities (net) — (4.0%)		(76,468,678	)
		TOTAL NET ASSETS — 100.0%		$1,901,750,369

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of February 28, 2022.

(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 87.

38 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Usonian Japan Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the Tokyo Stock Price Index (TR) (“TOPIX”) is included for comparative purposes.

Class VI shares of GMO-Usonian Japan Value Creation Fund returned -1.45% (net) for the fiscal year ended February 28, 2022, as compared with -4.70% for TOPIX.

Japanese equities delivered a respectable return of 8.7% from March 2021 through year-end as measured by TOPIX in local currency terms but sold off early in 2022 driven by macro uncertainty giving back much of the previous gain. During the period, prime minister Kishida started his administration. The equity market is less sanguine toward the new prime minister relative to his predecessor due to Kishida’s dubious economic policy suggestion, a “new form of capitalism,” which has an extraordinary focus on wealth inequality.

Due to weakness in the yen, Japan equity returns were lower in U.S. dollar terms than in local currency terms. Despite higher real yields in Japan, the U.S. dollar appreciated against the yen by over 8% in the fiscal year, likely due to moves by the Federal Reserve to reduce monetary stimulus while the Bank of Japan stayed highly accommodative. GMO’s Asset Allocation team views the yen as the most attractively valued developed market currency relative to the U.S. dollar.

From a style factor perspective, value stocks jumped to a big lead in the first quarter of fiscal year 2022. For the full year, the MSCI Japan Value Index was up 10.8% versus the MSCI Japan Growth Index at -5.1% in local currency terms. Value’s outperformance was largely driven by large capitalization stocks as small cap value did not keep up (probably due to the mix of commodities exposure between the two ends of the capitalization spectrum). Small cap stocks, which the Fund favors, trailed large cap during the year, with the MSCI Japan Small Cap Index up 1.9% vs. the MSCI Japan Large Cap Index, which gained 3.9%.

Relative to TOPIX, security selection within sectors contributed to returns this period. Selection results in Communication Services and Consumer Discretionary made the largest positive impact while Materials and Consumer Staples detracted. Sector allocation also contributed to returns. An overweight in Financials and underweight in Communication Services contributed to the returns, while an underweight in Consumer Discretionary and Information Technology detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

40

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO-Usonian Japan Value Creation Fund Class VI Shares and the Tokyo Stock Price Index (TR)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For Class III, VI and I the gross expense ratio of 0.88%, 0.79% and 0.98%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.65%, 0.56%, 0.75% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

41

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.9	%
Short-Term Investments		4.8
Other		(0.7	)
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		16.7	%
Materials		12.2
Food, Beverage & Tobacco		10.6
Consumer Durables & Apparel		6.3
Commercial & Professional Services		6.2
Banks		6.1
Automobiles & Components		6.0
Insurance		5.6
Technology Hardware & Equipment		4.7
Semiconductors & Semiconductor Equipment		4.6
Pharmaceuticals, Biotechnology & Life Sciences		4.1
Telecommunication Services		3.2
Retailing		3.2
Software & Services		3.0
Real Estate		2.6
Transportation		2.5
Diversified Financials		2.4
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

42

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 95.9%
		Automobiles & Components — 5.8%
	170,300	Honda Motor Co Ltd		5,173,866
	170,300	Stanley Electric Co Ltd		4,046,799
		Total Automobiles & Components		9,220,665
		Banks — 5.9%
	153,100	Sumitomo Mitsui Financial Group Inc		5,429,271
	111,600	Sumitomo Mitsui Trust Holdings Inc		3,965,372
		Total Banks		9,394,643
		Capital Goods — 16.0%
	248,800	EXEO Group Inc		5,179,111
	212,400	Fuji Corp		4,319,240
	149,800	Kyudenko Corp		4,021,640
	487,100	Penta-Ocean Construction Co Ltd		2,564,050
	237,800	Takuma Co Ltd		3,022,147
	114,600	THK Co Ltd		2,632,706
	50,100	Toyota Industries Corp		3,810,660
		Total Capital Goods		25,549,554
		Commercial & Professional Services — 5.9%
	56,600	Secom Co Ltd		4,157,065
	267,600	Toppan Inc		5,272,873
		Total Commercial & Professional Services		9,429,938
		Consumer Durables & Apparel — 6.1%
	260,500	Haseko Corp		3,325,258
	153,000	Sega Sammy Holdings Inc		2,790,627
	185,300	Sumitomo Forestry Co Ltd		3,573,234
		Total Consumer Durables & Apparel		9,689,119
		Diversified Financials — 2.3%
	88,700	Zenkoku Hosho Co Ltd		3,730,061
		Food, Beverage & Tobacco — 10.2%
	31,500	Ezaki Glico Co Ltd		1,074,602
	246,300	Kirin Holdings Co Ltd		4,094,850
	120,100	Morinaga & Co Ltd		3,907,562
	123,500	NH Foods Ltd		4,635,291
	260,300	Takara Holdings Inc		2,586,306
		Total Food, Beverage & Tobacco		16,298,611
		Insurance — 5.4%
	114,100	MS&AD Insurance Group Holdings Inc		3,860,767
	327,000	T&D Holdings Inc		4,749,176
		Total Insurance		8,609,943
		Materials — 11.7%
	138,800	Denka Co Ltd		4,262,915
	124,900	Maruichi Steel Tube Ltd		3,099,962

Shares		Description	Value ($)
		Materials — continued
	325,500	Teijin Ltd		3,915,730
	334,100	Tokai Carbon Co Ltd		3,206,782
	267,700	Tosoh Corp		4,154,190
		Total Materials		18,639,579
		Pharmaceuticals, Biotechnology & Life Sciences — 4.0%
	53,300	Sawai Group Holdings Co Ltd		2,118,285
	152,500	Tsumura & Co		4,235,643
		Total Pharmaceuticals, Biotechnology & Life Sciences		6,353,928
		Real Estate — 2.4%
	278,000	Aeon Mall Co Ltd		3,909,250
		Retailing — 3.0%
	450,200	K’s Holdings Corp		4,878,364
		Semiconductors & Semiconductor Equipment — 4.4%
	38,500	Rohm Co Ltd		3,070,513
	95,000	Tokyo Seimitsu Co Ltd		3,955,546
		Total Semiconductors & Semiconductor Equipment		7,026,059
		Software & Services — 2.8%
	105,600	NEC Corp		4,568,850
		Technology Hardware & Equipment — 4.5%
	154,700	Amano Corp		3,032,816
	273,800	Daiwabo Holdings Co Ltd		4,238,250
		Total Technology Hardware & Equipment		7,271,066
		Telecommunication Services — 3.1%
	150,700	KDDI Corp		4,903,965
		Transportation — 2.4%
	109,500	Sankyu Inc		3,796,677
		TOTAL COMMON STOCKS (COST $158,505,246)		153,270,272
		SHORT-TERM INVESTMENTS — 4.8%
		Money Market Funds — 4.8%
	7,731,157	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		7,731,157
		TOTAL SHORT-TERM INVESTMENTS (COST $7,731,157)		7,731,157
		TOTAL INVESTMENTS — 100.7% (Cost $166,236,403)		161,001,429
		Other Assets and Liabilities (net) — (0.7%)		(1,187,161	)
		TOTAL NET ASSETS — 100.0%		$159,814,268

See accompanying notes to the financial statements. 43

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 87.

44 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.

Class VI shares of GMO Quality Cyclicals Fund returned +10.22% (net) for the fiscal year ended February 28, 2022, as compared with +7.81% for the MSCI ACWI.

Relative to the MSCI ACWI, sector allocation contributed to returns this period. The Energy (overweight) and Communication Services (underweight) allocations made the largest positive impact while Consumer Discretionary (overweight) and Information Technology (underweight) detracted. Security selection within sectors contributed to returns. Selection results in Materials and Financials made the largest positive impact. Energy, Information Technology, and Industrials reduced returns. Stock selection within sectors mattered more than sector allocation.

The U.S./non-U.S. regional allocation made a negative contribution.

EOG Resources, Nutrien, and American Express made positive contributions while Lukoil, Neste, and Lyft had a negative impact.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

46

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund) Class VI Shares and the MSCI ACWI

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class VI and I the gross expense ratio of 0.60% and 0.79%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.40% and 0.59% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

47

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Preferred Stocks		2.5
Mutual Funds		0.3
Short-Term Investments		0.1
Other		0.0	^
		100.0	%
Country/Region Summary¤	% of Investments
United States		50.1	%
United Kingdom		10.8
France		8.1
Mexico		6.8
Canada		6.1
Spain		4.2
Brazil		3.3
Ireland		2.8
China		2.7
Germany		1.8
Finland		1.6
Hong Kong		1.1
Other Emerging		0.6	†
		100.0	%
Industry Group Summary	% of Equity Investments#
Consumer Durables & Apparel		12.7	%
Energy		12.3
Consumer Services		11.6
Materials		11.1
Diversified Financials		9.1
Food, Beverage & Tobacco		6.6
Capital Goods		6.6
Banks		6.4
Transportation		5.2
Software & Services		4.1
Technology Hardware & Equipment		3.2
Retailing		3.1
Automobiles & Components		2.4
Insurance		2.4
Household & Personal Products		1.8
Media & Entertainment		1.4
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

48

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Brazil — 0.8%
	58,551	Vale SA		1,086,336
		Canada — 6.1%
	74,134	Brookfield Asset Management Inc – Class A		4,050,682
	52,555	Nutrien Ltd		4,519,204
		Total Canada		8,569,886
		China — 2.7%
	132,639	Alibaba Group Holding Ltd *		1,746,043
	1,747	JD.com Inc – Class A *		62,402
	36,702	Tencent Holdings Ltd		1,980,488
		Total China		3,788,933
		Finland — 1.6%
	56,595	Neste Oyj		2,206,901
		France — 8.1%
	4,032	Kering SA		2,796,730
	5,143	LVMH Moet Hennessy Louis Vuitton SE		3,779,616
	38,590	Safran SA		4,906,608
		Total France		11,482,954
		Germany — 1.8%
	25,725	Beiersdorf AG		2,607,692
		Hong Kong — 1.1%
	276,715	Galaxy Entertainment Group Ltd *		1,543,303
		Ireland — 2.8%
	201,163	Ryanair Holdings Plc *		3,487,812
	4,403	Ryanair Holdings Plc Sponsored ADR *		439,023
		Total Ireland		3,926,835
		Mexico — 6.8%
	529,556	Fomento Economico Mexicano SAB de CV		4,255,116
	1,046,718	Grupo Mexico SAB de CV – Series B		5,346,792
		Total Mexico		9,601,908
		Russia — 0.6%
	33,541	LUKOIL PJSC Sponsored ADR		629,124
	7,292	Novatek PJSC Sponsored GDR (Registered)		280,903
		Total Russia		910,027
		Spain — 4.2%
	53,292	Amadeus IT Group SA *		3,516,025
	95,941	Industria de Diseno Textil SA		2,502,694
		Total Spain		6,018,719

Shares			Description	Value ($)
			United Kingdom — 10.7%
	48,313		Berkeley Group Holdings Plc		2,512,580
	235,349		Compass Group Plc		5,319,606
	96,374		Persimmon Plc		3,101,656
	162,216		Shell Plc		4,277,764
			Total United Kingdom		15,211,606
			United States — 49.8%
	25,215		American Express Co.		4,905,326
	1,753		Booking Holdings, Inc. *		3,807,954
	84,493		BorgWarner, Inc.		3,465,058
	25,958		Chevron Corp.		3,737,952
	70,145		Darling Ingredients, Inc. *		5,084,110
	45,198		EOG Resources, Inc.		5,194,154
	17,149		Global Payments, Inc.		2,287,334
	29,857		Green Plains, Inc. *		977,518
	30,487		Hasbro, Inc.		2,958,763
	24,019		Hilton Worldwide Holdings, Inc. *		3,575,468
	29,848		Intercontinental Exchange, Inc.		3,824,126
	50,552		Las Vegas Sands Corp. *		2,166,659
	86,637		Lyft, Inc. – Class A *		3,373,645
	2,687		Markel Corp. *		3,339,699
	42,480		Raytheon Technologies Corp.		4,362,696
	77,957		Sensata Technologies Holding Plc *		4,514,490
	79,962		US Bancorp		4,521,052
	40,963		Verso Corp. – Class A		1,085,929
	47,622		VF Corp.		2,763,028
	83,933		Wells Fargo & Co.		4,479,504
			Total United States		70,424,465
			TOTAL COMMON STOCKS (COST $107,258,259)		137,379,565
			PREFERRED STOCKS (a) — 2.5%
			Brazil — 2.5%
	618,456		Bradespar SA		3,559,990
		��
			TOTAL PREFERRED STOCKS (COST $3,005,044)		3,559,990
			MUTUAL FUNDS — 0.3%
			United States — 0.3%
			Affiliated Issuers — 0.3%
	86,818		GMO U.S. Treasury Fund		434,957
			TOTAL MUTUAL FUNDS (COST $436,694)		434,957

See accompanying notes to the financial statements. 49

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	139,819	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01%, due 12/31/30 (b)		139,819
		TOTAL SHORT-TERM INVESTMENTS (COST $139,819)		139,819
		TOTAL INVESTMENTS — 100.0% (Cost $110,839,816)		141,514,331
		Other Assets and Liabilities (net) — 0.0%		31,872
		TOTAL NET ASSETS — 100.0%		$141,546,203

Notes to Schedule of Investments:

* Non-income producing security.

(a) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(b) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 87.

50 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes.

Class III shares of GMO Quality Fund returned +14.71% (net) for the fiscal year ended February 28, 2022, as compared with +16.39% for the S&P 500 Index.

Relative to the S&P 500, sector allocation had little impact this period. The Communication Services (underweight) and Information Technology (overweight) allocations helped returns while Energy (underweight) and Real Estate (underweight) reduced returns. Security selection within sectors made a negative contribution. Selection results in Financials and Communication Services helped returns. This was outweighed by stock selection within Information Technology and Industrials.

The allocation to non-U.S. stocks detracted from relative returns.

UnitedHealth, Wells Fargo, and Anthem made the largest positive impact while Alibaba, NVIDIA (underweight), and Medtronic detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

52

GMO Quality Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Quality Fund Class III Shares and the S&P 500 Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

For Class III, IV, VI, R6 and I the gross expense ratio of 0.50%, 0.46%, 0.41%, 0.50% and 0.60%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.48%, 0.44%, 0.39%, 0.48% and 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

53

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.9	%
Short-Term Investments		0.8
Mutual Funds		0.1
Other		0.2
		100.0	%
Country/Region Summary¤	% of Investments
United States		79.1	%
United Kingdom		4.7
France		3.8
Switzerland		3.7
Taiwan		3.5
Germany		3.0
China		1.6
Other Developed		0.6	‡
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		20.8	%
Health Care Equipment & Services		15.1
Semiconductors & Semiconductor Equipment		10.2
Pharmaceuticals, Biotechnology & Life Sciences		8.8
Banks		7.6
Food, Beverage & Tobacco		7.1
Technology Hardware & Equipment		6.6
Retailing		5.3
Media & Entertainment		5.2
Capital Goods		4.9
Consumer Services		2.6
Household & Personal Products		2.1
Diversified Financials		2.0
Consumer Durables & Apparel		1.1
Transportation		0.6
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

54

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 98.9%
		Banks — 7.5%
	5,591,596	US Bancorp		316,148,838
	5,886,702	Wells Fargo & Co.		314,173,286
		Total Banks		630,322,124
		Capital Goods — 4.9%
	616,928	Knorr-Bremse AG		54,388,382
	1,605,931	Otis Worldwide Corp.		125,792,575
	1,787,606	Safran SA		227,288,977
		Total Capital Goods		407,469,934
		Consumer Durables & Apparel — 1.0%
	118,572	LVMH Moet Hennessy Louis Vuitton SE		87,139,149
		Consumer Services — 2.6%
	9,434,458	Compass Group Plc		213,247,539
		Diversified Financials — 2.0%
	856,481	American Express Co.		166,619,814
		Food, Beverage & Tobacco — 7.0%
	5,882,990	Coca-Cola Co. (The)		366,157,298
	487,515	Constellation Brands, Inc. – Class A		105,117,984
	895,983	Nestle SA (Registered)		116,742,749
		Total Food, Beverage & Tobacco		588,018,031
		Health Care Equipment & Services — 14.9%
	998,228	Abbott Laboratories		120,406,261
	571,605	Anthem, Inc.		258,279,719
	409,820	Cigna Corp.		97,447,000
	1,903,008	Medtronic Plc		199,796,810
	966,332	Quest Diagnostics, Inc.		126,850,402
	931,785	UnitedHealth Group, Inc.		443,408,528
		Total Health Care Equipment & Services		1,246,188,720
		Household & Personal Products — 2.1%
	3,453,296	Unilever Plc		173,465,864
		Media & Entertainment — 5.1%
	103,175	Alphabet, Inc. – Class A *		278,690,119
	698,488	Meta Platforms, Inc. – Class A *		147,401,923
		Total Media & Entertainment		426,092,042
		Pharmaceuticals, Biotechnology & Life Sciences — 8.7%
	584,941	Eli Lilly & Co.		146,206,003
	1,489,973	Johnson & Johnson		245,204,856
	1,873,976	Merck & Co., Inc.		143,509,082
	502,572	Roche Holding AG – Genusschein		190,340,762
		Total Pharmaceuticals, Biotechnology & Life Sciences		725,260,703

Shares		Description	Value ($)
		Retailing — 5.2%
	10,376,132	Alibaba Group Holding Ltd *		136,590,092
	30,143	Amazon.com, Inc. *		92,576,990
	3,134,584	TJX Cos, Inc. (The)		207,196,002
		Total Retailing		436,363,084
		Semiconductors & Semiconductor Equipment — 10.1%
	250,286	KLA Corp.		87,224,671
	458,535	Lam Research Corp.		257,398,622
	13,584,790	Taiwan Semiconductor Manufacturing Co Ltd		292,066,955
	1,216,216	Texas Instruments, Inc.		206,744,558
		Total Semiconductors & Semiconductor Equipment		843,434,806
		Software & Services — 20.6%
	775,902	Accenture Plc – Class A		245,200,550
	238,832	Adobe, Inc. *		111,696,950
	716,715	Amadeus IT Group SA *		47,286,416
	613,059	Global Payments, Inc.		81,769,810
	1,739,338	Microsoft Corp.		519,696,801
	3,241,398	Oracle Corp.		246,249,006
	538,936	salesforce.com, Inc. *		113,462,196
	1,716,308	SAP SE		193,606,390
	763,534	Visa, Inc. – Class A		165,014,968
		Total Software & Services		1,723,983,087
		Technology Hardware & Equipment — 6.6%
	2,437,729	Apple, Inc.		402,517,813
	2,642,408	Cisco Systems, Inc.		147,367,094
		Total Technology Hardware & Equipment		549,884,907
		Transportation — 0.6%
	1,330,944	Lyft, Inc. – Class A *		51,826,959
		TOTAL COMMON STOCKS (COST $4,848,102,095)		8,269,316,763
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	1,155,359	GMO U.S. Treasury Fund		5,788,348
		TOTAL MUTUAL FUNDS (COST $5,776,758)		5,788,348

See accompanying notes to the financial statements. 55

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.1%
	4,740,524	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		4,740,524
		U.S. Government — 0.7%
	52,500,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (b)		52,342,160
	14,400,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (b)		14,366,028
		Total U.S. Government		66,708,188
		TOTAL SHORT-TERM INVESTMENTS (COST $71,450,198)		71,448,712
		TOTAL INVESTMENTS — 99.8% (Cost $4,925,329,051)		8,346,553,823
		Other Assets and Liabilities (net) (net) — 0.2%		12,615,760
		TOTAL NET ASSETS — 100.0%		$8,359,169,583

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

(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 87.

56 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) Commodity Producers Index is included for comparative purposes.

Class III shares of GMO Resources Fund returned 13.29% (net) for the fiscal year ended February 28, 2022, as compared with 30.66% for the MSCI ACWI Commodity Producers Index.

The Fund’s positioning in energy had a negative impact on relative results and led to the underperformance compared to the index. Fossil fuel companies outperformed other segments and the portfolio’s underweight position detracted from performance. The allocation to clean energy stocks also detracted, as these stocks posted losses and are not part of the benchmark.

The Fund outperformed in the industrial metals segment. Copper and lithium producers, which together make up over 10% of the portfolio, posted strong gains during the year. Diversified metals performed in line with the benchmark and had little impact.

Holdings in agriculture posted gains that did not keep pace with the other segments. The Fund’s overweight detracted from performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

58

GMO Resources Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Resources Fund Class III Shares, the MSCI ACWI Commodity Producers and the MSCI ACWI

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, IV, VI, R6 and I the gross expense ratio of 0.72%, 0.67%, 0.63%, 0.72% and 0.82%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.72%, 0.67%, 0.63% ,0.72% and 0.82% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

59

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		87.0	%
Preferred Stocks		10.8
Short-Term Investments		1.7
Rights/Warrants		0.0	^
Other		0.5
		100.0	%
Country/Region Summary¤	% of Equity Investments
United States		32.1	%
Brazil		10.9
United Kingdom		10.3
Canada		9.1
Australia		6.5
Russia		5.3
Mexico		3.0
Other Developed		2.7	‡
Norway		2.5
Portugal		2.5
Japan		2.4
Other Emerging		2.3	†
South Africa		2.1
Chile		1.9
China		1.6
India		1.5
Austria		1.1
Argentina		1.1
France		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		55.9	%
Industrial Metals		32.6
Agriculture		9.3
Water		2.1
Cash/Other		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

60

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 87.0%
		Argentina — 1.1%
	2,471,654	Adecoagro SA *		23,629,012
		Australia — 6.3%
	10,346,627	Beach Energy Ltd (a)		11,524,857
	835,003	BHP Group Ltd		28,227,953
	735,000	Clean TeQ Water Ltd *		324,495
	4,111,507	Fortescue Metals Group Ltd		54,774,881
	6,201,772	Jupiter Mines Ltd (a)		1,022,149
	679,106	Mineral Resources Ltd		22,645,833
	6,990,374	Perenti Global Ltd		3,894,578
	3,175,967	Sandfire Resources Ltd		15,657,314
	1,470,000	Sunrise Energy Metals Ltd *		1,936,735
		Total Australia		140,008,795
		Austria — 1.1%
	518,984	OMV AG		24,705,443
		Brazil — 2.9%
	1,914,800	Enauta Participacoes SA		6,419,665
	2,829,057	Sao Martinho SA		21,870,239
	639,220	SLC Agricola SA		5,430,327
	479,200	Suzano SA		5,165,281
	1,325,768	Vale SA		24,597,871
		Total Brazil		63,483,383
		Canada — 8.9%
	850,200	Anaergia Inc * (a)		8,351,077
	840,700	Birchcliff Energy Ltd		4,470,468
	2,037,055	Canadian Solar Inc * (a)		64,493,161
	574,000	Enerflex Ltd		3,545,893
	1,201,900	First Quantum Minerals Ltd		35,246,251
	1,617,600	Greenlane Renewables Inc * (a)		1,391,072
	2,502,400	Ivanhoe Mines Ltd – Class A * (a)		25,468,213
	1,614,188	Largo Inc *(a)		16,593,980
	681,500	Li-Cycle Holdings Corp * (a)		5,295,255
	380,200	Teck Resources Ltd – Class B		13,690,200
	133,500	Tourmaline Oil Corp		5,266,272
	647,000	Vermilion Energy Inc *		12,111,840
		Total Canada		195,923,682
		China — 1.5%
	10,860,000	China High Speed Transmission Equipment Group Co Ltd * (a)		8,239,303
	3,580,000	China Oilfield Services Ltd – Class H		4,081,187
	6,040,000	China Water Affairs Group Ltd (a)		6,672,777
	302,412	Sungrow Power Supply Co Ltd – Class A		5,861,241
	5,568,800	Xinjiang Goldwind Science & Technology Co Ltd – Class H		9,111,560
		Total China		33,966,068

Shares		Description	Value ($)
		Denmark — 0.6%
	422,758	Vestas Wind Systems A/S		13,632,548
		Finland — 0.5%
	322,928	Kemira Oyj		4,270,375
	176,452	Neste Oyj		6,880,679
		Total Finland		11,151,054
		France — 1.1%
	248,275	Technip Energies NV *		2,816,435
	499,966	Veolia Environnement SA		17,432,156
	58,741	Vilmorin & Cie SA		3,037,893
		Total France		23,286,484
		Hungary — 0.8%
	2,265,152	MOL Hungarian Oil & Gas Plc		17,668,865
		India — 1.5%
	10,771,513	Oil & Natural Gas Corp Ltd		23,163,198
	2,988,787	Oil India Ltd		8,966,608
		Total India		32,129,806
		Israel — 0.8%
	82,915	Delek Group Ltd *		10,242,478
	81,877	Equital Ltd *		3,271,885
	6,800	Israel Corp Ltd (The) *		3,573,385
	123,109	Naphtha Israel Petroleum Corp Ltd *		974,327
		Total Israel		18,062,075
		Japan — 2.3%
	313,700	Ebara Corp		16,372,388
	2,547,800	Inpex Corp		26,261,489
	274,300	Mitsubishi Materials Corp		4,937,203
	69,700	Nittetsu Mining Co Ltd		4,035,765
		Total Japan		51,606,845
		Mexico — 3.0%
	12,766,940	Grupo Mexico SAB de CV – Series B		65,215,432
		Norway — 2.5%
	1,566,749	Austevoll Seafood ASA		22,122,215
	4,272,496	DNO ASA		5,420,254
	862,810	Equinor ASA		27,122,859
		Total Norway		54,665,328
		Pakistan — 0.2%
	4,324,845	Fauji Fertilizer Co Ltd		2,684,739
	595,518	Pakistan Oilfields Ltd		1,251,955
		Total Pakistan		3,936,694

See accompanying notes to the financial statements. 61

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Poland — 0.6%
	10,234,883	Polskie Gornictwo Naftowe i Gazownictwo SA		13,488,642
		Portugal — 2.5%
	4,892,424	Galp Energia SGPS SA		54,155,742
		Russia — 4.1%
	3,574,704	Gazprom Neft PJSC		11,657,284
	14,145,410	Gazprom PJSC		22,591,342
	248,399	LUKOIL PJSC Sponsored ADR		4,659,185
	2,329,179	MMC Norilsk Nickel PJSC ADR		31,980,380
	1,020,829	PhosAgro PJSC GDR (Registered)		6,245,328
	601,778	Ros Agro Plc GDR (Registered)		2,655,067
	3,476,399	Tatneft PJSC		10,091,089
		Total Russia		89,879,675
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd *(a)(b)		—
		South Africa — 2.0%
	486,133	African Rainbow Minerals Ltd		8,676,593
	717,668	Impala Platinum Holdings Ltd		13,689,074
	331,180	Sasol Ltd *		7,598,905
	3,229,353	Sibanye Stillwater Ltd		15,234,880
		Total South Africa		45,199,452
		South Korea — 0.3%
	9,569	Korea Zinc Co Ltd		4,388,732
	4,929	Young Poong Corp *		2,694,309
		Total South Korea		7,083,041
		Spain — 0.5%
	770,669	Repsol SA		10,000,229
		Switzerland — 0.2%
	2,706	Gurit Holding AG (a)		4,447,949
		Turkey — 0.2%
	3,277,331	Koza Anadolu Metal Madencilik Isletmeleri AS *		4,648,556
		Ukraine — 0.2%
	501,341	Kernel Holding SA		3,684,223
		United Kingdom — 10.0%
	9,690,823	BP Plc		47,234,159
	1,510,504	Central Asia Metals Plc		4,237,624
	3,378,271	Ferrexpo Plc		7,662,719
	13,972,891	Glencore Plc		82,160,676
	1,945,479	John Wood Group Plc *		4,718,866
	1,360,870	Petrofac Ltd *		1,953,767
	2,763,641	Shell Plc		72,879,398
		Total United Kingdom		220,847,209

Shares		Description	Value ($)
		United States — 31.3%
	946,517	Aemetis, Inc. *		12,134,348
	379,400	AGCO Corp.		45,588,704
	808,300	Ameresco, Inc. – Class A *		51,933,275
	267,700	Baker Hughes Co.		7,865,026
	89,500	California Resources Corp.		3,690,085
	7,241,166	Clean Energy Fuels Corp. *		52,643,277
	871,200	Darling Ingredients, Inc. *		63,144,576
	58,800	Deere & Co.		21,169,176
	802,882	Freeport-McMoRan, Inc.		37,695,310
	927,524	GrafTech International Ltd.		9,349,442
	460,300	Green Plains, Inc. *		15,070,222
	20,695,301	Kosmos Energy Ltd. *		100,579,163
	1,464,500	Livent Corp. * (a)		34,488,975
	513,343	Montauk Renewables, Inc. *		5,307,967
	518,821	Mosaic Co. (The)		27,201,785
	209,100	Northern Oil and Gas, Inc.		5,244,228
	102,600	PotlatchDeltic Corp. (REIT)		5,632,740
	509,300	ProPetro Holding Corp. *		6,503,761
	1,140,946	Renewable Energy Group, Inc. *		70,168,179
	161,124	SolarEdge Technologies, Inc. *		51,466,228
	2,174,966	Sunrun, Inc. *(a)		59,333,072
	662,632	TechnipFMC Plc * (b)		4,539,029
		Total United States		690,748,568
		TOTAL COMMON STOCKS (COST $1,676,940,229)		1,917,254,800
		PREFERRED STOCKS (c) — 10.8%
		Brazil — 7.8%
	16,217,518	Bradespar SA		93,352,157
	11,952,381	Petroleo Brasileiro SA		78,568,457
		Total Brazil		171,920,614
		Chile — 1.8%
	612,695	Sociedad Quimica y Minera de Chile SA Sponsored ADR		40,548,155
		Russia — 1.2%
	20,237,584	Surgutneftegas PJSC		5,693,141
	7,494,797	Tatneft PJSC		19,464,708
		Total Russia		25,157,849
		TOTAL PREFERRED STOCKS (COST $228,443,800)		237,626,618
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 * (a) (b)		2
		TOTAL RIGHTS/WARRANTS (COST $0)		2

62 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)

February 28, 2022

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 0.2%
	3,998,119	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		3,998,119
		Total Money Market Funds		3,998,119
		U.S. Government — 1.5%
	2,700,000	U.S. Treasury Bill, 0.42%, due 08/11/22 (e)		2,692,356
	30,000,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (e)		29,909,806
		Total U.S. Government		32,602,162
		TOTAL SHORT-TERM INVESTMENTS (COST $36,598,652)		36,600,281
		TOTAL INVESTMENTS — 99.5% (Cost $1,941,982,681)		2,191,481,701
		Other Assets and Liabilities (net) — 0.5%		12,070,211
		TOTAL NET ASSETS — 100.0%		$2,203,551,912

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(d) The rate disclosed is the 7 day net yield as of February 28, 2022.

(e) 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 87.

See accompanying notes to the financial statements. 63

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team and the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class III shares of GMO Tax-Managed International Equities Fund returned +4.77% (net) for the fiscal year ended February 28, 2022, as compared with +2.83% for the MSCI EAFE Index.

The environment saw a shift to tailwinds for Value, with strong performance from our valuation-oriented models. The magnitude of the favorable conditions for Value is illustrated by the 3.5% outperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Index for the fiscal year ended February 28, 2022.

Areas of notable positive stock selection included areas which had been challenging in the prior year such as emerging markets, the Netherlands, Industrials, Consumer Discretionary, and Health Care. Stock selection was also strong in Japan and Communication Services. Top contributors included overweight positioning in Norsk Hydro (Norway Materials), British American Tobacco (UK Consumer Staples), DBS Group (Singapore Financials), and Mercedes-Benz Group (Germany Consumer Discretionary). Underweight positioning toward SoftBank Group (Japan Communication Services) also added value.

The UK, Australia, and Italy were challenging areas for stock selection, along with value lost from names not held and underweight positioning toward Energy. Top detractors included underweight positioning in Nestle (Switzerland Consumer Staples), Royal Dutch Shell (UK Energy), and Novo Nordisk (Denmark Health Care). Overweights toward Fortescue Metals (Australia Materials) and WH Group (Hong Kong Consumer Staples) also detracted from performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

64

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Tax-Managed International Equities Fund Class III Shares, the MSCI EAFE Index and

the MSCI EAFE Index (After Tax)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III the gross expense ratio of 1.27% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Class listed above, the net expense ratio of 0.73% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

65

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.6	%
Mutual Funds		3.1
Preferred Stocks		0.5
Short-Term Investments		0.3
Futures Contracts		(0.0	)^
Other		(1.5	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		23.0	%
United Kingdom		13.4
France		8.5
Netherlands		7.1
Switzerland		6.1
Germany		6.0
Spain		4.0
Singapore		3.8
Norway		3.8
Australia		3.7
United States		3.1
Italy		2.9
Other Emerging		2.5	†
Other Developed		2.2	‡
China		2.1
South Korea		2.0
Taiwan		1.6
Belgium		1.5
Turkey		1.0
Hong Kong		1.0
Euro Region		0.7	§
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		14.2	%
Pharmaceuticals, Biotechnology & Life Sciences		12.6
Banks		11.9
Materials		9.9
Food, Beverage & Tobacco		9.0
Telecommunication Services		7.2
Consumer Durables & Apparel		5.5
Automobiles & Components		5.0
Technology Hardware & Equipment		3.8
Diversified Financials		3.5
Food & Staples Retailing		3.2
Retailing		2.7
Commercial & Professional Services		2.3
Insurance		2.2
Software & Services		1.6
Energy		1.5
Semiconductors & Semiconductor Equipment		1.1
Transportation		1.1
Media & Entertainment		0.7
Utilities		0.4
Real Estate		0.3
Health Care Equipment & Services		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

66

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Australia — 3.7%
	6,116	Accent Group Ltd		8,334
	11,450	BlueScope Steel Ltd		169,550
	11,267	Rio Tinto Ltd		971,632
	6,480	Sandfire Resources Ltd		31,946
		Total Australia		1,181,462
		Belgium — 1.5%
	245	Bekaert SA		10,659
	3,256	KBC Group NV		234,585
	2,171	UCB SA		236,936
		Total Belgium		482,180
		Brazil — 0.7%
	21,800	Marfrig Global Foods SA		94,358
	12,200	MRV Engenharia e Participacoes SA		28,041
	34,600	TIM SA		91,776
		Total Brazil		214,175
		China — 2.2%
	29,500	BAIC Motor Corp Ltd – Class H		10,307
	104,000	Bank of Communications Co Ltd – Class H		71,295
	22,000	China CITIC Bank Corp Ltd – Class H		10,338
	20,000	China Everbright Bank Co Ltd – Class H		7,438
	26,000	China Lesso Group Holdings Ltd		40,029
	55,000	China Medical System Holdings Ltd		97,936
	271,000	China Railway Group Ltd – Class H		159,119
	40,500	China Resources Pharmaceutical Group Ltd		20,032
	56,000	Dongfeng Motor Group Co Ltd – Class H		48,201
	6,500	Kingboard Holdings Ltd		30,408
	99,000	Metallurgical Corp of China Ltd – Class H		30,111
	42,000	PICC Property & Casualty Co Ltd – Class H		44,335
	32,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		57,943
	3,200	Sinopharm Group Co Ltd – Class H		7,757
	80,000	Skyworth Group Ltd *		45,194
	16,000	Tianneng Power International Ltd		14,678
		Total China		695,121
		Denmark — 0.1%
	1,228	Scandinavian Tobacco Group A/S		27,692
		Finland — 0.5%
	4,887	Kesko Oyj – B Shares		143,823
		France — 8.7%
	184	Alten SA		27,780
	366	APERAM SA		20,493
	10,927	BNP Paribas SA		634,034
	49	Christian Dior SE		34,700

Shares		Description	Value ($)
		France — continued
	10,706	Cie de Saint-Gobain		663,827
	2,064	Derichebourg SA		21,444
	728	Ipsen SA		84,710
	385	Kaufman & Broad SA		13,983
	1,376	Publicis Groupe SA		91,319
	1,207	Quadient SA		22,067
	3,850	Sanofi		402,450
	2,209	Schneider Electric SE		342,254
	373	Societe BIC SA		19,682
	11,077	Societe Generale SA		313,230
	1,200	STMicroelectronics NV – NY Shares		50,784
	2,457	Television Francaise 1		24,254
		Total France		2,767,011
		Germany — 5.9%
	3,155	Bayerische Motoren Werke AG		303,849
	109	Daimler Truck Holding AG *		3,322
	3,435	Deutsche Post AG (Registered)		172,650
	6,248	Kloeckner & Co SE *		84,525
	8,504	Mercedes-Benz Group AG		664,328
	2,149	Merck KGaA		426,249
	662	RTL Group SA		36,888
	652	Volkswagen AG		168,633
		Total Germany		1,860,444
		Hong Kong — 1.0%
	2,000	CK Asset Holdings Ltd		12,632
	11,200	Dah Sing Banking Group Ltd		10,140
	57,000	IGG Inc		34,138
	4,000	Johnson Electric Holdings Ltd		6,661
	5,300	VTech Holdings Ltd		43,572
	319,500	WH Group Ltd		223,131
		Total Hong Kong		330,274
		Hungary — 0.1%
	3,883	Magyar Telekom Telecommunications Plc		4,880
	1,400	Richter Gedeon Nyrt		29,382
		Total Hungary		34,262
		India — 0.4%
	1,169	Rajesh Exports Ltd		10,971
	70,471	REC Ltd		114,935
		Total India		125,906
		Ireland — 0.8%
	11,049	Bank of Ireland Group Plc *		73,313
	1,600	CRH Plc		72,183
	460	CRH Plc Sponsored ADR		20,649
	933	Glanbia Plc		13,061
	703	Kingspan Group Plc		68,657

See accompanying notes to the financial statements. 67

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Ireland — continued
	359	Smurfit Kappa Group Plc		17,929
		Total Ireland		265,792
		Italy — 2.9%
	3,234	Anima Holding SPA		15,287
	3,466	Arnoldo Mondadori Editore SPA *		7,607
	8,953	Banco BPM SPA		30,720
	1,566	De’ Longhi SPA		49,691
	1,005	Esprinet SPA		12,531
	5,645	EXOR NV		427,697
	11,377	Italgas SPA		73,439
	411	Iveco Group NV *		3,431
	5,535	OVS SPA *		13,964
	11,199	Poste Italiane SPA		128,447
	63	Sesa SPA		10,065
	4,685	Stellantis NV		85,135
	209	Telecom Italia SPA – RSP		87
	545	Unieuro SPA		10,790
	11,930	Unipol Gruppo SPA		60,534
		Total Italy		929,425
		Japan — 23.4%
	2,000	AGC Inc		88,725
	27,200	Asahi Kasei Corp		255,267
	24,200	Astellas Pharma Inc		403,758
	8,000	Brother Industries Ltd		145,607
	15,700	Canon Inc		369,467
	600	Daiwa House Industry Co Ltd		17,016
	4,200	Daiwabo Holdings Co Ltd		65,013
	1,200	Dexerials Corp		34,262
	1,300	FUJIFILM Holdings Corp		82,633
	3,100	Fujitsu Ltd		450,380
	7,000	Hitachi Ltd		346,169
	25,200	ITOCHU Corp		821,233
	28,800	Japan Tobacco Inc		529,665
	24,200	KDDI Corp		787,498
	3,400	Konica Minolta Inc		14,404
	29,400	Marubeni Corp		308,601
	2,100	Mitsubishi Corp		70,610
	30,900	Mitsubishi UFJ Financial Group Inc		189,695
	14,300	Mitsui & Co Ltd		356,538
	1,700	NEC Networks & System Integration Corp		26,138
	1,000	Nichias Corp		22,653
	400	Nippo Corp		13,840
	26,900	Nippon Telegraph & Telephone Corp		773,130
	9,200	Panasonic Corp		96,078
	2,400	Seiko Epson Corp		36,913
	4,800	Sekisui Chemical Co Ltd		78,605
	7,600	Sekisui House Ltd		154,950
	8,320	Sojitz Corp		137,422

Shares		Description	Value ($)
		Japan — continued
	79,600	Sumitomo Chemical Co Ltd		380,029
	900	Sumitomo Forestry Co Ltd		17,355
	300	Tokyo Electron Ltd		147,233
	4,900	Toyota Tsusho Corp		203,424
	600	Yamaha Motor Co Ltd		13,488
		Total Japan		7,437,799
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (a)		2
		Netherlands — 7.2%
	1,437	ABN AMRO Bank NV CVA		19,122
	118	ASM International NV		38,110
	21,842	Koninklijke Ahold Delhaize NV		671,909
	7,403	NN Group NV		355,306
	32,317	PostNL NV		129,930
	7,727	Randstad NV		526,585
	7,356	Signify NV		376,287
	1,707	Stellantis NV		31,134
	1,407	Wolters Kluwer NV		143,359
		Total Netherlands		2,291,742
		Norway — 3.9%
	13,555	Equinor ASA		426,108
	407	Kongsberg Gruppen ASA		14,355
	80,625	Norsk Hydro ASA		765,622
	1,503	SpareBank 1 Nord Norge		18,389
	879	SpareBank 1 SR-Bank ASA		13,025
	4,556	XXL ASA		6,162
		Total Norway		1,243,661
		Poland — 0.4%
	233	Asseco Poland SA		4,106
	2,677	Bank Polska Kasa Opieki SA		73,441
	32,447	Polskie Gornictwo Naftowe i Gazownictwo SA		42,762
		Total Poland		120,309
		Portugal — 0.3%
	422	Galp Energia SGPS SA		4,671
	4,653	Jeronimo Martins SGPS SA		101,443
		Total Portugal		106,114
		Russia — 0.0%
	833	QIWI Plc Sponsored ADR		2,842
	9,800	Surgutneftegas PJSC		1,774
		Total Russia		4,616
		Singapore — 3.9%
	30,299	DBS Group Holdings Ltd		761,721
��	1,100	Jardine Cycle & Carriage Ltd		17,766

68 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)

February 28, 2022

Shares		Description	Value ($)
		Singapore — continued
	68,400	Wilmar International Ltd		222,302
	223,700	Yangzijiang Shipbuilding Holdings Ltd		228,834
	16,000	Yanlord Land Group Ltd		14,252
		Total Singapore		1,244,875
		South Africa — 0.2%
	4,189	Aspen Pharmacare Holdings Ltd		54,873
	11,423	Netcare Ltd		10,890
	2,290	Truworths International Ltd		8,710
		Total South Africa		74,473
		South Korea — 1.9%
	13,817	BNK Financial Group Inc		90,958
	211	DB Insurance Co Ltd		10,863
	4,624	DGB Financial Group Inc		36,601
	615	E-MART Inc		67,068
	1,634	Hankook Tire & Technology Co Ltd		48,143
	24,449	Hanwha Life Insurance Co Ltd *		60,378
	342	Kia Corp		21,202
	2,484	KT&G Corp		165,128
	606	LG Electronics Inc		63,264
	447	LX Semicon Co Ltd		42,936
	494	SL Corp *		9,848
		Total South Korea		616,389
		Spain — 4.1%
	18,515	Acerinox SA		235,394
	109,856	Banco Bilbao Vizcaya Argentaria SA		651,855
	199,845	Banco de Sabadell SA *		172,801
	20,955	Banco Santander SA		69,780
	480	Ebro Foods SA		8,892
	5,598	Industria de Diseno Textil SA		146,028
	277	Mediaset Espana Comunicacion SA *		1,421
	10,328	Unicaja Banco SA		9,737
		Total Spain		1,295,908
		Sweden — 0.6%
	1,358	Investor AB – A Shares		30,029
	736	JM AB		22,792
	883	Skanska AB – B Shares		19,985
	5,663	SSAB AB – A Shares *		35,440
	4,049	Svenska Cellulosa AB SCA – Class B		66,061
		Total Sweden		174,307
		Switzerland — 6.2%
	92	ALSO Holding AG (Registered) *		24,547
	242	Cie Financiere Richemont SA – Class A (Registered)		32,405
	7,002	Novartis AG (Registered)		615,416
	700	Novartis AG Sponsored ADR		61,222
	85	Roche Holding AG		35,480

Shares		Description	Value ($)
		Switzerland — continued
	2,920	Roche Holding AG – Genusschein		1,105,901
	4,493	UBS Group AG (Registered)		82,657
	165	Vetropack Holding AG (Registered)		8,375
		Total Switzerland		1,966,003
		Taiwan — 1.6%
	17,000	Asustek Computer Inc		226,788
	18,000	Chipbond Technology Corp		44,789
	34,000	Compal Electronics Inc		30,974
	1,000	Phison Electronics Corp		18,502
	75,000	Pou Chen Corp		86,491
	7,800	Ruentex Industries Ltd		32,449
	85,000	Yuanta Financial Holding Co Ltd		75,930
		Total Taiwan		515,923
		Thailand — 0.6%
	93,200	AP Thailand Pcl NVDR		30,295
	120,900	Krung Thai Bank Pcl NVDR		52,014
	649,600	Sansiri Pcl NVDR		24,604
	126,800	Thai Union Group Pcl NVDR		79,301
		Total Thailand		186,214
		Turkey — 1.1%
	21,851	Arcelik AS		87,432
	3,483	Dogus Otomotiv Servis ve Ticaret AS		11,817
	1,377	Ford Otomotiv Sanayi AS		26,841
	76,811	Haci Omer Sabanci Holding AS		86,394
	8,376	Tofas Turk Otomobil Fabrikasi AS		48,667
	90,406	Turkiye Garanti Bankasi AS		72,458
		Total Turkey		333,609
		United Kingdom — 13.7%
	16,122	3i Group Plc		287,199
	5,147	Aviva Plc		28,841
	40,982	Barratt Developments Plc		333,807
	3,112	Bellway Plc		119,702
	8,131	British American Tobacco Plc		356,356
	14,700	British American Tobacco Plc Sponsored ADR		650,328
	240,500	BT Group Plc		600,070
	9,039	Coca-Cola HBC AG*		229,650
	5,483	Ferrexpo Plc		12,437
	8,200	GlaxoSmithKline Plc Sponsored ADR		343,252
	9,199	Imperial Brands Plc		201,148
	3,576	Investec Plc		19,395
	68,134	Kingfisher Plc		277,943
	297	Morgan Sindall Group Plc		9,185
	4,170	Next Plc		381,815
	9,998	Persimmon Plc		321,771
	1,686	Plus500 Ltd		31,461
	5,515	Redrow Plc		42,044

See accompanying notes to the financial statements. 69

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		United Kingdom — continued
	7,006	Royal Mail Plc		36,820
	6,565	Spirent Communications Plc		21,480
	1,290	Vistry Group Plc		17,352
	976	WPP Plc		13,727
		Total United Kingdom		4,335,783
		TOTAL COMMON STOCKS (COST $26,616,527)		31,005,294
		PREFERRED STOCKS (b) — 0.5%
		Brazil — 0.2%
	47,300	Cia Paranaense de Energia – Class B		63,202
		Germany — 0.3%
	870	Bayerische Motoren Werke AG		70,355
	186	Draegerwerk AG & Co KGaA		10,537
	3	Volkswagen AG		590
		Total Germany		81,482
		South Korea — 0.0%
	302	LG Electronics Inc		15,115
		TOTAL PREFERRED STOCKS (COST $147,066)		159,799
		MUTUAL FUNDS — 3.1%
		United States — 3.1%
		Affiliated Issuers — 3.1%
	199,568	GMO U.S. Treasury Fund		999,833
		TOTAL MUTUAL FUNDS (COST $1,002,797)		999,833

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	96,940	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		96,940
		TOTAL SHORT-TERM INVESTMENTS (COST $96,940)		96,940
		TOTAL INVESTMENTS — 101.5% (Cost $27,863,330)		32,261,866
		Other Assets and Liabilities (net) — (1.5%)		(480,592	)
		TOTAL NET ASSETS — 100.0%		$31,781,274

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
2	MSCI EAFE		March 2022	$	215,980	$	(14,273	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2022, 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) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 87.

70 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the S&P Composite 1500 Index is included for comparative purposes.

Class III shares of GMO U.S. Equity Fund returned +15.80% (net) for the fiscal year ended February 28, 2022, as compared with +15.54% for the S&P Composite 1500 Index.

The Fund outperformed the S&P Composite 1500 Index in a year where Value outperformed modestly, as reflected in the +0.3% outperformance of the S&P 1500 Composite Value Index when compared to the S&P Composite 1500 Index. In this period the performance of valuation-oriented models was mixed, with higher quality names underperforming the broader market. Stock selection was helped by other model groups, including Cross-Asset signals and Corporate Alerts.

Stock selection in Health Care and Information Technology were notable areas of strength. Top contributors included overweight positioning in Pfizer (Health Care) and Kroger (Consumer Staples). Underweight positioning toward PayPal (Information Technology), Walt Disney Company (Communication Services), and Amazon (Consumer Discretionary) also added value.

Likewise, top stock detractors included a mix of companies held underweight and overweight. Underweight positions among the top detractors included NVIDIA (Information Technology), Alphabet (Communication Services), and Apple (Information Technology). Overweight positioning toward attractively valued names including Philip Morris (Consumer Staples) and Activision Blizzard (Communication Services) also detracted from relative performance.

Sector allocation also detracted, primarily from underweight positioning toward Energy.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

72

GMO U.S. Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO U.S. Equity Fund Class III Shares, the S&P Composite 1500 Index and the Russell 3000 Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For S&P and Russell disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

For Class III and VI the gross expense ratio of 0.51% and 0.41%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding Net Expense Ratio of 0.47% and 0.37% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

73

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.7	%
Mutual Funds		2.3
Short-Term Investments		0.2
Futures Contracts		(0.1	)
Other		(0.1	)
		100.0	%
Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		12.2	%
Retailing		9.7
Software & Services		9.3
Capital Goods		7.6
Pharmaceuticals, Biotechnology & Life Sciences		7.3
Diversified Financials		6.9
Semiconductors & Semiconductor Equipment		4.8
Insurance		4.7
Consumer Durables & Apparel		4.6
Food, Beverage & Tobacco		4.5
Media & Entertainment		4.3
Food & Staples Retailing		3.7
Materials		3.4
Telecommunication Services		3.3
Energy		3.3
Health Care Equipment & Services		3.1
Real Estate		2.8
Commercial & Professional Services		1.7
Banks		1.2
Household & Personal Products		1.1
Automobiles & Components		0.2
Consumer Services		0.2
Transportation		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

74

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 97.7%
		Automobiles & Components — 0.2%
	60,614	Dana, Inc.		1,128,633
	21	Lear Corp.		3,304
		Total Automobiles & Components		1,131,937
		Banks — 1.2%
	46,092	Associated Banc-Corp.		1,124,184
	8,000	Atlantic Union Bankshares Corp.		325,040
	8,351	East West Bancorp, Inc.		731,213
	5,649	Flagstar Bancorp, Inc.		257,481
	4,900	Hanmi Financial Corp.		127,988
	8,200	KeyCorp.		205,574
	3,476	Popular, Inc.		319,271
	56,500	Radian Group, Inc.		1,350,350
	1,200	SVB Financial Group *		727,200
	3,300	Towne Bank		102,894
	5,100	TriCo Bancshares		221,340
		Total Banks		5,492,535
		Capital Goods — 7.4%
	700	Allison Transmission Holdings, Inc.		27,958
	5,300	Applied Industrial Technologies, Inc.		535,830
	14,300	Atkore, Inc. *		1,454,453
	5,547	Boise Cascade Co.		443,427
	9,302	Carlisle Cos, Inc.		2,208,295
	40,853	Carrier Global Corp.		1,833,483
	5,200	Caterpillar, Inc.		975,416
	4,006	Cummins, Inc.		817,705
	5,400	Dover Corp.		847,044
	2,100	Eaton Corp Plc		324,009
	6,650	EMCOR Group, Inc.		768,341
	2,400	Encore Wire Corp.		279,408
	97,643	Fortive Corp.		6,322,384
	6,600	Fortune Brands Home & Security, Inc.		573,540
	20,400	Gates Industrial Corp Plc *		323,136
	6,300	ITT, Inc.		553,581
	27,083	Mueller Industries, Inc.		1,545,085
	1,400	MYR Group, Inc. *		125,650
	14,700	Otis Worldwide Corp.		1,151,451
	5,381	Owens Corning		501,455
	9,363	Stanley Black & Decker, Inc.		1,523,360
	81,917	Textron, Inc.		5,990,590
	361	Timken Co. (The)		23,667
	17,748	Trane Technologies Plc		2,731,950
	21,436	UFP Industries, Inc.		1,838,137
	1,315	WW Grainger, Inc.		627,334
		Total Capital Goods		34,346,689
		Commercial & Professional Services — 1.6%
	17,500	ABM Industries, Inc.		784,525
	63,900	ACCO Brands Corp.		549,540

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	9,600	Deluxe Corp.		298,656
	2,700	Heidrick & Struggles International, Inc.		115,425
	6,028	HNI Corp.		245,279
	11,200	ICF International, Inc.		992,544
	9,400	Kforce, Inc.		706,692
	3,807	ManpowerGroup, Inc.		404,608
	23,000	Republic Services, Inc. – Class A		2,766,440
	12,300	Resources Connection, Inc.		204,180
	41,744	Steelcase, Inc. – Class A		508,025
	3,000	TrueBlue, Inc. *		81,600
		Total Commercial & Professional Services		7,657,514
		Consumer Durables & Apparel — 4.5%
	26,400	Acushnet Holdings Corp.		1,156,320
	17,626	DR Horton, Inc.		1,505,260
	29,000	Ethan Allen Interiors, Inc.		755,740
	38,841	Garmin Ltd.		4,289,600
	34,081	La-Z-Boy, Inc.		994,484
	3,000	Lennar Corp. – Class B		226,500
	18,768	MDC Holdings, Inc.		832,173
	3,200	Meritage Homes Corp. *		315,456
	28,730	PulteGroup, Inc.		1,426,732
	19,500	Steven Madden Ltd.		831,870
	44,800	Taylor Morrison Home Corp. – Class A *		1,321,600
	28,817	Tempur Sealy International, Inc.		951,249
	105,752	TRI Pointe Homes, Inc. *		2,365,672
	19,400	Vista Outdoor, Inc. *		707,130
	15,800	Whirlpool Corp.		3,180,066
		Total Consumer Durables & Apparel		20,859,852
		Consumer Services — 0.2%
	2,700	Adtalem Global Education, Inc. *		56,106
	1,100	Graham Holdings Co. – Class B		661,243
	17,275	Perdoceo Education Corp. *		180,869
		Total Consumer Services		898,218
		Diversified Financials — 6.7%
	12,707	Ally Financial, Inc.		634,079
	4,100	American Express Co.		797,614
	7,000	Ameriprise Financial, Inc.		2,098,530
	3,900	Berkshire Hathaway, Inc. – Class B *		1,253,655
	27,300	Donnelley Financial Solutions, Inc. *		876,330
	26,243	Enova International, Inc. *		1,069,927
	18,500	Equitable Holdings, Inc.		604,210
	4,800	FactSet Research Systems, Inc.		1,949,232
	811	Federated Hermes, Inc.		26,495
	8,100	Goldman Sachs Group, Inc. (The)		2,764,449
	43,800	Intercontinental Exchange, Inc.		5,611,656
	30,900	KKR & Co., Inc.		1,857,708
	2,200	MSCI, Inc. – Class A		1,103,718

See accompanying notes to the financial statements. 75

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Diversified Financials — continued
	900	Nasdaq, Inc.		154,035
	6,500	Nelnet, Inc. – Class A		523,575
	800	Northern Trust Corp.		91,120
	14,378	OneMain Holdings, Inc.		732,990
	2,200	Oppenheimer Holdings, Inc. – Class A		95,018
	3,247	PROG Holdings, Inc. *		99,488
	43,670	Raymond James Financial, Inc.		4,788,416
	15,213	SEI Investments Co.		891,178
	36,923	State Street Corp.		3,150,640
	2,900	Victory Capital Holdings, Inc. – Class A		96,193
		Total Diversified Financials		31,270,256
		Energy — 3.2%
	47,200	Chevron Corp.		6,796,800
	7,300	Devon Energy Corp.		434,715
	35,900	Exxon Mobil Corp.		2,815,278
	46,500	Hess Corp.		4,699,290
	3,600	Phillips 66		303,264
		Total Energy		15,049,347
		Food & Staples Retailing — 3.6%
	3,800	Costco Wholesale Corp.		1,973,150
	171,845	Kroger Co. (The)		8,042,346
	19,600	SpartanNash Co.		551,544
	42,100	Walmart, Inc.		5,690,236
	9,300	Weis Markets, Inc.		573,531
		Total Food & Staples Retailing		16,830,807
		Food, Beverage & Tobacco — 4.4%
	25,363	Archer-Daniels-Midland Co.		1,989,727
	39,400	General Mills, Inc.		2,656,742
	24,300	Hershey Co. (The)		4,914,918
	9,900	Kraft Heinz Co. (The)		388,278
	24,429	Mondelez International, Inc. – Class A		1,599,611
	8,600	PepsiCo, Inc.		1,408,164
	52,200	Tyson Foods, Inc. – Class A		4,836,852
	43,865	Universal Corp.		2,373,535
	28,600	Vector Group Ltd.		320,606
		Total Food, Beverage & Tobacco		20,488,433
		Health Care Equipment & Services — 3.0%
	40,241	AmerisourceBergen Corp. – Class A		5,735,550
	12,500	Anthem, Inc.		5,648,125
	5,900	Edwards Lifesciences Corp. *		662,983
	6,481	McKesson Corp.		1,782,016
	5,600	Varex Imaging Corp. *		132,384
		Total Health Care Equipment & Services		13,961,058
		Household & Personal Products — 1.1%
	42,018	Colgate-Palmolive Co.		3,233,285
	10,500	Procter & Gamble Co. (The)		1,636,845
		Total Household & Personal Products		4,870,130

Shares		Description	Value ($)
		Insurance — 4.6%
	30,286	Allstate Corp. (The)		3,705,795
	3,600	CNA Financial Corp.		164,520
	45,500	CNO Financial Group, Inc.		1,099,735
	25,722	Fidelity National Financial, Inc.		1,225,396
	48,315	First American Financial Corp.		3,239,038
	99,700	Genworth Financial, Inc. – Class A *		404,782
	21,200	Marsh & McLennan Cos., Inc.		3,294,692
	80,800	MetLife, Inc.		5,458,040
	1,709	Principal Financial Group, Inc.		120,724
	31,163	Stewart Information Services Corp.		2,115,344
	3,500	Willis Towers Watson Plc		778,050
		Total Insurance		21,606,116
		Materials — 3.3%
	20,800	AdvanSix, Inc.		833,248
	4,093	Avery Dennison Corp.		721,187
	26,769	Avient Corp.		1,402,428
	13,300	Cabot Corp.		973,028
	12,500	Commercial Metals Co.		481,875
	1,993	FMC Corp.		233,679
	2,200	Greif, Inc. – Class A		126,478
	55,100	Huntsman Corp.		2,228,244
	4,657	LyondellBasell Industries NV – Class A		452,800
	4,073	NewMarket Corp.		1,294,236
	1,859	Nucor Corp.		244,682
	21,896	Reliance Steel & Aluminum Co.		4,179,289
	3,674	Stepan Co.		380,700
	8,100	Trinseo Plc		420,876
	12,200	Westlake Chemical Corp.		1,345,782
		Total Materials		15,318,532
		Media & Entertainment — 4.2%
	2,400	Alphabet, Inc. – Class A *		6,482,736
	2,173	Alphabet, Inc. – Class C *		5,862,363
	2,300	AMC Networks, Inc. – Class A *		95,335
	35,400	Cars.com, Inc. *		572,772
	23,033	Comcast Corp. – Class A		1,077,023
	10,342	Electronic Arts, Inc.		1,345,391
	2,900	Fox Corp. – Class B		110,954
	1,300	IAC/InterActiveCorp *		149,188
	15,900	Meta Platforms, Inc. – Class A *		3,355,377
	29,918	TEGNA, Inc.		685,720
		Total Media & Entertainment		19,736,859
		Pharmaceuticals, Biotechnology & Life Sciences — 7.2%
	109,741	Bristol-Myers Squibb Co.		7,535,915
	15,576	Eli Lilly & Co.		3,893,221
	7,200	Gilead Sciences, Inc.		434,880
	40,900	Johnson & Johnson		6,730,913
	145,050	Merck & Co., Inc.		11,107,929

76 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	60,876	Pfizer, Inc.		2,857,520
	14,495	Prestige Consumer Healthcare, Inc. *		862,887
		Total Pharmaceuticals, Biotechnology & Life Sciences		33,423,265
		Real Estate — 2.7%
	89,200	CBRE Group, Inc. – Class A *		8,639,020
	7,000	Jones Lang LaSalle, Inc. *		1,723,540
	14,300	PotlatchDeltic Corp. (REIT)		785,070
	76,920	Realogy Holdings Corp. *		1,398,406
		Total Real Estate		12,546,036
		Retailing — 9.5%
	4,900	1-800-Flowers.com, Inc. – Class A *		75,852
	18,568	Abercrombie & Fitch Co. – Class A *		707,069
	34,000	Academy Sports & Outdoors, Inc. *		1,100,580
	1,974	Amazon.com, Inc. *		6,062,667
	7,048	Asbury Automotive Group, Inc. *		1,368,087
	11,066	AutoNation, Inc. *		1,268,828
	1,200	AutoZone, Inc. *		2,236,068
	800	Boot Barn Holdings, Inc. *		69,616
	40,800	eBay, Inc.		2,227,272
	49,900	Genuine Parts Co.		6,095,784
	7,754	Group 1 Automotive, Inc.		1,410,685
	5,900	Haverty Furniture Cos, Inc.		167,619
	3,400	Home Depot, Inc. (The)		1,073,822
	18,215	Lowe’s Cos., Inc.		4,026,608
	37,800	Macy’s, Inc.		979,776
	10,467	Murphy U.S.A., Inc.		1,891,806
	21,396	Penske Automotive Group, Inc.		2,103,013
	256,978	Qurate Retail, Inc. – Series A		1,415,949
	10,800	Shoe Carnival, Inc.		314,928
	25,200	Signet Jewelers Ltd.		1,776,600
	1,777	Sleep Number Corp. *		116,749
	36,604	Target Corp.		7,312,381
	30,800	Tilly’s, Inc. – Class A		391,160
		Total Retailing		44,192,919
		Semiconductors & Semiconductor Equipment — 4.7%
	1,392	Cirrus Logic, Inc. *		120,923
	125,543	Intel Corp.		5,988,401
	19,400	Kulicke & Soffa Industries, Inc.		1,013,456
	29,900	NVIDIA Corp.		7,291,115
	7,700	ON Semiconductor Corp. *		482,097
	39,900	QUALCOMM, Inc.		6,862,401
		Total Semiconductors & Semiconductor Equipment		21,758,393
		Software & Services — 9.1%
	18,900	Accenture Plc – Class A		5,972,778
	22,347	Amdocs Ltd.		1,758,709

Shares		Description	Value ($)
		Software & Services — continued
	14,722	Cadence Design Systems, Inc. *		2,229,352
	3,500	CSG Systems International, Inc.		216,020
	4,300	International Business Machines Corp.		526,793
	1,321	Intuit, Inc.		626,643
	86,019	Microsoft Corp.		25,701,617
	16,974	Synopsys, Inc. *		5,302,508
		Total Software & Services		42,334,420
		Technology Hardware & Equipment — 11.9%
	125,224	Apple, Inc.		20,676,987
	31,437	Arrow Electronics, Inc. *		3,831,542
	25,222	Avnet, Inc.		1,061,090
	11,700	Ciena Corp. *		800,514
	176,652	Cisco Systems, Inc.		9,851,882
	5,100	CTS Corp.		193,494
	65,700	Dell Technologies – Class C *		3,348,072
	258,844	HP, Inc.		8,893,880
	36,350	Juniper Networks, Inc.		1,228,266
	12,400	Methode Electronics, Inc.		565,936
	4,200	NetApp, Inc.		329,196
	3,100	Plexus Corp. *		252,557
	21,986	Seagate Technology Holdings Plc		2,268,076
	8,600	Super Micro Computer, Inc. *		337,894
	10,019	TE Connectivity Ltd.		1,427,006
	15,695	Xerox Holdings Corp.		309,348
		Total Technology Hardware & Equipment		55,375,740
		Telecommunication Services — 3.3%
	318,000	AT&T, Inc.		7,533,420
	14,758	Telephone & Data Systems, Inc.		256,051
	8,100	United States Cellular Corp. *		222,831
	133,240	Verizon Communications, Inc.		7,150,991
		Total Telecommunication Services		15,163,293
		Transportation — 0.1%
	19,000	Schneider National, Inc. – Class B		496,280
		TOTAL COMMON STOCKS (COST $421,517,889)		454,808,629
		MUTUAL FUNDS — 2.3%
		Affiliated Issuers — 2.3%
	2,076,300	GMO U.S. Treasury Fund		10,402,263
		TOTAL MUTUAL FUNDS (COST $10,428,439)		10,402,263

See accompanying notes to the financial statements. 77

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	1,071,794	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		1,071,794
		TOTAL SHORT-TERM INVESTMENTS (COST $1,071,794)		1,071,794
		TOTAL INVESTMENTS — 100.2% (Cost $433,018,122)		466,282,686
		Other Assets and Liabilities (net) — (0.2%)		(804,683	)
		TOTAL NET ASSETS — 100.0%		$465,478,003

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
37	S&P 500 E-Mini	March 2022	$	8,080,800	$	(326,928	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2022, 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) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 87.

78 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO U.S. Small Cap Value Fund returned +13.21% (net) for the fiscal year ended February 28, 2022, as compared with +8.87% for the S&P SmallCap 600 Value Index.

During the year the performance of valuation-oriented models was mixed, with higher quality names underperforming the broader market. Stock selection was helped by other model groups, including Growth, Cross-Asset signals, and Corporate Alerts.

Stock selection was strong across a range of sectors including Financials, Health Care, Real Estate, Communication Services, Industrials, and Information Technology. Top contributors included overweight positioning toward SM Energy Company (Energy), Newmark Group (Real Estate), Penske Automotive Group (Consumer Discretionary), and IDT Corporation (Communication Services).

Top detractors included overweight positioning toward attractively valued names Sleep Number (Consumer Discretionary), Hyster-Yale Materials Handling (Industrials), Xerox (Information Technology), and Schweitzer-Mauduit International (Materials).

Sector allocation also detracted, primarily from underweight positioning toward Energy.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

80

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO U.S. Small Cap Value Fund Class VI Shares, the S&P SmallCap 600 Value Index

and the Russell 2000 Value Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

For S&P and Russell disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

For Class VI the gross expense ratio of 0.41% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Class listed above, the net expense ratio of 0.41% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

81

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		99.6	%
Mutual Funds		0.5
Short-Term Investments		0.3
Rights/Warrants		0.0	^
Other		(0.4	)
		100.0	%
Industry Group Summary	% of Equity Investments#
Banks		12.7	%
Capital Goods		9.9
Materials		9.9
Technology Hardware & Equipment		8.8
Retailing		7.8
Commercial & Professional Services		7.7
Diversified Financials		6.8
Consumer Durables & Apparel		6.5
Insurance		5.6
Real Estate		5.0
Media & Entertainment		4.0
Energy		3.7
Pharmaceuticals, Biotechnology & Life Sciences		2.5
Health Care Equipment & Services		2.4
Food, Beverage & Tobacco		2.1
Telecommunication Services		1.3
Food & Staples Retailing		1.1
Consumer Services		1.0
Transportation		0.5
Household & Personal Products		0.3
Semiconductors & Semiconductor Equipment		0.2
Automobiles & Components		0.2
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

82

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 99.6%
		Automobiles & Components — 0.2%
	11,700	Standard Motor Products, Inc.		511,407
		Banks — 12.6%
	10,306	1st Source Corp.		497,677
	19,725	Amalgamated Financial Corp.		338,678
	2,648	Arrow Financial Corp.		90,959
	186,799	Associated Banc-Corp.		4,556,028
	8,600	Atlantic Union Bankshares Corp.		349,418
	9,000	BCB Bancorp, Inc.		163,980
	18,391	Brookline Bancorp, Inc.		315,222
	3,700	Camden National Corp.		175,935
	24,776	Cathay General Bancorp		1,165,215
	7,200	Central Valley Community Bancorp		166,104
	4,670	Civista Bancshares, Inc.		113,901
	7,567	CNB Financial Corp.		197,877
	8,996	Community Trust Bancorp, Inc.		380,351
	15,904	Enterprise Financial Services Corp.		786,294
	8,500	Farmers National Banc Corp.		146,455
	13,204	Financial Institutions, Inc.		421,736
	8,668	First Commonwealth Financial Corp.		139,988
	6,905	First Community Bankshares, Inc.		202,524
	23,698	First Financial Bancorp		582,497
	7,500	First Financial Corp.		348,825
	658	First Interstate BancSystem, Inc. – Class A		26,715
	105,512	Flagstar Bancorp, Inc.		4,809,237
	12,153	Flushing Financial Corp.		285,474
	19,066	Fulton Financial Corp.		343,569
	3,012	Great Southern Bancorp, Inc.		184,997
	26,289	Hanmi Financial Corp.		686,669
	13,600	Heartland Financial USA, Inc.		674,832
	93,400	Hope Bancorp, Inc.		1,584,064
	14,900	Horizon Bancorp, Inc.		299,192
	14,791	Independent Bank Corp.		352,026
	15,151	International Bancshares Corp.		651,645
	3,300	LCNB Corp.		60,027
	5,636	Mercantile Bank Corp.		207,799
	1,422	Merchants Bancorp		41,167
	4,800	MidWestOne Financial Group, Inc.		144,912
	15,226	NBT Bancorp, Inc.		584,222
	86,480	OFG Bancorp		2,437,006
	19,157	Old National Bancorp		350,190
	29,711	Provident Financial Services, Inc.		705,042
	7,000	QCR Holdings, Inc.		391,020
	107,800	Radian Group, Inc.		2,576,420
	5,395	RBB Bancorp		130,127
	2,013	Republic Bancorp, Inc. – Class A		92,356
	1,890	Sierra Bancorp		50,728
	27,696	Towne Bank		863,561
	19,886	TriCo Bancshares		863,052

Shares		Description	Value ($)
		Banks — continued
	12,720	TrustCo Bank Corp. NY		434,642
	12,729	Univest Financial Corp.		368,886
	33,867	Waterstone Financial, Inc.		661,761
		Total Banks		32,001,002
		Capital Goods — 9.9%
	37,800	Allison Transmission Holdings, Inc.		1,509,732
	5,500	American Woodmark Corp. *		294,690
	10,598	Apogee Enterprises, Inc.		477,652
	20,871	Applied Industrial Technologies, Inc.		2,110,058
	4,700	Argan, Inc.		182,783
	29,400	Atkore, Inc. *		2,990,274
	1,600	AZZ, Inc.		78,768
	4,400	Boise Cascade Co.		351,736
	2,181	Ducommun, Inc. *		110,162
	3,300	Encore Wire Corp.		384,186
	84,900	Gates Industrial Corp Plc *		1,344,816
	1,500	Global Industrial Co.		47,670
	4,900	Griffon Corp.		112,945
	20,370	Hyster-Yale Materials Handling, Inc.		779,764
	12,647	Insteel Industries, Inc.		469,330
	20,300	JELD-WEN Holding, Inc. *		468,524
	3,668	Miller Industries, Inc.		113,635
	22,319	Moog, Inc. – Class A		1,854,932
	3,400	MSC Industrial Direct Co., Inc. – Class A		263,432
	49,655	Mueller Industries, Inc.		2,832,818
	12,600	MYR Group, Inc. *		1,130,850
	11,352	Park-Ohio Holdings Corp.		180,383
	3,500	PGT Innovations, Inc. *		75,285
	2,496	Preformed Line Products Co.		139,152
	71,395	Primoris Services Corp.		1,882,686
	23,735	Resideo Technologies, Inc. *		610,939
	6,400	Tennant Co.		504,192
	27,926	Tutor Perini Corp. *		273,675
	28,519	UFP Industries, Inc.		2,445,504
	22,848	Vectrus, Inc. *		1,047,352
		Total Capital Goods		25,067,925
		Commercial & Professional Services — 7.7%
	29,500	ABM Industries, Inc.		1,322,485
	218,849	ACCO Brands Corp.		1,882,101
	2,635	Brady Corp. – Class A		121,421
	9,100	CBIZ, Inc. *		354,081
	2,480	CRA International, Inc.		220,298
	43,979	Deluxe Corp.		1,368,187
	3,200	DLH Holdings Corp. *		55,360
	10,900	Ennis, Inc.		204,702
	446,285	GEO Group, Inc. (The) (REIT)		2,659,859
	17,471	Heidrick & Struggles International, Inc.		746,885
	30,534	HNI Corp.		1,242,428
	10,300	ICF International, Inc.		912,786

See accompanying notes to the financial statements. 83

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	48,318	Interface, Inc. – Class A		630,550
	44,200	Kelly Services, Inc. – Class A		937,924
	18,518	Kforce, Inc.		1,392,183
	77,773	Kimball International, Inc. – Class B		720,956
	14,960	Matthews International Corp. – Class A		496,373
	123,200	Pitney Bowes, Inc.		613,536
	35,500	Quad/Graphics, Inc. *		194,540
	48,790	Resources Connection, Inc.		809,914
	159,893	Steelcase, Inc. – Class A		1,945,898
	24,293	TrueBlue, Inc. *		660,770
		Total Commercial & Professional Services		19,493,237
		Consumer Durables & Apparel — 6.5%
	27,000	Acushnet Holdings Corp.		1,182,600
	3,700	American Outdoor Brands, Inc. *		57,831
	11,200	Bassett Furniture Industries, Inc.		196,560
	4,852	Clarus Corp.		110,480
	109,977	Ethan Allen Interiors, Inc.		2,866,001
	21,433	G-III Apparel Group Ltd. *	��	594,551
	8,846	Hooker Furniture Corp.		185,766
	4,922	Johnson Outdoors, Inc. – Class A		405,917
	59,991	La-Z-Boy, Inc.		1,750,537
	11,600	MasterCraft Boat Holdings, Inc. *		332,224
	33,845	MDC Holdings, Inc.		1,500,687
	42,435	Movado Group, Inc.		1,672,788
	600	Sturm Ruger & Co., Inc.		43,446
	189,892	TRI Pointe Homes, Inc. *		4,247,884
	9,069	Universal Electronics, Inc. *		301,363
	64,551	Vera Bradley, Inc. *		488,006
	9,100	Vista Outdoor, Inc. *		331,695
	12,100	VOXX International Corp. *		129,833
		Total Consumer Durables & Apparel		16,398,169
		Consumer Services — 1.0%
	11,700	Adtalem Global Education, Inc. *		243,126
	4,300	American Public Education, Inc. *		85,828
	9,500	Carriage Services, Inc.		467,495
	1,552	Graham Holdings Co. – Class B		932,954
	20,100	Lincoln Educational Services Corp. *		154,971
	60,100	Perdoceo Education Corp. *		629,247
		Total Consumer Services		2,513,621
		Diversified Financials — 6.7%
	10,700	A-Mark Precious Metals, Inc.		767,190
	32,100	Blucora, Inc. *		638,790
	800	Cowen, Inc. – Class A		23,720
	84,371	Curo Group Holdings Corp.		1,128,040
	1,208	Diamond Hill Investment Group, Inc.		234,207
	86,004	Donnelley Financial Solutions, Inc. *		2,760,729
	21,500	Encore Capital Group, Inc. *		1,418,785

Shares		Description	Value ($)
		Diversified Financials — continued
	112,309	Enova International, Inc. *		4,578,838
	86,302	Federated Hermes, Inc.		2,819,486
	1,400	Nelnet, Inc. – Class A		112,770
	13,700	Oppenheimer Holdings, Inc. – Class A		591,703
	8,400	Regional Management Corp.		431,172
	38,700	Sculptor Capital Management, Inc. – Class A		495,747
	6,400	StoneX Group, Inc. *		482,880
	12,200	Victory Capital Holdings, Inc. – Class A		404,674
	8,814	Westwood Holdings Group, Inc.		145,872
		Total Diversified Financials		17,034,603
		Energy — 3.6%
	13,600	California Resources Corp.		560,728
	47,260	Evolution Petroleum Corp.		369,101
	38,600	Falcon Minerals Corp.		221,564
	18,031	Geospace Technologies Corp. *		106,202
	9,900	Laredo Petroleum, Inc. *		757,944
	11,900	Northern Oil and Gas, Inc.		298,452
	14,800	Oil States International, Inc. *		77,404
	5,700	SilverBow Resources, Inc. *		146,604
	551,100	Southwestern Energy Co. *		2,749,989
	33,900	VAALCO Energy, Inc.		191,196
	132,997	World Fuel Services Corp.		3,769,135
		Total Energy		9,248,319
		Food & Staples Retailing — 1.1%
	10,501	Ingles Markets, Inc. – Class A		863,392
	14,200	Natural Grocers by Vitamin Cottage, Inc.		240,974
	36,609	SpartanNash Co.		1,030,177
	2,800	Village Super Market, Inc. – Class A		63,784
	10,400	Weis Markets, Inc.		641,368
		Total Food & Staples Retailing		2,839,695
		Food, Beverage & Tobacco — 2.1%
	3,300	Ingredion, Inc.		292,842
	4,400	John B. Sanfilippo & Son, Inc.		349,888
	16	Seaboard Corp.		61,752
	5,144	Seneca Foods Corp. – Class A *		255,914
	5,600	Turning Point Brands, Inc.		187,712
	48,959	Universal Corp.		2,649,171
	126,500	Vector Group Ltd.		1,418,065
		Total Food, Beverage & Tobacco		5,215,344
		Health Care Equipment & Services — 2.4%
	79,500	Allscripts Healthcare Solutions, Inc. *		1,547,070
	34,500	Brookdale Senior Living, Inc. *		237,360
	7,700	Computer Programs & Systems, Inc. *		237,006
	13,700	Cross Country Healthcare, Inc. *		305,921
	19,800	Eargo, Inc. *		95,238
	10,819	FONAR Corp. *		186,952

84 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	12,100	HealthStream, Inc. *		247,929
	10,058	LENSAR, Inc. *		58,940
	6,000	Meridian Bioscience, Inc. *		151,800
	3,300	National HealthCare Corp.		214,566
	5,200	Natus Medical, Inc. *		144,664
	36,900	NextGen Healthcare, Inc. *		720,657
	38,500	Select Medical Holdings Corp.		891,275
	46,200	Varex Imaging Corp. *		1,092,168
		Total Health Care Equipment & Services		6,131,546
		Household & Personal Products — 0.3%
	2,700	Central Garden & Pet Co. *		127,818
	1,700	Central Garden & Pet Co. – Class A *		74,868
	4,800	Edgewell Personal Care Co.		171,264
	2,200	Inter Parfums, Inc.		204,336
	29,143	Lifevantage Corp. *		162,618
		Total Household & Personal Products		740,904
		Insurance — 5.6%
	7,100	American Equity Investment Life Holding Co.		267,599
	5,700	American National Group, Inc.		1,077,471
	104,700	CNO Financial Group, Inc.		2,530,599
	3,800	Employers Holdings, Inc.		147,668
	55,600	First American Financial Corp.		3,727,424
	367,200	Genworth Financial, Inc. – Class A *		1,490,832
	249,100	GoHealth, Inc. – Class A *		555,493
	22,000	Horace Mann Educators Corp.		914,980
	4,000	Mercury General Corp.		220,000
	67,100	Selectquote, Inc. *		208,681
	41,590	Stewart Information Services Corp.		2,823,129
	22,600	Universal Insurance Holdings, Inc.		261,256
		Total Insurance		14,225,132
		Materials — 9.8%
	29,648	AdvanSix, Inc.		1,187,699
	18,808	American Vanguard Corp.		283,437
	7,000	Avient Corp.		366,730
	52,500	Cabot Corp.		3,840,900
	14,000	Commercial Metals Co.		539,700
	8,900	FutureFuel Corp.		65,504
	8,100	Greif, Inc. – Class A		465,669
	51,900	Huntsman Corp.		2,098,836
	2,600	Innospec, Inc.		248,300
	24,219	Koppers Holdings, Inc. *		693,390
	44,180	Mercer International, Inc.		590,687
	13,959	Neenah, Inc.		543,703
	6,000	NewMarket Corp.		1,906,560
	8,000	Olympic Steel, Inc.		214,160
	5,500	Reliance Steel & Aluminum Co.		1,049,785
	33,300	Schnitzer Steel Industries, Inc. – Class A		1,620,045

Shares		Description	Value ($)
		Materials — continued
	66,424	Schweitzer-Mauduit International, Inc.		2,073,757
	9,400	Stepan Co.		974,028
	63,443	Trinseo Plc		3,296,498
	7,800	Warrior Met Coal, Inc.		245,700
	15,800	Westlake Chemical Corp.		1,742,898
	15,800	Worthington Industries, Inc.		900,916
		Total Materials		24,948,902
		Media & Entertainment — 4.0%
	64,000	AMC Networks, Inc.– Class A *		2,652,800
	71,651	Cars.com, Inc. *		1,159,313
	60,383	DHI Group, Inc. *		341,768
	4,200	Lee Enterprises, Inc. *		139,860
	17,100	Scholastic Corp.		719,568
	26,500	Sciplay Corp. – Class A *		345,560
	209,790	TEGNA, Inc.		4,808,387
		Total Media & Entertainment		10,167,256
		Pharmaceuticals, Biotechnology & Life Sciences — 2.5%
	13,600	Amneal Pharmaceuticals, Inc. *		61,608
	12,700	Phibro Animal Health Corp. – Class A		270,510
	99,220	Prestige Consumer Healthcare, Inc. *		5,906,567
	2,300	Supernus Pharmaceuticals, Inc. *		73,485
		Total Pharmaceuticals, Biotechnology & Life Sciences		6,312,170
		Real Estate — 5.0%
	33,200	Cushman & Wakefield Plc *		727,744
	68,300	Diversified Healthcare Trust (REIT)		196,704
	12,381	Five Point Holdings LLC – Class A *		73,295
	10,470	Forestar Group, Inc. *		191,706
	288,014	Newmark Group, Inc. – Class A		5,092,087
	3,600	Piedmont Office Realty Trust, Inc. – Class A (REIT)		61,344
	26,600	PotlatchDeltic Corp. (REIT)		1,460,340
	271,082	Realogy Holdings Corp. *		4,928,271
		Total Real Estate		12,731,491
		Retailing — 7.8%
	17,100	Aaron’s Co. , Inc. (The)		358,929
	14,020	Cato Corp. (The) – Class A		246,752
	20,300	Container Store Group, Inc. (The) *		179,249
	37,987	Genesco, Inc. *		2,436,866
	24,094	Group 1 Automotive, Inc.		4,383,421
	60,294	Haverty Furniture Cos, Inc.		1,712,953
	14,200	Party City Holdco, Inc. *		61,486
	28,313	Penske Automotive Group, Inc.		2,782,885
	79,100	Qurate Retail, Inc. – Series A		435,841
	92,496	Shoe Carnival, Inc.		2,697,183
	34,400	Signet Jewelers Ltd.		2,425,200

See accompanying notes to the financial statements. 85

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Retailing — continued
	19,934	Sleep Number Corp.*		1,309,664
	51,100	Tilly’s, Inc. – Class A		648,970
	2,094	Weyco Group, Inc.		52,036
		Total Retailing		19,731,435
		Semiconductors & Semiconductor Equipment — 0.2%
	4,700	Axcelis Technologies, Inc.*		325,334
	5,200	CyberOptics Corp.*		197,704
		Total Semiconductors & Semiconductor Equipment		523,038
		Technology Hardware & Equipment — 8.8%
	56,790	ADTRAN, Inc.		1,169,306
	113,913	Avnet, Inc.		4,792,320
	35,219	Benchmark Electronics, Inc.		920,625
	15,400	Casa Systems, Inc.*		64,064
	34,861	CTS Corp.		1,322,626
	24,800	Daktronics, Inc.*		114,328
	11,600	DZS, Inc.*		168,084
	5,500	ePlus, Inc.*		257,950
	24,878	Kimball Electronics, Inc.*		428,897
	67,600	Knowles Corp.*		1,472,328
	32,609	Methode Electronics, Inc.		1,488,275
	3,500	National Instruments Corp.		140,525
	21,100	NETGEAR, Inc.*		561,471
	15,300	NetScout Systems, Inc.*		476,289
	7,600	OSI Systems, Inc.*		613,092
	5,100	Plexus Corp.*		415,497
	8,600	Quantum Corp.*		22,360
	22,400	Ribbon Communications, Inc.*		68,096
	37,645	Sanmina Corp.*		1,497,518
	12,853	ScanSource, Inc.*		405,898
	27,944	Super Micro Computer, Inc.*		1,097,919
	86,800	Vishay Intertechnology, Inc.		1,665,692
	160,422	Xerox Holdings Corp.		3,161,917
		Total Technology Hardware & Equipment		22,325,077
		Telecommunication Services — 1.3%
	5,200	ATN International, Inc.		173,316
	4,600	Ooma, Inc.*		76,912
	58,721	Spok Holdings, Inc.		514,396
	123,632	Telephone & Data Systems, Inc.		2,145,015
	14,452	United States Cellular Corp.*		397,575
		Total Telecommunication Services		3,307,214
		Transportation — 0.5%
	51,100	Schneider National, Inc. – Class B		1,334,732
		TOTAL COMMON STOCKS (COST $229,015,361)		252,802,219

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.5%
		Affiliated Issuers — 0.5%
	231,242	GMO U.S. Treasury Fund		1,158,524
		TOTAL MUTUAL FUNDS (COST $1,162,153)		1,158,524
		RIGHTS/WARRANTS — 0.0%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	72,700	Achillion Pharmaceuticals, Inc. CVR * (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	802,888	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		802,888
		TOTAL SHORT-TERM INVESTMENTS (COST $802,888)		802,888
		TOTAL INVESTMENTS — 100.4% (Cost $231,013,844)		254,799,981
		Other Assets and Liabilities (net) — (0.4%)		(989,747	)
		TOTAL NET ASSETS — 100.0%		$253,810,234

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs (Note 2).

(b) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 87.

86 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2022

Portfolio Abbreviations:

ADR - American Depositary Receipt

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.

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

The rates shown on variable rate notes are the current interest rates at February 28, 2022, which are subject to change based on the terms of the security.

See accompanying notes to the financial statements. 87

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022

	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets ex-China Fund		Emerging Markets Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	58,977,551	$	2,331,522	$	4,374	$	4,476,665
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		728,593,530		748,049,544		295,579,322		1,928,080,949
Foreign currency, at value (Note 2)(d)		53,245		6,419,286		27,698		3,780,327
Receivable for investments sold		—		3,537,968		1,875,063		398,217
Receivable for Fund shares sold		538,148		—		—		246,364
Dividends and interest receivable		619,259		1,772,891		1,126,061		5,120,047
Dividend withholding tax receivable		43,346		—		107		14,810
Foreign capital gains tax refund receivable (Note 2)		—		5,843,614		—		4,196,388
Due from broker (Note 2)		—		12		—		1,358,526
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		35,328		22,821		35,529		85,364
Total assets		788,860,407		767,977,658		298,648,154		1,947,757,657
Liabilities:
Due to custodian		—		240,161		—		—
Foreign taxes payable		—		953,055		—		—
Payable for cash collateral from securities loaned (Note 2)		58,114,580		—		—		—
Payable for investments purchased		4,869		4,340,167		1,123,786		1,762,680
Payable for Fund shares repurchased		24,341		109,157		—		3,041,406
Accrued foreign capital gains tax payable (Note 2)		—		820,634		—		2,665,834
Payable to affiliate for (Note 5):
Management fee		314,048		454,351		144,442		1,077,132
Shareholder service fee		78,512		77,679		14,796		169,718
Payable for variation margin on open futures contracts (Note 4)		—		—		—		2,182,163
Payable to Trustees and related expenses		2,274		2,826		4,231		3,867
Accrued expenses		168,913		458,827		263,639		1,250,509
Miscellaneous payable		—		—		—		871,960
Total liabilities		58,707,537		7,456,857		1,550,894		13,025,269
Net assets	$	730,152,870	$	760,520,801	$	297,097,260	$	1,934,732,388
(a)  Cost of investments – affiliated issuers:	$	59,022,760	$	2,340,826	$	4,391	$	13,358,337
(b)  Cost of investments – unaffiliated issuers:	$	714,527,414	$	739,693,434	$	355,508,355	$	2,191,691,641
(c)  Includes securities on loan at value (Note 2):	$	91,001,729	$	—	$	—	$	15,874,184
(d)  Cost of foreign currency:	$	53,283	$	6,434,365	$	28,298	$	3,815,629

88 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Climate Change Fund		Emerging Domestic Opportunities Fund			Emerging Markets ex-China Fund			Emerging Markets Fund
Net assets consist of:
Paid-in capital	$	713,162,521	$	809,378,027		$	356,217,566		$	3,317,427,119
Distributable earnings (accumulated loss)		16,990,349		(48,857,226	)		(59,120,306	)		(1,382,694,731	)
	$	730,152,870	$	760,520,801		$	297,097,260		$	1,934,732,388
Net assets attributable to:
Class II	$	—	$	238,702,379		$	—		$	262,449,023
Class III	$	306,996,270	$	—		$	14,809,881		$	267,177,349
Class V	$	—	$	510,306,575		$	—		$	—
Class VI	$	—	$	—		$	282,286,946		$	1,244,914,018
Class R6	$	115,013,733	$	—		$	—		$	40,197,323
Class I	$	308,142,867	$	11,511,847		$	433		$	119,994,675
Shares outstanding:
Class II		—		10,869,932			—			8,804,222
Class III		10,155,361		—			889,328			8,933,779
Class V		—		23,230,026			—			—
Class VI		—		—			16,948,677			42,113,738
Class R6		3,811,653		—			—			1,349,923
Class I		10,217,888		524,497			26			4,032,861
Net asset value per share:
Class II	$	—	$	21.96		$	—		$	29.81
Class III	$	30.23	$	—		$	16.65		$	29.91
Class V	$	—	$	21.97		$	—		$	—
Class VI	$	—	$	—		$	16.66		$	29.56
Class R6	$	30.17	$	—		$	—		$	29.78
Class I	$	30.16	$	21.95		$	16.64		$	29.75

See accompanying notes to the financial statements. 89

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	International Equity Fund		Japan Value Creation Fund		Quality Cyclicals Fund (formerly Cyclical Focus Fund)		Quality Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	—	$	434,957	$	5,788,348
Investments in unaffiliated issuers, at value (Note 2)(b)		1,978,219,047		161,001,429		141,079,374		8,340,765,475
Foreign currency, at value (Note 2)(c)		65,228		—		44,203		1,771,922
Receivable for investments sold		—		208,708		—		—
Receivable for Fund shares sold		75,761		451,392		—		8,215,138
Dividends and interest receivable		2,611,548		173,303		207,823		8,324,814
Dividend withholding tax receivable		1,862,917		3,332		9,587		2,208,037
EU tax reclaims receivable (Note 2)		1,840,967		—		—		272,627
Due from broker (Note 2)		4,357		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		10,976		28,616		15,980		258,701
Total assets		1,984,690,801		161,866,780		141,791,924		8,367,605,062
Liabilities:
Payable for investments purchased		—		154,172		63,490		—
Payable for Fund shares repurchased		30,329,451		1,740,000		75,994		4,718,482
Payable for IRS closing agreement fees (Note 2)		50,614,118		—		—		—
Payable to affiliate for (Note 5):
Management fee		770,861		61,935		36,843		2,168,823
Shareholder service fee		156,949		7,245		6,147		695,652
Payable for variation margin on open futures contracts (Note 4)		246,906		—		—		—
Payable to Trustees and related expenses		7,083		566		486		33,059
Accrued expenses		815,064		88,594		62,761		819,463
Total liabilities		82,940,432		2,052,512		245,721		8,435,479
Net assets	$	1,901,750,369	$	159,814,268	$	141,546,203	$	8,359,169,583
(a)  Cost of investments – affiliated issuers:	$	—	$	—	$	436,694	$	5,776,758
(b)  Cost of investments – unaffiliated issuers:	$	1,996,075,016	$	166,236,403	$	110,403,122	$	4,919,552,293
(c)  Cost of foreign currency:	$	64,854	$	—	$	44,196	$	1,771,658

90 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	International Equity Fund			Japan Value Creation Fund			Quality Cyclicals Fund (formerly Cyclical Focus Fund)		Quality Fund
Net assets consist of:
Paid-in capital	$	2,794,618,548		$	160,706,692		$	108,008,649	$	4,735,724,256
Distributable earnings (accumulated loss)		(892,868,179	)		(892,424	)		33,537,554		3,623,445,327
	$	1,901,750,369		$	159,814,268		$	141,546,203	$	8,359,169,583
Net assets attributable to:
Class II	$	5,614,671		$	—		$	—	$	—
Class III	$	358,775,123		$	23,672,679		$	—	$	2,996,329,899
Class IV	$	1,534,339,125		$	—		$	—	$	912,163,111
Class VI	$	—		$	133,034,877		$	141,464,741	$	3,461,579,804
Class R6	$	—		$	—		$	—	$	507,231,578
Class I	$	3,021,450		$	3,106,712		$	81,462	$	481,865,191
Shares outstanding:
Class II		247,378			—			—		—
Class III		15,596,831			1,201,005			—		106,810,563
Class IV		66,826,180			—			—		32,429,145
Class VI		—			6,749,328			5,490,036		123,384,128
Class R6		—			—			—		18,101,684
Class I		130,920			157,808			3,162		17,215,886
Net asset value per share:
Class II	$	22.70		$	—		$	—	$	—
Class III	$	23.00		$	19.71		$	—	$	28.05
Class IV	$	22.96		$	—		$	—	$	28.13
Class VI	$	—		$	19.71		$	25.77	$	28.06
Class R6	$	—		$	—		$	—	$	28.02
Class I	$	23.08		$	19.69		$	25.76	$	27.99

See accompanying notes to the financial statements. 91

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Resources Fund		Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	999,833	$	10,402,263	$	1,158,524
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		2,191,481,701		31,262,033		455,880,423		253,641,457
Foreign currency, at value (Note 2)(d)		1,063,562		33,842		—		—
Cash		18,087,409		—		—		—
Receivable for Fund shares sold		7,556,842		—		—		—
Dividends and interest receivable		6,524,235		56,286		591,338		222,277
Dividend withholding tax receivable		532,592		26,845		—		—
Foreign capital gains tax refund receivable (Note 2)		—		2,381		—		—
Due from broker (Note 2)		—		31,167		541,000		51,316
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		—		34,776		13,076		—
Total assets		2,225,246,341		32,447,163		467,428,100		255,073,574
Liabilities:
Due to broker (Note 2)		—		38		35		—
Payable for investments purchased		18,087,409		—		—		—
Payable for Fund shares repurchased		652,085		—		1,700,000		1,100,000
Accrued foreign capital gains tax payable (Note 2)		1,500,519		—		—		—
Payable for IRS closing agreement fees (Note 2)		—		485,865		—		—
Payable to affiliate for (Note 5):
Management fee		847,143		12,629		112,120		60,619
Shareholder service fee		186,560		3,789		25,835		10,755
Payable for variation margin on open futures contracts (Note 4)		—		4,180		26,738		—
Payable to Trustees and related expenses		7,642		122		1,692		1,040
Accrued expenses		413,071		159,266		83,677		90,926
Total liabilities		21,694,429		665,889		1,950,097		1,263,340
Net assets	$	2,203,551,912	$	31,781,274	$	465,478,003	$	253,810,234
(a)  Cost of investments – affiliated issuers:	$	—	$	1,002,797	$	10,428,439	$	1,162,153
(b)  Cost of investments – unaffiliated issuers:	$	1,941,982,681	$	26,860,533	$	422,589,683	$	229,851,691
(c)  Includes securities on loan at value (Note 2):	$	71,566,064	$	—	$	—	$	—
(d)  Cost of foreign currency:	$	1,144,700	$	34,414	$	—	$	—

92 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Resources Fund		Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	1,912,871,429	$	27,463,518	$	410,245,531	$	215,087,124
Distributable earnings (accumulated loss)		290,680,483		4,317,756		55,232,472		38,723,110
	$	2,203,551,912	$	31,781,274	$	465,478,003	$	253,810,234
Net assets attributable to:
Class III	$	239,224,866	$	31,781,274	$	80,645,942	$	—
Class IV	$	383,353,358	$	—	$	—	$	—
Class VI	$	842,697,995	$	—	$	384,832,061	$	253,810,234
Class R6	$	105,086,404	$	—	$	—	$	—
Class I	$	633,189,289	$	—	$	—	$	—
Shares outstanding:
Class III		8,426,227		2,222,202		5,892,803		—
Class IV		13,545,674		—		—		—
Class VI		29,775,768		—		28,473,749		12,855,601
Class R6		3,703,714		—		—		—
Class I		22,306,316		—		—		—
Net asset value per share:
Class III	$	28.39	$	14.30	$	13.69	$	—
Class IV	$	28.30	$	—	$	—	$	—
Class VI	$	28.30	$	—	$	13.52	$	19.74
Class R6	$	28.37	$	—	$	—	$	—
Class I	$	28.39	$	—	$	—	$	—

See accompanying notes to the financial statements. 93

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022

	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets ex-China Fund*			Emerging Markets Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	7,834,884		$	14,578,715		$	3,753,885		$	114,312,565
Dividends from affiliated issuers (Note 10)		35,129			11,088			132			—
Interest		—			179,241			2,834			143,232
Securities lending income from affiliated issuers (net)		311,596			—			—			—
Securities lending income (net)		325,896			—			—			310,261
Other income (Note 2)		—			—			—			1,255,159
Total investment income		8,507,505			14,769,044			3,756,851			116,021,217
Expenses:
Management fee (Note 5)		3,182,553			6,823,176			680,810			17,405,532
Shareholder service fee – Class II (Note 5)		—			625,987			—			605,210
Shareholder service fee – Class III (Note 5)		370,233			—			1,653	**		658,999
Shareholder service fee – Class V (Note 5)		—			518,076			—			40,320	****
Shareholder service fee – Class VI (Note 5)		—			—			67,475	*		963,534
Shareholder service fee – Class R6 (Note 5)		132,856			—			—			97,511
Shareholder service fee – Class I (Note 5)		292,550			34,576			—	***		263,357
Organizational expenses		—			—			70,850			—
Audit and tax fees		87,810			113,890			63,438			122,789
Custodian, fund accounting agent and transfer agent fees		363,364			783,401			105,714			2,076,331
Legal fees		13,608			13,251			58,081			47,969
Registration fees		50,173			39,670			6,817			80,327
Trustees’ fees and related expenses (Note 5)		18,792			31,733			5,068			87,828
Miscellaneous		14,840			18,959			17,990			63,935
Total expenses		4,526,779			9,002,719			1,077,896			22,513,642
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(227,502	)		(192,116	)		(241,842	)		(1,136,577	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(923	)		(1,477	)		—			—
Net expenses		4,298,354			8,809,126			836,054			21,377,065
Net investment income (loss)		4,209,151			5,959,918			2,920,797			94,644,152
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		64,002,080			11,523,260			730,403			150,822,756
Investments in affiliated issuers		(314,684	)		(89,053	)		(787	)		—
Realized gain distributions from affiliated issuers (Note 10)		25,854			4,791			46			—
Futures contracts		—			(3,487,829	)		—			(25,010,820	)
Swap contracts		—			—			—			9,559,073
Foreign currency and foreign currency related transactions		(127,847	)		(1,486,679	)		(502,190	)		(1,015,088	)
Net realized gain (loss)		63,585,403			6,464,490			227,472			134,355,921
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(58,305,222	)		(140,825,948	)		(59,929,033	)		(558,163,364	)
Investments in affiliated issuers		(45,209	)		(9,304	)		(17	)		(2,497,741	)
Futures contracts		—			—			—			(12,125,679	)
Swap contracts		—			—			—			(225,326	)
Foreign currency and foreign currency related transactions		23,646			5,770			(18,543	)		65,184
Net change in unrealized appreciation (depreciation)		(58,326,785	)		(140,829,482	)		(59,947,593	)		(572,946,926	)
Net realized and unrealized gain (loss)		5,258,618			(134,364,992	)		(59,720,121	)		(438,591,005	)
Net increase (decrease) in net assets resulting from operations	$	9,467,769		$	(128,405,074	)	$	(56,799,324	)	$	(343,946,853	)
(a)   Withholding tax:	$	680,708		$	1,829,337		$	550,658		$	14,499,308
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	22,896		$	4,921,650		$	—		$	1,663,156
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	(26,624	)	$	(1,566,656	)	$	—		$	1,576,507
*    Period from October 18, 2021 (commencement of operations) through February 28, 2022.
**   Period from November 17, 2021 (commencement of operations) through February 28, 2022.
***   Period from December 1, 2021 (commencement of operations) through February 28, 2022.
****  Class V liquidated on April 29, 2021.

94 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022 — (Continued)

	International Equity Fund			Japan Value Creation Fund			Quality Cyclicals Fund (formerly Cyclical Focus Fund)			Quality Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	79,846,759		$	4,075,853		$	3,774,687		$	116,346,276
Dividends from affiliated issuers (Note 10)		—			—			552			10,404
Interest		64,101			—			—			4,129,832
Non-cash paid in-kind dividends from unaffiliated issuers		13,089,203			—			—			—
Securities lending income from affiliated issuers (net)		—			—			1,468			—
Other income (Note 2)		7,401,894			—			—			15,276,004
Less: IRS closing agreement fees (Note 2)		(2,387,964	)		—			—			—
Total investment income		98,013,993			4,075,853			3,776,707			135,762,516
Expenses:
Management fee (Note 5)		10,889,079			829,930			479,276			28,530,759
Shareholder service fee – Class II (Note 5)		13,102			—			—			—
Shareholder service fee – Class III (Note 5)		615,248			464	***		—			5,292,034
Shareholder service fee – Class IV (Note 5)		1,584,603			—			—			937,283
Shareholder service fee – Class VI (Note 5)		—			90,303			79,849			1,824,932
Shareholder service fee – Class R6 (Note 5)		—			—			—			698,542
Shareholder service fee – Class I (Note 5)		2,256	*		2,225	****		82	*****		661,888
Audit and tax fees		107,162			81,650			70,497			149,674
Custodian, fund accounting agent and transfer agent fees		538,046			48,211			37,083			1,589,798
Legal fees		467,671			13,842			9,754			140,030
Registration fees		47,030			1,076			938			87,626
Trustees’ fees and related expenses (Note 5)		70,860			5,312			4,920			292,600
Miscellaneous		28,132	**		7,443			11,103			84,305
Total expenses		14,363,189			1,080,456			693,502			40,289,471
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(725,210	)		(131,199	)		(112,291	)		(1,533,044	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(5	)		(840	)
Net expenses		13,637,979			949,257			581,206			38,755,587
Net investment income (loss)		84,376,014			3,126,596			3,195,501			97,006,929
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		215,980,501			20,620,741			16,578,659			511,542,581
Investments in affiliated issuers		—			—			(6,306	)		23,857
Realized gain distributions from affiliated issuers (Note 10)		—			—			241			7,534
Futures contracts		(3,719,225	)		—			—			—
Foreign currency and foreign currency related transactions		(590,145	)		(92,285	)		13,553			(128,897	)
Net realized gain (loss)		211,671,131			20,528,456			16,586,147			511,445,075
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(177,825,512	)		(25,647,520	)		(5,435,076	)		498,059,429
Investments in affiliated issuers		—			—			(1,737	)		(66,470	)
Futures contracts		370,276			—			—			—
Foreign currency and foreign currency related transactions		(418,691	)		5,482			(561	)		(147,560	)
Net change in unrealized appreciation (depreciation)		(177,873,927	)		(25,642,038	)		(5,437,374	)		497,845,399
Net realized and unrealized gain (loss)		33,797,204			(5,113,582	)		11,148,773			1,009,290,474
Net increase (decrease) in net assets resulting from operations	$	118,173,218		$	(1,986,986	)	$	14,344,274		$	1,106,297,403
(a)   Withholding tax:	$	6,395,734		$	452,869		$	111,883		$	3,298,086
*    Period from May, 24 2021 (commencement of operations) through February 28, 2022.
**    Includes $10,241 of pricing related fees.
***   Period from December 30, 2021 (commencement of operations) through February 28, 2022.
****   Period from June, 7 2021 (commencement of operations) through February 28, 2022.
*****  Period from July, 16 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 95

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022 — (Continued)

	Resources Fund			Tax-Managed International Equities Fund			U.S. Equity Fund			U.S. Small Cap Value Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(Note 2)(a)	$	81,230,558		$	1,461,001		$	7,476,292		$	5,186,711
Dividends from affiliated issuers (Note 10)		—			1,363			10,849			3,512
Interest		70,634			—			—			—
Non-cash paid in-kind dividends from unaffiliated issuers		—			236,781			—			—
Securities lending income (net)		352,243			—			—			—
Other income (Note 2)		—			592,009			—			—
Less: IRS closing agreement fees (Note 2)		—			(485,865	)		—			—
Total investment income		81,653,435			1,805,289			7,487,141			5,190,223
Expenses:
Management fee (Note 5)		8,308,311			195,184			1,294,837			925,704
Shareholder service fee – Class III (Note 5)		388,442			58,555			158,321			—
Shareholder service fee – Class IV (Note 5)		813,159			—			—			—
Shareholder service fee – Class VI (Note 5)		25,978	*		—			171,678			164,238
Shareholder service fee – Class R6 (Note 5)		33,520			—			—			—
Shareholder service fee – Class I (Note 5)		779,944			—			—			—
Audit and tax fees		101,952			102,688			62,583			58,712
Custodian, fund accounting agent and transfer agent fees		1,163,614			122,683			65,374			75,997
Legal fees		34,450			48,004	**		10,117			9,191
Registration fees		87,568			5,253			28,675			952
Trustees’ fees and related expenses (Note 5)		58,338			1,336			13,637			10,249
Miscellaneous		32,586			30,593	***		7,704			8,773
Total expenses		11,827,862			564,296			1,812,926			1,253,816
Fees and expenses reimbursed and/or waived by GMO (Note 5)		—			(234,695	)		(170,339	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(48	)		(400	)		(9	)
Net expenses		11,827,862			329,553			1,642,187			1,253,807
Net investment income (loss)		69,825,573			1,475,736			5,844,954			3,936,416
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		126,770,271			6,700,830			78,320,495			76,903,086
Investments in affiliated issuers		9,193,888			(2,326	)		(11,857	)		(8,944	)
Realized gain distributions from affiliated issuers (Note 10)		—			954			10,431			4,379
Futures contracts		—			31,307			1,087,616			81,102
Foreign currency and foreign currency related transactions		(367,233	)		(7,039	)		—			—
Net realized gain (loss)		135,596,926			6,723,726			79,406,685			76,979,623
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(17,113,051	)		(6,119,273	)		(32,940,038	)		(32,012,002	)
Investments in affiliated issuers		—			(3,006	)		(26,176	)		(3,629	)
Futures contracts		—			(21,792	)		(333,912	)		109,220
Foreign currency and foreign currency related transactions		(86,544	)		(15,200	)		—			—
Net change in unrealized appreciation (depreciation)		(17,199,595	)		(6,159,271	)		(33,300,126	)		(31,906,411	)
Net realized and unrealized gain (loss)		118,397,331			564,455			46,106,559			45,073,212
Net increase (decrease) in net assets resulting from operations	$	188,222,904		$	2,040,191		$	51,951,513		$	49,009,628
(a)  Withholding tax:	$	4,883,255		$	126,140		$	1,528		$	10,720
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	2,099,831		$	1,458		$	—		$	—
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	(324,511	)	$	(1,274	)	$	—		$	—
*   Period from February 8, 2022 (commencement of operations) through February 28, 2022.
**   Includes $44,625 of legal fees which are contingent in nature and attributed to EU tax reclaims (Note 2).
***  Includes $24,074 of pricing related fees.

96 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund(a)						Emerging Domestic Opportunities Fund(a)
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,209,151		$	2,313,784		$	5,959,918		$	7,624,834
Net realized gain (loss)		63,585,403			33,276,767			6,464,490			92,893,737
Change in net unrealized appreciation (depreciation)		(58,326,785	)		71,640,346			(140,829,482	)		152,551,097
Net increase (decrease) in net assets from operations		9,467,769			107,230,897			(128,405,074	)		253,069,668
Distributions to shareholders:
Class II		—			—			(19,585,057	)		(1,859,130	)
Class III		(39,431,752	)		(9,171,238	)		—			(84,526	)*
Class V		—			—			(40,195,516	)		(5,157,641	)
Class R6		(13,530,453	)		(2,822,175	)		—			—
Class I		(30,161,491	)		(1,789,912	)		(1,037,354	)		—	**
Total distributions		(83,123,696	)		(13,783,325	)		(60,817,927	)		(7,101,297	)
Net share transactions (Note 9):
Class II		—			—			(10,423,150	)		(60,686,694	)
Class III		165,751,876			(6,186,295	)		—			(97,209,926	)*
Class V		—			—			(62,497,493	)		(42,006,078	)
Class R6		50,189,598			54,335,435			—			—
Class I		235,985,857			87,130,973			(3,642,128	)		19,375,366	**
Increase (decrease) in net assets resulting from net share transactions		451,927,331			135,280,113			(76,562,771	)		(180,527,332	)
Total increase (decrease) in net assets		378,271,404			228,727,685			(265,785,772	)		65,441,039
Net assets:
Beginning of period		351,881,466			123,153,781			1,026,306,573			960,865,534
End of period	$	730,152,870		$	351,881,466		$	760,520,801		$	1,026,306,573
(a)  A plan of reorganization was completed on January 22, 2021.
*   Class III liquidated on January 22, 2021.
**   Period from January 22, 2021 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 97

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets ex-China Fund			Emerging Markets Fund(a)
	Period from October 18, 2021 (commencement of operations) through February 28, 2022			Year Ended February 28,
				2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,920,797		$	94,644,152		$	78,474,906
Net realized gain (loss)		227,472			134,355,921			141,192,809
Change in net unrealized appreciation (depreciation)		(59,947,593	)		(572,946,926	)		413,173,731
Net increase (decrease) in net assets from operations		(56,799,324	)		(343,946,853	)		632,841,446
Distributions to shareholders:
Class II		—			(10,877,340	)		(12,199,534	)
Class III		(23,270	)*		(15,036,779	)		(17,045,072	)
Class V		—			—	***		(5,655,265	)
Class VI		(2,297,709	)		(65,952,879	)		(76,765,259	)
Class R6		—			(1,932,217	)		(936,435	)****
Class I		(3	)**		(6,142,292	)		(1,295,377	)
Total distributions		(2,320,982	)		(99,941,507	)		(113,896,942	)
Net share transactions (Note 9):
Class II		—			24,140,732			(168,183,437	)
Class III		16,365,827	*		(166,371,558	)		89,373,406
Class V		—			(315,869,299	)***		80,614,160
Class VI		339,851,236			(249,450,634	)		(740,332,831	)
Class R6		—			5,685,636			36,659,585	****
Class I		503	**		67,945,520			60,222,895
Increase (decrease) in net assets resulting from net share transactions		356,217,566			(633,919,603	)		(641,646,222	)
Total increase (decrease) in net assets		297,097,260			(1,077,807,963	)		(122,701,718	)
Net assets:
Beginning of period		—			3,012,540,351			3,135,242,069
End of period	$	297,097,260		$	1,934,732,388		$	3,012,540,351
(a)   A plan of reorganization was completed on January 22, 2021.
*    Period from November 17, 2021 (commencement of operations) through February 28, 2022.
**   Period from December 1, 2021 (commencement of operations) through February 28, 2022.
***   Class V liquidated on April 29, 2021.
****  Period from March 31, 2020 (commencement of operations) through February 28, 2021.

98 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Fund						Japan Value Creation Fund
	Year Ended February 28,						Year Ended February 28, 2022			Period from September 14, 2020 (commencement of operations) through February 28, 2021
	2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	84,376,014		$	97,335,937		$	3,126,596		$	1,196,636
Net realized gain (loss)		211,671,131			50,571,653			20,528,456			6,318,091
Change in net unrealized appreciation (depreciation)		(177,873,927	)		318,580,148			(25,642,038	)		20,406,998
Net increase (decrease) in net assets from operations		118,173,218			466,487,738			(1,986,986	)		27,921,725
Distributions to shareholders:
Class II		(366,324	)		(236,321	)		—			—
Class III		(24,543,676	)		(20,929,248	)		—	**		—
Class IV		(103,725,040	)		(91,693,467	)		—			—
Class VI		—			—			(24,444,217	)		(2,070,899	)
Class I		(143,501	)*		—			(312,047	)***		—
Total distributions		(128,778,541	)		(112,859,036	)		(24,756,264	)		(2,070,899	)
Net share transactions (Note 9):
Class II		154,410			(5,323,954	)		—			—
Class III		(64,863,064	)		(100,462,179	)		23,595,006	**		—
Class IV		(220,799,835	)		(1,100,892,967	)		—			—
Class VI		—			—			(4,444,830	)		138,021,194
Class I		3,300,506	*		—			3,535,322	***		—
Increase (decrease) in net assets resulting from net share transactions		(282,207,983	)		(1,206,679,100	)		22,685,498			138,021,194
Total increase (decrease) in net assets		(292,813,306	)		(853,050,398	)		(4,057,752	)		163,872,020
Net assets:
Beginning of period		2,194,563,675			3,047,614,073			163,872,020			—
End of period	$	1,901,750,369		$	2,194,563,675		$	159,814,268		$	163,872,020
*   Period from May 24, 2021 (commencement of operations) through February 28, 2022.
**   Period from December 30, 2021 (commencement of operations) through February 28, 2022.
***  Period from June 7, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 99

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality Cyclicals Fund (formerly Cyclical Focus Fund)						Quality Fund(a)
	Year Ended February 28, 2022			Period from May 12, 2020 (commencement of operations) through February 28, 2021			Year Ended February 28,
							2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,195,501		$	1,985,274		$	97,006,929		$	91,756,243
Net realized gain (loss)		16,586,147			17,779,535			511,445,075			799,447,332
Change in net unrealized appreciation (depreciation)		(5,437,374	)		36,112,885			497,845,399			949,979,968
Net increase (decrease) in net assets from operations		14,344,274			55,877,694			1,106,297,403			1,841,183,543
Distributions to shareholders:
Class III		—			—			(208,459,284	)		(448,796,803	)
Class IV		—			—			(50,525,221	)		(123,440,372	)
Class VI		(29,159,128	)		(7,515,852	)		(211,183,341	)		(317,805,859	)
Class R6		—			—			(30,631,216	)		(13,858,740	)
Class I		(9,434	)*		—			(28,062,487	)		(21,984,988	)
Total distributions		(29,168,562	)		(7,515,852	)		(528,861,549	)		(925,886,762	)
Net share transactions (Note 9):
Class III		—			—			(857,439,954	)		(122,543,739	)
Class IV		—			—			111,734,620			(221,988,939	)
Class VI		14,291,719			93,626,955			839,898,152			70,585,435
Class R6		—			—			157,998,340			242,131,286
Class I		89,975	*		—			160,637,473			202,555,586
Increase (decrease) in net assets resulting from net share transactions		14,381,694			93,626,955			412,828,631			170,739,629
Total increase (decrease) in net assets		(442,594	)		141,988,797			990,264,485			1,086,036,410
Net assets:
Beginning of period		141,988,797			—			7,368,905,098			6,282,868,688
End of period	$	141,546,203		$	141,988,797		$	8,359,169,583		$	7,368,905,098
(a)  A plan of reorganization was completed on January 22, 2021.
*   Period from July 16, 2021 (commencement of operations) through February 28, 2022.

100 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Resources Fund(a)						Tax-Managed International Equities Fund
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	69,825,573		$	14,439,450		$	1,475,736		$	972,230
Net realized gain (loss)		135,596,926			61,197,799			6,723,726			2,843,717
Change in net unrealized appreciation (depreciation)		(17,199,595	)		277,875,438			(6,159,271	)		5,048,731
Net increase (decrease) in net assets from operations		188,222,904			353,512,687			2,040,191			8,864,678
Distributions to shareholders:
Class III		(29,937,354	)		(13,864,334	)		(5,390,526	)		(882,340	)
Class IV		(94,223,444	)		(17,483,890	)		—			—
Class VI		—	*		—			—			—
Class R6		(3,478,525	)		—	**		—			—
Class I		(55,077,833	)		—	**		—			—
Total distributions		(182,717,156	)		(31,348,224	)		(5,390,526	)		(882,340	)
Net share transactions (Note 9):
Class III		138,203,591			(255,982,659	)		(3,827,951	)		(5,250,369	)
Class IV		(167,410,013	)		52,674,305			—			—
Class VI		866,735,067	*		—			—			—
Class R6		103,708,055			2,547,139	**		—			—
Class I		257,993,206			364,577,456	**		—			—
Increase (decrease) in net assets resulting from net share transactions		1,199,229,906			163,816,241			(3,827,951	)		(5,250,369	)
Total increase (decrease) in net assets		1,204,735,654			485,980,704			(7,178,286	)		2,731,969
Net assets:
Beginning of period		998,816,258			512,835,554			38,959,560			36,227,591
End of period	$	2,203,551,912		$	998,816,258		$	31,781,274		$	38,959,560
(a)  A plan of reorganization was completed on January 22, 2021.
*   Period from February 8, 2022 (commencement of operations) through February 28, 2022.
**   Period from January 22, 2021 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 101

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Equity Fund						U.S. Small Cap Value Fund
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,844,954		$	5,802,364		$	3,936,416		$	6,865,015
Net realized gain (loss)		79,406,685			40,584,781			76,979,623			40,908,019
Change in net unrealized appreciation (depreciation)		(33,300,126	)		58,549,878			(31,906,411	)		102,509,169
Net increase (decrease) in net assets from operations		51,951,513			104,937,023			49,009,628			150,282,203
Distributions to shareholders:
Class III		(17,687,300	)		(8,735,355	)		—			—
Class VI		(66,498,945	)		(26,985,388	)		(83,549,717	)		(6,891,863	)
Total distributions		(84,186,245	)		(35,720,743	)		(83,549,717	)		(6,891,863	)
Net share transactions (Note 9):
Class III		(24,924,349	)		2,522,212			—			—
Class VI		171,434,661			(169,966,891	)		(84,147,317	)		(186,401,008	)
Increase (decrease) in net assets resulting from net share transactions		146,510,312			(167,444,679	)		(84,147,317	)		(186,401,008	)
Total increase (decrease) in net assets		114,275,580			(98,228,399	)		(118,687,406	)		(43,010,668	)
Net assets:
Beginning of period		351,202,423			449,430,822			372,497,640			415,508,308
End of period	$	465,478,003		$	351,202,423		$	253,810,234		$	372,497,640

102 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

	Class III Shares																				Class R6 Shares
	Year Ended February 28/29,																Period from April 5, 2017 (commencement of operations) through February 28, 2018				Year Ended February 28,								Period from January 16, 2020 (commencement of operations) through February 29, 2020
	2022				2021				2020				2019								2022				2021
Net asset value, beginning of period		$	34.39			$	22.36			$	22.04			$	23.81			$	20.00			$	34.33			$	22.36			$	24.55
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.28				0.35				0.41				0.36				0.23				0.28				0.31				0.01
Net realized and unrealized gain (loss)			0.72				13.43				0.87				(1.61	)			4.41				0.72				13.43				(2.20	)
Total from investment operations			1.00				13.78				1.28				(1.25	)			4.64				1.00				13.74				(2.19	)
Less distributions to shareholders:
From net investment income			(0.57	)			(0.30	)			(0.45	)			(0.26	)			(0.22	)			(0.57	)			(0.32	)			—
From net realized gains			(4.59	)			(1.45	)			(0.51	)			(0.26	)			(0.61	)			(4.59	)			(1.45	)			—
Total distributions			(5.16	)			(1.75	)			(0.96	)			(0.52	)			(0.83	)			(5.16	)			(1.77	)			—
Net asset value, end of period		$	30.23			$	34.39			$	22.36			$	22.04			$	23.81			$	30.17			$	34.33			$	22.36
Total Return(b)			2.91	%			63.84	%			5.66	%			(5.22	)%			23.28	%**			2.90	%			63.71	%			(8.92	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	306,996			$	178,223			$	121,062			$	113,000			$	26,694			$	115,014			$	74,961			$	1,129
Net expenses to average daily net assets(c)			0.77	%			0.77	%			0.77	%			0.75	%			0.78	%*			0.77	%			0.77	%			0.77	%*
Net investment income (loss) to average daily net assets(a)			0.84	%			1.39	%			1.84	%			1.61	%			1.09	%*			0.84	%			1.04	%			0.40	%*
Portfolio turnover rate(d)			63	%			84	%			62	%			29	%			44	%**			63	%			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(e)			0.13	%(e)			0.16	%(e)			0.26	%			0.73	%*			0.04	%(e)			0.11	%(e)			0.23	%(e)*

	Class I Shares
	Year Ended February 28,								Period from February 25, 2020 (commencement of operations) through February 29, 2020
	2022				2021
Net asset value, beginning of period		$	34.33			$	22.36			$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.24				0.21				0.01
Net realized and unrealized gain (loss)			0.73				13.53				(1.02	)
Total from investment operations			0.97				13.74				(1.01	)
Less distributions to shareholders:
From net investment income			(0.55	)			(0.32	)			—
From net realized gains			(4.59	)			(1.45	)			—
Total distributions			(5.14	)			(1.77	)			—
Net asset value, end of period		$	30.16			$	34.33			$	22.36
Total Return(b)			2.81	%			63.67	%			(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	308,143			$	98,697			$	962
Net expenses to average daily net assets(c)			0.87	%			0.87	%			0.87	%*
Net investment income (loss) to average daily net assets(a)			0.72	%			0.66	%			1.93	%*
Portfolio turnover rate(d)			63	%			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(e)			0.11	%(e)			0.43	%(e)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 140%, 145%, 173%, 121% and 174%, respectively, of the average value of its portfolio.

^(e)  Ratio includes 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. 103

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares																				Class V Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	27.68			$	21.14			$	21.61			$	28.86			$	22.64			$	27.66			$	21.12			$	21.60			$	28.85			$	22.62
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.15				0.17				0.40				0.24				0.25				0.18				0.20				0.43				0.28				0.29
Net realized and unrealized gain (loss)			(3.95	)			6.53				0.18				(4.58	)			6.33				(3.93	)			6.53				0.17				(4.60	)			6.33
Total from investment operations			(3.80	)			6.70				0.58				(4.34	)			6.58				(3.75	)			6.73				0.60				(4.32	)			6.62
Less distributions to shareholders:
From net investment income			(0.06	)			(0.16	)			(1.05	)			(0.17	)			(0.36	)			(0.08	)			(0.19	)			(1.08	)			(0.19	)			(0.39	)
From net realized gains			(1.86	)			—				—				(2.74	)			—				(1.86	)			—				—				(2.74	)			—
Total distributions			(1.92	)			(0.16	)			(1.05	)			(2.91	)			(0.36	)			(1.94	)			(0.19	)			(1.08	)			(2.93	)			(0.39	)
Net asset value, end of period		$	21.96			$	27.68			$	21.14			$	21.61			$	28.86			$	21.97			$	27.66			$	21.12			$	21.60			$	28.85
Total Return(b)			(14.13	)%			31.76	%			2.39	%			(15.48	)%			29.10	%			(13.98	)%			31.95	%			2.50	%			(15.37	)%			29.31	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	238,702			$	309,966			$	292,418			$	467,336			$	700,211			$	510,307			$	697,864			$	565,384			$	755,613			$	1,280,851
Net expenses to average daily net assets(c)			1.06	%			1.03	%			1.03	%			1.04	%			1.06	%			0.92	%			0.90	%			0.89	%			0.90	%			0.92	%
Net investment income (loss) to average daily net assets(a)			0.56	%			0.73	%			1.81	%			1.00	%			0.96	%			0.70	%			0.87	%			1.94	%			1.19	%			1.09	%
Portfolio turnover rate			190	%(d)			216	%(d)			186	%(d)			238	%(d)			201	%(d)			190	%(d)			216	%(d)			186	%(d)			238	%(d)			201	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)			0.02	%(e)			0.02	%(e)			0.01	%			0.02	%			0.02	%(e)			0.02	%(e)			0.02	%(e)			0.01	%			0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.05			$	0.05			$	0.03			$	—			$	—			$	0.04			$	0.05			$	0.03

	Class I Shares
	Year Ended February 28, 2022				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	27.67			$	28.88
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.15				0.02
Net realized and unrealized gain (loss)			(3.94	)			(1.23	)
Total from investment operations			(3.79	)			(1.21	)
Less distributions to shareholders:
From net investment income			(0.07	)			—
From net realized gains			(1.86	)			—
Total distributions			(1.93	)			—
Net asset value, end of period		$	21.95			$	27.67
Total Return(b)			(14.12	)%			(4.19	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,512			$	18,476
Net expenses to average daily net assets(c)			1.09	%			1.04	%*
Net investment income (loss) to average daily net assets(a)			0.57	%			0.82	%*
Portfolio turnover rate			190	%(d)			216	%(d)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%(e)			0.08	%(e)*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 215%, 236%, 235%, 254% and 254%, respectively, of the average value of its portfolio.

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

104 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

EMERGING MARKETS EX-CHINA FUND

	Class III Shares				Class VI Shares				Class I Shares
	Period from November 17, 2021 (commencement of operations) through February 28, 2022				Period from October 18, 2021 (commencement of operations) through February 28, 2022				Period from December 1, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	20.00			$	20.00			$	19.34
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.15				0.17				0.12
Net realized and unrealized gain (loss)			(3.37	)			(3.38	)			(2.69	)
Total from investment operations			(3.22	)			(3.21	)			(2.57	)
Less distributions to shareholders:
From net investment income			(0.13	)			(0.13	)			(0.13	)
Total distributions			(0.13	)			(0.13	)			(0.13	)
Net asset value, end of period		$	16.65			$	16.66			$	16.64
Total Return(b)			(16.20	)%**			(16.15	)%**			(13.38	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	14,810			$	282,287			$	0	(e)
Net expenses to average daily net assets(c)			0.80	%*			0.67	%*			0.93	%*
Net investment income (loss) to average daily net assets(a)			2.52	%*			2.36	%*			2.54	%*
Portfolio turnover rate(d)			43	%**			43	%**			43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.16	%*			0.20	%*			0.19	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the year ended February 28, 2022, including transactions in USTF, was 43% of the average value of its portfolio.

^(e)  Rounds to less than $1,000.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 105

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	36.70			$	30.75			$	32.23			$	36.42			$	29.98			$	36.81			$	30.84			$	32.32			$	36.51			$	30.05
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.21				0.86				1.13				1.01				0.75				1.27				0.76				1.21				1.01				0.72
Net realized and unrealized gain (loss)			(6.58	)			6.36				(1.02	)			(4.22	)			6.58				(6.64	)			6.51				(1.09	)			(4.21	)			6.64
Total from investment operations			(5.37	)			7.22				0.11				(3.21	)			7.33				(5.37	)			7.27				0.12				(3.20	)			7.36
Less distributions to shareholders:
From net investment income			(1.52	)			(1.27	)			(1.59	)			(0.98	)			(0.89	)			(1.53	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)
Total distributions			(1.52	)			(1.27	)			(1.59	)			(0.98	)			(0.89	)			(1.53	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)
Net asset value, end of period		$	29.81			$	36.70			$	30.75			$	32.23			$	36.42			$	29.91			$	36.81			$	30.84			$	32.32			$	36.51
Total Return(b)			(15.13	)%			23.89	%			(0.11	)%			(8.57	)%			24.66	%			(15.08	)%			23.99	%			(0.08	)%			(8.51	)%			24.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	262,449			$	291,833			$	397,798			$	451,720			$	479,640			$	267,177			$	501,907			$	333,779			$	277,824			$	390,827
Net expenses to average daily net assets(c)			0.92	%			0.93	%			0.93	%			0.93	%			0.96	%			0.87	%			0.88	%			0.88	%			0.88	%			0.91	%
Net investment income (loss) to average daily net assets(a)			3.34	%			2.73	%			3.44	%			3.09	%			2.25	%			3.47	%			2.36	%			3.68	%			3.08	%			2.14	%
Portfolio turnover rate			102	%			102	%			100	%(d)			98	%(d)			87	%(d)			102	%			102	%			100	%(d)			98	%(d)			87	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.07	%(e)			0.13	%(e)			0.13	%			0.13	%			0.01	%			0.04	%(e)			0.11	%(e)			0.11	%			0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.02			$	0.08			$	0.11			$	—			$	—			$	0.02			$	0.08			$	0.11

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 123%, 128% and 117%, respectively, of the average value of its portfolio.

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

106 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares																				Class R6 Shares
	Year Ended February 28/29,																				Year Ended February 28, 2022				Period from March 31, 2020 (commencement of operations) through February 28, 2021
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	36.41			$	30.52			$	32.00			$	36.16			$	29.77			$	36.67			$	26.05
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.33				0.87				1.23				1.06				0.78				1.15				0.72
Net realized and unrealized gain (loss)			(6.59	)			6.36				(1.07	)			(4.19	)			6.56				(6.51	)			11.20
Total from investment operations			(5.26	)			7.23				0.16				(3.13	)			7.34				(5.36	)			11.92
Less distributions to shareholders:
From net investment income			(1.59	)			(1.34	)			(1.64	)			(1.03	)			(0.95	)			(1.53	)			(1.30	)
Total distributions			(1.59	)			(1.34	)			(1.64	)			(1.03	)			(0.95	)			(1.53	)			(1.30	)
Net asset value, end of period		$	29.56			$	36.41			$	30.52			$	32.00			$	36.16			$	29.78			$	36.67
Total Return(b)			(14.98	)%			24.11	%			0.05	%			(8.39	)%			24.90	%			(15.13	)%			46.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,244,914			$	1,787,607			$	2,182,893			$	2,685,798			$	3,575,505			$	40,197			$	43,664
Net expenses to average daily net assets(c)			0.74	%			0.75	%			0.75	%			0.75	%			0.78	%			0.93	%			0.93	%*
Net investment income (loss) to average daily net assets(a)			3.69	%			2.75	%			3.76	%			3.25	%			2.36	%			3.18	%			2.39	%*
Portfolio turnover rate			102	%			102	%			100	%(d)			98	%(d)			87	%(d)			102	%			102	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%			0.08	%(e)			0.15	%(e)			0.14	%			0.14	%			0.03	%			0.05	%(e)*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.02			$	0.08			$	0.11			$	—			$	—

	Class I Shares
	Year Ended February 28,								Period from January 14, 2020 (commencement of operations) through February 29, 2020
	2022				2021
Net asset value, beginning of period		$	36.66			$	30.75			$	35.29
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.13				0.52				0.00	(f)
Net realized and unrealized gain (loss)			(6.52	)			6.68				(4.54	)
Total from investment operations			(5.39	)			7.20				(4.54	)
Less distributions to shareholders:
From net investment income			(1.52	)			(1.29	)			—
Total distributions			(1.52	)			(1.29	)			—
Net asset value, end of period		$	29.75			$	36.66			$	30.75
Total Return(b)			(15.20	)%			23.83	%			(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	119,995			$	79,824			$	16,158
Net expenses to average daily net assets(c)			0.98	%			0.98	%			0.94	%*
Net investment income (loss) to average daily net assets(a)			3.14	%			1.55	%			(0.05	)%*
Portfolio turnover rate			102	%			102	%			100	%(d)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.10	%			0.10	%(e)			0.19	%(e)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 123%, 128% and 117%, respectively, of the average value of its portfolio.

^(e)  Ratio includes indirect fees waived or borne by GMO.

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 107

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	23.04			$	19.83			$	20.08			$	23.63			$	20.18			$	23.32			$	20.09			$	20.33			$	23.92			$	20.41
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.91	(b)			0.75	(c)			0.72				0.57				0.41				0.96	(b)			0.75	(c)			0.70				0.57				0.61
Net realized and unrealized gain (loss)			0.26				3.46				(0.22	)			(3.45	)			3.78				0.25				3.51				(0.17	)			(3.47	)			3.64
Total from investment operations			1.17				4.21				0.50				(2.88	)			4.19				1.21				4.26				0.53				(2.90	)			4.25
Less distributions to shareholders:
From net investment income			(1.51	)			(1.00	)			(0.75	)			(0.67	)			(0.74	)			(1.53	)			(1.03	)			(0.77	)			(0.69	)			(0.74	)
Total distributions			(1.51	)			(1.00	)			(0.75	)			(0.67	)			(0.74	)			(1.53	)			(1.03	)			(0.77	)			(0.69	)			(0.74	)
Net asset value, end of period		$	22.70			$	23.04			$	19.83			$	20.08			$	23.63			$	23.00			$	23.32			$	20.09			$	20.33			$	23.92
Total Return(d)			5.00	%(e)			21.58	%(f)			2.19	%			(12.07	)%			20.85	%			5.08	%(e)			21.60	%(f)			2.29	%			(12.02	)%			20.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,615			$	5,546			$	10,802			$	18,202			$	23,736			$	358,775			$	423,332			$	452,165			$	507,195			$	485,782
Net expenses to average daily net assets(g)			0.74	%			0.73	%			0.73	%			0.73	%			0.72	%			0.67	%			0.66	%			0.66	%			0.66	%			0.65	%
Net investment income (loss) to average daily net assets(a)			3.69	%(b)			3.82	%(c)			3.52	%			2.64	%			1.77	%			3.84	%(b)			3.70	%(c)			3.36	%			2.64	%			2.68	%
Portfolio turnover rate			64	%			48	%			46	%(h)			41	%(h)			45	%(h)			64	%			48	%			46	%(h)			41	%(h)			45	%(h)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.03	%			0.03	%(i)			0.02	%			0.04	%			0.03	%			0.03	%			0.03	%(i)			0.02	%			0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes approximately $12,515, $861,919, $3,699,861 and $2,264 in Class II, III, IV and I, respectively, related to income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 3.48%, 3.63%, 3.67% and 1.63% in Class II, III, IV and I, respectively (Note 2).

^(c)  Net investment income per share includes approximately $69,807, $6,194,610 and $27,980,578 in Class II, III and IV, respectively, related to income received for EU reclaims, net of IRS closing agreement fees, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 2.62%, 2.30%, and 2.49% in Class II, III and IV, respectively (See Note 2).

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.21% to each class’s total return (Note 2).

^(f)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2).

^(g)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF as 65%, 54%, 61% and 50%, respectively, of the average value of its portfolio.

⁽ⁱ⁾  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

108 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class IV Shares																				Class I Shares
	Year Ended February 28/29,																				Period from May 24, 2021 (commencement of operations) through February 28, 2022
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	23.28			$	20.05			$	20.29			$	23.87			$	20.38			$	25.79
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.96	(b)			0.77	(c)			0.74				0.63				0.56				0.44	(b)
Net realized and unrealized gain (loss)			0.26				3.50				(0.20	)			(3.51	)			3.69				(2.05	)
Total from investment operations			1.22				4.27				0.54				(2.88	)			4.25				(1.61	)
Less distributions to shareholders:
From net investment income			(1.54	)			(1.04	)			(0.78	)			(0.70	)			(0.76	)			(1.10	)
Total distributions			(1.54	)			(1.04	)			(0.78	)			(0.70	)			(0.76	)			(1.10	)
Net asset value, end of period		$	22.96			$	23.28			$	20.05			$	20.29			$	23.87			$	23.08
Total Return(d)			5.16	%(e)			21.71	%(f)			2.34	%			(11.95	)%			20.98	%			(6.27	)%(g)**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,534,339			$	1,765,686			$	2,584,648			$	3,156,760			$	4,558,167			$	3,021
Net expenses to average daily net assets(h)			0.61	%			0.60	%			0.60	%			0.60	%			0.59	%			0.89	%*
Net investment income (loss) to average daily net assets(a)			3.88	%(b)			3.81	%(c)			3.53	%			2.89	%			2.45	%			2.35	%(b)*
Portfolio turnover rate			64	%			48	%			46	%(i)			41	%(i)			45	%(i)			64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.03	%			0.03	%(j)			0.02	%			0.04	%			0.03	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes approximately $12,515, $861,919, $3,699,861 and $2,264 in Class II, III, IV and I, respectively, related to income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 3.48%, 3.63%, 3.67% and 1.63% in Class II, III, IV and I, respectively (Note 2).

^(c) Net investment income per share includes approximately $69,807, $6,194,610 and $27,980,578 in Class II, III and IV, respectively, related to income received for EU reclaims, net of IRS closing agreement fees, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 2.62%, 2.30%, and 2.49% in Class II, III and IV, respectively (See Note 2).

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.21% to each class’s total return (Note 2).

^(f)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2).

^(g)  EU tax reclaim payments and related interest received during the period, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.16% to Class I’s total return (Note 2). Class I commenced operations on May 24, 2021.

^(h)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

⁽ⁱ⁾  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF as 65%, 54% and 61%, respectively, of the average value of its portfolio.

^(j)  Ratio includes 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. 109

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND

	Class III Shares				Class VI Shares								Class I Shares
	Period from December 30, 2021 (commencement of operations) through February 28, 2022				Year Ended February 28, 2022				Period from September 14, 2020 (commencement of operations) through February 28, 2021				Period from June 7, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	19.81			$	23.47			$	20.00			$	24.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.03	)			0.43				0.17				0.12
Net realized and unrealized gain (loss)			(0.07	)			(0.71	)			3.59				(1.91	)(c)
Total from investment operations			(0.10	)			(0.28	)			3.76				(1.79	)
Less distributions to shareholders:
From net investment income			—				(1.50	)			(0.28	)			(1.49	)
From net realized gains			—				(1.98	)			(0.01	)			(1.98	)
Total distributions			—				(3.48	)			(0.29	)			(3.47	)
Net asset value, end of period		$	19.71			$	19.71			$	23.47			$	19.69
Total Return(b)			(0.50	)%**			(1.45	)%			18.82	%**			(7.43	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	23,673			$	133,035			$	163,872			$	3,107
Net expenses to average daily net assets(d)			0.66	%*			0.57	%			0.56	%*			0.77	%*
Net investment income (loss) to average daily net assets(a)			(0.55	)%*			1.90	%			1.68	%*			0.79	%*
Portfolio turnover rate			47	%**			47	%			28	%**			47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.15	%*			0.08	%			0.23	%*			0.12	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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 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.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

110 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND (formerly Cyclical Focus Fund)

	Class VI Shares								Class I Shares
	Year Ended February 28, 2022				Period from May 12, 2020 (commencement of operations) through February 28, 2021				Period from July 16, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	29.06			$	20.00			$	28.45
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.64				0.38				0.34
Net realized and unrealized gain (loss)			2.24				10.23				(0.05	)(b)
Total from investment operations			2.88				10.61				0.29
Less distributions to shareholders:
From net investment income			(0.84	)			(0.60	)			(0.47	)
From net realized gains			(5.33	)			(0.95	)			(2.51	)
Total distributions			(6.17	)			(1.55	)			(2.98	)
Net asset value, end of period		$	25.77			$	29.06			$	25.76
			��
Total Return(c)			10.22	%			53.56	%**			1.42	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	141,465			$	141,989			$	81
Net expenses to average daily net assets(d)			0.40	%			0.40	%*			0.59	%*
Net investment income (loss) to average daily net assets(a)			2.20	%			1.92	%*			1.92	%*
Portfolio turnover rate(e)			22	%			65	%**			22	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%			0.20	%*			0.08	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022 and February 28, 2021, including transactions in USTF was 27% and 70%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 111

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares															Class IV Shares
	Year Ended February 28/29,															Year Ended February 28/29,
	2022			2021			2020			2019			2018			2022			2021			2020			2019			2018
Net asset value, beginning of period	$	25.98		$	22.77		$	22.28		$	25.13		$	22.05		$	26.04		$	22.82		$	22.32		$	25.17		$	22.08
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.33	(b)		0.32			0.35			0.35			0.36			0.32	(b)		0.34			0.37			0.36			0.37
Net realized and unrealized gain (loss)		3.56			6.37			2.15			1.21			4.70			3.60			6.37			2.14			1.22			4.70
Total from investment operations		3.89			6.69			2.50			1.56			5.06			3.92			6.71			2.51			1.58			5.07
Less distributions to shareholders:
From net investment income		(0.32	)		(0.35	)		(0.36	)		(0.39	)		(0.41	)		(0.33	)		(0.36	)		(0.36	)		(0.41	)		(0.41	)
From net realized gains		(1.50	)		(3.13	)		(1.65	)		(4.02	)		(1.57	)		(1.50	)		(3.13	)		(1.65	)		(4.02	)		(1.57	)
Total distributions		(1.82	)		(3.48	)		(2.01	)		(4.41	)		(1.98	)		(1.83	)		(3.49	)		(2.01	)		(4.43	)		(1.98	)
Net asset value, end of period	$	28.05		$	25.98		$	22.77		$	22.28		$	25.13		$	28.13		$	26.04		$	22.82		$	22.32		$	25.17
Total Return(c)		14.71	%(d)		30.83	%		10.64	%		6.86	%		23.32	%		14.79	%(d)		30.86	%		10.70	%		6.91	%		23.37	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,996,330		$	3,519,473		$	3,195,240		$	3,065,461		$	3,524,103		$	912,163		$	750,632		$	852,866		$	1,139,024		$	957,900
Net expenses to average daily net assets(e)		0.48	%		0.48	%		0.48	%		0.48	%		0.48	%		0.44	%		0.44	%		0.44	%		0.44	%		0.44	%
Net investment income (loss) to average daily net assets(a)		1.12	%(b)		1.33	%		1.44	%		1.42	%		1.48	%		1.08	%(b)		1.37	%		1.52	%		1.46	%		1.53	%
Portfolio turnover rate(f)		18	%		28	%		17	%		18	%		10	%		18	%		28	%		17	%		18	%		10	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.02	%(g)		0.02	%(g)		0.02	%(g)		0.02	%		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)		0.02	%		0.02	%

	Class VI Shares																				Class R6 Shares
	Year Ended February 28/29,																				Year Ended February 28,								Period from November 12, 2019 (commencement of operations) through February 29, 2020
	2022				2021				2020				2019				2018				2022				2021
Net asset value, beginning of period		$	25.98			$	22.77			$	22.28			$	25.13			$	22.05			$	25.96			$	22.76			$	25.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.34	(b)			0.35				0.37				0.38				0.38				0.32	(b)			0.30				0.10
Net realized and unrealized gain (loss)			3.60				6.37				2.15				1.21				4.70				3.57				6.39				(0.83	)
Total from investment operations			3.94				6.72				2.52				1.59				5.08				3.89				6.69				(0.73	)
Less distributions to shareholders:
From net investment income			(0.36	)			(0.38	)			(0.38	)			(0.42	)			(0.43	)			(0.33	)			(0.36	)			(0.32	)
From net realized gains			(1.50	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)			(1.50	)			(3.13	)			(1.40	)
Total distributions			(1.86	)			(3.51	)			(2.03	)			(4.44	)			(2.00	)			(1.83	)			(3.49	)			(1.72	)
Net asset value, end of period		$	28.06			$	25.98			$	22.77			$	22.28			$	25.13			$	28.02			$	25.96			$	22.76
Total Return(c)			14.86	%(d)			30.95	%			10.73	%			6.96	%			23.43	%			14.71	%(d)			30.81	%			(3.39	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,461,580			$	2,465,066			$	2,077,277			$	2,227,287			$	3,561,976			$	507,232			$	330,287			$	77,375
Net expenses to average daily net assets(e)			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%			0.48	%			0.48	%			0.49	%*
Net investment income (loss) to average daily net assets(a)			1.16	%(b)			1.41	%			1.55	%			1.54	%			1.57	%			1.07	%(b)			1.22	%			1.31	%*
Portfolio turnover rate(f)			18	%			28	%			17	%			18	%			10	%			18	%			28	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(g)			0.02	%(g)			0.02	%(g)			0.02	%			0.02	%			0.02	%(g)			0.02	%(g)			0.02	%(g)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes approximately $6,233,641, $1,577,219, $5,862,655, $822,832 and $779,657 in Class III, IV, VI, R6 and I, respectively, related to income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 0.94%, 0.91%, 0.99%, 0.89% and 0.79% in Class III, IV, VI, R6 and I, respectively (Note 2).

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.20% to each class’s total return (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 18%, 28%, 17%, 20% and 23%, respectively, of the average value of its portfolio.

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

112 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class I Shares
	Year Ended February 28,								Period from September 26, 2019 (commencement of operations) through February 29, 2020
	2022				2021
Net asset value, beginning of period		$	25.93			$	22.75			$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.28	(b)			0.28				0.12
Net realized and unrealized gain (loss)			3.58				6.37				0.39
Total from investment operations			3.86				6.65				0.51
Less distributions to shareholders:
From net investment income			(0.30	)			(0.34	)			(0.31	)
From net realized gains			(1.50	)			(3.13	)			(1.40	)
Total distributions			(1.80	)			(3.47	)			(1.71	)
Net asset value, end of period		$	27.99			$	25.93			$	22.75
Total Return(c)			14.62	%(d)			30.66	%			1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	481,865			$	303,447			$	80,110
Net expenses to average daily net assets(e)			0.58	%			0.58	%			0.57	%*
Net investment income (loss) to average daily net assets(a)			0.96	%(b)			1.12	%			1.13	%*
Portfolio turnover rate(f)			18	%			28	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(g)			0.02	%(g)			0.02	%(g)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes approximately $6,233,641, $1,577,219, $5,862,655, $822,832 and $779,657 in Class III, IV, VI, R6 and I, respectively, related to income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 0.94%, 0.91%, 0.99%, 0.89% and 0.79% in Class III, IV, VI, R6 and I, respectively (Note 2).

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.20% to each class’s total return (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 18%, 28%, 17%, 20% and 23%, respectively, of the average value of its portfolio.

^(g)  Ratio includes 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. 113

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	27.81			$	18.11			$	20.31			$	20.88			$	17.31			$	27.73			$	18.06			$	20.24			$	20.81			$	17.25
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.54				0.48				0.65				0.54				0.33				1.79				0.47				0.68				0.62				0.38
Net realized and unrealized gain (loss)			2.00				10.13				(2.22	)			(0.37	)			4.02				1.76				10.12				(2.22	)			(0.46	)			3.97
Total from investment operations			3.54				10.61				(1.57	)			0.17				4.35				3.55				10.59				(1.54	)			0.16				4.35
Less distributions to shareholders:
From net investment income			(1.35	)			(0.47	)			(0.63	)			(0.74	)			(0.78	)			(1.37	)			(0.48	)			(0.64	)			(0.73	)			(0.79	)
From net realized gains			(1.61	)			(0.44	)			—				—				—				(1.61	)			(0.44	)			—				—				—
Total distributions			(2.96	)			(0.91	)			(0.63	)			(0.74	)			(0.78	)			(2.98	)			(0.92	)			(0.64	)			(0.73	)			(0.79	)
Net asset value, end of period		$	28.39			$	27.81			$	18.11			$	20.31			$	20.88			$	28.30			$	27.73			$	18.06			$	20.24			$	20.81
Total Return(b)			13.29	%			59.36	%			(8.14	)%			0.99	%			26.00	%			13.34	%			59.42	%			(8.03	)%			0.98	%			26.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	239,225			$	96,091			$	201,320			$	169,523			$	54,037			$	383,353			$	531,006			$	311,515			$	336,954			$	296,196
Net expenses to average daily net assets(c)			0.71	%			0.72	%			0.73	%			0.74	%(d)			0.76	%(d)			0.65	%			0.67	%			0.68	%			0.70	%(d)			0.71	%(d)
Net investment income (loss) to average daily net assets(a)			5.32	%			2.44	%			3.24	%			2.68	%			1.77	%			6.21	%			2.33	%			3.40	%			3.06	%			2.04	%
Portfolio turnover rate(e)			60	%			86	%			37	%			35	%			48	%			60	%			86	%			37	%			35	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				0.00	%(f)(g)			0.00	%(f)(g)			—				0.06	%			—				0.00	%(f)(g)			0.00	%(f)(g)			—				0.06	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.01			$	0.02			$	0.05			$	—			$	—			$	0.01			$	0.02			$	0.04

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 60%, 89%, 101%, 69% and 85%, respectively, of the average value of its portfolio.

^(f)  Ratio includes indirect fees waived or borne by GMO.

^(g)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

114 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class VI Shares				Class R6 Shares								Class I Shares
	Period from February 8, 2022 (commencement of operations) through February 28, 2022				Year Ended February 28, 2022				Period from January 22, 2021 (commencement of operations) through February 28, 2021				Year Ended February 28, 2022				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	29.11			$	27.82			$	27.44			$	27.81			$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.57	)			(0.06	)			0.03				1.25				0.02
Net realized and unrealized gain (loss)			(0.24	)(h)			3.59				0.35				2.27				0.35
Total from investment operations			(0.81	)			3.53				0.38				3.52				0.37
Less distributions to shareholders:
From net investment income			—				(1.37	)			—				(1.33	)			—
From net realized gains			—				(1.61	)			—				(1.61	)			—
Total distributions			—				(2.98	)			—				(2.94	)			—
Net asset value, end of period		$	28.30			$	28.37			$	27.82			$	28.39			$	27.81
Total Return(b)			(2.78	)%**			13.25	%			1.38	%**			13.19	%			1.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	842,698			$	105,086			$	2,617			$	633,189			$	369,102
Net expenses to average daily net assets(c)			0.74	%*			0.74	%			0.71	%*			0.81	%			0.81	%*
Net investment income (loss) to average daily net assets(a)			(35.65	)%*			(0.20	)%			0.98	%*			4.32	%			0.74	%*
Portfolio turnover rate(e)			60	%**			60	%			86	%**			60	%			86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—				—				—				—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	—			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 60%, 89%, 101%, 69% and 85%, respectively, of the average value of its portfolio.

^(f)  Ratio includes indirect fees waived or borne by GMO.

^(g)  Rounds to less than 0.01%.

^(h)  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.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 115

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Year Ended February 28/29,
	2022			2021			2020			2019			2018
Net asset value, beginning of period	$	15.98		$	13.57		$	13.82		$	17.00		$	14.28
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.63	(b)		0.34			0.46			0.37			0.38
Net realized and unrealized gain (loss)		0.14			2.42			(0.10	)		(2.63	)		2.84
Total from investment operations		0.77			2.76			0.36			(2.26	)		3.22
Less distributions to shareholders:
From net investment income		(0.76	)		(0.35	)		(0.61	)		(0.39	)		(0.50	)
From net realized gains		(1.69	)		—			—			(0.53	)		—
Total distributions		(2.45	)		(0.35	)		(0.61	)		(0.92	)		(0.50	)
Net asset value, end of period	$	14.30		$	15.98		$	13.57		$	13.82		$	17.00
Total Return(c)		4.77	%(d)		20.53	%		2.31	%		(13.50	)%		22.70	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	31,781		$	38,960		$	36,228		$	48,739		$	68,782
Net expenses to average daily net assets(e)		0.84	%(f)		0.73	%		0.80	%		0.79	%		0.70	%
Net investment income (loss) to average daily net assets(a)		3.78	%(b)		2.47	%		3.28	%		2.47	%		2.35	%
Portfolio turnover rate(g)		86	%		75	%		52	%		63	%		43	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.60	%(h)		0.54	%(h)		0.54	%(h)		0.54	%		0.34	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes approximately $61,519 in Class III related to income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 3.62% (Note 2).

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.14% to each class’s total return (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  Net expenses include non-recurring contingent legal fees attributed to EU tax reclaims. The net expense ratio excluding these legal fees is 0.73% (Note 2).

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019, and February 28, 2018, including transactions in USTF, was 107%, 77%, 65%, 117%, and 80%, respectively, of the average value of its portfolio.

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

116 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares															Class VI Shares
	Year Ended February 28/29,															Year Ended February 28/29,
	2022			2021			2020			2019			2018			2022			2021			2020			2019			2018
Net asset value, beginning of period	$	14.39		$	11.89		$	13.07		$	15.41		$	15.14		$	14.25		$	11.78		$	12.97		$	15.31		$	15.06
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.21			0.18			0.22			0.23			0.27			0.22			0.19			0.23			0.24			0.29
Net realized and unrealized gain (loss)		2.13			3.56			0.21			(0.04	)(b)		1.73			2.11			3.53			0.20			(0.04	)(b)		1.71
Total from investment operations		2.34			3.74			0.43			0.19			2.00			2.33			3.72			0.43			0.20			2.00
Less distributions to shareholders:
From net investment income		(0.19	)		(0.21	)		(0.32	)		(0.26	)		(0.28	)		(0.21	)		(0.22	)		(0.33	)		(0.27	)		(0.30	)
From net realized gains		(2.85	)		(1.03	)		(1.29	)		(2.27	)		(1.45	)		(2.85	)		(1.03	)		(1.29	)		(2.27	)		(1.45	)
Total distributions		(3.04	)		(1.24	)		(1.61	)		(2.53	)		(1.73	)		(3.06	)		(1.25	)		(1.62	)		(2.54	)		(1.75	)
Net asset value, end of period	$	13.69		$	14.39		$	11.89		$	13.07		$	15.41		$	13.52		$	14.25		$	11.78		$	12.97		$	15.31
Total Return(c)		15.80	%		33.74	%		2.51	%		1.94	%		13.76	%		15.89	%		33.92	%		2.53	%		2.05	%		13.84	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	80,646		$	105,656		$	83,738		$	131,198		$	77,297		$	384,832		$	245,547		$	365,693		$	758,714		$	1,200,008
Net expenses to average daily net assets(d)		0.46	%		0.47	%		0.46	%		0.46	%		0.46	%		0.37	%		0.37	%		0.37	%		0.37	%		0.37	%
Net investment income (loss) to average daily net assets(a)		1.34	%		1.47	%		1.64	%		1.62	%		1.78	%		1.42	%		1.56	%		1.75	%		1.68	%		1.88	%
Portfolio turnover rate(e)		94	%		66	%		72	%		89	%		79	%		94	%		66	%		72	%		89	%		79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%(f)		0.04	%(f)		0.03	%(f)		0.03	%		0.02	%		0.04	%(f)		0.04	%(f)		0.03	%(f)		0.03	%		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 115%, 81%, 88%, 105% and 100%, respectively, of the average value of its portfolio.

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 117

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Year Ended February 28,						Period from July 2, 2019 (commencement of operations) through February 29, 2020
	2022			2021
Net asset value, beginning of period	$	24.99		$	18.06		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.33			0.30			0.23
Net realized and unrealized gain (loss)		2.89			6.96			(1.99	)
Total from investment operations		3.22			7.26			(1.76	)
Less distributions to shareholders:
From net investment income		(0.39	)		(0.33	)		(0.18	)
From net realized gains		(8.08	)		—			—
Total distributions		(8.47	)		(0.33	)		(0.18	)
Net asset value, end of period	$	19.74		$	24.99		$	18.06
Total Return(b)		13.21	%		40.64	%		(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	253,810		$	372,498		$	415,508
Net expenses to average daily net assets(c)		0.42	%		0.41	%		0.44	%*
Net investment income (loss) to average daily net assets(a)		1.32	%		1.67	%		1.69	%*
Portfolio turnover rate(d)		62	%		86	%		56	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.00	%(e)(f)		0.00	%(e)(f)		0.00	%(e)(f)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021 and February 29, 2020, including transactions in USTF, was 71%, 98% and 69%, respectively, of the average value of its portfolio.

^(e)  Ratio includes indirect fees waived or borne by GMO.

^(f)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

118 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2022

1. Organization

Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets ex-China Fund (commenced operations on October 18, 2021), Emerging Markets Fund, International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund (formerly Cyclical Focus Fund), Quality Fund, Resources Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value 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 (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Climate Change Fund	Not Applicable	High total return
Emerging Domestic Opportunities Fund	Not Applicable	Total return
Emerging Markets ex-China Fund	MSCI Emerging Markets ex-China Index	Total return in excess of benchmark
Emerging Markets Fund	MSCI Emerging Markets Index	Total return in excess of benchmark
International Equity Fund	Not Applicable	High total return
Japan Value Creation Fund	Not Applicable	Total return
Quality Cyclicals Fund (formerly Cyclical Focus Fund)	Not Applicable	Total return
Quality Fund	Not Applicable	Total return
Resources Fund	Not Applicable	Total return
Tax-Managed International Equities Fund	Not Applicable	High after-tax total return
U.S. Equity Fund	Not Applicable	High total return
U.S. Small Cap Value Fund	S&P SmallCap 600 Value Index	Total return in excess of its benchmark

Tax-Managed International Equities 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 that 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

119

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. 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).

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates 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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“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 quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2022, the Funds did not reduce the value of any of their 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.

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 methodologies 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.

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; 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).

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include 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 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; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2022:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	7,954,063	$	—	$	—	$	7,954,063
Australia		—		7,903,818		—		7,903,818
Belgium		—		493,429		—		493,429
Brazil		—		10,415,389		—		10,415,389
Canada		80,941,559		—		—		80,941,559
China		2,962,432		29,750,330		—		32,712,762
Denmark		—		5,003,655		—		5,003,655
Finland		—		6,281,550		—		6,281,550
France		—		31,313,280		—		31,313,280
Germany		—		7,594,506		—		7,594,506
India		—		449,798		—		449,798
Japan		—		33,340,601		—		33,340,601
Mexico		18,395,969		—		—		18,395,969
Netherlands		—		5,532,902		—		5,532,902
Norway		—		12,002,370		—		12,002,370
Pakistan		—		765,469		—		765,469
Philippines		—		737,408		—		737,408
Russia		—		12,896,283		—		12,896,283
South Korea		—		22,571,215		—		22,571,215
Spain		—		13,605,295		—		13,605,295
Switzerland		—		3,834,836		—		3,834,836
Thailand		—		1,275,718		—		1,275,718
Ukraine		—		1,616,678		—		1,616,678
United Kingdom		—		12,664,190		—		12,664,190
United States		384,293,617		—		—		384,293,617
TOTAL COMMON STOCKS		494,547,640		220,048,720		—		714,596,360

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Chile	$	12,623,041	$	—	$	—	$	12,623,041
TOTAL PREFERRED STOCKS		12,623,041		—		—		12,623,041
Mutual Funds
United States		58,977,551		—		—		58,977,551
TOTAL MUTUAL FUNDS		58,977,551		—		—		58,977,551
Short-Term Investments		1,374,129		—		—		1,374,129
Total Investments		567,522,361		220,048,720		—		787,571,081
Total	$	567,522,361	$	220,048,720	$	—	$	787,571,081
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	20,804,668	$	—	$	20,804,668
China		2,225,930		184,207,995		—		186,433,925
Greece		—		9,432,774		—		9,432,774
Hong Kong		—		5,482,670		—		5,482,670
India		2,308,176		89,853,766		5,986,759		98,148,701
Indonesia		—		25,651,965		—		25,651,965
Malaysia		—		2,556,974		—		2,556,974
Mexico		24,408,154		—		—		24,408,154
Netherlands		—		2,967,121		—		2,967,121
Peru		468,875		—		—		468,875
Philippines		—		3,027,121		—		3,027,121
Poland		—		1,380,288		—		1,380,288
Qatar		—		10,877,575		—		10,877,575
Russia		—		2,509,548		911,572		3,421,120
Singapore		1,174,780		—		—		1,174,780
South Africa		—		20,655,224		—		20,655,224
South Korea		—		64,099,478		—		64,099,478
Switzerland		—		7,549,334		—		7,549,334
Taiwan		—		131,021,139		—		131,021,139
Thailand		—		12,431,961		—		12,431,961
United Arab Emirates		—		6,641,146		—		6,641,146
United States		18,948,384		—		—		18,948,384
Vietnam		—		10,507,613		—		10,507,613
TOTAL COMMON STOCKS		49,534,299		611,658,360		6,898,331		668,090,990
Preferred Stocks
Brazil		—		1,712,499		—		1,712,499
TOTAL PREFERRED STOCKS		—		1,712,499		—		1,712,499
Investment Funds
Brazil		7,600,879		—		—		7,600,879
Russia		3,822,455		—		—		3,822,455
Saudi Arabia		31,229,277		—		—		31,229,277
TOTAL INVESTMENT FUNDS		42,652,611		—		—		42,652,611
Mutual Funds
United States		2,331,522		—		—		2,331,522
TOTAL MUTUAL FUNDS		2,331,522		—		—		2,331,522

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	35,593,444	$	—	$	—	$	35,593,444
Total Investments		130,111,876		613,370,859		6,898,331		750,381,066
Total	$	130,111,876	$	613,370,859	$	6,898,331	$	750,381,066
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	3,990,142	$	2,038,402	$	—	$	6,028,544
Chile		484,670		1,250,938		—		1,735,608
Czech Republic		—		684,185		—		684,185
Egypt		—		1,362,368		—		1,362,368
Hungary		—		804,412		—		804,412
India		12,093,851		991,427		—		13,085,278
Indonesia		—		7,457,845		—		7,457,845
Malaysia		—		71,364		—		71,364
Mexico		34,720,163		—		—		34,720,163
Peru		952,875		—		—		952,875
Philippines		—		1,168,524		—		1,168,524
Poland		—		1,084,250		—		1,084,250
Russia		—		18,344,198		949,755		19,293,953
South Africa		—		1,256,496		—		1,256,496
South Korea		433,036		70,183,601		—		70,616,637
Taiwan		25,714,503		82,547,073		—		108,261,576
Thailand		—		2,665,653		—		2,665,653
Turkey		—		3,103,029		—		3,103,029
United Kingdom		—		1,506,959		—		1,506,959
TOTAL COMMON STOCKS		78,389,240		196,520,724		949,755		275,859,719
Preferred Stocks
Brazil		1,094,884		12,034,625		—		13,129,509
Chile		297,810		21,726		—		319,536
Russia		—		1,500,088		—		1,500,088
Taiwan		—		74,678		—		74,678
TOTAL PREFERRED STOCKS		1,392,694		13,631,117		—		15,023,811
Investment Funds
United States		1,495,420		—		—		1,495,420
TOTAL INVESTMENT FUNDS		1,495,420		—		—		1,495,420
Mutual Funds
United States		4,374		—		—		4,374
TOTAL MUTUAL FUNDS		4,374		—		—		4,374
Short-Term Investments		3,200,372		—		—		3,200,372
Total Investments		84,482,100		210,151,841		949,755		295,583,696
Total	$	84,482,100	$	210,151,841	$	949,755	$	295,583,696
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,033,460	$	—	$	—	$	2,033,460
Brazil		6,664,856		23,277,082		—		29,941,938

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Chile	$	1,329,876		$	2,867,738	$	—	$	4,197,614
China		37,332,645			522,959,972		358,312		560,650,929
Czech Republic		—			4,350,614		—		4,350,614
Egypt		—			418,544		—		418,544
Hungary		—			386,302		—		386,302
India		13,664,664			120,367,990		—		134,032,654
Indonesia		—			46,875,463		—		46,875,463
Kuwait		—			11,971,782		—		11,971,782
Malaysia		—			428,721		—		428,721
Mexico		108,521,487			—		—		108,521,487
Philippines		—			8,348,609		—		8,348,609
Poland		—			2,358,811		—		2,358,811
Qatar		—			9,365,338		—		9,365,338
Russia		—			94,091,428		2,870,861		96,962,289
South Africa		—			9,463,121		—		9,463,121
South Korea		—			236,205,367		—		236,205,367
Sri Lanka		—			712,685		—		712,685
Taiwan		4,987,736			449,888,320		—		454,876,056
Thailand		—			9,312,792		—		9,312,792
Turkey		—			15,566,726		—		15,566,726
United Arab Emirates		—			196,771		—		196,771
United Kingdom		—			12,137,300		—		12,137,300
Vietnam		—			209,455		—		209,455
TOTAL COMMON STOCKS		174,534,724			1,581,760,931		3,229,173		1,759,524,828
Preferred Stocks
Brazil		6,946,975			43,360,681		—		50,307,656
Chile		390,462			—		—		390,462
Colombia		597,063			—		—		597,063
Russia		—			23,599,896		—		23,599,896
South Korea		—			29,399,925		—		29,399,925
Taiwan		—			934,594		—		934,594
TOTAL PREFERRED STOCKS		7,934,500			97,295,096		—		105,229,596
Investment Funds
United States		29,179,288			—		—		29,179,288
TOTAL INVESTMENT FUNDS		29,179,288			—		—		29,179,288
Debt Obligations
United States		8,159,722			—		—		8,159,722
TOTAL DEBT OBLIGATIONS		8,159,722			—		—		8,159,722
Short-Term Investments		30,464,180			—		—		30,464,180
Total Investments		250,272,414			1,679,056,027		3,229,173		1,932,557,614
Derivatives^
Futures Contracts
Equity Risk	$	—		$	840,989	$	—	$	840,989
Total	$	250,272,414		$	1,679,897,016	$	3,229,173	$	1,933,398,603
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(6,332,907	)	$	—	$	—	$	(6,332,907	)
Total	$	(6,332,907	)	$	—	$	—	$	(6,332,907	)

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3		Total
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	73,187,587	$	—	$	73,187,587
Belgium		—		31,748,705		—		31,748,705
Denmark		—		952,438		—		952,438
Finland		—		9,495,091		—		9,495,091
France		3,698,768		172,372,767		—		176,071,535
Germany		—		117,486,123		—		117,486,123
Hong Kong		—		43,961,819		—		43,961,819
Ireland		7,786,260		13,059,232		—		20,845,492
Italy		—		63,749,412		—		63,749,412
Japan		739,619		511,353,170		—		512,092,789
Malta		—		—		18		18
Netherlands		—		137,138,033		—		137,138,033
Norway		—		81,376,881		—		81,376,881
Portugal		—		14,129,083		—		14,129,083
Singapore		—		84,265,380		—		84,265,380
Spain		—		85,111,104		—		85,111,104
Sweden		—		6,978,719		—		6,978,719
Switzerland		1,591,772		118,559,553		—		120,151,325
United Kingdom		18,167,905		296,890,257		—		315,058,162
TOTAL COMMON STOCKS		31,984,324		1,861,815,354		18		1,893,799,696
Preferred Stocks
Germany		—		6,266,606		—		6,266,606
TOTAL PREFERRED STOCKS		—		6,266,606		—		6,266,606
Short-Term Investments		78,152,745		—		—		78,152,745
Total Investments		110,137,069		1,868,081,960		18		1,978,219,047
Total	$	110,137,069	$	1,868,081,960	$	18	$	1,978,219,047
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	153,270,272	$	—	$	153,270,272
Short-Term Investments		7,731,157		—		—		7,731,157
Total Investments		7,731,157		153,270,272		—		161,001,429
Total	$	7,731,157	$	153,270,272	$	—	$	161,001,429
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	1,086,336	$	—	$	1,086,336
Canada		8,569,886		—		—		8,569,886
China		—		3,788,933		—		3,788,933
Finland		—		2,206,901		—		2,206,901
France		—		11,482,954		—		11,482,954
Germany		—		2,607,692		—		2,607,692
Hong Kong		—		1,543,303		—		1,543,303
Ireland		439,023		3,487,812		—		3,926,835
Mexico		9,601,908		—		—		9,601,908
Russia		—		910,027		—		910,027

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3		Total
Quality Cyclicals Fund (formerly Cyclical Focus Fund) (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—	$	6,018,719	$	—	$	6,018,719
United Kingdom		—		15,211,606		—		15,211,606
United States		70,424,465		—		—		70,424,465
TOTAL COMMON STOCKS		89,035,282		48,344,283		—		137,379,565
Preferred Stocks
Brazil		—		3,559,990		—		3,559,990
TOTAL PREFERRED STOCKS		—		3,559,990		—		3,559,990
Mutual Funds
United States		434,957		—		—		434,957
TOTAL MUTUAL FUNDS		434,957		—		—		434,957
Short-Term Investments		139,819		—		—		139,819
Total Investments		89,610,058		51,904,273		—		141,514,331
Total	$	89,610,058	$	51,904,273	$	—	$	141,514,331
Quality Fund
Asset Valuation Inputs
Common Stocks
China	$	—	$	136,590,092	$	—	$	136,590,092
France		—		314,428,126		—		314,428,126
Germany		—		247,994,772		—		247,994,772
Spain		—		47,286,416		—		47,286,416
Switzerland		—		307,083,511		—		307,083,511
Taiwan		—		292,066,955		—		292,066,955
United Kingdom		—		386,713,403		—		386,713,403
United States		6,537,153,488		—		—		6,537,153,488
TOTAL COMMON STOCKS		6,537,153,488		1,732,163,275		—		8,269,316,763
Mutual Funds
United States		5,788,348		—		—		5,788,348
TOTAL MUTUAL FUNDS		5,788,348		—		—		5,788,348
Short-Term Investments		71,448,712		—		—		71,448,712
Total Investments		6,614,390,548		1,732,163,275		—		8,346,553,823
Total	$	6,614,390,548	$	1,732,163,275	$	—	$	8,346,553,823
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	23,629,012	$	—	$	—	$	23,629,012
Australia		—		140,008,795		—		140,008,795
Austria		—		24,705,443		—		24,705,443
Brazil		—		63,483,383		—		63,483,383
Canada		195,923,682		—		—		195,923,682
China		—		33,966,068		—		33,966,068
Denmark		—		13,632,548		—		13,632,548
Finland		—		11,151,054		—		11,151,054
France		—		23,286,484		—		23,286,484
Hungary		—		17,668,865		—		17,668,865

126

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
India	$	—	$	32,129,806	$	—		$	32,129,806
Israel		—		18,062,075		—			18,062,075
Japan		—		51,606,845		—			51,606,845
Mexico		65,215,432		—		—			65,215,432
Norway		—		54,665,328		—			54,665,328
Pakistan		—		3,936,694		—			3,936,694
Poland		—		13,488,642		—			13,488,642
Portugal		—		54,155,742		—			54,155,742
Russia		—		89,879,675		—			89,879,675
Singapore		—		—		0	§		0	§
South Africa		—		45,199,452		—			45,199,452
South Korea		—		7,083,041		—			7,083,041
Spain		—		10,000,229		—			10,000,229
Switzerland		—		4,447,949		—			4,447,949
Turkey		—		4,648,556		—			4,648,556
Ukraine		—		3,684,223		—			3,684,223
United Kingdom		—		220,847,209		—			220,847,209
United States		686,209,539		—		4,539,029			690,748,568
TOTAL COMMON STOCKS		970,977,665		941,738,106		4,539,029			1,917,254,800
Preferred Stocks
Brazil		—		171,920,614		—			171,920,614
Chile		40,548,155		—		—			40,548,155
Russia		—		25,157,849		—			25,157,849
TOTAL PREFERRED STOCKS		40,548,155		197,078,463		—			237,626,618
Rights/Warrants
Singapore		—		—		2			2
TOTAL RIGHTS/WARRANTS		—		—		2			2
Short-Term Investments		36,600,281		—		—			36,600,281
Total Investments		1,048,126,101		1,138,816,569		4,539,031			2,191,481,701
Total	$	1,048,126,101	$	1,138,816,569	$	4,539,031		$	2,191,481,701
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,181,462	$	—		$	1,181,462
Belgium		—		482,180		—			482,180
Brazil		—		214,175		—			214,175
China		—		695,121		—			695,121
Denmark		—		27,692		—			27,692
Finland		—		143,823		—			143,823
France		50,784		2,716,227		—			2,767,011
Germany		—		1,860,444		—			1,860,444
Hong Kong		—		330,274		—			330,274
Hungary		—		34,262		—			34,262
India		—		125,906		—			125,906
Ireland		20,649		245,143		—			265,792
Italy		—		929,425		—			929,425
Japan		—		7,437,799		—			7,437,799
Malta		—		—		2			2

127

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Netherlands	$	—		$	2,291,742	$	—	$	2,291,742
Norway		—			1,243,661		—		1,243,661
Poland		—			120,309		—		120,309
Portugal		—			106,114		—		106,114
Russia		—			4,616		—		4,616
Singapore		—			1,244,875		—		1,244,875
South Africa		—			74,473		—		74,473
South Korea		—			616,389		—		616,389
Spain		—			1,295,908		—		1,295,908
Sweden		—			174,307		—		174,307
Switzerland		61,222			1,904,781		—		1,966,003
Taiwan		—			515,923		—		515,923
Thailand		—			186,214		—		186,214
Turkey		—			333,609		—		333,609
United Kingdom		993,580			3,342,203		—		4,335,783
TOTAL COMMON STOCKS		1,126,235			29,879,057		2		31,005,294
Preferred Stocks
Brazil		—			63,202		—		63,202
Germany		—			81,482		—		81,482
South Korea		—			15,115		—		15,115
TOTAL PREFERRED STOCKS		—			159,799		—		159,799
Mutual Funds
United States		999,833			—		—		999,833
TOTAL MUTUAL FUNDS		999,833			—		—		999,833
Short-Term Investments		96,940			—		—		96,940
Total Investments		2,223,008			30,038,856		2		32,261,866
Total	$	2,223,008		$	30,038,856	$	2	$	32,261,866
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(14,273	)	$	—	$	—	$	(14,273	)
Total	$	(14,273	)	$	—	$	—	$	(14,273	)
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	454,808,629		$	—	$	—	$	454,808,629
Mutual Funds		10,402,263			—		—		10,402,263
Short-Term Investments		1,071,794			—		—		1,071,794
Total Investments		466,282,686			—		—		466,282,686
Total	$	466,282,686		$	—	$	—	$	466,282,686
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(326,928	)	$	—	$	—	$	(326,928	)
Total	$	(326,928	)	$	—	$	—	$	(326,928	)

128

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3		Total
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	252,802,219	$	—	$	—	$	252,802,219
Mutual Funds		1,158,524		—		—		1,158,524
Rights/warrants		—		—		36,350		36,350
Short-Term Investments		802,888		—		—		802,888
Total Investments		254,763,631		—		36,350		254,799,981
Total	$	254,763,631	$	—	$	36,350	$	254,799,981

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options and fully funded total return swaps, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2022.

The underlying funds held at year end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds��� Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). Emerging Domestic Opportunities Fund, Emerging Markets ex-China Fund and Emerging Markets Fund Level 3 holdings includes common stocks that are valued based on a U.S. incorporated exchange-traded fund tracking publicly traded companies that are domiciled in Russia. Emerging Domestic Opportunities Fund’s Level 3 holdings also include one common stock that was purchased prior to the initial public offering (“IPO”) that is restricted from trading until March 22, 2022 and is being valued based on the post-IPO shares trading in the market. Resources Fund Level 3 holdings include a common stock that is valued off the U.S. dollar denominated line of the same security, converted to euros. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 28, 2022.

129

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February 28, 2022

For Funds with material total Level 3 assets and/or liabilities, 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, 2021			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 February 28, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2022
Emerging Domestic Opportunities Fund
Common Stocks
India	$	265,151		$	1,924,110	$	(1,849,078	)	$	—	$	1,589,485		$	4,057,091		$	—		$	—	$	5,986,759	$	4,062,649
Russia		—			—		—			—		—			—			911,572	‡		—		911,572		(3,507,336	)
Total Investments	$	265,151		$	1,924,110	$	(1,849,078	)	$	—	$	1,589,485		$	4,057,091		$	911,572		$	—	$	6,898,331	$	555,313
Emerging Markets Ex-China Fund
Common Stocks
Russia	$	—		$	2,573,743	$	(279,742	)	$	—	$	(29,332	)	$	(1,314,914	)	$	—		$	—	$	949,755	$	(1,314,914	)
Total Investments	$	—		$	2,573,743	$	(279,742	)	$	—	$	(29,332	)	$	(1,314,914	)	$	—		$	—	$	949,755	$	(1,314,914	)
Emerging Markets Fund
Common Stocks
China	$	—		$	343,639	$	—		$	—	$	—		$	14,672		$	1	‡	$	—	$	358,312	$	14,672
Russia		—			8,026,494		(696,081	)		—		(76,821	)		(6,488,430	)		2,105,699	‡		—		2,870,861		(6,488,430	)
Total Investments	$	—		$	8,370,133	$	(696,081	)	$	—	$	(76,821	)	$	(6,473,758	)	$	2,105,700		$	—	$	3,229,173	$	(6,473,758	)
Resources Fund
Common Stocks
United States	$	—		$	4,410,991	$	—		$	—	$	—		$	128,038		$	—		$	—	$	4,539,029	$	128,038
Rights/Warrants
Singapore		0	§		—		—			—		—			2			—			—		2		2
Total Investments	$	0	§	$	4,410,991	$	—		$	—	$	—		$	128,040		$	—		$	—	$	4,539,031	$	128,040

‡ Financial assets transferred between levels 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 February 28, 2021.

130

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Notes to Financial Statements — (Continued)

February 28, 2022

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2022 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Domestic Opportunities Fund
Common Stock		911,572	Fair Value	Price of comparable equity	(N/A)
Emerging Markets ex-China Fund
Common Stock		949,755	Fair Value	Price of comparable equity	(N/A)
Emerging Markets Fund
Common Stock		393,657	Fair Value	Price of comparable equity	(N/A)
Common Stock		1	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		2,477,204	Fair Value	Price of comparable equity	(N/A)
Resources Fund
Common Stock		4,539,029	Fair Value	Price of comparable equity	(N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Warrant		2	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2022, the value of these securities and/or derivatives for Emerging Domestic Opportunities Fund and Emerging Markets Fund was $5,986,759 and $358,311, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist 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 marked-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 NYSE, generally at 4:00 pm Eastern 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 in 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.

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” in Note 4 “Derivative financial instruments”. 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

131

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At February 28, 2022, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)		Non-cash collateral ($)*		Total collateral ($)
Climate Change Fund		91,001,729		58,114,580		31,991,980		90,106,560	**
Emerging Markets Fund		15,874,184		—		17,012,389		17,012,389
Resources Fund		71,566,064		—		71,033,973		71,033,973	**

* Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

** While collateral for securities loans is marked to market daily, there may be instances where, as a result of market movement or other factors, the market value of the collateral at the close of trading on a business day is less than 100% of the market value of the loaned securities at the close of trading on that day. In such cases, the borrower is required to deliver, by the close of business on the following business day, an additional amount of collateral, so that the total amount of posted collateral is equal to at least 100% of the market value of all the loaned securities as of such preceding day.

Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and 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 its net investment income, if any, and 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.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

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.

As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and

132

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service (the “IRS”). Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders). Based on current guidance from the IRS, it is expected that International Equity Fund and Tax-Managed International Equities Fund will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund and Tax-Managed International Equities Fund’s closing agreement liabilities are presented as a reduction of Other income in the Statements of Operations and their estimated closing agreement liabilities are presented as Payable for IRS closing agreement fees in the Statements of Assets and Liabilities.

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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2022, 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.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund (formerly Cyclical Focus Fund)

Quality Fund

Resources Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Capital loss carryforwards

X

X

X

X

Derivative contract transactions

X

X

Dividend income and withholding tax reclaim reserves

X

X

X

Dividends received from underlying investments

X

EU tax reclaims, associated interest entitlements and IRS closing agreement matters

X

133

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Differences related to:

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund (formerly Cyclical Focus Fund)

Quality Fund

Resources Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Foreign capital gains taxes

X

X

X

Foreign currency transactions

X

X

X

X

Late-year ordinary losses

X

Losses on wash sale transactions

X

X

X

X

X

X

X

X

X

Partnership interest tax allocations

X

Passive foreign investment company transactions

X

X

X

X

X

X

X

X

X

Post-October capital losses

X

X

X

Real estate investment trust transactions

X

U.S. federal tax equalization utilized

X

The tax character of distributions declared by each Fund to shareholders is as follows:

	Tax year ended February 28, 2022							Tax year ended February 28, 2021
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)		��	Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)
Climate Change Fund		58,947,090		24,176,606		83,123,696			6,683,492		7,099,833		13,783,325
Emerging Domestic Opportunities Fund		2,585,729		58,232,198		60,817,927			7,101,297		—		7,101,297
Emerging Markets ex-China Fund		2,320,982		—		2,320,982			N/A		N/A		N/A
Emerging Markets Fund		99,941,507		—		99,941,507			113,896,942		—		113,896,942
International Equity Fund		128,778,541		—		128,778,541			112,859,036		—		112,859,036
Japan Value Creation Fund		23,620,607		1,135,657		24,756,264			2,070,899		—		2,070,899
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		23,763,294		5,405,268		29,168,562			7,515,852		—		7,515,852
Quality Fund		216,653,021		312,208,528		528,861,549			151,652,451		774,234,311		925,886,762
Resources Fund		155,301,803		27,415,353		182,717,156			20,325,831		11,022,393		31,348,224
Tax-Managed International Equities Fund		1,685,418		3,705,108		5,390,526			882,340		—		882,340
U.S. Equity Fund		26,259,224		57,927,021		84,186,245			15,615,633		20,105,110		35,720,743
U.S. Small Cap Value Fund		55,774,484		27,775,233		83,549,717			6,891,863		—		6,891,863

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February 28, 2022

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, 2022, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Loss Deferral ($)
Climate Change Fund		8,791,417		5,482,058		—		(2,366,029)		—
Emerging Domestic Opportunities Fund		143,315		—		—		—		(18,035,811)
Emerging Markets ex-China Fund		1,557,733		—		—		—		—
Emerging Markets Fund		4,566,352		—		—		(1,037,435,422)		(51,201,848)
International Equity Fund		2,203,393		—		(525,712)		(805,245,639)		(7,043,749)
Japan Value Creation Fund		868,402		5,916,837		—		—		—
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		1,526,098		2,140,673		—		—		—
Quality Fund		17,870,540		190,054,115		—		—		—
Resources Fund		68,327,657		20,098,924		—		—		—
Tax-Managed International Equities Fund		100,048		734,305		(46,643)		(304,539)		—
U.S. Equity Fund		6,524,844		15,562,384		—		—		—
U.S. Small Cap Value Fund		7,505,126		8,299,032		—		—		—

As of February 28, 2022, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses 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 capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2022, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Climate Change Fund		(1,674,056)		(691,973)
Emerging Domestic Opportunities Fund		—		—
Emerging Markets ex-China Fund		—		—
Emerging Markets Fund		(33,803,872)		(1,003,631,550)
International Equity Fund		(731,542,134)		(73,703,505)
Japan Value Creation Fund		—		—
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		—		—
Quality Fund		—		—
Resources Fund		—		—
Tax-Managed International Equities Fund		(304,539)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		—		—

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February 28, 2022

As of February 28, 2022, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		782,193,025		68,074,132		(62,696,076)		5,378,056		—
Emerging Domestic Opportunities Fund		779,638,563		15,937,725		(45,195,222)		(29,257,497)		—
Emerging Markets ex-China Fund		356,243,192		9,898,125		(70,557,621)		(60,659,496)		—
Emerging Markets Fund		2,225,786,626		205,341,441		(498,570,453)		(293,229,012)		840,988
International Equity Fund		2,003,254,600		142,881,045		(167,916,598)		(25,035,553)		—
Japan Value Creation Fund		168,678,908		7,028,956		(14,706,435)		(7,677,479)		—
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		111,569,134		34,664,453		(4,719,256)		29,945,197		—
Quality Fund		4,930,310,036		3,569,709,562		(153,465,775)		3,416,243,787		—
Resources Fund		1,986,861,855		401,259,765		(196,639,919)		204,619,846		—
Tax-Managed International Equities Fund		28,146,279		5,290,339		(1,174,752)		4,115,587		—
U.S. Equity Fund		433,137,442		48,923,153		(15,777,909)		33,145,244		—
U.S. Small Cap Value Fund		231,881,029		40,979,398		(18,060,446)		22,918,952		—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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 and tax legislation/initiatives 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. As of February 28, 2022, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

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. GMO 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 underlying funds, if any, 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/deflation 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. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as

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February 28, 2022

components of interest income in the Statements of Operations. 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 and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, 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).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to November 3, 2017, Brown Brothers Harriman & Co. served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Japan Value Creation Fund, Quality Cyclicals Fund (formerly Cyclical Focus Fund), Quality Fund and U.S. Equity Fund. Cash balances maintained at the custodian and transfer agent 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 (e.g., through investments in underlying funds) as a result of an investor’s 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 redemption fee or increase or decrease an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other 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 for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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February 28, 2022

As of February 28, 2022, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Emerging Domestic Opportunities Fund	For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Emerging Markets Fund	For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Resources Fund	Prior to March 9, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.30% of the amount invested or redeemed.

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 0.18% of the Fund’s total net assets as of February 28, 2022, though in recognition of the potential liability, a portion of that amount is included as a Miscellaneous payable within the Statements of Assets and Liabilities. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

Recently-issued accounting guidance

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. The Investment Adviser does not expect ASU No. 2020-04 to have a material impact on the financial statements.

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February 28, 2022

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.

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund (formerly Cyclical Focus Fund)

Quality Fund

Resources Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Market Risk- Equities

X

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

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

Commodities Risk

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Funds of Funds Risk

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

Event Driven Risk

X

X

X

X

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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the 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 as a result of its investment in Underlying Funds.

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GMO Trust Funds

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February 28, 2022

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 — EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. Equities that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities may include investments in companies in any industry, including industries generally thought of as cyclical (e.g., consumer discretionary, financials, energy, real estate, materials and industrials) and industries not typically viewed as cyclical (e.g., healthcare, technology). If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results. For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Funds or impair Fund operations.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund may be subject to non-U.S. taxes, potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, limitations on, or difficulties enforcing, legal judgments, contractual rights, or other remedies) tend to be greater for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• FOCUSED INVESTMENT RISK. Investments focused in asset classes, countries, regions, sectors, industries, currencies or issuers (or in sectors within a country or region) that are subject to the same or similar risk factors and investments whose prices are closely correlated are subject to greater overall risk than investments that are more diversified or whose prices are not as closely correlated. A Fund that invests in the securities of a limited number of issuers has greater exposure to a decline in the market price of a particular security held by the Fund than if the Fund invested in the securities of a larger number of issuers.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions may limit or prevent a Fund from selling particular securities or closing derivative positions at desirable prices.

140

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February 28, 2022

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

In late February 2022, Russia began an invasion of Ukraine. Following such invasion, the United States, the European Union, and other countries and entities imposed wide-ranging sanctions on Russia, the President of Russia and other members of the Government of Russia as well as entities owned or controlled by, or acting on behalf of, the Government of Russia. The Government of Russia has also imposed countersanctions and taken other actions in response to the sanctions. The scope and scale of the sanctions may be expanded and the conflict between Russia and Ukraine may further deteriorate. These sanctions and current environment could impair the ability of the Funds to buy, sell, hold, receive, deliver or otherwise transact in certain securities and other instruments. The full impact of the sanctions and the conflict on the Funds, the financial markets and the global economy is not yet known.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. A Fund 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 asset, pool of assets, rate, currency or index. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or otherwise honor its obligations.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests (including ETFs), including the risk that those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, the increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• LEVERAGING RISK. The use of derivatives and securities lending creates leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request.

• MARKET RISK – FIXED INCOME. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments).

• LARGE SHAREHOLDER RISK. To the extent that 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 require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. Below investment grade

141

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February 28, 2022

investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust investment exposure in connection with an event-driven transaction may not perform as expected or may otherwise reduce the Fund’s gains or increase its losses.

• NON-DIVERSIFIED FUNDS. The following Funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

• Emerging Domestic Opportunities Fund

• Emerging Markets ex-China Fund

• Japan Value Creation Fund

• Quality Cyclicals Fund (formerly Cyclical Focus Fund)

• Quality Fund

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 that are used 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, 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 currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund may be leveraged).

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

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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 GMO 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 year ended February 28, 2022, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

Swap contracts

Substitute for direct equity investment

X

Achieve returns comparable to holding and lending a direct equity position

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 settled.

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 collateralized. Forward currency contracts outstanding at the end of the year, 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 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 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

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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 in 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 year, 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, which is disclosed in the Schedule of Investments, 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 year, 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 year, if any, are listed in each applicable 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 Statements of Operations.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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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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 year, 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 February 28, 2022 and the Statements of Operations for the year ended February 28, 2022^:

The risks referenced in the tables below 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.

	Equity Contracts
Emerging Domestic Opportunities Fund
Net Realized Gain (Loss) on
Futures Contracts	$	(3,487,829	)
Total	$	(3,487,829	)
Emerging Markets Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	840,989
Total	$	840,989
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(6,332,907	)
Total	$	(6,332,907	)
Net Realized Gain (Loss) on
Futures Contracts	$	(25,010,820	)
Swap Contracts		9,559,073
Total	$	(15,451,747	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(12,125,679	)
Swap Contracts		(225,326	)
Total	$	(12,351,005	)

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	Equity Contracts
International Equity Fund
Net Realized Gain (Loss) on
Futures Contracts	$	(3,719,225	)
Total	$	(3,719,225	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	370,276
Total	$	370,276
Tax-Managed International Equities Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(14,273	)
Total	$	(14,273	)
Net Realized Gain (Loss) on
Futures Contracts	$	31,307
Total	$	31,307
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(21,792	)
Total	$	(21,792	)
U.S. Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(326,928	)
Total	$	(326,928	)
Net Realized Gain (Loss) on
Futures Contracts	$	1,087,616
Total	$	1,087,616
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(333,912	)
Total	$	(333,912	)
U.S. Small Cap Value Fund
Net Realized Gain (Loss) on
Futures Contracts	$	81,102
Total	$	81,102
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	109,220
Total	$	109,220

^ 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 unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

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Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off 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. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. 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 an early termination of 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. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in 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, reverse repurchase agreements and securities loans held by the Funds at February 28, 2022, if any.

The average derivative activity of notional amounts (futures contracts and swap contracts), based on absolute values, at each month-end, was as follows for the year ended February 28, 2022:

Fund Name	Futures Contracts ($)		Swap Contracts ($)
Emerging Domestic Opportunities Fund		8,194,634		—
Emerging Markets Fund		363,380,164		32,248,238
International Equity Fund		14,292,310		—
Tax-Managed International Equities Fund		226,640		—
U.S. Equity Fund		6,467,650		—
U.S. Small Cap Value Fund		2,612,609		—

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets ex-China Fund		Emerging Markets Fund		International Equity Fund		Japan Value Creation Fund		Quality Cyclicals Fund (formerly Cyclical Focus Fund)		Quality Fund		Resources Fund		Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Management Fee		0.60%(a)		0.75%		0.55%		0.65%(b)		0.50%		0.50%		0.33%		0.33%		0.50%		0.50%		0.31%		0.31%

^(a)  Prior to December 31, 2018, GMO voluntarily agreed to reduce its annual management fee by 0.15%.

^(b)  Prior to June 30, 2020, GMO contractually agreed to reduce its annual management fee from 0.75% to 0.65%.

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In addition, each class of shares of certain Funds pays GMO directly or indirectly 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 at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV		Class V		Class VI		Class R6		Class I
Climate Change Fund				0.15%		0.10%*		0.085%*		0.055%*		0.15%		0.15%
Emerging Domestic Opportunities Fund		0.22%		0.15%*		0.105%*		0.085%		0.055%*		0.22%*		0.22%
Emerging Markets ex-China Fund		0.22%*		0.15%		0.105%*		0.085%*		0.055%		0.22%*		0.22%
Emerging Markets Fund		0.22%		0.15%		0.105%*		0.085%*		0.055%		0.22%		0.22%
International Equity Fund		0.22%		0.15%		0.09%						0.22%*		0.22%
Japan Value Creation Fund				0.15%		0.10%*		0.085%*		0.055%		0.15%*		0.15%
Quality Cyclicals Fund (formerly Cyclical Focus Fund)				0.15%*		0.105%*		0.085%*		0.055%		0.15%*		0.15%
Quality Fund				0.15%		0.105%		0.085%*		0.055%		0.15%		0.15%
Resources Fund				0.15%		0.10%		0.085%*		0.055%		0.15%		0.15%
Tax-Managed International Equities Fund				0.15%								0.15%*		0.15%*
U.S. Equity Fund				0.15%		0.10%*		0.085%*		0.055%		0.15%*		0.15%*
U.S. Small Cap Value Fund				0.15%*		0.10%*		0.085%*		0.055%		0.15%*		0.15%*

* Class is offered but has no shareholders as of February 28, 2022.

For each Fund, other than Climate Change Fund, Emerging Markets ex-China Fund, Resources Fund, and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund (prior to September 25, 2018), Resources Fund and U.S. Small Cap Value 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. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

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 (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. 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 Resources Fund and U.S Small Cap Value Fund, GMO is permitted to recover from the Fund, on a class-by-class basis the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Funds’ “Specified Operating Expenses” later fall below the annualized rate of 0.10% per year or any lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause a Fund to exceed the annual limitation rate set forth above or any lower expense limit in effect when GMO seeks to recover the expenses.

With respect to Climate Change Fund (for the period starting September 25, 2018) and Emerging Markets ex-China Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse each Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares (each, an “Expense Cap”). The Expense Cap for Climate Change Fund is 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares. The Expense Cap

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for Emerging Markets ex-China Fund is 0.85% for Class II shares; 0.80% for Class III shares; 0.75%for Class IV shares; 0.70% for Class V shares; 0.67% for Class VI shares; 0.85% for Class R6 shares; and 0.85% for Class I shares. Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from Emerging Markets ex-China Fund, on a class by class basis, expenses it has borne or reimbursed or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover the expenses.

For the year ended February 28, 2022, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 28, 2022, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2023		Expiring the year ending February 29, 2024		Expiring the year ending February 28, 2025
Emerging Markets ex-China Fund, Class III		—		—		$1,152
Emerging Markets ex-China Fund, Class VI		—		—		$240,690
Emerging Markets ex-China Fund, Class I		—		—		$0	*

* Amount is less than $1.

For each Fund that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee, to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

In addition, for Emerging Markets Fund only, GMO has contractually agreed to 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, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.

These contractual waivers and reimbursements will continue through at least June 30, 2022 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 supplemental support agreement.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets. Effective January 27 2020, GMO has contractually agreed to reimburse Class I assets for Emerging Markets Fund and Emerging Domestic Opportunities Fund to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.05% and 0.03%, respectively, of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other

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February 28, 2022

administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2022 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Climate Change Fund		18,792		1,175
Emerging Domestic Opportunities Fund		31,733		2,910
Emerging Markets ex-China Fund		5,068		203
Emerging Markets Fund		87,828		8,812
International Equity Fund		70,860		6,797
Japan Value Creation Fund		5,312		462
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		4,920		421
Quality Fund		292,600		23,564
Resources Fund		58,338		3,544
Tax-Managed International Equities Fund		1,336		119
U.S. Equity Fund		13,637		1,090
U.S. Small Cap Value Fund		10,249		1,006

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2022, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2022, the Funds did not engage in these transactions.

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February 28, 2022

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2022 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)
Climate Change Fund		—		1,192,641,144		—		770,603,197
Emerging Domestic Opportunities Fund		—		1,885,382,243		—		2,043,664,508
Emerging Markets ex-China Fund		—		487,857,535		—		136,160,328
Emerging Markets Fund		96,723,172		2,543,209,690		106,079,770		3,181,107,783
International Equity Fund		—		1,354,815,118		—		1,642,652,449
Japan Value Creation Fund		—		74,696,309		—		77,198,503
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		—		37,954,795		—		48,128,122
Quality Fund		154,623,828		1,350,029,185		154,243,570		1,334,090,908
Resources Fund		—		2,046,951,166		—		961,888,533
Tax-Managed International Equities Fund		—		41,137,364		—		47,721,328
U.S. Equity Fund		—		539,680,753		—		469,374,489
U.S. Small Cap Value Fund		—		209,371,957		—		364,771,684

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 28, 2022. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

Fund Name	In-Kind Purchases ($)		In-Kind Sales ($)		Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Japan Value Creation Fund		5,174,438		—		—

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 as of February 28, 2022

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
Climate Change Fund		3		43.03%
Emerging Domestic Opportunities Fund*		1		65.06%

151

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Notes to Financial Statements — (Continued)

February 28, 2022

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
Emerging Markets ex-China Fund*		3	#		73.30%
Emerging Markets Fund*		3	#		35.56%
International Equity Fund		4	§		77.95%
Japan Value Creation Fund		3	§		73.40%
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		3	#		89.16%
Quality Fund		—			—
Resources Fund		2			51.84%
Tax-Managed International Equities Fund		1			79.48%
U.S. Equity Fund		3	#		74.71%
U.S. Small Cap Value Fund		2	#		79.93%

* The Fund’s outstanding shares were owned by 10 or more shareholders as of February 28, 2022.

# 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:

	Year Ended February 28, 2022						Year Ended February 29, 2021
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		4,396,243		$	149,142,682			814,512		$	23,807,446
Shares issued to shareholders in reinvestment of distributions		1,249,982			39,118,226			333,433			9,073,794
Shares repurchased		(672,638	)		(22,509,032	)		(688,426	)		(14,748,239	)
Shares repurchased in connection with reorganization(a)		—			—			(691,250	)		(24,319,296	)
Net increase (decrease)		4,973,587		$	165,751,876			(231,731	)	$	(6,186,295	)
Class R6:
Shares sold		1,285,070		$	39,436,952			2,115,846		$	53,282,325
Shares issued to shareholders in reinvestment of distributions		432,217			13,530,454			96,807			2,822,175
Shares repurchased		(88,861	)		(2,777,808	)		(79,939	)		(1,769,065	)
Net increase (decrease)		1,628,426		$	50,189,598			2,132,714		$	54,335,435
Class I:
Shares sold		7,873,871		$	255,196,026			2,287,524		$	67,483,965
Shares issued to shareholders in reinvestment of distributions		906,464			28,189,754			59,254			1,739,936
Shares issued to shareholders in connection with reorganization(a)		—			—			696,975			24,478,649
Shares repurchased		(1,437,226	)		(47,399,923	)		(212,005	)		(6,571,577	)
Net increase (decrease)		7,343,109		$	235,985,857			2,831,748		$	87,130,973

152

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 29, 2021
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund
Class II :
Shares sold		407,827		$	10,609,510			2,559,887		$	63,321,505
Shares issued to shareholders in reinvestment of distributions		833,460			19,536,789			66,747			1,732,754
Shares repurchased		(1,571,408	)		(40,569,449	)		(5,260,674	)		(125,740,953	)
Net increase (decrease)		(330,121	)	$	(10,423,150	)		(2,634,040	)	$	(60,686,694	)
Class III:(b)
Shares sold								317,759		$	6,587,104
Shares issued to shareholders in reinvestment of distributions								3,255			84,526
Shares repurchased								(4,653,377	)		(88,118,115	)
Shares repurchased in connection with reorganization(a)								(545,433	)		(15,763,441	)
Purchase premiums								—			—
Redemption fees								—			—
Net increase (decrease)								(4,877,796	)	$	(97,209,926	)
Class V:
Shares sold		1,027,838		$	24,000,001			138,555		$	3,005,148
Shares issued to shareholders in reinvestment of distributions		1,710,648			40,195,448			198,807			5,157,051
Shares repurchased		(4,735,609	)		(126,692,942	)		(1,874,733	)		(50,168,277	)
Net increase (decrease)		(1,997,123	)	$	(62,497,493	)		(1,537,371	)	$	(42,006,078	)
Class I:(c)
Shares sold		205,682		$	5,688,566			116,224		$	3,449,122
Shares issued to shareholders in reinvestment of distributions		44,186			1,037,354			—			—
Shares issued to shareholders in connection with reorganization(a)		—			—			551,407			15,926,244
Shares repurchased		(393,002	)		(10,368,048	)		—			—
Net increase (decrease)		(143,134	)	$	(3,642,128	)		667,631		$	19,375,366
Emerging Markets ex-China Fund
Class III:(d)
Shares sold		897,980		$	16,532,557
Shares issued to shareholders in reinvestment of distributions		1,172			23,270
Shares repurchased		(9,824	)		(190,000	)
Net increase (decrease)		889,328		$	16,365,827
Class VI:(e)
Shares sold		17,827,432		$	355,913,395
Shares issued to shareholders in reinvestment of distributions		115,695			2,297,709
Shares repurchased		(994,450	)		(18,359,868	)
Net increase (decrease)		16,948,677		$	339,851,236
Class I:(f)
Shares sold		26		$	500
Shares issued to shareholders in reinvestment of distributions		—			3
Net increase (decrease)		26		$	503

153

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 29, 2021
	Shares			Amount			Shares			Amount
Emerging Markets Fund
Class II :
Shares sold		2,606,322		$	88,755,053			1,648,844		$	53,161,685
Shares issued to shareholders in reinvestment of distributions		206,838			7,025,529			284,900			9,549,283
Shares repurchased		(1,960,353	)		(71,639,850	)		(6,920,252	)		(230,894,405	)
Net increase (decrease)		852,807		$	24,140,732			(4,986,508	)	$	(168,183,437	)
Class III:
Shares sold		90,991		$	3,125,000			4,370,676		$	146,164,042
Shares issued to shareholders in reinvestment of distributions		200,077			6,847,588			298,873			10,087,950
Shares repurchased		(4,992,075	)		(176,344,146	)		(812,877	)		(27,463,504	)
Shares repurchased in connection with reorganization(a)		—			—			(1,043,359	)		(39,415,082	)
Net increase (decrease)		(4,701,007	)	$	(166,371,558	)		2,813,313		$	89,373,406
Class V:(g)
Shares sold		—		$	—			5,421,878		$	199,958,895
Shares issued to shareholders in reinvestment of distributions		—			—			169,700			5,655,265
Shares repurchased		(8,449,876	)		(315,869,299	)		(3,845,713	)		(125,000,000	)
Net increase (decrease)		(8,449,876	)	$	(315,869,299	)		1,745,865		$	80,614,160
Class VI:
Shares sold		13,464,812		$	499,344,486			8,650,691		$	256,039,952
Shares issued to shareholders in reinvestment of distributions		1,923,723			64,976,185			2,248,634			74,845,061
Shares repurchased		(22,366,927	)		(813,771,305	)		(33,325,115	)		(1,071,217,844	)
Net increase (decrease)		(6,978,392	)	$	(249,450,634	)		(22,425,790	)	$	(740,332,831	)
Class R6:(h)
Shares sold		253,043		$	9,226,510			813,354		$	22,128,535
Shares issued to shareholders in reinvestment of distributions		57,004			1,932,218			27,888			936,435
Shares issued to shareholders in connection with reorganization(a)		—			—			439,317			16,534,284
Shares repurchased		(150,830	)		(5,473,092	)		(89,853	)		(2,939,669	)
Net increase (decrease)		159,217		$	5,685,636			1,190,706		$	36,659,585
Class I:
Shares sold		2,589,594		$	93,382,590			1,160,474		$	41,034,616
Shares issued to shareholders in reinvestment of distributions		158,470			5,361,706			28,672			965,150
Shares issued to shareholders in connection with reorganization(a)		—			—			614,858			23,134,094
Shares repurchased		(892,702	)		(30,798,776	)		(151,985	)		(4,910,965	)
Net increase (decrease)		1,855,362		$	67,945,520			1,652,019		$	60,222,895
International Equity Fund
Class II :
Shares sold		67		$	1,543			—		$	—
Shares issued to shareholders in reinvestment of distributions		6,894			160,857			4,663			100,614
Shares repurchased		(328	)		(7,990	)		(308,564	)		(5,424,568	)
Net increase (decrease)		6,633		$	154,410			(303,901	)	$	(5,323,954	)
Class III:
Shares sold		902,391		$	22,300,898			3,720,329		$	66,916,245
Shares issued to shareholders in reinvestment of distributions		1,036,029			24,543,676			960,872			20,929,248
Shares repurchased		(4,491,351	)		(111,707,638	)		(9,040,551	)		(188,307,672	)
Net increase (decrease)		(2,552,931	)	$	(64,863,064	)		(4,359,350	)	$	(100,462,179	)

154

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 29, 2021
	Shares			Amount			Shares			Amount
International Equity Fund (continued)
Class IV:
Shares sold		6,293,011		$	158,848,803			12,892,796		$	240,379,292
Shares issued to shareholders in reinvestment of distributions		4,392,308			103,725,041			4,223,138			91,652,733
Shares repurchased		(19,692,831	)		(483,373,679	)		(70,171,356	)(i)		(1,432,924,992	)(i)
Net increase (decrease)		(9,007,512	)	$	(220,799,835	)		(53,055,422	)	$	(1,100,892,967	)
Class I:(j)
Shares sold		130,919		$	3,300,485
Shares issued to shareholders in reinvestment of distributions		6,199			143,501
Shares repurchased		(6,198	)		(143,480	)
Net increase (decrease)		130,920		$	3,300,506
Japan Value Creation Fund
Class III:(k)
Shares sold		1,201,005		$	23,595,006
Net increase (decrease)		1,201,005		$	23,595,006
Class VI:(l)
Shares sold		711,481	(m)	$	16,519,323	(m)		8,189,635		$	164,396,732
Shares issued to shareholders in reinvestment of distributions		1,165,547			24,281,578			90,304			2,043,576
Shares repurchased		(2,110,286	)		(45,245,731	)		(1,297,353	)		(28,419,114	)
Net increase (decrease)		(233,258	)	$	(4,444,830	)		6,982,586		$	138,021,194
Class I:(n)
Shares sold		150,076		$	3,372,125
Shares issued to shareholders in reinvestment of distributions		14,815			306,209
Shares repurchased		(7,083	)		(143,012	)
Net increase (decrease)		157,808		$	3,535,322
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Class VI:(o)
Shares sold		4,504		$	133,246			6,591,975		$	138,002,053
Shares issued to shareholders in reinvestment of distributions		1,088,936			29,159,128			272,615			7,428,754
Shares repurchased		(489,406	)		(15,000,655	)		(1,978,588	)		(51,803,852	)
Net increase (decrease)		604,034		$	14,291,719			4,886,002		$	93,626,955
Class I:(p)
Shares sold		3,162		$	89,975
Shares issued to shareholders in reinvestment of distributions		380			9,434
Shares repurchased		(380	)		(9,434	)
Net increase (decrease)		3,162		$	89,975
Quality Fund
Class III:
Shares sold		10,762,535		$	311,185,638			32,026,815	(q)	$	786,417,726	(q)
Shares issued to shareholders in reinvestment of distributions		6,211,089			184,230,822			16,255,824			396,418,267
Shares repurchased		(45,655,713	)		(1,352,856,414	)		(42,127,119	)		(1,019,341,255	)
Shares repurchased in connection with reorganization(a)		—			—			(10,985,195	)		(286,038,477	)
Net increase (decrease)		(28,682,089	)	$	(857,439,954	)		(4,829,675	)	$	(122,543,739	)

155

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 29, 2021
	Shares			Amount			Shares			Amount
Quality Fund (continued)
Class IV:
Shares sold		24,890,734		$	743,002,525			6,158,990		$	150,155,647
Shares issued to shareholders in reinvestment of distributions		1,698,410			50,525,221			5,043,483			123,440,372
Shares repurchased		(22,990,583	)		(681,793,126	)		(19,751,036	)		(495,584,958	)
Net increase (decrease)		3,598,561		$	111,734,620			(8,548,563	)	$	(221,988,939	)
Class VI:
Shares sold		33,411,262		$	985,954,280			9,304,601		$	207,464,992
Shares issued to shareholders in reinvestment of distributions		7,098,478			210,592,163			12,982,294			316,855,443
Shares repurchased		(12,013,379	)		(356,648,291	)		(18,610,905	)(r)		(453,735,000	)(r)
Net increase (decrease)		28,496,361		$	839,898,152			3,675,990		$	70,585,435
Class R6:
Shares sold		6,146,062		$	180,898,983			2,926,477		$	76,021,273
Shares issued to shareholders in reinvestment of distributions		827,128			24,514,251			99,528			2,458,364
Shares issued to shareholders in connection with reorganization(a)		—			—			6,739,160			175,346,775
Shares repurchased		(1,596,874	)		(47,414,894	)		(439,543	)		(11,695,126	)
Net increase (decrease)		5,376,316		$	157,998,340			9,325,622		$	242,131,286
Class I:
Shares sold		7,086,571		$	206,735,852			4,848,696		$	115,110,578
Shares issued to shareholders in reinvestment of distributions		803,359			23,785,537			869,086			21,195,796
Shares issued to shareholders in connection with reorganization(a)		—			—			4,273,468			111,094,880
Shares repurchased		(2,376,575	)		(69,883,916	)		(1,810,113	)		(44,845,668	)
Net increase (decrease)		5,513,355		$	160,637,473			8,181,137		$	202,555,586
Resources Fund
Class III:
Shares sold		8,981,611		$	257,064,425			5,566,651		$	104,471,696
Shares issued to shareholders in reinvestment of distributions		1,052,726			29,016,330			567,771			13,774,201
Shares repurchased		(5,062,843	)		(147,877,164	)		(1,016,432	)		(23,560,174	)
Shares repurchased in connection with reorganization(a)		—			—			(12,778,315	)		(350,668,382	)
Net increase (decrease)		4,971,494		$	138,203,591			(7,660,325	)	$	(255,982,659	)
Class IV:
Shares sold		20,735,965		$	604,670,278			4,555,504		$	107,109,178
Shares issued to shareholders in reinvestment of distributions		3,423,141			94,223,444			704,295			17,024,643
Shares repurchased		(29,760,042	)		(866,303,735	)		(3,363,546	)		(71,459,516	)
Net increase (decrease)		(5,600,936	)	$	(167,410,013	)		1,896,253		$	52,674,305
Class VI:(s)
Shares sold		29,775,768		$	866,735,067
Net increase (decrease)		29,775,768		$	866,735,067
Class R6:(t)
Shares sold		3,927,986		$	112,964,982			40,259		$	1,068,906
Shares issued to shareholders in reinvestment of distributions		121,620			3,313,878			—			—
Shares issued to shareholders in connection with reorganization(a)		—			—			54,721			1,501,686
Shares repurchased		(439,984	)		(12,570,805	)		(888	)		(23,453	)
Net increase (decrease)		3,609,622		$	103,708,055			94,092		$	2,547,139

156

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 29, 2021
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class I:(t)
Shares sold		12,802,341		$	367,878,139			695,863		$	19,518,024
Shares issued to shareholders in reinvestment of distributions		942,416			25,987,421			—			—
Shares issued to shareholders in connection with reorganization(a)		—			—			12,718,172			349,017,891
Shares repurchased		(4,708,721	)		(135,872,354	)		(143,755	)		(3,958,459	)
Net increase (decrease)		9,036,036		$	257,993,206			13,270,280		$	364,577,456
Tax-Managed International Equities Fund
Class III:
Shares sold		18,656		$	275,619			1,805,115		$	20,617,208
Shares issued to shareholders in reinvestment of distributions		63,193			910,792			9,074			135,500
Shares repurchased		(297,762	)		(5,014,362	)		(2,045,534	)		(26,003,077	)
Net increase (decrease)		(215,913	)	$	(3,827,951	)		(231,345	)	$	(5,250,369	)
U.S. Equity Fund
Class III:
Shares sold		—		$	—			390,012		$	4,296,146
Shares issued to shareholders in reinvestment of distributions		1,201,808			17,671,434			721,214			8,728,187
Shares repurchased		(2,649,751	)		(42,595,783	)		(815,138	)		(10,502,121	)
Net increase (decrease)		(1,447,943	)	$	(24,924,349	)		296,088		$	2,522,212
Class VI:
Shares sold		11,888,253		$	185,874,969			3,501,114		$	44,086,437
Shares issued to shareholders in reinvestment of distributions		4,617,810			66,354,537			2,251,552			26,876,326
Shares repurchased		(5,260,335	)		(80,794,845	)		(19,564,469	)(u)		(240,929,654	)(u)
Net increase (decrease)		11,245,728		$	171,434,661			(13,811,803	)	$	(169,966,891	)
U.S. Small Cap Value Fund
Class VI:
Shares sold		119,271		$	3,183,172			4,758,720		$	67,971,759
Shares issued to shareholders in reinvestment of distributions		4,036,257			83,549,717			337,635			6,843,929
Shares repurchased		(6,207,447	)		(170,880,206	)		(13,194,884	)(v)		(261,216,696	)(v)
Net increase (decrease)		(2,051,919	)	$	(84,147,317	)		(8,098,529	)	$	(186,401,008	)

^(a)  A plan of reorganization was completed on January 22, 2021.

^(b)  Class III liquidated on January 22, 2021.

^(c)  The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

^(d)  The period under the heading “Year Ended February 28, 2022” represents the period from November 17, 2021 (commencement of operations) through February 28, 2022.

^(e)  The period under the heading “Year Ended February 28, 2022” represents the period from October 18, 2021 (commencement of operations) through February 28, 2022.

^(f)  The period under the heading “Year Ended February 28, 2022” represents the period from December 1, 2021 (commencement of operations) through February 28, 2022.

^(g)  Class V liquidated on April 29, 2021.

^(h)  The period under the heading “Year Ended February 28, 2021” represents the period from March 31, 2020 (commencement of operations) through February 28, 2021.

⁽ⁱ⁾  13,244,102 shares and $293,635,824 were redeemed in-kind.

157

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

^(j) The period under the heading “Year Ended February 28, 2022” represents the period from May 24, 2021 (commencement of operations) through February 28, 2022.

^(k)  The period under the heading “Year Ended February 28, 2022” represents the period from December 30, 2021 (commencement of operations) through February 28, 2022.

^(l)  The period under the heading “Year Ended February 28, 2021” represents the period from September 14, 2020 (commencement of operations) through February 28, 2021.

^(m)  343,975 shares and $5,174,438 were purchased in-kind.

⁽ⁿ⁾  The period under the heading “Year Ended February 28, 2022” represents the period from June 7, 2021 (commencement of operations) through February 28, 2022.

^(o)  The period under the heading “Year Ended February 28, 2021” represents the period from May 12, 2020 (commencement of operations) through February 28, 2022.

^(p)  The period under the heading “Year Ended February 28, 2022” represents the period from July 16, 2021 (commencement of operations) through February 28, 2022.

^(q)  1,161,256 shares and $26,431,152 were purchased in-kind.

^(r)  7,413,522 shares and $165,586,344 were redeemed in-kind.

^(s)  The period under the heading “Year Ended February 28, 2022” represents the period from February 8, 2022 (commencement of operations) through February 28, 2022.

^(t)  The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2022.

^(u)  3,849,646 shares and $51,936,295 were redeemed in-kind.

^(v)  3,680,987 shares and $83,728,845 were redeemed in-kind.

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2022 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	18,563,731	$	484,639,225	$	443,865,512	$	35,129	*	$	25,854	$	(314,684	)	$	(45,209	)	$	58,977,551
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	—	$	238,885,879	$	236,456,000	$	11,088		$	4,791	$	(89,053	)	$	(9,304	)	$	2,331,522
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	—	$	900,178	$	895,000	$	132		$	46	$	(787	)	$	(17	)	$	4,374
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	678,007	$	—	$	—	$	—		$	—	$	—		$	34,678		$	712,685
Gayatri Projects Ltd		6,296,399		—		—		—			—		—			(2,532,419	)		3,763,980
Totals	$	6,974,406	$	—	$	—	$	—		$	—	$	—		$	(2,497,741	)	$	4,476,665
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
GMO U.S. Treasury Fund	$	528,000	$	6,725,000	$	6,810,000	$	552		$	241	$	(6,306	)	$	(1,737	)	$	434,957
Quality Fund
GMO U.S. Treasury Fund	$	9,830,961	$	—	$	4,000,000	$	10,404		$	7,534	$	23,857		$	(66,470	)	$	5,788,348

158

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Resources Fund
Kosmos Energy Ltd.	$	—	#	$	33,154,355	$	34,548,458	$	—	$	—	$	9,193,888		$	—		$	—	##
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	5,165		$	8,770,000	$	7,770,000	$	1,363	$	954	$	(2,326	)	$	(3,006	)	$	999,833
U.S. Equity Fund
GMO U.S. Treasury Fund	$	2,850,296		$	97,700,000	$	90,110,000	$	10,849	$	10,431	$	(11,857	)	$	(26,176	)	$	10,402,263
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	101,097		$	27,240,000	$	26,170,000	$	3,512	$	4,379	$	(8,944	)	$	(3,629	)	$	1,158,524

* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $311,596 in Climate Change Fund during the period.

# Security was not an affiliate at the beginning of the year.

## Security is no longer an affiliate at year end.

159

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Cyclicals Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Cyclicals Fund (formerly Cyclical Focus Fund), GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund (twelve of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2022, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2022, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, GMO U.S. Small Cap Value Fund	Statements of operations for the year ended February 28, 2022 and the statements of changes in net assets for each of the two years in the period ended February 28, 2022
GMO Quality Cyclicals Fund (formerly Cyclical Focus Fund)	Statement of operations for the year ended February 28, 2022 and statement of changes in net assets for the year ended February 28, 2022 and for the period May 12, 2020 (commencement of operations) through February 28, 2021
GMO Japan Value Creation Fund	Statement of operations for the year ended February 28, 2022 and statement of changes in net assets for the year ended February 28, 2022 and for the period September 14, 2020 (commencement of operations) through February 28, 2021
GMO Emerging Markets ex-China Fund	Statements of operations and changes in net assets for the period October 18, 2021 (commencement of operations) through February 28, 2022

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 27, 2022

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

160

GMO Trust Funds

Board Review of Investment Management Agreement

February 28, 2022 (Unaudited)

GMO Emerging Markets Ex-China Fund

Approval of initial management agreement and sub-advisory agreement for GMO Emerging Markets ex-China Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term commencing June 30, 2021 the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund, and approved for an initial one-year term commencing June 30, 2021 the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund. In approving the initial management and sub-advisory agreements, the Trustees considered information 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 Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At a meeting on June 10, 2021, the Trustees discussed materials provided by GMO for purposes of considering GMO’s proposal to establish the Fund as a new series of the Trust, a proposed management agreement between the Trust, on behalf of the Fund, and GMO, and a proposed sub-advisory agreement among GMO, GMO Singapore and the Trust, on behalf of the Fund. During this meeting, the Trustees met with representatives from GMO’s Product Development Team and GMO’s Legal Group.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees therefore considered the performance of the other GMO funds whose investments were managed by the investment division of GMO that would be managing the Fund’s investments.

The Trustees considered the Fund’s estimated expenses and estimated expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of other funds in a peer group determined by GMO to have similar investment characteristics. In considering the Fund’s estimated expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees to be paid to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by GMO comparing the management fee to be paid by the Fund to the management fee of a GMO fund with an investment strategy similar to that of the Fund and whose investments were managed by the investment division of GMO that would manage the Fund’s investments, as well as funds managed by other managers determined by GMO to have similar investment characteristics. The Trustees also reviewed information regarding the fees received by GMO for providing sub-investment advisory services to a third-party managed fund with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to the third-party fund, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in providing sub-investment advisory services to the third-party fund. The Trustees also considered the shareholder servicing fees to be charged by GMO to different share classes of the Fund in light of the services to be provided to each class by GMO. In addition, the Trustees reviewed the fee to be paid by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore would provide to the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee would be paid by GMO out of GMO’s management fee and not directly by the Fund.

The Trustees also considered that the non-investment management services to be provided by GMO to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services, were the same as the services provided by GMO under its current management agreements with other GMO funds. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the other GMO funds.

Since the Fund had not yet commenced operations, no information regarding GMO’s profitability with respect to the Fund was available to the Trustees. The Trustees did, however, consider information provided to them by GMO regarding its profits from managing the Trust overall. The Trustees also considered how the proposed fees compared to fees paid by other GMO funds and took note of “fallout benefits” realized by GMO that would result from its management of the Fund and the other GMO funds. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to GMO associated with managing the Fund.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel, and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO would employ in managing the Fund, GMO’s organization, its reputation, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to be provided to the Fund.

161

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

February 28, 2022 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s initial management and sub-advisory agreements, that the nature, extent and quality of services to be provided supported their approval of the Fund’s management and sub-advisory agreements and that the fees to be charged under those agreements were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as that Trustee 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 Fund’s initial management agreement and sub-advisory agreement.

162

GMO Trust Funds

Fund Expenses

February 28, 2022 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2022.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction cost, 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, September 1, 2021 through February 28, 2022.

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. 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 September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$971.90		$3.76		$1,000.00		$1,020.98		$3.86		0.77%
Class R6		$1,000.00		$971.80		$3.76		$1,000.00		$1,020.98		$3.86		0.77%
Class I		$1,000.00		$971.60		$4.25		$1,000.00		$1,020.48		$4.36		0.87%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$893.20		$5.07		$1,000.00		$1,019.44		$5.41		1.08%
Class V		$1,000.00		$893.60		$4.46		$1,000.00		$1,020.08		$4.76		0.95%
Class I		$1,000.00		$892.80		$5.21		$1,000.00		$1,019.29		$5.56		1.11%
Emerging Markets ex-China Fund
Class III(a)		$1,000.00		$838.00		$2.07		$1,000.00		$1,020.83		$4.01		0.80%
Class VI(b)		$1,000.00		$838.50		$2.24		$1,000.00		$1,021.47		$3.36		0.67%
Class I(c)		$1,000.00		$866.20		$2.12		$1,000.00		$1,020.18		$4.66		0.93%
Emerging Markets Fund
Class II		$1,000.00		$835.20		$4.23		$1,000.00		$1,020.18		$4.66		0.93%
Class III		$1,000.00		$835.60		$4.01		$1,000.00		$1,020.43		$4.41		0.88%
Class VI		$1,000.00		$836.00		$3.41		$1,000.00		$1,021.08		$3.76		0.75%
Class R6		$1,000.00		$835.20		$4.23		$1,000.00		$1,020.18		$4.66		0.93%
Class I		$1,000.00		$834.70		$4.46		$1,000.00		$1,019.94		$4.91		0.98%

163

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2022 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
International Equity Fund
Class II		$1,000.00		$953.20		$3.68		$1,000.00		$1,021.03		$3.81		0.76%
Class III		$1,000.00		$953.30		$3.34		$1,000.00		$1,021.37		$3.46		0.69%
Class IV		$1,000.00		$953.60		$3.05		$1,000.00		$1,021.67		$3.16		0.63%
Class I		$1,000.00		$953.20		$4.31		$1,000.00		$1,020.38		$4.46		0.89%
Japan Value Creation Fund
Class III(d)		$1,000.00		$995.00		$1.06		$1,000.00		$1,021.52		$3.31		0.66%
Class VI		$1,000.00		$945.50		$2.75		$1,000.00		$1,021.97		$2.86		0.57%
Class I		$1,000.00		$944.70		$3.71		$1,000.00		$1,020.98		$3.86		0.77%
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Class VI		$1,000.00		$1,018.00		$2.00		$1,000.00		$1,022.81		$2.01		0.40%
Class I		$1,000.00		$1,017.10		$2.95		$1,000.00		$1,021.87		$2.96		0.59%
Quality Fund
Class III		$1,000.00		$957.80		$2.33		$1,000.00		$1,022.41		$2.41		0.48%
Class IV		$1,000.00		$958.20		$2.14		$1,000.00		$1,022.61		$2.21		0.44%
Class VI		$1,000.00		$958.40		$1.89		$1,000.00		$1,022.86		$1.96		0.39%
Class R6		$1,000.00		$957.90		$2.33		$1,000.00		$1,022.41		$2.41		0.48%
Class I		$1,000.00		$957.30		$2.82		$1,000.00		$1,021.92		$2.91		0.58%
Resources Fund
Class III		$1,000.00		$1,070.90		$3.65		$1,000.00		$1,021.27		$3.56		0.71%
Class IV		$1,000.00		$1,071.00		$3.39		$1,000.00		$1,021.52		$3.31		0.66%
Class VI(e)		$1,000.00		$972.20		$0.40		$1,000.00		$1,021.13		$3.71		0.74%
Class R6		$1,000.00		$1,070.80		$3.85		$1,000.00		$1,021.08		$3.76		0.75%
Class I		$1,000.00		$1,070.30		$4.21		$1,000.00		$1,020.73		$4.11		0.82%
Tax-Managed International Equities Fund
Class III		$1,000.00		$954.60		$3.20		$1,000.00		$1,021.52		$3.31		0.66%
U.S. Equity Fund
Class III		$1,000.00		$976.80		$2.25		$1,000.00		$1,022.51		$2.31		0.46%
Class VI		$1,000.00		$977.50		$1.81		$1,000.00		$1,022.96		$1.86		0.37%
U.S. Small Cap Value Fund
Class VI		$1,000.00		$1,021.80		$2.11		$1,000.00		$1,022.71		$2.11		0.42%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2022, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

^(a)  For the period November 17, 2021 (commencement of operations) through February 28, 2022, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2022, multiplied by the average account value over the period, multiplied by 103 days in the period, divided by 365 days in the year.

^(b)  For the period October 18, 2021 (commencement of operations) through February 28, 2022, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2022, multiplied by the average account value over the period, multiplied by 133 days in the period, divided by 365 days in the year.

^(c)  For the period December 1, 2021 (commencement of operations) through February 28, 2022, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2022, multiplied by the average account value over the period, multiplied by 89 days in the period, divided by 365 days in the year.

^(d)  For the period December 30, 2021 (commencement of operations) through February 28, 2022, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2022, multiplied by the average account value over the period, multiplied by 59 days in the period, divided by 365 days in the year.

^(e)  For the period February 8, 2022 (commencement of operations) through February 28, 2022, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2022, multiplied by the average account value over the period, multiplied by 20 days in the period, divided by 365 days in the year.

164

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2022 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the Fund designates the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2022:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)			Qualified Dividend Income (non-corporate shareholders)(1)		U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short- Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)(4)		Foreign Source Income ($)(4)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Climate Change Fund		1.80%			10.01%		—		—		49,739,067		24,176,606		—		—		—
Emerging Domestic Opportunities Fund		13.47%			100.00%		—		—		—		58,232,198		6,817,709		2,724,213		—
Emerging Markets ex-China Fund		—			97.81%		—		—		—		—		446,649		2,641,967		—
Emerging Markets Fund		—			69.69%		—		—		—		—		15,489,728		104,507,859		—
International Equity Fund		—			72.31%		—		—		—		—		—		—		—
Japan Value Creation Fund		—			15.96%		—		—		12,993,630		1,135,657		452,869		4,528,685		—
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		4.96%	��		12.76%		—		—		19,751,917		5,405,268		—		—		—
Quality Fund		41.10%			53.58%		—		—		119,800,647		338,485,262		—		—		—
Resources Fund		—			28.83%		—		—		71,220,515		27,415,353		6,707,705		85,196,152		—
Tax-Managed International Equities Fund		—			95.00%		—		—		—		3,705,108		—		—		—
U.S. Equity Fund		26.06%			27.26%		—		—		20,394,932		57,927,021		—		—		—
U.S. Small Cap Value Fund		9.47%			9.45%		—		—		51,983,699		27,775,233		—		—		17,363

⁽¹⁾  Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾  All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾  These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds.

⁽⁴⁾  The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders. All amounts presented above are based upon net investment income earned.

⁽⁵⁾  The Funds hereby designate the above qualified business income under Section 199A of the Code.

In early 2023, the Funds will notify applicable shareholders of amounts for use in preparing 2022 U.S. federal income tax forms.

165

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2022. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*	Number of Portfolios in Fund Complex1 Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		30	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (Since July 1, 2011) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2021) University of Oxford, Said Business School		30	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired.		30	Trustee of HIMCO Variable Insurance Trust (27 Portfolios) (April 2014 – April 2019).
Interested Trustee and Officer
Carolyn Haley2 YOB: 1966	Trustee; President of the Trust	Trustee and President since June 2021.	Head of Global Operations and Finance, Head of Operations, Co-Head of Operations, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – Present).		30	None.

¹  The Fund Complex includes series of each of GMO Trust.

²  Ms. Haley is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of her positions with the Trust and GMO indicated in the table above and her interest as a member of GMO.

166

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Carolyn Haley YOB: 1966	Trustee, President of the Trust	Trustee and President since June 2021	Head of Global Operations and Finance, Head of Operations, Co-Head of Operations, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – Present).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present). Head of Fund Reporting, Risk and Controls and Proxy Voting (October 2021 to present), Grantham, Mayo, Van Otterloo & Co. LLC.
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – November 2020). Treasury and Payables Manager, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

167

AR-022822-EQ

GMO Trust

Annual Report

February 28, 2022

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund

Opportunistic Income Fund

U.S. Treasury Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com 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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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-PORT which is available on the Commission’s website at www.sec.gov. 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 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, 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 derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Asset Allocation Bond Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance	6
Performance Graph	7
Investment Concentration Summary	8
Schedule of Investments	9
High Yield Fund
Management Discussion and Analysis of Fund Performance	22
Performance Graph	23
Investment Concentration Summary	24
Schedule of Investments	25
Multi-Sector Fixed Income Fund
Management Discussion and Analysis of Fund Performance	28
Performance Graph	29
Investment Concentration Summary	30
Schedule of Investments	31
Opportunistic Income Fund
Management Discussion and Analysis of Fund Performance	38
Performance Graph	39
Investment Concentration Summary	40
Schedule of Investments	41
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance	52
Performance Graph	53
Investment Concentration Summary	54
Schedule of Investments	55
Portfolio, Counterparty and Currency Abbreviations	56
Fund Financial Statements:
Statements of Assets and Liabilities	57
Statements of Operations	61
Statements of Changes in Net Assets	63
Financial Highlights	66
Notes to Financial Statements	73
Report of Independent Registered Public Accounting Firm	109
Fund Expenses	110
Tax Information	111
Trustees and Officers	112

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Asset Allocation Bond Fund returned +0.16% (net) for the fiscal year ended February 28, 2022, as compared with a +0.05% return for the FTSE 3-Month Treasury Bill Index.

The Fund started the period predominantly invested in Treasury Inflation-Protected Securities (“TIPS”). These had been preferred to nominal securities as we believed that they offered better valuations. For context, at the start of the period, the 10-year real yield was -0.71% and the 10-year nominal yield was 1.44%, leaving the break-even inflation measure at 2.15%.

The TIPS enjoyed solid absolute performance to start the period, strongly outperforming nominals, and this led us to reassess their relative valuations. Towards the end of April 2021, we switched the majority of the assets of the Fund from TIPS to nominal bonds. Again, for context, at the end of April 2021, the 10-year real yield had fallen modestly to -0.77% while the 10-year nominal yield had climbed meaningfully to 1.65%, leaving the break-even inflation measure at a more reasonable 2.42%.

Since the end of April 2021, nominal yields have continued to rise, and the 10-year nominal yield finished February 2022 at 1.83%. This led to negative performance of the nominal securities, offsetting much of the performance that had initially been generated by the TIPS.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

2

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Asset Allocation Bond Fund Class III Shares and the FTSE 3-Month Treasury Bill Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and VI the gross expense ratio of 0.49% and 0.40%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.41% and 0.32% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		99.6	%
Short-Term Investments		0.6
Mutual Funds		0.0	^
Other		(0.2	)
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

^ Rounds to 0.0%.

4

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 99.6%
		U.S. Government — 99.6%
	15,035,000	U.S. Treasury Note, 1.38%, due 12/31/28		14,598,045
	24,490,000	U.S. Treasury Note, 1.25%, due 08/15/31		23,254,021
		Total U.S. Government		37,852,066
		TOTAL DEBT OBLIGATIONS (COST $38,484,231)		37,852,066
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	2,321	GMO U.S. Treasury Fund		11,626
		TOTAL MUTUAL FUNDS (COST $11,673)		11,626
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	216,918	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		216,918
		TOTAL SHORT-TERM INVESTMENTS (COST $216,918)		216,918
		TOTAL INVESTMENTS — 100.2% (Cost $38,712,822)		38,080,610
		Other Assets and Liabilities (net) — (0.2%)		(61,834	)
		TOTAL NET ASSETS — 100.0%		$38,018,776

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 56.

See accompanying notes to the financial statements. 5

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Country Debt team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Country Debt Fund returned -7.83% (net) for the fiscal year ended February 28, 2022, as compared with -7.50% for the J.P. Morgan EMBI Global Diversified + (EMBIGD).

EMBIGD’s spread over U.S. Treasuries widened by 111 basis points to 470 basis points during the fiscal year, and the yield on the 10-year U.S. Treasury bond rose by 42 basis points to 1.83%.

The Fund had negative alpha from country selection during the fiscal year, driven by losses from overweights in Ukraine and Tunisia, and underweights in Qatar and China. Partly offsetting these losses, the Fund’s overweights in Ecuador, Oman, Mexico, and Belize, and underweight in Colombia contributed to alpha during the fiscal year.

In terms of security selection, gains from the choice of holdings in Ukraine drove positive alpha, followed by contributions from security selection in Tunisia, Ghana, Iraq, and Russia. Negative alpha from security selection in Brazil, Chile, and Bahrain partly offsets these gains. The Fund also had positive alpha from holding of bonds in off-benchmark countries, which we consider security selection. The most notable country in this category was the Republic of the Congo, followed by Israel, Chad, and Grenada, though negative alpha from Venezuela partly offset these gains. Within quasi-sovereign security selection, the portfolio had negative alpha from Chile, Ukraine, and Russia, while Israel and Indonesia were notable contributors to alpha.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

6

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Emerging Country Debt Fund Class III Shares, the J.P. Morgan EMBI Global Diversified +*

and the J.P. Morgan EMBI Global

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 0.75% on the purchase and 0.75% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For J.P. Morgan disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

* The J.P. Morgan Emerging Markets Bond Index Global Diversified + (composite index) reflects the performance of the J.P. Morgan Emerging Markets Bond Index Global through 2/29/2020 and the J.P. Morgan EMBI Global Diversified thereafter.

For Class III, IV, and VI the gross expense ratio of 0.54%, 0.49%, and 0.45%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.54%, 0.49% and 0.45% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		90.9	%
Short-Term Investments		3.7
Loan Assignments		1.4
Loan Participations		1.2
Swap Contracts		0.5
Investment Funds		0.2
Rights/Warrants		0.1
Forward Currency Contracts		0.1
Written Options/Credit Linked Options		0.0	^
Purchased Options		0.0	^
Reverse Repurchase Agreements		(0.2	)
Other		2.1
		100.0	%
Country/Region Summary‡	% of Investments
Other Emerging		15.2	%*
Mexico		6.4
Turkey		5.9
Saudi Arabia		4.9
Oman		4.7
Colombia		4.5
South Africa		3.5
Brazil		3.5
Bahrain		3.4
Ecuador		3.2
Dominican Republic		3.1
Indonesia		3.1
Peru		2.9
Tunisia		2.9
Argentina		2.8
Egypt		2.7
United Arab Emirates		2.7
Panama		2.0
Jordan		2.0
Chile		1.8
Philippines		1.5
Ghana		1.5
Kazakhstan		1.4
India		1.4
Sri Lanka		1.3
Nigeria		1.3
Costa Rica		1.3
Ivory Coast		1.2
Kenya		1.2
Romania		1.1
Ukraine		1.1
Trinidad & Tobago		1.1
Vietnam		1.1
Israel		1.0
Uruguay		1.0
Other Developed		0.3	¤
		100.0	%

† The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

‡ The table 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. 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 a reference security and applying the same methodology to that security.

* “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

¤ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 90.9%
		Albania — 1.4%
		Sovereign and Sovereign Agency Issuers
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		44,679,382
EUR	9,100,000	Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31		9,106,510
		Total Albania		53,785,892
		Angola — 0.3%
		Sovereign and Sovereign Agency Issuers
	7,900,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		7,465,500
	5,500,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		5,101,250
		Total Angola		12,566,750
		Argentina — 3.2%
		Sovereign and Sovereign Agency Issuers
	29,090,713	Republic of Argentina, 1.00%, due 07/09/29		9,569,176
	35,333,493	Republic of Argentina, Step Up, 0.50%, due 07/09/30		11,271,384
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) (d)		992,440
	56,547,942	Republic of Argentina, Step Up, 1.13%, due 07/09/35		16,766,465
EUR	26,000,000	Republic of Argentina, Step Up, 1.50%, due 01/09/38		9,503,713
	72,008,994	Republic of Argentina, Step Up, 2.00%, due 01/09/38		26,126,500
JPY	334,073,000	Republic of Argentina, 0.67%, due 12/31/38 (c) (d)		581,175
EUR	8,260,000	Republic of Argentina, Step Up, 1.50%, due 07/09/41		2,727,516
	72,201,240	Republic of Argentina, Step Up, 2.50%, due 07/09/41		24,404,019
	56,947,000	Republic of Argentina, Step Up, 1.13%, due 07/09/46		17,084,100
		Total Argentina		119,026,488
		Armenia — 0.5%
		Corporate Debt
	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		19,510,000
		Azerbaijan — 1.0%
		Sovereign and Sovereign Agency Issuers
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		10,818,600
	5,250,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		5,158,125
	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		21,112,000
		Total Azerbaijan		37,088,725

Par Value†		Description	Value ($)
		Bahamas — 0.8%
		Sovereign and Sovereign Agency Issuers
	10,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		9,026,333
	15,600,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		13,806,000
	7,900,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		6,833,500
		Total Bahamas		29,665,833
		Bahrain — 1.9%
		Sovereign and Sovereign Agency Issuers
	76,590,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		71,458,470
		Barbados — 0.4%
		Sovereign and Sovereign Agency Issuers
	14,000,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		13,748,875
		Belarus — 0.1%
		Sovereign and Sovereign Agency Issuers
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c)		1,245,600
	20,300,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 (c)		3,045,000
		Total Belarus		4,290,600
		Bermuda — 0.2%
		Sovereign and Sovereign Agency Issuers
	6,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		7,736,183
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers
	9,200,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 (e)		7,976,975
		Brazil — 3.0%
		Corporate Debt — 0.6%
	24,870,548	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		24,093,343
		Sovereign and Sovereign Agency Issuers — 2.4%
	59,639,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		55,072,144
	21,500,000	Republic of Brazil, 4.75%, due 01/14/50		17,896,062
BRL	75,100,000	Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 (f)		14,618,712
				87,586,918
		Total Brazil		111,680,261

See accompanying notes to the financial statements. 9

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Cameroon — 0.2%
		Sovereign and Sovereign Agency Issuers
EUR	7,500,000	Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32		7,316,154
		Chile — 2.2%
		Corporate Debt — 0.9%
	20,411,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		20,629,398
	17,048,994	Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33		14,612,053
				35,241,451
		Sovereign and Sovereign Agency Issuers — 1.3%
	2,200,000	Chile Government International Bond, 3.50%, due 01/31/34		2,171,400
	7,500,000	Chile Government International Bond, 3.10%, due 05/07/41		6,581,250
	3,700,000	Chile Government International Bond, 4.00%, due 01/31/52		3,614,900
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		8,404,560
	5,300,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		4,848,440
	25,250,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		21,406,950
				47,027,500
		Total Chile		82,268,951
		China — 0.9%
		Corporate Debt — 0.3%
	11,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		1,624,000
	14,300,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		2,073,500
	7,500,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		1,087,500
	7,500,000	CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30		7,144,425
	6,100,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (d)		579,500
	2,100,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (d)		204,750
	3,600,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (d)		342,000
	4,100,000	Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (d)		378,738
				13,434,413
		Sovereign and Sovereign Agency Issuers — 0.6%
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		13,905,350
	7,300,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		7,382,125
				21,287,475
		Total China		34,721,888

Par Value†		Description	Value ($)
		Colombia — 3.1%
		Corporate Debt — 0.2%
COP	26,700,000,000	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		6,205,352
		Sovereign and Sovereign Agency Issuers — 2.9%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		706,406
	745,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		813,405
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (a)		4,844,566
	26,100,000	Colombia Government International Bond, 6.13%, due 01/18/41		25,158,769
	38,400,000	Colombia Government International Bond, 5.63%, due 02/26/44		34,447,200
	7,600,000	Colombia Government International Bond, 5.20%, due 05/15/49		6,399,675
	25,611,000	Ecopetrol SA, 7.38%, due 09/18/43		25,329,279
	6,400,000	Ecopetrol SA, 5.88%, due 11/02/51		5,367,680
COP	30,200,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		6,966,050
				110,033,030
		Total Colombia		116,238,382
		Congo Republic (Brazzaville) — 1.2%
		Sovereign and Sovereign Agency Issuers
	56,645,261	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		45,316,208
		Costa Rica — 1.0%
		Sovereign and Sovereign Agency Issuers
	29,931,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		29,094,803
	9,198,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		7,526,838
		Total Costa Rica		36,621,641
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers
	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		6,443,312
		Dominican Republic — 2.3%
		Sovereign and Sovereign Agency Issuers
	7,400,000	Dominican Republic International Bond, 144A, 6.00%, due 02/22/33		7,271,887
	4,100,000	Dominican Republic International Bond, Reg S, 5.30%, due 01/21/41		3,516,519
	89,629,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		75,473,220
		Total Dominican Republic		86,261,626

10 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)

February 28, 2022

Par Value†		Description	Value ($)
		Ecuador — 3.7%
		Sovereign and Sovereign Agency Issuers
	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		900,000
	18,576,250	Ecuador Government International Bond, Reg S, Step Up, 5.00%, due 07/31/30		16,309,948
	112,987,125	Ecuador Government International Bond, Reg S, Step Up, 1.00%, due 07/31/35		79,535,874
	36,603,750	Ecuador Government International Bond, Reg S, Step Up, 0.50%, due 07/31/40		22,643,995
	8,246,892	Ecuador Government International Bond, Zero Coupon, Reg S, due 07/31/30		4,851,750
	14,607,300	Ecuador Social Bond Sarl, Zero Coupon, Reg S, due 01/30/35		11,768,006
		Total Ecuador		136,009,573
		Egypt — 2.0%
		Sovereign and Sovereign Agency Issuers
	23,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		18,388,750
	22,800,000	Egypt Government International Bond, Reg S, 8.88%, due 05/29/50		17,955,000
	11,200,000	Egypt Government International Bond, Reg S, 8.75%, due 09/30/51		8,736,000
	38,364,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		28,773,000
		Total Egypt		73,852,750
		El Salvador — 0.6%
		Sovereign and Sovereign Agency Issuers
	5,300,000	El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32		2,962,369
	7,775,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		4,044,458
	32,900,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50		16,055,200
		Total El Salvador		23,062,027
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers
	4,090,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		3,051,651
		Gabon — 0.3%
		Sovereign and Sovereign Agency Issuers
	13,300,000	Gabon Government International Bond, Reg S, 6.63%, due 02/06/31		12,093,025
		Ghana — 1.5%
		Sovereign and Sovereign Agency Issuers
	5,000,000	Republic of Ghana, Reg S, 8.63%, due 04/07/34		3,312,500
	5,900,000	Republic of Ghana, Reg S, 8.63%, due 06/16/49		3,820,250

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	30,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		19,500,000
	28,500,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61		18,453,750
	10,444,727	Saderea DAC, Reg S, 12.50%, due 11/30/26		9,609,149
		Total Ghana		54,695,649
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers
	9,776,063	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		8,700,696
		Guatemala — 0.6%
		Sovereign and Sovereign Agency Issuers
	4,815,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		5,898,375
	2,000,000	Republic of Guatemala, Reg S, 4.65%, due 10/07/41		1,819,125
	15,200,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		15,497,350
		Total Guatemala		23,214,850
		Honduras — 0.4%
		Sovereign and Sovereign Agency Issuers
	17,300,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		14,946,119
		Hungary — 0.3%
		Sovereign and Sovereign Agency Issuers
	11,300,000	Hungary Government International Bond, Reg S, 3.13%, due 09/21/51		9,296,369
		India — 1.6%
		Corporate Debt
	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		27,769,500
	1,000,000	GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26		964,250
	21,140,000	GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27		19,465,976
	10,750,000	India Airport Infra, Reg S, 6.25%, due 10/25/25		10,320,000
		Total India		58,519,726
		Indonesia — 3.7%
		Sovereign and Sovereign Agency Issuers
	9,200,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		9,276,475
	3,700,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.45%, due 05/15/30		3,909,975
	20,900,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		21,145,575

See accompanying notes to the financial statements. 11

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Indonesia — continued
		Sovereign and Sovereign Agency Issuers — continued
	8,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		10,206,291
	11,900,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		11,229,138
	11,300,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		13,226,650
	8,200,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		7,232,913
	4,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		4,503,081
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		15,902,225
	43,900,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		42,467,762
		Total Indonesia		139,100,085
		Israel — 0.5%
		Sovereign and Sovereign Agency Issuers
	13,183,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		19,352,863
		Ivory Coast — 0.8%
		Sovereign and Sovereign Agency Issuers
EUR	29,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		27,756,676
		Jamaica — 0.9%
		Corporate Debt — 0.2%
	6,471,979	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		6,390,270
		Sovereign and Sovereign Agency Issuers — 0.7%
	9,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		12,256,641
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		13,110,000
				25,366,641
		Total Jamaica		31,756,911
		Jordan — 1.2%
		Sovereign and Sovereign Agency Issuers
	49,895,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		45,257,883
		Kazakhstan — 1.0%
		Sovereign and Sovereign Agency Issuers
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		10,767,938
	3,800,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		3,895,000
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		21,691,000
		Total Kazakhstan		36,353,938

Par Value†		Description	Value ($)
		Kenya — 0.7%
		Sovereign and Sovereign Agency Issuers
	30,400,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		26,296,000
		Kuwait — 0.1%
		Corporate Debt
	4,100,000	Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28		3,878,190
		Lebanon — 0.5%
		Sovereign and Sovereign Agency Issuers
	20,400,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		2,397,000
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		596,302
	60,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		6,590,794
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		2,257,500
	56,914,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		6,118,255
		Total Lebanon		17,959,851
		Malaysia — 1.0%
		Sovereign and Sovereign Agency Issuers
	16,700,000	1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23		16,249,100
	6,000,000	Dua Capital Ltd, Reg S, 2.78%, due 05/11/31		5,695,200
	8,400,000	Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60		9,806,160
	4,200,000	Petronas Capital Ltd, Reg S, 3.40%, due 04/28/61		3,722,796
		Total Malaysia		35,473,256
		Mexico — 6.3%
		Sovereign and Sovereign Agency Issuers
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		22,298,556
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,036,800
	126,800,000	Petroleos Mexicanos, 7.69%, due 01/23/50		113,486,000
	23,486,000	Petroleos Mexicanos, 6.95%, due 01/28/60		19,390,041
GBP	56,096,000	United Mexican States, 5.63%, due 03/19/2114		74,876,542
		Total Mexico		235,087,939
		Mongolia — 0.1%
		Sovereign and Sovereign Agency Issuers
	3,700,000	Mongolia Government International Bond, Reg S, 4.45%, due 07/07/31		3,321,157

12 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)

February 28, 2022

Par Value†		Description	Value ($)
		Montenegro — 0.2%
		Sovereign and Sovereign Agency Issuers
EUR	8,100,000	Montenegro Government International Bond, 144A, 2.88%, due 12/16/27		8,014,973
		Morocco — 0.5%
		Sovereign and Sovereign Agency Issuers
	11,300,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		11,376,275
	10,500,000	Office Cherifien des Phosphates SA, Reg S, 5.13%, due 06/23/51		8,465,625
		Total Morocco		19,841,900
		Mozambique — 0.2%
		Sovereign and Sovereign Agency Issuers
	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		7,947,213
		Nigeria — 1.0%
		Sovereign and Sovereign Agency Issuers
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		9,041,500
	15,550,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		12,556,625
	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		7,125,000
	11,300,000	Nigeria Government International Bond, Reg S, 8.25%, due 09/28/51		9,689,750
		Total Nigeria		38,412,875
		Oman — 2.7%
		Sovereign and Sovereign Agency Issuers
	4,600,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		4,278,000
	96,800,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		92,202,000
	5,400,000	Oman Government International Bond, Reg S, 7.00%, due 01/25/51		5,319,000
		Total Oman		101,799,000
		Pakistan — 0.3%
		Sovereign and Sovereign Agency Issuers
	14,762,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		12,227,549
		Panama — 1.9%
		Sovereign and Sovereign Agency Issuers
	26,200,000	Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61		23,781,412
	12,651,000	Panama Government International Bond, 8.13%, due 04/28/34		18,007,908
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		16,120,650
	12,600,000	Panama Government International Bond, 4.50%, due 01/19/63		11,831,400
		Total Panama		69,741,370

Par Value†		Description	Value ($)
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers
	1,400,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		1,260,154
		Peru — 2.4%
		Sovereign and Sovereign Agency Issuers
PEN	52,700,000	Peru Government Bond, 6.15%, due 08/12/32		13,741,817
	16,100,000	Peruvian Government International Bond, 3.60%, due 01/15/72		13,403,250
	26,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		19,704,600
	48,595,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		42,574,079
		Total Peru		89,423,746
		Philippines — 1.9%
		Sovereign and Sovereign Agency Issuers
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		7,614,000
	13,500,000	Philippine Government International Bond, 3.20%, due 07/06/46		11,915,235
	40,012,000	Power Sector Assets & Liabilities Management Corp, 9.63%, due 05/15/28		52,685,801
		Total Philippines		72,215,036
		Qatar — 0.4%
		Sovereign and Sovereign Agency Issuers
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		13,907,267
		Republic of North Macedonia — 0.2%
		Sovereign and Sovereign Agency Issuers
EUR	7,800,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		7,652,529
		Romania — 0.7%
		Sovereign and Sovereign Agency Issuers
EUR	11,300,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		11,862,401
EUR	18,300,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		15,594,341
		Total Romania		27,456,742
		Russia — 0.8%
		Sovereign and Sovereign Agency Issuers
	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (c)		4,374,000
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (c)		1,040,000

See accompanying notes to the financial statements. 13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Russia — continued
		Sovereign and Sovereign Agency Issuers — continued
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (c)		1,360,000
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35 (c)		10,200,000
	6,400,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 (c)		1,920,000
	4,000,000	Russian Foreign Bond, Reg S, 5.63%, due 04/04/42 (c)		1,200,000
	33,200,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47 (c)		9,960,000
		Total Russia		30,054,000
		Saudi Arabia — 3.2%
		Corporate Debt — 1.0%
	23,704,875	ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39		25,605,710
	11,100,000	EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46		10,807,515
				36,413,225
		Sovereign and Sovereign Agency Issuers — 2.2%
	1,600,000	Saudi Government International Bond, Reg S, 3.75%, due 01/21/55		1,554,000
	90,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		82,468,125
				84,022,125
		Total Saudi Arabia		120,435,350
		Senegal — 0.2%
		Sovereign and Sovereign Agency Issuers
	8,800,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		7,404,650
		Serbia — 0.3%
		Sovereign and Sovereign Agency Issuers
EUR	14,500,000	Serbia International Bond, Reg S, 2.05%, due 09/23/36		11,827,783
		South Africa — 3.7%
		Sovereign and Sovereign Agency Issuers
	11,720,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		11,473,147
	15,300,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		15,245,494
ZAR	203,950,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		2,806,124
ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		23,582,378
	6,800,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		6,346,525
	86,600,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		74,573,425

Par Value†		Description	Value ($)
		South Africa — continued
		Sovereign and Sovereign Agency Issuers — continued
ZAR	27,300,000	Transnet SOC, Ltd., 13.50%, due 04/18/28		2,097,748
		Total South Africa		136,124,841
		Sri Lanka — 1.1%
		Sovereign and Sovereign Agency Issuers
	7,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		3,397,940
	11,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		5,182,861
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		15,208,031
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		3,881,900
	30,100,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30		13,202,613
		Total Sri Lanka		40,873,345
		SupraNational — 0.3%
		Sovereign and Sovereign Agency Issuers
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		4,370,586
BRL	225,000,000	International Finance Corp., Zero Coupon, due 02/25/41		7,420,366
		Total SupraNational		11,790,952
		Suriname — 0.6%
		Sovereign and Sovereign Agency Issuers
	14,000,000	Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d)		9,940,000
	17,559,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		12,634,798
		Total Suriname		22,574,798
		Tajikistan — 0.3%
		Sovereign and Sovereign Agency Issuers
	11,374,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		9,861,969
		Trinidad And Tobago — 1.2%
		Sovereign and Sovereign Agency Issuers
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29		10,010,088
	3,800,000	Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30		3,699,775
	6,127,000	Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27		6,157,635
	22,488,000	Trinidad Petroleum Holdings Ltd., Reg S, 9.75%, due 06/15/26		23,082,526
		Total Trinidad And Tobago		42,950,024

14 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)

February 28, 2022

Par Value†		Description	Value ($)
		Tunisia — 1.3%
		Sovereign and Sovereign Agency Issuers
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		33,756,402
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		11,369,112
JPY	900,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		3,992,520
		Total Tunisia		49,118,034
		Turkey — 3.9%
		Sovereign and Sovereign Agency Issuers
	20,100,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		18,391,500
	13,000,000	Republic of Turkey, 6.50%, due 09/20/33		11,239,312
	10,002,000	Republic of Turkey, 6.00%, due 01/14/41		7,644,029
	151,913,000	Republic of Turkey, 5.75%, due 05/11/47		109,453,316
		Total Turkey		146,728,157
		Ukraine — 1.0%
		Sovereign and Sovereign Agency Issuers
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 (c)		1,065,187
	19,000,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26 (c)		4,750,000
	3,800,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/26 (c)		1,140,000
	9,100,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/28 (c)		2,730,000
	4,700,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25 (c)		1,504,000
	8,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 (c)		2,566,080
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 (c)		1,238,080
	37,600,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32 (c)		12,032,000
	29,900,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/33 (c)		9,568,000
	200,000	Ukraine Railways Via Rail Capital Markets Plc, Reg S, 7.88%, due 07/15/26 (c)		50,000
		Total Ukraine		36,643,347
		United Arab Emirates — 1.8%
		Sovereign and Sovereign Agency Issuers
	4,500,000	Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47		4,911,469
	8,200,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		7,728,500
	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		7,484,750
	6,000,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		5,752,650
	18,700,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		15,349,194

Par Value†		Description	Value ($)
		United Arab Emirates — continued
		Sovereign and Sovereign Agency Issuers — continued
	28,300,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		24,621,000
		Total United Arab Emirates		65,847,563
		United States — 3.2%
		Asset-Backed Securities — 0.3%
	1,248,152	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.43%, due 12/15/35		1,208,662
	476,543	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.43%, due 12/15/35		470,639
	917,302	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.39%, due 05/15/36		877,977
	8,485,463	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.34%, due 11/25/36		3,597,954
	8,598,602	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.41%, due 11/25/36		3,676,264
	4,413,051	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.55%, due 04/25/37		2,076,422
				11,907,918
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2170		505,840
		U.S. Government — 2.9%
	7,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		6,958,164
	26,000,000	U.S. Treasury Note, 0.13%, due 12/31/22		25,811,094
	43,000,000	U.S. Treasury Note, 0.13%, due 03/31/23 (g)		42,524,648
	33,050,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.40%, due 10/31/23 (g)		33,109,666
				108,403,572
		Total United States		120,817,330
		Uruguay — 0.8%
		Sovereign and Sovereign Agency Issuers
	24,918,000	Uruguay Government International Bond, 5.10%, due 06/18/50		29,579,223
		Uzbekistan — 0.4%
		Sovereign and Sovereign Agency Issuers
	7,600,000	Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30		6,536,000
	10,000,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		8,800,000
		Total Uzbekistan		15,336,000

See accompanying notes to the financial statements. 15

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Venezuela — 0.8%
		Sovereign and Sovereign Agency Issuers
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		835,988
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		6,600,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		2,168,845
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		385,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,094,110
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		2,013,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		1,306,250
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		9,503,615
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		3,778,500
		Total Venezuela		27,685,308
		Vietnam — 0.8%
		Sovereign and Sovereign Agency Issuers
	22,558,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		20,355,775
	9,918,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 0.96%, due 03/13/28 (c)		9,372,510
		Total Vietnam		29,728,285
		Zambia — 0.6%
		Sovereign and Sovereign Agency Issuers
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		2,547,000
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		20,279,206
		Total Zambia		22,826,206
		TOTAL DEBT OBLIGATIONS (COST $4,271,472,622)		3,390,867,917
		LOAN ASSIGNMENTS — 1.4%
		Chad — 0.5%
	5,721,835	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.50%, due 09/30/25 (c)		4,691,905
	20,009,940	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.75%, due 12/31/27 (c)		13,506,709
		Total Chad		18,198,614
		Kenya — 0.1%
	4,258,333	Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 7.50%, due 04/10/25 (a)		4,116,565

Par Value†		Description	Value ($)
		Turkey — 0.8%
EUR	29,435,714	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a)		31,554,295
		TOTAL LOAN ASSIGNMENTS (COST $56,367,480)		53,869,474
		LOAN PARTICIPATIONS — 1.2%
		Angola — 0.8%
	468,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 5.30%, due 12/07/23 (c)		462,150
	12,000,000	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		11,280,000
	7,275,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.05%, due 12/13/23 (c)		7,165,875
	4,162,149	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.05%, due 12/20/23 (c)		4,099,717
	7,916,667	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		7,520,833
		Total Angola		30,528,575
		Egypt — 0.0%
CHF	466	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		422
		Iraq — 0.3%
EUR	727,635	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		685,323
JPY	1,070,250,340	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		7,540,580
JPY	227,190,207	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,600,696
JPY	96,567,776	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		680,380
		Total Iraq		10,506,979
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		3

16 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)

February 28, 2022

Par Value† / Shares		Description	Value ($)
		Sudan — 0.1%
CHF	11,833,578	Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d)		1,548,391
CHF	5,155,077	Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		674,528
		Total Sudan		2,222,919
		TOTAL LOAN PARTICIPATIONS (COST $60,209,566)		43,258,898
		INVESTMENT FUNDS — 0.2%
		Colombia — 0.2%
	7,850,000	Bona Fide Investments Feeder LLC (c) (h)		7,850,000
		TOTAL INVESTMENT FUNDS (COST $7,850,000)		7,850,000
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers — 2.0%
	14,838,144	GMO U.S. Treasury Fund		74,339,103
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,339,103

Par Value† / Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.2%
		Argentina — 0.1%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (i)		3,240,577
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (i)		27,766
		Total Argentina		3,268,343
		Ukraine — 0.1%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (c) (i)		2,166,900
		TOTAL RIGHTS/WARRANTS (COST $49,378,719)		5,435,243
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 0.3%
	11,011,723	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (j)		11,011,723
		U.S. Government — 1.4%
	40,000,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (k)		39,879,741
	13,000,000	U.S. Treasury Bill, 0.66%, due 08/25/22 (k)		12,958,603
		Total U.S. Government		52,838,344
		TOTAL SHORT-TERM INVESTMENTS (COST $63,840,888)		63,850,067

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Price

Expiration Date

Principal Amount

Notional Amount

Value ($)

Currency Options — Puts — 0.0%

USD Put/RUB Call

BCLY

72.50

%

09/22/22

USD

65,200,000

USD

65,200,000

30,644

TOTAL PURCHASED OPTIONS (COST $1,094,708)	30,644
TOTAL INVESTMENTS — 97.6% (Cost $4,584,510,413)	3,639,501,346
Other Assets and Liabilities (net) — 2.4%	89,715,263
TOTAL NET ASSETS — 100.0%	$3,729,216,609

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 February 28, 2022
Bona Fide Investments Feeder LLC	12/31/21		7,850,000	0.21%	$	7,850,000

See accompanying notes to the financial statements. 17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/04/2022	JPM	BRL	70,300,000		USD	12,855,915		(673,202	)
03/17/2022	MSCI	COP	84,900,000,000		USD	21,599,206		67,825
04/21/2022	SSB	EUR	163,000,000		USD	185,280,421		2,160,435
04/21/2022	MSCI	GBP	63,311,000		USD	86,289,221		1,337,637
04/18/2022	BCLY	JPY	8,000,000,000		USD	70,092,527		433,648
04/18/2022	MSCI	PEN	58,900,000		USD	15,704,573		209,873
03/16/2022	BCLY	RUB	419,000,000		USD	4,750,028		881,321
04/12/2022	BCLY	RUB	410,000,000		USD	5,366,492		1,658,847
04/12/2022	GS	RUB	377,000,000		USD	4,919,376		1,510,151
04/12/2022	MSCI	RUB	419,000,000		USD	4,661,123		872,090
04/25/2022	MSCI	TRY	66,400,000		USD	4,606,406		183,906
04/21/2022	SSB	USD	23,267,128		EUR	20,500,000		(236,701	)
04/12/2022	BCLY	USD	13,639,493		RUB	1,065,400,000		(4,005,041	)
05/31/2022	MSCI	ZAR	356,500,000		USD	22,759,920		(159,293	)
							$	4,241,496

Reverse Repurchase Agreements^(l)

Face Value		Description	Value ($)
USD	6,346,002	J.P. Morgan Securities Plc, (0.50)%, dated 01/25/22, (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.	$	(6,346,002	)
		Average balance outstanding	$	(11,548,131	)
		Average interest rate (net)		0.45	%
		Maximum balance outstanding	$	(26,079,125	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a)		(117,494	)		48,767
Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		(1,250,471	)		202,562
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a)		(4,165,333	)		74,782
					$	(5,533,298	)	$	326,111

18 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-EMS.31.V1-5Y	USD	140,060,000		1.00%		3.01%		N/A		06/20/2024		Quarterly		4,376,875		4,962,466		585,591
CDX-EMS.35.V1-5Y	USD	143,000,000		1.00%		3.10%		N/A		06/20/2026		Quarterly		4,242,750		10,232,794		5,990,044
													$	8,619,625	$	15,195,260	$	6,575,635

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Banque Centrale de Tunisie SA	JPM	USD	19,500,000		1.00%		15.71%		N/A		06/20/2022		Quarterly		2,109,320			862,720			(1,246,600	)
Republic of Ghana	JPM	USD	3,700,000		5.00%		12.29%		N/A		06/20/2023		Quarterly		370,000			318,375			(51,625	)
Republic of Ghana	JPM	USD	3,700,000		5.00%		12.29%		N/A		06/20/2023		Quarterly		(112,514	)		318,375			430,889
Republic of Ghana	JPM	USD	3,700,000		5.00%		12.29%		N/A		06/20/2023		Quarterly		(112,260	)		318,375			430,635
Republic of South Africa	CITI	USD	35,900,000		1.00%		1.19%		N/A		12/20/2023		Quarterly		56,177			122,729			66,552
Petrobras Global Finance BV	CITI	USD	13,000,000		1.00%		1.74%		N/A		06/20/2024		Quarterly		371,175			214,578			(156,597	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		1.74%		N/A		06/20/2024		Quarterly		1,923,458			610,722			(1,312,736	)
Republic of Ghana	JPM	USD	7,500,000		5.00%		11.59%		N/A		06/20/2024		Quarterly		58,680			954,163			895,483
Commonwealth of Bahamas	DB	EUR	29,001,331		1.00%		6.21%		N/A		06/20/2025		Quarterly		3,767,513			3,475,170			(292,343	)
Republic of Colombia	CITI	USD	6,000,000		1.00%		2.27%		N/A		12/20/2026		Quarterly		168,255			329,394			161,139
Republic of South Africa	GS	USD	41,800,000		1.00%		2.31%		N/A		12/20/2026		Quarterly		2,193,618			2,366,355			172,737
Republic of South Africa	CITI	USD	10,200,000		1.00%		2.31%		N/A		12/20/2026		Quarterly		505,046			577,436			72,390
Republic of Turkey	GS	USD	32,000,000		1.00%		5.92%		N/A		12/20/2026		Quarterly		4,436,785			6,110,011			1,673,226
United States of Mexico	MORD	USD	20,000,000		1.00%		1.15%		N/A		12/20/2026		Quarterly		(19,611	)		138,343			157,954
United States of Mexico	GS	USD	20,000,000		1.00%		1.63%		N/A		06/20/2029		Quarterly		1,589,641			804,479			(785,162	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.86%		N/A		09/20/2031		Quarterly		2,640,655			1,357,924			(1,282,731	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		6.02%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(218,556	)		422,907
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		6.02%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(437,175	)		826,740
Commonwealth of Bahamas	DB	USD	38,867,771		1.00%		6.21%		38,867,771 USD		06/20/2025		Quarterly		(4,311,666	)		(4,062,187	)		249,479
Russia	CITI	USD	11,700,000		1.00%		17.80%		11,700,000 USD		12/20/2026		Quarterly		(974,925	)		(5,482,946	)		(4,508,021	)
														$	12,753,969		$	8,678,285		$	(4,075,684	)

See accompanying notes to the financial statements. 19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

^ Buy Protection - Fund pays a 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.

Sell Protection - 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.

⁽¹⁾  As of February 28, 2022, implied credit spreads in absolute terms, calculated using a model, 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.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
BZDIOVRA Index	9.51%		BRL	1,255,000,000	01/02/2025		At Maturity		—			(7,614,333	)		(7,614,333	)
BZDIOVRA Index	9.78%		BRL	338,000,000	01/02/2025		At Maturity		—			(1,642,268	)		(1,642,268	)
BZDIOVRA Index	11.46%		BRL	627,000,000	01/02/2025		At Maturity		—			396,978			396,978
0.30%	6 Month EURIBOR		EUR	19,400,000	12/17/2031		Semi-Annually		150,165			1,007,032			856,867
0.90%	GBP - SONIA - COMPOUND		GBP	34,300,000	06/10/2051		Annually		(223,919	)		4,027,200			4,251,119
0.48%	6 Month EURIBOR		EUR	38,700,000	06/14/2051		Semi-Annually		129,556			3,585,663			3,456,107
								$	55,802		$	(239,728	)	$	(295,530	)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.30%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	59,200,000,000		03/03/2022		At Maturity		—		(759,493	)		(759,493	)
4.35%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	36,900,000,000		03/08/2022		At Maturity		—		(400,346	)		(400,346	)
4.50%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	73,900,000,000		03/10/2022		At Maturity		—		(713,484	)		(713,484	)
4.40%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	51,700,000,000		03/11/2022		At Maturity		—		(533,510	)		(533,510	)
4.45%	Republic of Colombia Treasury Bond, 7.25%, due 10/26/50	CITI		COP	73,900,000,000		03/17/2022		At Maturity		—		(774,284	)		(774,284	)
										$	—	$	(3,181,117	)	$	(3,181,117	)

As of February 28, 2022, 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.

20 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Security is backed by U.S. Treasury Bonds.

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Security is in default.

(e) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(f) Security is backed by the United States International Development Finance Corporation.

(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) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

(i) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(j) The rate disclosed is the 7 day net yield as of February 28, 2022.

(k) The rate shown represents yield-to-maturity.

(l) Reverse repurchase agreements have an open maturity date and can be closed by either party on demand.

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 56.

See accompanying notes to the financial statements. 21

GMO High Yield Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Structured Products team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO High Yield Fund returned +1.35% (net) for the fiscal year ended February 28, 2022, as compared with +0.50% for the Markit iBoxx USD Liquid High Yield Index.

The Fund was invested in a mix of index portfolio products as well as cash high yield bonds. During the fiscal year, the Fund moved exposures between different products based on changes in the model’s alpha signals as well as other factors. Absolute performance was driven by high yield-based ETFs, short volatility overlay, and short-dated B–CCC bonds, which were top contributors for the period. Credit default swaps, BB-rated bonds, and fallen angel bonds (bonds originally issued as investment grade that have since been downgraded to below investment grade) also contributed positively during the period.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

22

GMO High Yield Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO High Yield Fund Class VI Shares and the Markit iBoxx USD Liquid High Yield Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

For Class VI the gross expense ratio of 0.70% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Class listed above, the net expense ratio of 0.70% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

23

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		66.6	%
Debt Obligations		31.9
Swap Contracts		0.6
Futures Contracts		0.2
Forward Currency Contracts		0.2
Written Options		(0.1	)
Other		0.6
		100.0	%
Industry Group Summary¤	% of Investments
Consumer Cyclical		23.7	%
Consumer Non-Cyclical		14.5
Communications		14.1
Energy		10.4
Capital Goods		6.5
Finance Companies		6.0
Basic Industry		5.0
Technology		4.2
Other Industrial		3.4
Insurance		2.3
Other Utility		2.1
REITS		1.7
Banking		1.3
Transportation		1.1
Electric		0.9
Other Financial		0.4
Brokerage/Asset Managers/Exchanges		0.2
		97.8	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table excludes short-term investments and mutual funds, if any. The table includes exposure through the use of certain derivative financial instruments and excludes exposures through certain currency linked derivatives such as forward currency contracts. The table takes in account the market values of securities and the notional amounts of swaps. The table is not normalized, thus the table may not total to 100%.

24

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 31.9%
		Corporate Debt — 27.6%
		Canada — 1.7%
	825,000	Methanex Corp., 5.25%, due 12/15/29		833,250
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		124,688
	500,000	Quebecor Media, Inc., 5.75%, due 01/15/23		508,750
		Total Canada		1,466,688
		Italy — 0.3%
	250,000	UniCredit SPA, 144A, Variable Rate, 5.46%, due 06/30/35		249,089
		United Kingdom — 2.6%
	350,000	Avon Products, Inc., 6.50%, due 03/15/23		355,687
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		189,940
	725,000	Rolls-Royce Plc, 144A, 3.63%, due 10/14/25		707,999
	1,000,000	Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30		945,470
		Total United Kingdom		2,199,096
		United States — 23.0%
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		125,294
	375,000	Ally Financial, Inc., 5.75%, due 11/20/25		399,244
	250,000	American Airlines Inc. / AAdvantage Loyalty IP Ltd, 144A, 5.75%, due 04/20/29		255,580
	373,000	AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, due 05/20/24		380,460
	375,000	Antero Resources Corp., 144A, 7.63%, due 02/01/29		405,949
	325,000	Apache Corp., 5.35%, due 07/01/49		323,529
	446,000	Arconic Corp., 144A, 6.00%, due 05/15/25		459,380
	125,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		138,154
	250,000	Brinker International, Inc., 3.88%, due 05/15/23		252,362
	250,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.25%, due 01/15/34		229,850
	275,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		264,476
	250,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		241,875
	400,000	Enact Holdings, Inc., 144A, 6.50%, due 08/15/25		413,960
	125,000	Fluor Corp., 4.25%, due 09/15/28		122,344
	1,050,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,061,812
	802,000	Ford Motor Credit Co. LLC, 3.82%, due 11/02/27		794,381

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	375,000	G-III Apparel Group Ltd., 144A, 7.88%, due 08/15/25		395,156
	670,000	Hexcel Corp., 4.20%, due 02/15/27		690,239
	500,000	KB Home, 4.80%, due 11/15/29		499,625
	625,000	Kraft Heinz Foods Co., 3.88%, due 05/15/27		647,156
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27		608,594
	750,000	Lumen Technologies, Inc., 144A, 4.50%, due 01/15/29		627,701
	207,000	Macy’s Retail Holdings LLC, 2.88%, due 02/15/23		206,766
	750,000	Molina Healthcare, Inc., 144A, 3.88%, due 05/15/32		734,771
	625,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		579,687
	525,000	Newell Brands, Inc., 4.70%, due 04/01/26		543,472
	91,000	NextEra Energy Operating Partners LP, 144A, 4.25%, due 07/15/24		92,789
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		400,654
	250,000	OneMain Finance Corp., 6.88%, due 03/15/25		266,774
	166,000	Owens-Brockway Glass Container, Inc., 144A, 5.88%, due 08/15/23		168,905
	250,000	PBF Logistics LP / PBF Logistics Finance Corp., 6.88%, due 05/15/23		248,750
	750,000	Perrigo Finance UnLtd Co, 3.90%, due 06/15/30		687,774
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		385,339
	400,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		429,348
	625,000	Sealed Air Corp., 144A, 5.25%, due 04/01/23		635,937
	250,000	Sensata Technologies BV, 144A, 4.88%, due 10/15/23		256,250
	250,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		234,375
	85,000	Southwestern Energy Co., 5.95%, due 01/23/25		88,613
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		792,000
	600,000	Sprint Corp., 7.88%, due 09/15/23		645,000
	625,000	Tenet Healthcare Corp., 6.75%, due 06/15/23		650,000
	227,403	Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24		217,559
	375,000	W&T Offshore, Inc., 2018 Term Loan, 144A, 9.75%, due 11/01/23		367,969
	500,000	Western Midstream Operating LP, 4.55%, due 02/01/30		514,280

See accompanying notes to the financial statements. 25

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value† / Shares		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	925,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		928,774
		Total United States		19,412,907
		Total Corporate Debt		23,327,780
		U.S. Government — 4.3%
	3,630,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 07/31/23		3,635,687
		TOTAL DEBT OBLIGATIONS (COST $27,229,588)		26,963,467
		SHORT-TERM INVESTMENTS — 66.6%
		Money Market Funds — 0.5%
	439,953	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		439,953
		Sovereign and Sovereign Agency Issuers — 24.4%
JPY	2,371,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/25/22		20,626,496
		U.S. Government — 41.7%
	650,000	U.S. Treasury Bill, 0.63%, due 08/11/22 (b)		648,160
	5,900,000	U.S. Treasury Bill, 0.71%, due 10/06/22 (b)		5,874,786
	5,380,000	U.S. Treasury Bill, 0.73%, due 11/03/22 (b)		5,353,515
	23,170,000	U.S. Treasury Bill, 0.63%, due 12/01/22 (b) (c)		23,059,822
	320,000	U.S. Treasury Bill, 0.90%, due 12/29/22 (b)		317,616
		Total U.S. Government		35,253,899
		TOTAL SHORT-TERM INVESTMENTS (COST $56,660,930)		56,320,348
		TOTAL INVESTMENTS — 98.5% (Cost $83,890,518)		83,283,815
		Other Assets and Liabilities (net) — 1.5%		1,302,406
		TOTAL NET ASSETS — 100.0%		$84,586,221

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
04/25/2022	MSCI	JPY	2,371,000,000	USD	20,866,477	$	218,399

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
7	U.S. Treasury Note 5 Yr. (CBT)		March 2022		830,211		(8,922	)
94	U.S. Treasury Note 10 Yr. (CBT)		June 2022		11,979,125		123,213
37	U.S. Treasury Note 2 Yr. (CBT)		June 2022		7,963,383		25,993
22	U.S. Treasury Note 5 Yr. (CBT)		June 2022		2,602,187		19,460
				$	23,374,906	$	159,744
Sales
7	U.S. Treasury Note 5 Yr. (CBT)		March 2022		830,211		11,823
1	U.S. Ultra Bond (CBT)		June 2022		185,937		(2,407	)
				$	1,016,148	$	9,416

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/ Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps — Puts

CDX.NA.HYS.37.V1-5Y

DB

102.50

%

04/20/22

USD 16,748,000

Fixed Spread

Pay

$

(116,704

)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $199,301)

26 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.37.V1-5Y	USD	5,774,000		5.00%		3.55%		N/A		12/20/2026		Quarterly		(321,850	)		(321,248	)		602
Sell Protection^:
CDX.NA.HYS.37.V1-5Y	USD	29,562,000		5.00%		3.55%		29,562,000 USD		12/20/2026		Quarterly		2,822,615			1,644,741			(1,177,874	)
													$	2,500,765		$	1,323,493		$	(1,177,272	)

^ Buy Protection - Fund pays a 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.

Sell Protection - 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.

⁽¹⁾  As of February 28, 2022, implied credit spreads in absolute terms, calculated using a model, 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.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	GS		USD	5,000,003		03/20/2022		Quarterly		(27	)		(164,854	)		(164,827	)
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	JPM		USD	23,090,000		03/20/2022		Quarterly		—			(638,498	)		(638,498	)
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI		USD	626,002		03/20/2022		Quarterly		—			(11,557	)		(11,557	)
										$	(27	)	$	(814,909	)	$	(814,882	)

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

(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).

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 56.

See accompanying notes to the financial statements. 27

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Rates & FX team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Multi-Sector Fixed Income Fund returned -3.74% (net) for the fiscal year ended February 28, 2022, as compared with -2.64% for the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index).

The Fund’s investment exposure was achieved through global interest rate and currency derivatives, as well as indirect (through ETFs and other GMO Funds, including GMO Opportunistic Income Fund, GMO Emerging Country Debt Fund, and GMO U.S. Treasury Fund) and direct fixed income investments.

Developed markets interest rate positioning contributed positively during the fiscal year. The Fund’s active duration positions in European and Canadian rates added value, while active exposure in U.S. duration dragged on returns. Slope positions (2-year vs. 10-year) in the UK and Sweden generated losses.

The Fund’s positions in developed market currencies produced negative alpha during the fiscal year. Exposure to Swedish krona and Swiss franc detracted from performance, while a position in Canadian dollar pared losses. Exposure to emerging market currencies resulted in negative contribution to performance. Positioning in EMEA was the primary driver of underperformance.

The Fund’s overweight positioning to off-benchmark securitized products added to relative returns, while an overweight to emerging country debt hurt the Fund during the year.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

28

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Multi-Sector Fixed Income Fund Class III Shares and the

Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and IV the gross expense ratio of 0.70% and 0.64%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.51% and 0.45% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

29

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		66.9	%
Short-Term Investments		45.9
Futures Contracts		0.3
Swap Contracts		0.1
Loan Assignments		0.1
Loan Participations		0.1
Purchased Options		0.0	^
Investment Funds		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.4	)
Other		(13.0	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		82.9	%
Switzerland		11.3
Canada		10.3
Sweden		9.8
Other Emerging		5.1	*
Australia		4.9
Other Developed		0.3	¤
New Zealand		(1.4	)
Euro Region		(2.1	)§
United Kingdom		(21.1	)
		100.0	%

† The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

‡ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. 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. 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.

* “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

¤ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

30

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 43.6%
		Brazil — 0.7%
		Corporate Debt
	400,000	Fibria Overseas Finance Ltd., 5.50%, due 01/17/27		428,650
	100,000	Suzano Austria GmbH, 6.00%, due 01/15/29		109,425
	200,000	Suzano Austria GmbH, 5.00%, due 01/15/30		204,912
	100,000	Suzano Austria GmbH, 3.75%, due 01/15/31		93,575
		Total Brazil		836,562
		Canada — 0.7%
		Corporate Debt
	400,000	Cenovus Energy, Inc., 5.40%, due 06/15/47		450,095
	450,000	National Bank of Canada, Variable Rate, 0.55%, due 11/15/24		438,986
		Total Canada		889,081
		Chile — 0.1%
		Corporate Debt
	200,000	Enel Americas SA, 4.00%, due 10/25/26		205,288
		Germany — 0.7%
		Corporate Debt
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		409,082
	450,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		444,088
		Total Germany		853,170
		Ireland — 0.8%
		Corporate Debt
	400,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 6.50%, due 07/15/25		440,680
	200,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.88%, due 01/23/28		203,175
	350,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.40%, due 10/29/33		330,501
		Total Ireland		974,356
		Netherlands — 0.3%
		Corporate Debt
	350,000	ING Groep NV, Variable Rate, 2.73%, due 04/01/32		334,273

Par Value†		Description	Value ($)
		United Kingdom — 1.4%
		Corporate Debt
	300,000	Barclays Plc, Variable Rate, 2.89%, due 11/24/32		284,258
	250,000	British Telecommunications Plc, 5.13%, due 12/04/28		269,145
	350,000	CNH Industrial NV, 4.50%, due 08/15/23		361,133
	500,000	HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30		515,808
	300,000	Reynolds American, Inc., 5.70%, due 08/15/35		327,792
		Total United Kingdom		1,758,136
		United States — 38.9%
		Corporate Debt — 24.7%
	200,000	Abbott Laboratories, 2.95%, due 03/15/25		204,897
	450,000	Alphabet, Inc., 0.45%, due 08/15/25		426,441
	450,000	Alphabet, Inc., 0.80%, due 08/15/27		416,591
	100,000	American Express Co., 4.05%, due 12/03/42		109,631
	200,000	American Financial Group Inc/OH, 4.50%, due 06/15/47		214,313
	850,000	Anthem, Inc., 2.38%, due 01/15/25		853,117
	450,000	Apple, Inc., 0.75%, due 05/11/23		447,055
	350,000	Ares Capital Corp., 2.15%, due 07/15/26		330,194
	150,000	Bank of America Corp., Variable Rate, 4.44%, due 01/20/48		167,347
	200,000	Bank of America Corp., Variable Rate, 4.33%, due 03/15/50		221,913
	400,000	Bank of America Corp., Variable Rate, 2.83%, due 10/24/51		349,840
	200,000	Boeing Co. (The), 5.04%, due 05/01/27		217,270
	200,000	Boeing Co. (The), 5.71%, due 05/01/40		232,979
	250,000	Broadcom, Inc., 5.00%, due 04/15/30		276,043
	650,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		633,836
	550,000	Carrier Global Corp., 2.72%, due 02/15/30		534,879
	250,000	CF Industries, Inc., 5.15%, due 03/15/34		279,749
	450,000	CF Industries, Inc., 5.38%, due 03/15/44		506,997
	300,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38		313,793
	150,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, due 10/23/45		179,226
	250,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		313,167
	350,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		378,491
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		436,189
	450,000	CNH Industrial Capital LLC, 1.95%, due 07/02/23		449,748

See accompanying notes to the financial statements. 31

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	CNH Industrial Capital LLC, 1.45%, due 07/15/26		189,871
	400,000	Constellation Brands, Inc., 4.25%, due 05/01/23		411,093
	350,000	Corning, Inc., 5.45%, due 11/15/79		403,849
	500,000	Devon Energy Corp., 5.60%, due 07/15/41		584,539
	200,000	Devon Energy Corp., 5.00%, due 06/15/45		222,891
	400,000	DH Europe Finance II Sarl, 2.60%, due 11/15/29		390,330
	350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		416,083
	300,000	DuPont de Nemours, Inc., 5.42%, due 11/15/48		376,492
	100,000	Ecolab, Inc., 2.70%, due 11/01/26		101,715
	300,000	Ecolab, Inc., 4.80%, due 03/24/30		343,340
	400,000	Equifax, Inc., 2.35%, due 09/15/31		367,474
	400,000	Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30		396,998
	100,000	Exelon Generation Co. LLC, 5.60%, due 06/15/42		110,769
	450,000	Expedia Group, Inc., 3.80%, due 02/15/28		462,597
	250,000	Expedia Group, Inc., 3.25%, due 02/15/30		246,590
	350,000	Fortive Corp., 4.30%, due 06/15/46		376,055
	400,000	GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31		398,620
	350,000	HCA, Inc., 4.75%, due 05/01/23		360,161
	350,000	HCA, Inc., 4.50%, due 02/15/27		370,944
	300,000	HCA, Inc., 5.50%, due 06/15/47		350,972
	200,000	Host Hotels & Resorts LP, REIT, 3.38%, due 12/15/29		196,786
	450,000	Host Hotels & Resorts LP, REIT, 3.50%, due 09/15/30		439,015
	350,000	Huntington Bancshares, Inc., 2.63%, due 08/06/24		352,959
	350,000	Johnson & Johnson, 3.63%, due 03/03/37		377,870
	850,000	Keurig Dr Pepper, Inc., 4.42%, due 05/25/25		899,877
	450,000	Las Vegas Sands Corp., 3.20%, due 08/08/24		443,592
	450,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		437,262
	300,000	Marathon Oil Corp., 5.20%, due 06/01/45		329,794
	250,000	Marathon Petroleum Corp., 6.50%, due 03/01/41		316,096
	400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		420,808
	350,000	Marvell Technology, Inc., 2.45%, due 04/15/28		337,498
	150,000	Microchip Technology, Inc., 4.25%, due 09/01/25		153,943
	300,000	Morgan Stanley, 6.38%, due 07/24/42		409,146
	300,000	Morgan Stanley, Variable Rate, 5.60%, due 03/24/51		399,791

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	350,000	NIKE, Inc., 3.38%, due 03/27/50		357,226
	350,000	Office Properties Income Trust, REIT, 4.50%, due 02/01/25		358,652
	250,000	ONEOK, Inc., 4.95%, due 07/13/47		263,033
	700,000	PacifiCorp, 4.15%, due 02/15/50		739,041
	400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		409,199
	400,000	Sabra Health Care LP, REIT, 5.13%, due 08/15/26		424,982
	250,000	Simon Property Group LP, REIT, 4.75%, due 03/15/42		282,788
	300,000	Simon Property Group LP, REIT, 4.25%, due 11/30/46		324,690
	300,000	Simon Property Group LP, REIT, 3.80%, due 07/15/50		302,781
	350,000	Starbucks Corp., 4.45%, due 08/15/49		372,620
	300,000	Starbucks Corp., 3.50%, due 11/15/50		280,959
	400,000	Synchrony Financial, 4.38%, due 03/19/24		413,615
	300,000	Synchrony Financial, 4.25%, due 08/15/24		310,914
	300,000	Time Warner Cable LLC, 5.50%, due 09/01/41		319,789
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		374,996
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		352,672
	400,000	United Parcel Service, Inc., 3.90%, due 04/01/25		421,109
	300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		372,389
	350,000	Verizon Communications, Inc., 4.33%, due 09/21/28		381,110
	400,000	Walt Disney Co. (The), 2.65%, due 01/13/31		396,141
	350,000	Wells Fargo & Co., Variable Rate, 4.48%, due 04/04/31		382,037
	100,000	Wells Fargo & Co., 3.90%, due 05/01/45		103,715
	350,000	Wells Fargo & Co., Variable Rate, 5.01%, due 04/04/51		430,986
	450,000	Welltower, Inc., REIT, 2.80%, due 06/01/31		436,254
	400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		446,595
	250,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		293,397
	400,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		440,982
				30,882,198
		U.S. Government Agency — 14.2%
	2,400,000	Federal National Mortgage Association, TBA, 2.50%, due 03/16/36		2,428,116
	4,300,000	Federal National Mortgage Association, TBA, 3.00%, due 04/25/49		4,343,000
	4,400,000	Federal National Mortgage Association, TBA, 2.50%, due 11/25/51		4,341,047

32 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	4,100,000	Federal National Mortgage Association, TBA, 2.00%, due 03/14/52		3,932,797
	2,700,000	Government National Mortgage Association, TBA, 3.00%, due 03/21/52		2,744,824
				17,789,784
		Total United States		48,671,982
		TOTAL DEBT OBLIGATIONS (COST $56,729,160)		54,522,848
		MUTUAL FUNDS — 27.7%
		United States — 27.7%
		Affiliated Issuers
	295,373	GMO Emerging Country Debt Fund, Class VI		6,291,438
	1,014,268	GMO Opportunistic Income Fund, Class VI		25,924,702
	478,907	GMO U.S. Treasury Fund		2,399,326
		TOTAL MUTUAL FUNDS (COST $37,221,238)		34,615,466
		SHORT-TERM INVESTMENTS — 42.2%
		Money Market Funds — 0.4%
	537,009	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		537,009
		Sovereign and Sovereign Agency Issuers — 22.9%
JPY	1,142,000,000	Japan Treasury Discount Bill, Zero Coupon		9,934,820
JPY	2,142,000,000	Japan Treasury Discount Bill, Zero Coupon		18,633,695
		Total Sovereign and Sovereign Agency Issuers		28,568,515
		U.S. Government — 18.9%
	2,200,000	U.S. Treasury Bill, 0.73%, due 11/03/22 (b) (c)		2,189,170
	21,600,000	U.S. Treasury Bill, 0.90%, due 12/29/22 (b)		21,439,107
		Total U.S. Government		23,628,277
		TOTAL SHORT-TERM INVESTMENTS (COST $52,840,283)		52,733,801
		TOTAL INVESTMENTS — 113.5% (Cost $146,790,681)		141,872,115
		Other Assets and Liabilities (net) — (13.5%)		(16,891,956	)
		TOTAL NET ASSETS — 100.0%		$124,980,159

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/09/2022	BCLY	AUD	1,720,000		USD	1,225,500		(24,962	)
05/09/2022	JPM	AUD	440,000		USD	312,655		(7,230	)
05/09/2022	MSCI	AUD	4,271,000		USD	3,016,657		(88,414	)
05/02/2022	JPM	CAD	1,040,846		USD	820,000		(1,301	)
05/16/2022	MSCI	CHF	5,180,426		USD	5,624,845		(41,591	)
05/16/2022	MSCI	CLP	198,388,500		USD	245,637		(72	)
03/17/2022	MSCI	COP	2,500,560,000		USD	636,162		1,998
03/31/2022	JPM	EUR	470,000		USD	528,069		449
05/16/2022	BCLY	GBP	450,000		USD	602,616		(1,127	)
05/16/2022	MSCI	HUF	137,199,348		USD	439,263		28,764
04/29/2022	CITI	ILS	452,907		USD	140,000		(1,271	)
04/29/2022	GS	ILS	807,993		USD	253,479		1,451
04/29/2022	JPM	ILS	517,022		USD	160,000		(1,269	)
03/08/2022	JPM	INR	60,053,064		USD	800,759		4,103
03/08/2022	MSCI	INR	7,544,300		USD	100,000		(82	)
06/03/2022	MSCI	INR	67,597,364		USD	884,840		(1,404	)
03/09/2022	JPM	JPY	129,313,584		USD	1,120,000		(4,940	)
04/11/2022	DB	JPY	2,142,000,000		USD	18,507,462		(141,058	)
04/25/2022	MSCI	JPY	1,142,000,000		USD	10,050,408		105,192
05/09/2022	BCLY	KRW	1,101,484,877		USD	914,262		(1,163	)
03/22/2022	MSCI	MXN	8,472,288		USD	415,422		3,137
03/01/2022	JPM	NZD	1,610,000		USD	1,075,831		(13,495	)
03/01/2022	MSCI	NZD	8,260,000		USD	5,474,878		(113,839	)
06/01/2022	JPM	NZD	9,290,000		USD	6,244,134		(32,877	)
04/19/2022	JPM	PLN	552,097		USD	130,000		(1,052	)
04/19/2022	SSB	PLN	1,207,153		USD	300,000		13,456
03/31/2022	CITI	RON	4,401,688		USD	983,266		(11,282	)
03/16/2022	BCLY	RUB	46,810,947		USD	527,552		95,338
05/11/2022	MSCI	RUB	27,119,418		USD	311,621		78,335
03/07/2022	JPM	SEK	13,620,243		USD	1,460,210		22,126
05/18/2022	MSCI	THB	20,645,125		USD	638,535		6,524
05/17/2022	JPM	TWD	8,075,039		USD	291,381		2,259
05/09/2022	JPM	USD	2,109,283		AUD	2,930,000		20,864
04/04/2022	CITI	USD	280,000		BRL	1,518,083		12,153
04/04/2022	GS	USD	370,000		BRL	1,938,080		2,980
04/04/2022	MSCI	USD	320,000		BRL	1,716,254		10,290
05/02/2022	BCLY	USD	5,468,879		CAD	6,983,064		41,250
05/02/2022	JPM	USD	2,810,000		CAD	3,565,431		3,377
05/16/2022	JPM	USD	1,550,000		CHF	1,419,497		2,670
05/16/2022	MSCI	USD	242,321		CLP	198,388,500		3,387
03/17/2022	MSCI	USD	460,000		COP	1,807,120,800		(1,698	)
05/18/2022	MSCI	USD	850,401		CZK	18,416,276		(36,364	)
03/31/2022	SSB	USD	525,472		EUR	470,000		2,147
05/16/2022	BCLY	USD	203,862		GBP	150,000		(2,615	)
05/16/2022	MSCI	USD	3,828,245		GBP	2,811,000		(56,867	)
05/16/2022	MSCI	USD	180,000		HUF	56,869,200		(9,848	)
05/04/2022	JPM	USD	527,103		IDR	7,643,000,000		2,410
04/29/2022	JPM	USD	415,248		ILS	1,325,015		(1,950	)
03/08/2022	MSCI	USD	894,595		INR	67,597,364		2,143
03/09/2022	DB	USD	580,000		JPY	66,939,540		2,329
03/09/2022	JPM	USD	950,000		JPY	108,612,550		(5,145	)
03/09/2022	MSCI	USD	5,664,633		JPY	652,832,815		14,570
05/09/2022	BCLY	USD	180,000		KRW	216,126,000		(381	)
05/09/2022	JPM	USD	130,000		KRW	156,059,800		(301	)

See accompanying notes to the financial statements. 33

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/09/2022	MSCI	USD	320,000		KRW	383,883,040		(961	)
03/22/2022	JPM	USD	160,000		MXN	3,277,289		(518	)
05/16/2022	BCLY	USD	4,266,428		NOK	37,742,954		11,918
03/01/2022	JPM	USD	6,254,028		NZD	9,290,000		31,587
03/01/2022	MSCI	USD	391,013		NZD	580,000		1,415
04/19/2022	DB	USD	150,000		PLN	597,481		(8,175	)
04/19/2022	MSCI	USD	390,330		PLN	1,551,718		(21,996	)
05/11/2022	MSCI	USD	945,679		RUB	73,930,365		(309,719	)
03/07/2022	BCLY	USD	2,963,778		SEK	26,981,421		(114,965	)
03/18/2022	MSCI	USD	250,379		SGD	336,610		(2,111	)
05/18/2022	MSCI	USD	110,000		THB	3,568,191		(767	)
05/17/2022	JPM	USD	110,000		TWD	3,062,730		(341	)
05/31/2022	MSCI	USD	162,730		ZAR	2,548,915		1,139
							$	(533,390	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
6	U.S. Long Bond (CBT)		June 2022		940,125		14,898
52	U.S. Treasury Note 10 Yr. (CBT)		June 2022		6,626,750		68,161
85	U.S. Treasury Note 2 Yr. (CBT)		June 2022		18,294,258		59,713
146	U.S. Treasury Note 5 Yr. (CBT)		June 2022		17,269,062		129,142
27	U.S. Treasury Ultra 10 Yr. (CBT)		June 2022		3,815,859		45,092
55	U.S. Ultra Bond (CBT)		June 2022		10,226,563		133,620
				$	57,172,617	$	450,626

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
6	U.S. Long Bond (CBT)		June 2022		940,125		(13,911	)
2	U.S. Treasury Note 2 Yr. (CBT)		June 2022		430,453		(1,480	)
11	U.S. Ultra Bond (CBT)		June 2022		2,045,313		(26,484	)
				$	3,415,891	$	(41,875	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.60%	3 Month AUD BBSW	AUD	3,520,000		03/16/2024	Quarterly		—			(9,171	)		(9,171	)
1.82%	3 Month CAD CDOR	CAD	33,670,000		03/16/2024	Semi-Annually		(8,946	)		104,568			113,514
1.99%	3 Month CAD CDOR	CAD	4,660,000		03/16/2024	Semi-Annually		—			2,115			2,115
1.90%	3 Month CAD CDOR	CAD	10,450,000		03/16/2024	Semi-Annually		—			19,777			19,777
1.95%	3 Month CAD CDOR	CAD	3,400,000		03/16/2024	Semi-Annually		—			3,474			3,474
3 Month CAD CDOR	2.12%	CAD	3,300,000		03/16/2024	Semi-Annually		—			5,148			5,148
3 Month CAD CDOR	1.74%	CAD	5,830,000		03/16/2024	Semi-Annually		—			(25,541	)		(25,541	)
3 Month CAD CDOR	1.80%	CAD	5,010,000		03/16/2024	Semi-Annually		—			(16,650	)		(16,650	)
2.03%	3 Month CAD CDOR	CAD	4,250,000		03/16/2024	Semi-Annually		—			(880	)		(880	)
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	10,580,000		03/16/2024	Annually		—			58,873			58,873
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	1,610,000		03/16/2024	Annually		(488	)		9,229			9,717
(0.44)%	CHF - SARON - OIS - COMPOUND	CHF	3,420,000		03/16/2024	Annually		—			11,733			11,733
CHF - SARON - OIS - COMPOUND	(0.17)%	CHF	2,610,000		03/16/2024	Annually		—			6,733			6,733
CHF - SARON - OIS - COMPOUND	(0.57)%	CHF	3,600,000		03/16/2024	Annually		(943	)		(22,807	)		(21,864	)
(0.08)%	CHF - SARON - OIS - COMPOUND	CHF	3,920,000		03/16/2024	Annually		—			(18,127	)		(18,127	)

34 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.24)%	CHF - SARON - OIS - COMPOUND	CHF	5,920,000		03/16/2024	Annually		—			(6,145	)		(6,145	)
(0.25)%	CHF - SARON - OIS - COMPOUND	CHF	5,390,000		03/16/2024	Annually		—			(4,390	)		(4,390	)
(0.28)%	CHF - SARON - OIS - COMPOUND	CHF	5,890,000		03/16/2024	Annually		—			(850	)		(850	)
GBP - SONIA - COMPOUND	1.64%	GBP	28,790,000		03/16/2024	Annually		12,031			19,311			7,280
GBP - SONIA - COMPOUND	1.80%	GBP	3,070,000		03/16/2024	Annually		2,112			15,395			13,283
1.62%	GBP - SONIA - COMPOUND	GBP	4,320,000		03/16/2024	Annually		1,403			(1,192	)		(2,595	)
1.67%	GBP - SONIA - COMPOUND	GBP	2,460,000		03/16/2024	Annually		73			(3,593	)		(3,666	)
1.67%	GBP - SONIA - COMPOUND	GBP	2,610,000		03/16/2024	Annually		(259	)		(4,431	)		(4,172	)
2.51%	3 Month NZD Bank Bill Rate	NZD	15,790,000		03/16/2024	Quarterly		—			59,573			59,573
2.40%	3 Month NZD Bank Bill Rate	NZD	4,160,000		03/16/2024	Quarterly		—			21,731			21,731
2.38%	3 Month NZD Bank Bill Rate	NZD	5,900,000		03/16/2024	Quarterly		—			32,377			32,377
2.61%	3 Month NZD Bank Bill Rate	NZD	6,500,000		03/16/2024	Quarterly		—			15,950			15,950
3 Month NZD Bank Bill Rate	2.53%	NZD	17,660,000		03/16/2024	Quarterly		—			(61,970	)		(61,970	)
3 Month NZD Bank Bill Rate	2.60%	NZD	22,070,000		03/16/2024	Quarterly		2,016			(56,776	)		(58,792	)
0.34%	3 Month SEK STIBOR	SEK	319,700,000		03/16/2024	Quarterly		—			199,257			199,257
0.33%	3 Month SEK STIBOR	SEK	47,090,000		03/16/2024	Quarterly		(3,441	)		29,857			33,298
0.32%	3 Month SEK STIBOR	SEK	18,800,000		03/16/2024	Quarterly		—			12,298			12,298
3 Month SEK STIBOR	0.72%	SEK	44,100,000		03/16/2024	Quarterly		—			7,763			7,763
3 Month SEK STIBOR	0.69%	SEK	61,700,000		03/16/2024	Quarterly		—			7,207			7,207
3 Month SEK STIBOR	0.69%	SEK	58,400,000		03/16/2024	Quarterly		—			7,192			7,192
3 Month SEK STIBOR	0.64%	SEK	32,200,000		03/16/2024	Quarterly		—			560			560
3 Month SEK STIBOR	0.33%	SEK	72,000,000		03/16/2024	Quarterly		1,903			(45,956	)		(47,859	)
3 Month SEK STIBOR	0.42%	SEK	13,700,000		03/16/2024	Quarterly		309			(6,137	)		(6,446	)
3 Month SEK STIBOR	0.63%	SEK	27,600,000		03/16/2024	Quarterly		—			(103	)		(103	)
1.22%	USD - SOFR - COMPOUND	USD	4,600,000		03/16/2024	Annually		980			17,176			16,196
USD - SOFR - COMPOUND	1.46%	USD	2,700,000		03/16/2024	Annually		339			2,644			2,305
USD - SOFR - COMPOUND	0.97%	USD	2,550,000		03/16/2024	Annually		(810	)		(22,406	)		(21,596	)
USD - SOFR - COMPOUND	1.01%	USD	6,360,000		03/16/2024	Annually		(1,212	)		(50,802	)		(49,590	)
USD - SOFR - COMPOUND	1.15%	USD	3,800,000		03/16/2024	Annually		(434	)		(19,729	)		(19,295	)
USD - SOFR - COMPOUND	1.05%	USD	4,040,000		03/16/2024	Annually		(609	)		(29,446	)		(28,837	)
1.61%	USD - SOFR - COMPOUND	USD	2,810,000		03/16/2024	Annually		(825	)		(10,945	)		(10,120	)
6 Month EURIBOR	0.22%	EUR	4,210,000		03/20/2024	Semi-Annually		120			16,359			16,239
6 Month EURIBOR	0.20%	EUR	2,920,000		03/20/2024	Semi-Annually		(459	)		10,335			10,794
6 Month EURIBOR	0.20%	EUR	2,170,000		03/20/2024	Semi-Annually		(2,019	)		7,730			9,749
6 Month EURIBOR	0.17%	EUR	2,890,000		03/20/2024	Semi-Annually		309			7,775			7,466
6 Month EURIBOR	(0.23)%	EUR	2,800,000		03/20/2024	Semi-Annually		(195	)		(17,318	)		(17,123	)
6 Month EURIBOR	(0.20)%	EUR	3,230,000		03/20/2024	Semi-Annually		(9	)		(17,711	)		(17,702	)
6 Month EURIBOR	(0.07)%	EUR	3,120,000		03/20/2024	Semi-Annually		37			(8,136	)		(8,173	)
1.95%	6 Month AUD BBSW	AUD	1,400,000		03/16/2032	Semi-Annually		—			46,534			46,534
1.96%	6 Month AUD BBSW	AUD	1,600,000		03/16/2032	Semi-Annually		—			51,940			51,940
2.10%	6 Month AUD BBSW	AUD	1,065,000		03/16/2032	Semi-Annually		—			24,796			24,796
2.10%	6 Month AUD BBSW	AUD	1,065,000		03/16/2032	Semi-Annually		—			25,141			25,141
2.15%	6 Month AUD BBSW	AUD	920,000		03/16/2032	Semi-Annually		—			18,863			18,863
2.43%	6 Month AUD BBSW	AUD	2,220,000		03/16/2032	Semi-Annually		—			4,796			4,796
6 Month AUD BBSW	2.52%	AUD	1,550,000		03/16/2032	Semi-Annually		—			5,795			5,795
6 Month AUD BBSW	2.52%	AUD	3,200,000		03/16/2032	Semi-Annually		—			11,964			11,964
6 Month AUD BBSW	2.53%	AUD	780,000		03/16/2032	Semi-Annually		—			3,294			3,294
6 Month AUD BBSW	2.54%	AUD	910,000		03/16/2032	Semi-Annually		—			4,579			4,579
6 Month AUD BBSW	2.07%	AUD	1,160,000		03/16/2032	Semi-Annually		—			(29,408	)		(29,408	)
6 Month AUD BBSW	1.99%	AUD	8,980,000		03/16/2032	Semi-Annually		(815	)		(273,808	)		(272,993	)
6 Month AUD BBSW	2.25%	AUD	1,030,000		03/16/2032	Semi-Annually		—			(14,460	)		(14,460	)
1.88%	3 Month CAD CDOR	CAD	2,170,000		03/16/2032	Semi-Annually		—			76,392			76,392
2.03%	3 Month CAD CDOR	CAD	1,460,000		03/16/2032	Semi-Annually		—			35,213			35,213
2.14%	3 Month CAD CDOR	CAD	1,260,000		03/16/2032	Semi-Annually		—			21,108			21,108
2.16%	3 Month CAD CDOR	CAD	570,000		03/16/2032	Semi-Annually		—			8,367			8,367
2.23%	3 Month CAD CDOR	CAD	1,090,000		03/16/2032	Semi-Annually		—			10,621			10,621
2.23%	3 Month CAD CDOR	CAD	1,210,000		03/16/2032	Semi-Annually		—			11,704			11,704
3 Month CAD CDOR	2.39%	CAD	1,020,000		03/16/2032	Semi-Annually		—			1,149			1,149
2.34%	3 Month CAD CDOR	CAD	900,000		03/16/2032	Semi-Annually		—			2,044			2,044
3 Month CAD CDOR	2.42%	CAD	930,000		03/16/2032	Semi-Annually		—			3,242			3,242

See accompanying notes to the financial statements. 35

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month CAD CDOR	2.12%	CAD	7,460,000		03/16/2032	Semi-Annually		9,435			(132,443	)		(141,878	)
3 Month CAD CDOR	2.12%	CAD	18,800,000		03/16/2032	Semi-Annually		4,794			(333,771	)		(338,565	)
3 Month CAD CDOR	2.33%	CAD	3,440,000		03/16/2032	Semi-Annually		—			(10,887	)		(10,887	)
3 Month CAD CDOR	2.37%	CAD	2,670,000		03/16/2032	Semi-Annually		—			(48	)		(48	)
3 Month CAD CDOR	2.35%	CAD	1,540,000		03/16/2032	Semi-Annually		—			(1,790	)		(1,790	)
3 Month CAD CDOR	2.28%	CAD	2,280,000		03/16/2032	Semi-Annually		—			(14,961	)		(14,961	)
3 Month CAD CDOR	2.32%	CAD	110,000		03/16/2032	Semi-Annually		—			(364	)		(364	)
3 Month CAD CDOR	2.32%	CAD	740,000		03/16/2032	Semi-Annually		—			(2,421	)		(2,421	)
2.39%	3 Month CAD CDOR	CAD	1,420,000		03/16/2032	Semi-Annually		—			(2,310	)		(2,310	)
2.42%	3 Month CAD CDOR	CAD	1,740,000		03/16/2032	Semi-Annually		—			(6,626	)		(6,626	)
2.44%	3 Month CAD CDOR	CAD	1,180,000		03/16/2032	Semi-Annually		—			(5,970	)		(5,970	)
2.44%	3 Month CAD CDOR	CAD	720,000		03/16/2032	Semi-Annually		—			(3,643	)		(3,643	)
(0.06)%	CHF - SARON - OIS - COMPOUND	CHF	700,000		03/16/2032	Annually		331			42,871			42,540
CHF - SARON - OIS - COMPOUND	0.51%	CHF	810,000		03/16/2032	Annually		—			393			393
CHF - SARON - OIS - COMPOUND	0.56%	CHF	1,040,000		03/16/2032	Annually		—			5,774			5,774
CHF - SARON - OIS - COMPOUND	0.51%	CHF	570,000		03/16/2032	Annually		—			494			494
CHF - SARON - OIS - COMPOUND	0.51%	CHF	580,000		03/16/2032	Annually		—			313			313
CHF - SARON - OIS - COMPOUND	0.52%	CHF	1,230,000		03/16/2032	Annually		—			1,468			1,468
CHF - SARON - OIS - COMPOUND	0.55%	CHF	1,120,000		03/16/2032	Annually		—			5,303			5,303
CHF - SARON - OIS - COMPOUND	0.52%	CHF	1,220,000		03/16/2032	Annually		—			2,453			2,453
CHF - SARON - OIS - COMPOUND	0.05%	CHF	2,170,000		03/16/2032	Annually		—			(108,544	)		(108,544	)
CHF - SARON - OIS - COMPOUND	(0.01)%	CHF	320,000		03/16/2032	Annually		832			(17,959	)		(18,791	)
CHF - SARON - OIS - COMPOUND	0.20%	CHF	700,000		03/16/2032	Annually		—			(23,344	)		(23,344	)
CHF - SARON - OIS - COMPOUND	0.22%	CHF	840,000		03/16/2032	Annually		—			(25,633	)		(25,633	)
CHF - SARON - OIS - COMPOUND	0.23%	CHF	9,390,000		03/16/2032	Annually		9,451			(280,400	)		(289,851	)
CHF - SARON - OIS - COMPOUND	0.32%	CHF	200,000		03/16/2032	Annually		—			(4,011	)		(4,011	)
0.53%	CHF - SARON - OIS - COMPOUND	CHF	540,000		03/16/2032	Annually		—			(1,468	)		(1,468	)
1.37%	GBP - SONIA - COMPOUND	GBP	20,080,000		03/16/2032	Annually		(57,664	)		87,367			145,031
1.35%	GBP - SONIA - COMPOUND	GBP	5,880,000		03/16/2032	Annually		(10,015	)		40,166			50,181
GBP - SONIA - COMPOUND	1.43%	GBP	1,360,000		03/16/2032	Annually		—			3,695			3,695
GBP - SONIA - COMPOUND	1.41%	GBP	520,000		03/16/2032	Annually		(1,355	)		446			1,801
1.35%	GBP - SONIA - COMPOUND	GBP	460,000		03/16/2032	Annually		—			3,256			3,256
GBP - SONIA - COMPOUND	1.34%	GBP	910,000		03/16/2032	Annually		(1,286	)		(7,401	)		(6,115	)
GBP - SONIA - COMPOUND	1.41%	GBP	550,000		03/16/2032	Annually		1,125			62			(1,063	)
1.46%	GBP - SONIA - COMPOUND	GBP	650,000		03/16/2032	Annually		(938	)		(4,748	)		(3,810	)
2.64%	3 Month NZD Bank Bill Rate	NZD	3,910,000		03/16/2032	Quarterly		1,239			91,435			90,196
2.69%	3 Month NZD Bank Bill Rate	NZD	4,900,000		03/16/2032	Quarterly		(1,156	)		99,039			100,195
3.02%	3 Month NZD Bank Bill Rate	NZD	650,000		03/16/2032	Quarterly		—			725			725
2.98%	3 Month NZD Bank Bill Rate	NZD	1,290,000		03/16/2032	Quarterly		—			4,471			4,471
3 Month NZD Bank Bill Rate	2.57%	NZD	3,430,000		03/16/2032	Quarterly		—			(93,512	)		(93,512	)
3 Month NZD Bank Bill Rate	2.82%	NZD	930,000		03/16/2032	Quarterly		(34	)		(11,693	)		(11,659	)
3 Month NZD Bank Bill Rate	2.78%	NZD	1,320,000		03/16/2032	Quarterly		—			(19,622	)		(19,622	)
3 Month NZD Bank Bill Rate	2.99%	NZD	1,460,000		03/16/2032	Quarterly		(1,288	)		(3,774	)		(2,486	)
3.05%	3 Month NZD Bank Bill Rate	NZD	610,000		03/16/2032	Quarterly		—			(502	)		(502	)
0.84%	3 Month SEK STIBOR	SEK	15,000,000		03/16/2032	Quarterly		(1,477	)		87,776			89,253
1.10%	3 Month SEK STIBOR	SEK	2,900,000		03/16/2032	Quarterly		(46	)		9,422			9,468
1.42%	3 Month SEK STIBOR	SEK	9,400,000		03/16/2032	Quarterly		—			430			430
1.40%	3 Month SEK STIBOR	SEK	5,900,000		03/16/2032	Quarterly		—			1,451			1,451
1.41%	3 Month SEK STIBOR	SEK	13,200,000		03/16/2032	Quarterly		—			1,661			1,661
3 Month SEK STIBOR	0.90%	SEK	65,250,000		03/16/2032	Quarterly		—			(343,943	)		(343,943	)
3 Month SEK STIBOR	0.84%	SEK	11,610,000		03/16/2032	Quarterly		2,877			(67,474	)		(70,351	)
3 Month SEK STIBOR	0.85%	SEK	3,900,000		03/16/2032	Quarterly		—			(22,627	)		(22,627	)
3 Month SEK STIBOR	1.39%	SEK	90,550,000		03/16/2032	Quarterly		19,014			(35,869	)		(54,883	)
3 Month SEK STIBOR	1.38%	SEK	8,500,000		03/16/2032	Quarterly		—			(3,792	)		(3,792	)
3 Month SEK STIBOR	1.42%	SEK	7,100,000		03/16/2032	Quarterly		—			(41	)		(41	)
3 Month SEK STIBOR	1.39%	SEK	7,500,000		03/16/2032	Quarterly		—			(2,896	)		(2,896	)
1.45%	3 Month SEK STIBOR	SEK	12,500,000		03/16/2032	Quarterly		—			(3,432	)		(3,432	)
1.43%	3 Month SEK STIBOR	SEK	6,900,000		03/16/2032	Quarterly		—			(548	)		(548	)
1.57%	USD - SOFR - COMPOUND	USD	550,000		03/16/2032	Annually		(31	)		5,231			5,262
1.56%	USD - SOFR - COMPOUND	USD	1,370,000		03/16/2032	Annually		(599	)		13,795			14,394
1.58%	USD - SOFR - COMPOUND	USD	870,000		03/16/2032	Annually		(878	)		7,143			8,021

36 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
USD - SOFR - COMPOUND	1.87%	USD	610,000		03/16/2032	Annually		1,884			11,210			9,326
1.70%	USD - SOFR - COMPOUND	USD	820,000		03/16/2032	Annually		(760	)		(2,568	)		(1,808	)
USD - SOFR - COMPOUND	1.61%	USD	990,000		03/16/2032	Annually		341			(5,367	)		(5,708	)
1.75%	USD - SOFR - COMPOUND	USD	1,190,000		03/16/2032	Annually		—			(8,760	)		(8,760	)
1.76%	USD - SOFR - COMPOUND	USD	15,520,000		03/16/2032	Annually		(26,688	)		(132,282	)		(105,594	)
1.79%	USD - SOFR - COMPOUND	USD	880,000		03/16/2032	Annually		—			(9,791	)		(9,791	)
1.82%	USD - SOFR - COMPOUND	USD	730,000		03/16/2032	Annually		—			(10,056	)		(10,056	)
1.84%	USD - SOFR - COMPOUND	USD	380,000		03/16/2032	Annually		—			(6,012	)		(6,012	)
1.71%	USD - SOFR - COMPOUND	USD	580,000		03/16/2032	Annually		(287	)		(2,275	)		(1,988	)
0.36%	6 Month EURIBOR	EUR	570,000		03/17/2032	Semi-Annually		57			27,556			27,499
0.39%	6 Month EURIBOR	EUR	660,000		03/17/2032	Semi-Annually		169			29,944			29,775
0.39%	6 Month EURIBOR	EUR	9,110,000		03/17/2032	Semi-Annually		(25,710	)		408,295			434,005
0.45%	6 Month EURIBOR	EUR	710,000		03/17/2032	Semi-Annually		—			27,402			27,402
0.42%	6 Month EURIBOR	EUR	800,000		03/17/2032	Semi-Annually		(692	)		33,211			33,903
0.49%	6 Month EURIBOR	EUR	640,000		03/17/2032	Semi-Annually		174			21,987			21,813
0.71%	6 Month EURIBOR	EUR	870,000		03/17/2032	Semi-Annually		1,288			8,547			7,259
0.76%	6 Month EURIBOR	EUR	600,000		03/17/2032	Semi-Annually		848			2,769			1,921
6 Month EURIBOR	0.81%	EUR	1,680,000		03/17/2032	Semi-Annually		—			2,240			2,240
6 Month EURIBOR	0.82%	EUR	680,000		03/17/2032	Semi-Annually		—			1,768			1,768
6 Month EURIBOR	0.83%	EUR	1,060,000		03/17/2032	Semi-Annually		—			4,274			4,274
6 Month EURIBOR	0.82%	EUR	1,060,000		03/17/2032	Semi-Annually		—			2,698			2,698
6 Month EURIBOR	0.81%	EUR	640,000		03/17/2032	Semi-Annually		—			995			995
6 Month EURIBOR	0.86%	EUR	1,090,000		03/17/2032	Semi-Annually		—			7,757			7,757
6 Month EURIBOR	0.77%	EUR	1,540,000		03/17/2032	Semi-Annually		—			(5,155	)		(5,155	)
6 Month EURIBOR	0.76%	EUR	470,000		03/17/2032	Semi-Annually		—			(2,090	)		(2,090	)
0.77%	6 Month EURIBOR	EUR	450,000		03/17/2032	Semi-Annually		1,631			1,334			(297	)
0.81%	6 Month EURIBOR	EUR	600,000		03/17/2032	Semi-Annually		(68	)		(964	)		(896	)
							$	(75,314	)	$	(374,366	)	$	(299,052	)

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

(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).

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 56.

See accompanying notes to the financial statements. 37

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Structured Products team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the Bloomberg U.S. Securitized + Index (formerly Bloomberg Barclays U.S. Securitized + Index) * is included for comparative purposes.

Class VI shares of GMO Opportunistic Income Fund returned +1.00% (net) for the fiscal year ended February 28, 2022, as compared with -2.85% for the Bloomberg U.S. Securitized + Index (formerly Bloomberg Barclays U.S. Securitized + Index).

Absolute performance was driven by Residential Mortgage-Backed Securities and Student Loans, followed by gains from securitization related asset-backed products, such as Small Balance Commercial securities, and corporate debt markets, such as Collateralized Loan Obligations. Additionally, the Fund’s credit relative value hedge positions also contributed positively during the fiscal year. While not enough to fully offset gains, the Fund’s hedge positions in long interest-rate futures and credit hedge positions detracted during the fiscal year.

*The Bloomberg U.S. Securitized + Index (formerly Bloomberg Barclays U.S. Securitized + Index) is an internally maintained benchmark computed by GMO, comprised of the J.P. Morgan U.S. 3-Month Cash Index through 12/30/2016 and the Bloomberg U.S. Securitized: MBS, ABS, CMBS Index (formerly Bloomberg Barclays U.S. Securitized: MBS, ABS, CMBS Index) thereafter.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

38

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO Opportunistic Income Fund^ Class VI Shares, the Bloomberg U.S. Securitized + Index**

(formerly Bloomberg Barclays U.S. Securitized + Index) and the Bloomberg U.S. Securitized Index

(formerly Bloomberg Barclays U.S. Securitized Index)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

^ Effective February 12, 2014, GMO Opportunistic Income Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund and the surviving entity was renamed GMO Opportunistic Income Fund. For accounting and financial reporting purposes, the Acquired Fund is the surviving entity, meaning that the combined entity adopted the historical financial reporting and performance history of the Acquired Fund. The information shown prior to February 12, 2014 is that of the Acquired Fund and reflects the Acquired Fund’s performance.

* For the period December 28, 2021 to February 1, 2022, no Class III shares were outstanding. Performance for that period is that of Class I shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class III expenses had been applied throughout.

** The Bloomberg U.S. Securitized + Index is a composite benchmark computed by GMO and comprised of the J.P. Morgan U.S. 3 Month Cash Index through December 30, 2016 and the Bloomberg U.S. Securitized Index thereafter.

*** Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which may have had a material impact on the Fund’s performance for the period shown.

For J.P. Morgan disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

For Class III, VI, R6 and I the gross expense ratio of 0.61%, 0.52%, 0.61% and 0.75%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.56%, 0.47%, 0.56%, and 0.68% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

39

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		90.1	%
Short-Term Investments		6.4
Swap Contracts		2.0
Mutual Funds		1.1
Purchased Options		0.2
Forward Currency Contracts		0.0	^
Futures Contracts		0.0	^
Written Options		(0.2	)
Other		0.4
		100.0	%

Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		20.7	%
U.S. Government		19.3
Collateralized Loan Obligations		12.4
Student Loans – Private		12.2
Small Balance Commercial Mortgages		8.3
Residential Mortgage-Backed Securities – Other		7.2
Student Loans – Federal Family Education Loan Program		6.8
Residential Mortgage-Backed Securities – Prime		4.4
Residential Mortgage-Backed Securities – Subprime		2.2
Residential Mortgage-Backed Securities – Performing Loans		2.0
Collateralized Debt Obligations		1.6
Residential Mortgage-Backed Securities –Alt-A		1.3
U.S. Government Agency		0.8
Airlines		0.5
CMBS Collateralized Debt Obligations		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

^ Rounds to 0.0%.

40

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 90.1%
		Asset-Backed Securities — 71.5%
		CMBS Collateralized Debt Obligations — 0.3%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		2,187,799
	564,382	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		505,223
		Total CMBS Collateralized Debt Obligations		2,693,022
		Collateralized Debt Obligations — 1.4%
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.60%, due 07/20/28		4,285,889
	10,007,467	OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 1.25%, due 07/17/29		10,003,034
		Total Collateralized Debt Obligations		14,288,923
		Collateralized Loan Obligations — 11.2%
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.37%, due 01/20/30		6,049,697
	8,161,387	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.31%, due 01/21/28		8,160,441
	1,582,170	Halcyon Loan Advisors Funding Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.50%, 3.78%, due 04/28/25		1,580,748
	127,509	Halcyon Loan Advisors Funding Ltd., Series 14-3A, Class B1R, 144A, Variable Rate, 3 mo. LIBOR + 1.70%, 1.96%, due 10/22/25		127,539
	3,272,471	Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 2.94%, due 10/18/26		3,268,348
	1,327,600	Jamestown CLO V Ltd., Series 14-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.75%, 3.99%, due 01/17/27		1,327,603
	1,905,000	JFIN CLO Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.14%, due 10/17/26		1,889,122
	5,718,682	JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 3.44%, due 10/17/26		5,669,850
	1,726,347	JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 1.52%, due 07/17/29		1,724,638
	6,161,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.39%, due 04/22/30		6,116,672
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.32%, due 04/22/31		3,865,272
	1,083,456	OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 144A, Variable Rate, due 07/17/26		110,683

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,991,025	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.81%, due 06/22/30		1,990,955
	2,000,000	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.84%, due 07/17/26		2,000,872
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 1.72%, due 04/17/28		7,693,768
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 2.39%, due 04/17/28		4,299,996
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.34%, due 07/18/31		4,957,553
	3,352,500	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 1.46%, due 10/15/29		3,340,940
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.75%, due 10/20/28		8,904,951
	531,321	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.16%, due 07/25/26		531,606
	14,331,096	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.31%, due 10/20/29		14,300,944
	4,057,600	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 3.77%, due 05/01/26		4,051,684
	4,042,250	WhiteHorse X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.24%, due 04/17/27		4,043,503
	4,453,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.49%, due 10/15/31		4,426,201
	4,989,484	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.29%, 1.53%, due 04/15/30		4,972,620
	1,348,522	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.19%, due 04/15/29		1,341,885
	3,474,000	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.45%, 1.69%, due 04/15/29		3,416,168
		Total Collateralized Loan Obligations		110,164,259
		Commercial Mortgage-Backed Securities — 18.6%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		9,943,918
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		7,014,497
	1,172,131	Bear Stearns Commercial Mortgage Securities Trust, Series 06-PW13, Class D, 144A, Variable Rate, 5.75%, due 09/11/41		1,147,056

See accompanying notes to the financial statements. 41

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	12,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		12,007,849
	4,719,281	BX Commercial Mortgage Trust, Series 19-XL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.92%, 1.11%, due 10/15/36		4,698,581
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		7,730,934
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44		7,244,427
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		8,001,263
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,797,241
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		8,080,795
	6,800,000	Citigroup Commercial Mortgage Trust, Series 19-C7, Class A4, 3.10%, due 12/15/72		6,885,734
	4,186,852	Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		4,492,264
	132,593	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.37%, due 04/15/37		132,494
	104,757	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		104,765
	8,600,000	Great Wolf Trust, Series 19-WOLF, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.73%, 2.92%, due 12/15/36		8,255,083
	10,000,000	GS Mortgage Securities Trust, Series 21-GSA3, Class A5, 2.62%, due 12/15/54		9,710,878
	232,769	LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30		232,318
	637,749	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36		640,957
	1,208,736	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		1,218,831
	4,213,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		3,708,677
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		2,135,402
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.07%, due 07/15/46		3,767,104
	1,982,000	Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52		2,038,738
	3,176,494	SLIDE, Series 18-FUN, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.55%, 2.74%, due 06/15/31		3,056,647
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		5,564,434
	15,433,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		16,659,559

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	1,998,053	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable rate, 144A,, 3.38%, due 02/25/52		1,984,370
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 1.74%, due 11/23/43		2,511,928
	3,572,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 2.30%, due 03/23/45		3,303,063
	4,873,173	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.30%, due 03/23/45		4,875,020
	4,317,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35		4,177,215
	8,733,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35		8,222,742
	2,000,000	Wells Fargo Commercial Mortgage Trust, Series 18-C44, Class A5, 4.21%, due 05/15/51		2,152,402
	6,267,600	Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51		6,725,208
	7,788,283	Wells Fargo Commercial Mortgage Trust, Series 18-C48, Class A5, 4.30%, due 01/15/52		8,447,004
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,520,217
		Total Commercial Mortgage-Backed Securities		183,189,615
		Residential Mortgage-Backed Securities — Other — 6.5%
	821,710	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.47%, due 02/25/36		136,618
	17,720,614	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.55%, due 02/25/36		575,867
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		5,192,563
	4,760,730	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,507,724
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,691,792
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		636,386
	210,478	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.51%, due 02/25/37		213,099
	3,620,920	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		3,579,638
	2,763,466	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,677,997
	2,604,548	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,596,050

42 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	5,284,243	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,157,035
	1,060,969	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		1,012,719
	8,000,000	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		7,848,654
	834,645	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.69%, due 10/25/34		801,858
	3,836,103	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		3,675,101
	4,332,782	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		687,916
	28,597,652	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.45%, due 06/25/36		711,736
	9,760,742	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		4,680,911
	9,934,796	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		2,672,294
	3,750,761	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.51%, due 03/25/36		398,706
	261,686	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.46%, due 02/26/34		229,322
	13,736,548	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.39%, due 03/25/36		577,773
	7,835,609	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.53%, due 03/25/36		329,482
	20,890,595	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.59%, due 03/25/36		878,331
	137,767	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.09%, due 08/25/35		453,626
	1,312,944	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,302,553
	1,391,252	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,407,846
	3,948,299	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		2,929,539
	10,266,142	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,466,509
	989,924	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		707,957
	579,774	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		595,378

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	1,350,000	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,314,636
		Total Residential Mortgage-Backed Securities — Other		63,647,616
		Residential Mortgage-Backed Securities — Performing Loans — 1.8%
	3,651,134	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		3,518,647
	7,425,657	CSMC Mortgage-Backed Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		7,313,599
	6,724,078	Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66		6,556,330
		Total Residential Mortgage-Backed Securities — Performing Loans		17,388,576
		Residential Mortgage-Backed Securities — Prime — 4.0%
	7,859,927	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.40%, due 10/25/46		4,903,316
	619,027	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.38%, due 10/25/35		631,406
	4,029,472	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,968,470
	1,446,129	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 2.95%, due 12/25/36		1,358,050
	1,146,828	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.01%, due 03/25/37		1,063,789
	8,445,864	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.63%, due 04/25/46		8,073,950
	1,646,075	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		1,003,067
	180,134	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.26%, due 09/25/35		172,658
	5,381,016	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.50%, due 05/25/35		4,471,590
	837,624	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.94%, due 09/25/35		837,298
	1,096,839	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.47%, due 01/25/47		1,089,149
	2,454,328	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.64%, due 06/25/35		2,096,582

See accompanying notes to the financial statements. 43

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	10,267,999	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		10,383,008
		Total Residential Mortgage-Backed Securities — Prime		39,052,333
		Residential Mortgage-Backed Securities — Subprime — 2.0%
	1,509,480	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.47%, due 06/25/35		1,519,069
	1,677,084	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.27%, due 05/26/37		1,633,168
	1,493,128	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 2.06%, due 08/25/35		1,495,518
	9,026,544	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.79%, due 07/25/36		8,574,636
	759,833	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 0.33%, due 12/25/36		721,264
	1,131,597	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.54%, due 11/20/34		1,161,183
	3,172,422	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.29%, due 09/25/36		3,014,374
	1,132,467	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.25%, 0.44%, due 08/25/37		1,107,744
		Total Residential Mortgage-Backed Securities — Subprime		19,226,956
		Residential Mortgage-Backed Securities — Alt-A — 1.2%
	456,573	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		467,833
	1,734,760	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.89%, due 05/25/36		795,281
	1,710,527	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.89%, due 10/25/36		685,297
	1,652,789	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.09%, due 11/25/34		1,657,893
	2,343,046	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		2,346,337
	4,005,061	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 2.77%, due 07/25/36		2,608,319
	305,118	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		306,100

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	2,798,196	RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35		2,748,222
		Total Residential Mortgage-Backed Securities — Alt-A		11,615,282
		Small Balance Commercial Mortgages — 7.4%
	2,255,015	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 0.73%, due 04/25/36		2,140,937
	3,765,982	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 0.65%, due 08/25/35		3,607,496
	1,821,376	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 0.77%, due 01/25/36		1,749,835
	994,253	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 0.76%, due 04/25/36		932,306
	1,390,674	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.53%, due 07/25/36		1,332,816
	2,844,642	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 0.61%, due 07/25/36		2,733,241
	3,301,068	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.44%, due 10/25/36		3,179,217
	10,815,958	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.61%, due 01/25/37		10,396,947
	1,885,021	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.41%, due 03/25/37		1,808,675
	3,029,475	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.43%, due 07/25/37		2,877,486
	6,195,039	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.46%, due 07/25/37		5,939,339
	94,179,685	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.18%, due 05/25/30		6,209,775
	22,874,300	FRESB Mortgage Trust, Series 20-SB74, Class X1, IO, Variable Rate, 1.18%, due 03/25/40		1,471,986
	78,302,153	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.95%, due 06/25/40		4,247,258
	1,269,805	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.72%, due 04/25/31		1,266,579
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.19%, due 04/25/31		1,992,015

44 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	3,501,830	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.59%, due 06/25/37		3,466,387
	991,596	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.31%, due 10/25/37		989,075
	3,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.31%, due 10/25/37		3,322,112
	7,696,930	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		7,506,456
	1,969,995	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,888,289
	1,148,486	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.15%, due 12/27/49		1,148,779
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.30%, due 12/27/49		3,141,535
		Total Small Balance Commercial Mortgages		73,348,541
		Student Loans — Federal Family Education Loan Program — 6.1%
	2,467,397	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.45%, due 10/25/24		2,450,582
	6,454,704	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.96%, due 01/25/43		6,121,944
	2,805,353	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.32%, due 01/25/23		2,796,012
	3,400,888	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.54%, due 03/28/35		2,984,801
	8,744,910	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.10%, due 06/15/21		8,570,303
	10,114,013	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.91%, due 07/25/22		10,155,270
	7,693,345	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 1.96%, due 07/25/23		7,715,627
	19,342,165	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.76%, due 04/25/23		19,377,108
		Total Student Loans — Federal Family Education Loan Program		60,171,647

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — 11.0%
	2,367,185	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.06%, due 07/25/34		2,304,400
	6,465,715	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.70%, due 12/27/41		6,426,099
	1,223,903	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 1.07%, due 04/28/42		1,222,373
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.52%, due 07/28/42		5,353,192
	556,482	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.69%, due 10/15/28		555,245
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, due 03/31/38 (a)		2,522,813
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		2,125,469
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		912,906
	5,587,288	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.50%, due 05/25/32		5,411,465
	3,906,730	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.48%, due 01/25/33		3,714,170
	9,597,147	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.54%, due 03/25/33		9,271,143
	5,698,791	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.56%, due 06/25/33		5,489,323
	18,574,333	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.49%, due 10/25/33		17,661,107
	3,809,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.73%, due 12/26/33		3,693,894
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		61,500
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		20,750
	4,000,000	Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,965,112
	4,028,110	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		3,862,976
	4,463,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (a)		4,463,000

See accompanying notes to the financial statements. 45

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	2,250,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (a)		2,250,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.80%, due 09/15/32		1,956,444
	1,286,518	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 0.60%, due 06/15/33		1,270,481
	9,080,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.63%, due 09/15/33		8,840,464
	3,392,684	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.49%, due 06/15/39		3,292,982
	2,775,996	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.53%, due 06/15/39		2,711,363
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.59%, due 12/15/39		2,388,935
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.24%, due 01/25/46		6,878,346
		Total Student Loans — Private		108,625,952
		Total Asset-Backed Securities		703,412,722
		Corporate Debt — 0.4%
		Airlines — 0.4%
	2,651,250	American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29		2,714,489
	1,507,664	American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31		1,518,756
		Total Airlines		4,233,245
		Total Corporate Debt		4,233,245
		U.S. Government — 17.4%
	29,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		28,826,680
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 04/30/23 (c)		30,010,013
	46,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 07/31/23 (c)		46,873,312
	65,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.40%, due 10/31/23		65,117,346
		Total U.S. Government		170,827,351

Par Value†		Description	Value ($)
		U.S. Government Agency — 0.8%
	1,057,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.78%, due 07/01/23 (a)		1,049,155
	2,959,179	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – 0.02%, 0.77%, due 02/01/25 (a)		2,912,162
	3,750,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.93%, due 10/29/26 (a)		3,679,120
		Total U.S. Government Agency		7,640,437
		TOTAL DEBT OBLIGATIONS (COST $939,313,948)		886,113,755
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	2,183,242	GMO U.S. Treasury Fund		10,938,043
		TOTAL MUTUAL FUNDS (COST $11,003,541)		10,938,043
		SHORT-TERM INVESTMENTS — 6.4%
		Money Market Funds — 0.4%
	4,404,441	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		4,404,441
		U.S. Government — 6.0%
	24,000,000	U.S. Treasury Bill, 0.54%, due 07/21/22 (e)		23,948,975
	235,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (e)		234,446
	5,765,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (e)		5,747,668
	5,000,000	U.S. Treasury Bill, 0.66%, due 08/25/22 (e)		4,984,078
	23,750,000	U.S. Treasury Bill, 0.70%, due 10/06/22 (e)		23,648,503
		Total U.S. Government		58,563,670
		TOTAL SHORT-TERM INVESTMENTS (COST $63,073,862)		62,968,111

46 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

PURCHASED OPTIONS — 0.2%

Description	Counterparty	Exercise Rate	Expiration Date		Principal/ Notional Amount		Floating Rate Index	Pay/Receive Floating Rate	Value ($)
Options on Credit Default Swaps — Puts — 0.2%
CDX.NA.HYS.37.V1-5Y	BCLY	104.50%		03/16/22	USD	67,090,000	Fixed Spread	Pay	290,547
CDX.NA.HYS.37.V1-5Y	BCLY	105.50%		03/16/22	USD	67,090,000	Fixed Spread	Pay	514,103
CDX.NA.IGS.37.V1-5Y	BOA	65.00%		03/16/22	USD	104,440,000	Fixed Spread	Pay	240,780
CDX.NA.IGS.37.V1-5Y	BOA	55.00%		03/16/22	USD	104,440,000	Fixed Spread	Pay	634,206
CDX.NA.IGS.37.V1-5Y	BCLY	67.50%		04/20/22	USD	89,230,000	Fixed Spread	Pay	293,816
CDX.NA.IGS.37.V1-5Y	BCLY	82.50%		04/20/22	USD	89,230,000	Fixed Spread	Pay	144,503
Total Options on Credit Default Swaps — Puts									2,117,955
TOTAL PURCHASED OPTIONS (COST $2,048,106)									2,117,955
TOTAL INVESTMENTS — 97.8%                         (Cost $1,015,439,457)									962,137,864
Other Assets and Liabilities (net) — 2.2%									21,739,296
TOTAL NET ASSETS — 100.0%									$983,877,160

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/21/2022	MSCI		EUR	1,845,528		USD	2,078,342		5,010
04/21/2022	SSB		EUR	6,854,186		USD	7,793,957		93,721
04/21/2022	SSB		USD	2,098,567		EUR	1,845,528		(25,235	)
								$	73,496

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
221	U.S. Treasury Note 2 Yr. (CBT)	June 2022	$	47,565,070	$	155,255
Sales
267	U.S. Treasury Note 5 Yr. (CBT)	June 2022		31,581,094		(71,411	)
292	U.S. Treasury Note 10 Yr. (CBT)	June 2022		37,211,750		(365,106	)
65	U.S. Treasury Ultra 10 Yr. (CBT)	June 2022		9,186,328		(922	)
			$	77,979,172	$	(437,439	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Counterparty	Exercise Rate	Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate	Value ($)
Written Options on Credit Default Swaps — Puts
CDX.NA.HYS.37.V1-5Y	BCLY	105.00%		03/16/22		USD	(134,180,000	)		Fixed Spread	Pay		(772,696	)
CDX.NA.IGS.37.V1-5Y	DB	75.00%		03/16/22		USD	(65,535,000	)		Fixed Spread	Pay		(52,790	)
CDX.NA.IGS.37.V1-5Y	BOA	60.00%		03/16/22		USD	(208,870,000	)		Fixed Spread	Pay		(811,612	)
CDX.NA.IGS.37.V1-5Y	GS	70.00%		03/16/22		USD	(65,535,000	)		Fixed Spread	Pay		(88,794	)
CDX.NA.IGS.37.V1-5Y	BCLY	75.00%		04/20/22		USD	(178,460,000	)		Fixed Spread	Pay		(406,285	)
				Total Written Options on Credit Default Swaps — Puts									(2,132,177	)
				TOTAL WRITTEN OPTIONS (Premiums $2,098,960)								$	(2,132,177	)

See accompanying notes to the financial statements. 47

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.EUROPE.S32.V1-5Y	EUR	29,470,000		1.00%		0.48%		N/A		12/20/2024		Quarterly		(859,948	)		(470,271	)		389,677
ITRAXX.EUROPE.S34.V1-5Y	EUR	20,633,760		1.00%		0.56%		N/A		12/20/2025		Quarterly		(648,690	)		(377,249	)		271,441
ITRAXX.XOVER.S34.V2-5Y	EUR	10,451,689		5.00%		2.63%		N/A		12/20/2025		Quarterly		(1,543,611	)		(886,047	)		657,564
CDX.NA.IGS.37.V1-5Y	USD	131,070,000		1.00%		0.69%		N/A		12/20/2026		Quarterly		(3,176,534	)		(1,922,404	)		1,254,130
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.26%		17,200,000 USD		06/20/2022		Quarterly		300,982			39,199			(261,783	)
CDX.NA.HYS.33.V3-5Y	USD	2,300,650		5.00%		2.54%		2,300,650 USD		12/20/2024		Quarterly		78,900			135,009			56,109
													$	(5,848,901	)	$	(3,481,763	)	$	2,367,138

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
D.R. Horton, Inc.	BCLY		USD	17,200,000		1.00%		0.15%		N/A		06/20/2022		Quarterly		(165,250	)		(45,657	)		119,593
CDX.NA.HYS.29.V1-5Y	JPM		USD	6,425,250		5.00%		1.64%		N/A		12/20/2022		Quarterly		(282,711	)		(204,255	)		78,456
CDX.NA.HYS.29.V1-5Y	MORD		USD	3,450,800		5.00%		1.64%		N/A		12/20/2022		Quarterly		(188,414	)		(109,699	)		78,715
CDX.NA.HYS.29.V1-5Y	JPM		USD	870,000		5.00%		1.64%		N/A		12/20/2022		Quarterly		(51,765	)		(27,657	)		24,108
Navient Corp.	GS		USD	4,050,000		5.00%		1.26%		N/A		12/20/2022		Quarterly		(421,122	)		(122,452	)		298,670
Navient Corp.	GS		USD	2,700,000		5.00%		1.26%		N/A		12/20/2022		Quarterly		(277,471	)		(81,634	)		195,837
Navient Corp.	BCLY		USD	2,082,800		5.00%		1.26%		N/A		12/20/2022		Quarterly		(160,628	)		(62,973	)		97,655
Navient Corp.	BCLY		USD	3,435,200		5.00%		1.26%		N/A		12/20/2022		Quarterly		(264,646	)		(103,863	)		160,783
CDX.NA.HYS.31.V14-5Y	CITI		USD	3,941,000		5.00%		2.06%		N/A		12/20/2023		Quarterly		(15,370	)		(51,027	)		(35,657	)
CMBX.NA.A.7	CGMI		USD	1,420,000		2.00%		5.26%		N/A		01/17/2047		Monthly		89,177			71,312			(17,865	)
CMBX.NA.A.7	GS		USD	2,840,000		2.00%		5.26%		N/A		01/17/2047		Monthly		156,358			142,625			(13,733	)
CMBX.NA.AA.7	GS		USD	5,000,000		1.50%		2.43%		N/A		01/17/2047		Monthly		7,975			73,366			65,391
CMBX.NA.AS.7	DB		USD	7,608,000		1.00%		0.90%		N/A		01/17/2047		Monthly		(119,899	)		(11,706	)		108,193
CMBX.NA.AS.7	BOA		USD	4,505,000		1.00%		0.90%		N/A		01/17/2047		Monthly		47,352			(6,932	)		(54,284	)
CMBX.NA.AS.7	DB		USD	16,677,794		1.00%		0.90%		N/A		01/17/2047		Monthly		197,705			(25,662	)		(223,367	)
CMBX.NA.AS.7	GS		USD	4,400,000		1.00%		0.90%		N/A		01/17/2047		Monthly		112,812			(6,770	)		(119,582	)
CMBX.NA.AS.7	MORD		USD	13,270,000		1.00%		0.90%		N/A		01/17/2047		Monthly		205,782			(20,419	)		(226,201	)
CMBX.NA.AA.11	CGMI		USD	4,626,000		1.50%		1.27%		N/A		11/18/2054		Monthly		(63,740	)		(55,268	)		8,472
CMBX.NA.AA.11	MORD		USD	4,624,500		1.50%		1.27%		N/A		11/18/2054		Monthly		(61,371	)		(55,250	)		6,121
CMBX.NA.AA.11	MORD		USD	4,624,500		1.50%		1.27%		N/A		11/18/2054		Monthly		(67,279	)		(55,250	)		12,029
CMBX.NA.BBB-.11	GS		USD	3,064,050		3.00%		4.76%		N/A		11/18/2054		Monthly		116,418			254,417			137,999
CMBX.NA.AA.8	CSI		USD	8,892,000		1.50%		1.36%		N/A		10/17/2057		Monthly		247,717			(31,691	)		(279,408	)
CMBX.NA.AS.8	CGMI		USD	8,892,000		1.00%		0.87%		N/A		10/17/2057		Monthly		73,095			(28,746	)		(101,841	)
CMBX.NA.AS.8	MORD		USD	3,384,000		1.00%		0.87%		N/A		10/17/2057		Monthly		140,432			(10,940	)		(151,372	)
CMBX.NA.BBB-.8	GS		USD	4,224,000		3.00%		9.30%		N/A		10/17/2057		Monthly		400,908			605,298			204,390
CMBX.NA.BBB-.8	GS		USD	6,889,000		3.00%		9.30%		N/A		10/17/2057		Monthly		1,034,610			987,191			(47,419	)
CMBX.NA.BBB-.9	MORD		USD	2,585,000		3.00%		6.51%		N/A		09/17/2058		Monthly		63,490			284,239			220,749
CMBX.NA.BBB-.9	CGMI		USD	3,425,200		3.00%		6.51%		N/A		09/17/2058		Monthly		955,105			376,625			(578,480	)
CMBX.NA.BBB-.9	CGMI		USD	2,500,000		3.00%		6.51%		N/A		09/17/2058		Monthly		290,110			274,893			(15,217	)
CMBX.NA.BBB-.9	CGMI		USD	1,500,000		3.00%		6.51%		N/A		09/17/2058		Monthly		175,119			164,936			(10,183	)

48 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Reference Entity	Counter- party	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.BBB-.9	MORD		USD	5,116,800		3.00%		6.51%		N/A		09/17/2058		Monthly		584,727			562,628			(22,099	)
CMBX.NA.BBB-.9	DB		USD	4,263,000		3.00%		6.51%		N/A		09/17/2058		Monthly		517,160			468,747			(48,413	)
CMBX.NA.AA.12	GS		USD	6,974,000		1.50%		1.34%		N/A		08/17/2061		Monthly		(61,732	)		(64,170	)		(2,438	)
CMBX.NA.BBB-.12	GS		USD	2,949,240		3.00%		4.74%		N/A		08/17/2061		Monthly		116,575			274,247			157,672
CMBX.NA.AA.6	GS		USD	5,000,000		1.50%		4.69%		N/A		05/11/2063		Monthly		35,145			78,024			42,879
CMBX.NA.BBB-.6	CGMI		USD	4,274,000		3.00%		58.55%		N/A		05/11/2063		Monthly		1,357,351			1,037,514			(319,837	)
CMBX.NA.BB.13	GS		USD	1,860,000		5.00%		7.34%		N/A		12/16/2072		Monthly		182,990			239,353			56,363
CMBX.NA.BB.13	GS		USD	3,000,000		5.00%		7.34%		N/A		12/16/2072		Monthly		295,146			386,054			90,908
CMBX.NA.BB.14	GS		USD	3,140,000		5.00%		6.61%		N/A		12/16/2072		Quarterly		175,274			304,657			129,383
CMBX.NA.BB.14	GS		USD	1,360,000		5.00%		6.61%		N/A		12/16/2072		Quarterly		75,915			131,953			56,038
CMBX.NA.BBB-.13	GS		USD	1,800,000		3.00%		4.63%		N/A		12/16/2072		Monthly		66,662			177,051			110,389
CMBX.NA.BBB-.13	GS		USD	273,500		3.00%		4.63%		N/A		12/16/2072		Monthly		16,840			26,902			10,062
CMBX.NA.BBB-.13	MSCI		USD	4,008,000		3.00%		4.63%		N/A		12/16/2072		Monthly		224,513			394,233			169,720
Sell Protection^:
CDX.NA.HYS.29.V1-5Y	MORD		USD	4,264,000		5.00%		1.64%		4,264,000 USD		12/20/2022		Quarterly		644,717			161,483			(483,234	)
CDX.NA.HYS.29.V1-5Y	BOA		USD	5,115,600		5.00%		1.64%		5,115,600 USD		12/20/2022		Quarterly		742,274			193,735			(548,539	)
CDX.NA.HYS.29.V6-5Y	CITI		USD	5,994,100		5.00%		1.64%		5,994,100 USD		12/20/2022		Quarterly		229,274			227,005			(2,269	)
CDX.NA.HYS.31.V14-5Y	CITI		USD	2,866,000		5.00%		2.06%		2,866,000 USD		12/20/2023		Quarterly		293,765			207,416			(86,349	)
CDX.NA.HYS.31.V14-5Y	CITI		USD	4,657,000		5.00%		2.06%		4,657,000 USD		12/20/2023		Quarterly		492,478			337,033			(155,445	)
CDX.NA.HYS.33.V1-5Y	GS		USD	25,938,066		5.00%		2.54%		25,938,066 USD		12/20/2024		Quarterly		5,736,852			3,311,561			(2,425,291	)
CDX.NA.HYS.33.V12-5Y	MORD		USD	2,800,895		5.00%		2.54%		2,800,895 USD		12/20/2024		Quarterly		482,034			357,596			(124,438	)
CDX.NA.HYS.33.V12-5Y	CITI		USD	10,598,036		5.00%		2.54%		10,598,036 USD		12/20/2024		Quarterly		1,827,631			1,353,071			(474,560	)
CDX.NA.HYS.33.V12-5Y	JPM		USD	10,394,872		5.00%		2.54%		10,394,872 USD		12/20/2024		Quarterly		1,704,759			1,327,133			(377,626	)
CDX.NA.HYS.33.V3-5Y	CITI		USD	4,185,325		5.00%		2.54%		4,185,325 USD		12/20/2024		Quarterly		442,877			534,348			91,471
ITRAXX.EUROPE.S32.V1-5Y	GS		EUR	58,940,000		1.00%		0.48%		58,940,000 EUR		12/20/2024		Quarterly		2,667,689			1,558,788			(1,108,901	)
CDX.NA.HYS.35.V1-5Y	JPM		USD	4,008,000		5.00%		3.12%		4,008,000 USD		12/20/2025		Quarterly		292,584			162,443			(130,141	)
CDX.NA.HYS.35.V1-5Y	MSCI		USD	4,810,000		5.00%		3.12%		4,810,000 USD		12/20/2025		Quarterly		353,535			194,947			(158,588	)
ITRAXX.EUROPE.S34.V1-5Y	BOA		EUR	36,846,000		1.00%		0.56%		36,846,000 USD		12/20/2025		Quarterly		1,774,799			1,221,560			(553,239	)
ITRAXX.XOVER.S34.V2-5Y	JPM		EUR	33,204,268		5.00%		2.62%		33,204,268 USD		12/20/2025		Quarterly		7,819,556			6,219,851			(1,599,705	)
CMBX.NA.A.9	GS		USD	6,822,400		2.00%		2.29%		6,822,400 USD		09/17/2058		Monthly		89,487			(67,439	)		(156,926	)
CMBX.NA.A.9	CGMI		USD	2,500,000		2.00%		2.29%		2,500,000 USD		09/17/2058		Monthly		(74,374	)		(24,712	)		49,662
CMBX.NA.AAA.10	GS		USD	7,540,000		0.50%		0.44%		7,540,000 USD		11/17/2059		Monthly		68,960			20,361			(48,599	)
CMBX.NA.AAA.10	GS		USD	1,700,000		0.50%		0.44%		1,700,000 USD		11/17/2059		Monthly		15,500			4,591			(10,909	)
CMBX.NA.AAA.13	GS		USD	2,825,000		0.50%		0.59%		2,825,000 USD		12/16/2072		Monthly		6,615			(17,134	)		(23,749	)
CMBX.NA.AAA.13	MORD		USD	7,399,200		0.50%		0.59%		7,399,200 USD		12/16/2072		Monthly		30,438			(44,877	)		(75,315	)
CMBX.NA.AAA.13	MORD		USD	7,399,200		0.50%		0.59%		7,399,200 USD		12/16/2072		Monthly		30,438			(44,878	)		(75,316	)
															$	31,432,953		$	23,328,126		$	(8,104,827	)

^ Buy Protection - Fund pays a 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.

Sell Protection - 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.

⁽¹⁾  As of February 28, 2022, implied credit spreads in absolute terms, calculated using a model, 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.

See accompanying notes to the financial statements. 49

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.92%		USD - SOFR - COMPOUND	USD	7,450,000		12/10/2024	Annually		—		115,145			115,145
0.92%		USD - SOFR - COMPOUND	USD	2,250,000		12/10/2024	Annually		—		34,775			34,775
1.73%		USD - SOFR - COMPOUND	USD	2,100,000		02/16/2025	Annually		—		(14,336	)		(14,336	)
								$	—	$	135,584		$	135,584

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Investment valued using significant unobservable inputs (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 February 28, 2022.

(e) 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 56.

50 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Short Duration Strategies team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes.

GMO U.S. Treasury Fund returned -0.37% (net) for the fiscal year ended February 28, 2022, as compared with +0.05% for the FTSE 3-Month Treasury Bill Index.

Security selection in U.S. Treasury Notes drove negative performance during the year, followed by losses from U.S. Treasury Bills. Positive contribution from security selection in Floating Rate Treasury Notes partly offset losses.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

52

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO U.S. Treasury Fund and the FTSE 3-Month Treasury Bill Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

The gross expense ratio of 0.11% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. The corresponding net expense ratio of 0.08% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

53

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		101.2	%
Other		(1.2	)
		100.0	%

54

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 101.2%
		U.S. Government — 97.2%
	1,200,000	U.S. Treasury Bill, 0.54%, due 07/21/22 (a)		1,197,449
	1,000,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (a)		997,641
	550,000	U.S. Treasury Bill, 0.63%, due 08/11/22 (a)		548,443
	49,850,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (a)		49,700,127
	29,500,000	U.S. Treasury Note, 0.13%, due 11/30/22		29,323,692
	47,100,000	U.S. Treasury Note, 0.13%, due 12/31/22		46,757,789
	16,900,000	U.S. Treasury Note, 0.13%, due 01/31/23		16,754,766
	7,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.41%, due 01/31/23		7,002,825
	16,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 07/31/23		16,025,064
	82,220,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.40%, due 10/31/23		82,368,433
		Total U.S. Government		250,676,229
		U.S. Government Agency — 3.9%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.02%, 0.07%, due 03/15/23		4,998,945
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 0.08%, due 06/07/23		4,999,357
		Total U.S. Government Agency		9,998,302
		Money Market Funds — 0.1%
	176,233	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.02% (b)		176,233
		TOTAL SHORT-TERM INVESTMENTS (COST $261,243,750)		260,850,764
		TOTAL INVESTMENTS — 101.2% (Cost $261,243,750)		260,850,764
		Other Assets and Liabilities (net) — (1.2%)		(3,084,446	)
		TOTAL NET ASSETS — 100.0%		$257,766,318

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 February 28, 2022.

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 56.

See accompanying notes to the financial statements. 55

GMO Trust Funds

February 28, 2022

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.

AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

BZDIOVRA - Brazil Interbank Deposit Rate

CDOR - Canadian Dollar Offered Rate

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

CP - Counterparty

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OJSC - Open Joint-Stock Company

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.

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.

XLCA - 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 February 28, 2022, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022

	Asset Allocation Bond Fund		Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	11,626	$	74,339,103	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		38,068,984		3,565,162,243		83,283,815
Foreign currency, at value (Note 2)(c)		—		1,218,980		—
Cash		—		1,878,692		87,964
Receivable for investments sold		—		12,760,938		199,301
Receivable for Fund shares sold		—		403,281		—
Dividends and interest receivable		46,109		64,235,222		277,883
Unrealized appreciation on open forward currency contracts (Note 4)		—		9,315,733		218,399
Receivable for variation margin on open cleared swap contracts (Note 4)		—		3,741,884		—
Due from broker (Note 2)		—		39,190,316		1,840,273
Receivable for variation margin on open futures contracts (Note 4)		—		—		159,764
Receivable for open OTC swap contracts (Note 4)		—		18,879,149		—
Interest receivable for open OTC swap contracts (Note 4)		—		120,364		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		—		—		2,986
Receivable for options (Note 4)(d)		—		326,111		—
Miscellaneous receivable		—		167,167		—
Total assets		38,126,719		3,791,739,183		86,070,385
Liabilities:
Payable for investments purchased		3		12,956,530		398,345
Payable for Fund shares repurchased		—		22,054,105		—
Payable for expenses reimbursed by GMO (Note 5)		39,389		—		—
Payable to affiliate for (Note 5):
Management fee		7,243		1,068,298		22,639
Shareholder service fee		1,594		296,879		3,558
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		57,886
Unrealized depreciation on open forward currency contracts (Note 4)		—		5,074,237		—
Interest payable for open OTC swap contracts (Note 4)		—		751,255		—
Payable for open OTC swap contracts (Note 4)		—		13,381,981		814,909
Payable for reverse repurchase agreements (Note 2)		—		6,346,002		—
Payable to Trustees and related expenses		473		14,825		328
Written options outstanding, at value (Note 4)(d)		—		—		116,704
Accrued expenses		59,241		578,462		69,795
Total liabilities		107,943		62,522,574		1,484,164
Net assets	$	38,018,776	$	3,729,216,609	$	84,586,221
(a)  Cost of investments – affiliated issuers:	$	11,673	$	74,296,430	$	—
(b)  Cost of investments – unaffiliated issuers:	$	38,701,149	$	4,510,213,983	$	83,890,518
(c)  Cost of foreign currency:	$	—	$	1,210,781	$	—
(d)  Premiums on options:	$	—	$	5,533,298	$	199,301

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	84,940,399		$	4,991,893,204		$	86,234,815
Distributable earnings (accumulated loss)		(46,921,623	)		(1,262,676,595	)		(1,648,594	)
	$	38,018,776		$	3,729,216,609		$	84,586,221
Net assets attributable to:
Class III	$	21,990		$	942,564,796		$	—
Class IV	$	—		$	1,531,528,446		$	—
Class VI	$	37,996,786		$	1,255,123,367		$	84,586,221
Shares outstanding:
Class III		937			44,172,663			—
Class IV		—			71,897,096			—
Class VI		1,615,851			58,939,373			4,544,739
Net asset value per share:
Class III	$	23.48		$	21.34		$	—
Class IV	$	—		$	21.30		$	—
Class VI	$	23.52		$	21.30		$	18.61

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Multi-Sector Fixed Income Fund		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	34,615,466	$	10,938,043	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		107,256,649		951,199,821		260,850,764
Cash		148,607		444,470		—
Receivable for investments sold		—		25,396,350		—
Receivable for Fund shares sold		—		325,520		672,064
Receivable for closed swap contracts (Note 4)		287		62,022		—
Dividends and interest receivable		375,318		2,037,823		53,592
Unrealized appreciation on open forward currency contracts (Note 4)		529,761		98,731		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		96,781		—
Due from broker (Note 2)		1,315,224		3,135,566		—
Receivable for variation margin on open futures contracts (Note 4)		464,359		—		—
Receivable for open OTC swap contracts (Note 4)		—		24,709,187		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,440,340		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		20,384		56,466		6,383
Total assets		144,726,055		1,019,941,120		261,582,803
Liabilities:
Due to broker (Note 2)		297		—		—
Payable for investments purchased		17,963,391		25,558,217		—
Payable for Fund shares repurchased		400,000		5,172,376		3,701,326
Payable for expenses reimbursed and/or waived by GMO (Note 5)		—		—		—
Payable to affiliate for (Note 5):
Management fee		24,172		303,043		660
Shareholder service fee		10,010		85,903		—
Payable for variation margin on open futures contracts (Note 4)		—		287,418		—
Payable for variation margin on open cleared swap contracts (Note 4)		139,875		—		—
Payable for closed swap contracts (Note 4)		339		538,200		—
Dividend payable		—		—		52,003
Unrealized depreciation on open forward currency contracts (Note 4)		1,063,151		25,235		—
Interest payable for open OTC swap contracts (Note 4)		—		354,024		—
Payable for open OTC swap contracts (Note 4)		—		1,381,061		—
Payable to Trustees and related expenses		1,521		3,642		1,230
Written options outstanding, at value (Note 4)(c)		—		2,132,177		—
Accrued expenses		143,140		222,664		61,266
Total liabilities		19,745,896		36,063,960		3,816,485
Net assets	$	124,980,159	$	983,877,160	$	257,766,318
(a)  Cost of investments – affiliated issuers:	$	37,221,238	$	11,003,541	$	—
(b)  Cost of investments – unaffiliated issuers:	$	109,569,443	$	1,004,435,916	$	261,243,750
(c)  Premiums on written options:	$	—	$	2,098,960	$	—

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	159,119,210		$	1,088,702,688		$	258,891,929
Distributable earnings (accumulated loss)		(34,139,051	)		(104,825,528	)		(1,125,611	)
	$	124,980,159		$	983,877,160		$	257,766,318
Net assets attributable to:
Core Class	$	—		$	—		$	257,766,318
Class III	$	8,802,582		$	12,281,483		$	—
Class IV	$	116,177,577		$	—		$	—
Class VI	$	—		$	375,116,849		$	—
Class R6	$	—		$	152,877,264		$	—
Class I	$	—		$	443,601,564		$	—
Shares outstanding:
Core Class		—			—			51,414,447
Class III		467,193			480,510			—
Class IV		6,138,144			—			—
Class VI		—			14,675,819			—
Class R6		—			6,000,948			—
Class I		—			17,387,831			—
Net asset value per share:
Core Class	$	—		$	—		$	5.01
Class III	$	18.84		$	25.56		$	—
Class IV	$	18.93		$	—		$	—
Class VI	$	—		$	25.56		$	—
Class R6	$	—		$	25.48		$	—
Class I	$	—		$	25.51		$	—

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Investment Income:
Interest	$	1,342,127		$	259,318,864		$	1,458,618
Dividends from affiliated issuers (Note 10)		632			100,129			—
Dividends from unaffiliated issuers		16			874			10,412
Total investment income		1,342,775			259,419,867			1,469,030
Expenses:
Management fee (Note 5)		168,765			15,073,047			328,143
Shareholder service fee – Class III (Note 5)		46,141			1,512,834			—
Shareholder service fee – Class IV (Note 5)		—			2,553,136			—
Shareholder service fee – Class VI (Note 5)		20,210			409,691	*		51,565
Audit and tax fees		79,347			144,985			72,104
Custodian, fund accounting agent and transfer agent fees		26,406			689,084			35,223
Legal fees		3,210			168,864			3,898
Registration fees		—			72,421			3,577
Trustees’ fees and related expenses (Note 5)		1,775			145,138			2,866
Interest expense (Note 2)		—			—			2,664
Miscellaneous		6,728			99,906			10,579
Total expenses		352,582			20,869,106			510,619
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(113,348	)		—			(28,545	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(241	)		(6,392	)		—
Net expenses		238,993			20,862,714			482,074
Net investment income (loss)		1,103,782			238,557,153			986,956
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		9,713,821			36,092,409			169,123
Investments in affiliated issuers		(618	)		—			—
Realized gain distributions from affiliated issuers (Note 10)		824			71,223			—
Futures contracts		—			—			(486,116	)
Options		—			317,281			314,381
Swap contracts		—			(11,076,905	)		3,636,126
Forward currency contracts		—			16,529,875			793,954
Foreign currency and foreign currency related transactions		—			458,040			27,318
Net realized gain (loss)		9,714,027			42,391,923			4,454,786
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (Note 2)		(10,233,544	)		(611,216,955	)		(1,808,500	)
Investments in affiliated issuers		(47	)		(445,144	)		—
Futures contracts		—			—			229,217
Options		—			(381,689	)		82,597
Swap contracts		—			9,401,567			(2,339,001	)
Forward currency contracts		—			4,586,507			(45,999	)
Foreign currency and foreign currency related transactions		—			(595,014	)		—
Net change in unrealized appreciation (depreciation)		(10,233,591	)		(598,650,728	)		(3,881,686	)
Net realized and unrealized gain (loss)		(519,564	)		(556,258,805	)		573,100
Net increase (decrease) in net assets resulting from operations	$	584,218		$	(317,701,652	)	$	1,560,056

* Period from July 29, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022 — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	1,257,136		$	35,720,441		$	445,448
Dividends from affiliated issuers (Note 10)		1,070,783			14,732			—
Dividends from unaffiliated issuers		527,379			616			3,299
Total investment income		2,855,298			35,735,789			448,747
Expenses:
Management fee (Note 5)		434,722			3,922,934			252,608
Shareholder service fee – Class III (Note 5)		30,798			10,209	*		—
Shareholder service fee – Class IV (Note 5)		153,357			—			—
Shareholder service fee – Class VI (Note 5)		—			243,683			—
Shareholder service fee – Class R6 (Note 5)		—			107,693	**		—
Shareholder service fee – Class I (Note 5)		—			688,608			—
Audit and tax fees		79,797			115,445			32,890
Custodian, fund accounting agent and transfer agent fees		158,214			640,225			54,932
Legal fees		5,872			166,915			9,301
Registration fees		7,746			54,315			3,900
Trustees’ fees and related expenses (Note 5)		5,568			34,000			9,900
Interest expense (Note 2)		1,208			21,329			—
Miscellaneous		7,612			56,184			7,250
Total expenses		884,894			6,061,540			370,781
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(255,404	)		(446,405	)		(322,593	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(155,424	)		(941	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(23,870	)		—			—
Net expenses		450,196			5,614,194			48,188
Net investment income (loss)		2,405,102			30,121,595			400,559
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		8,596,159			4,570,086			(591,117	)
Investments in affiliated issuers		(720,315	)		—			—
Realized gain distributions from affiliated issuers (Note 10)		232,943			10,480			—
Futures contracts		(1,649,668	)		3,741,319			—
Written options		—			1,278,191			—
Swap contracts		(10,314,273	)		(2,845,581	)		—
Forward currency contracts		2,266,522			303,454			—
Foreign currency and foreign currency related transactions		60,209			5,613			—
Net realized gain (loss)		(1,528,423	)		7,063,562			(591,117	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,886,851	)		(28,153,004	)		(560,101	)
Investments in affiliated issuers		(695,911	)		(65,498	)		—
Investments in securities sold short		—			(37,695	)		—
Futures contracts		596,190			14,614			—
Written options		—			(126,348	)		—
Swap contracts		(736,114	)		(242,986	)		—
Forward currency contracts		(1,571,293	)		74,197			—
Foreign currency and foreign currency related transactions		(31,813	)		(27,961	)		—
Net change in unrealized appreciation (depreciation)		(5,325,792	)		(28,564,681	)		(560,101	)
Net realized and unrealized gain (loss)		(6,854,215	)		(21,501,119	)		(1,151,218	)
Net increase (decrease) in net assets resulting from operations	$	(4,449,113	)	$	8,620,476		$	(750,659	)

* Period from July 21, 2021 (commencement of operations) through December 28, 2021 when all outstanding shares of the class were redeemed, and February 1, 2022, when the class recommenced operations, to February 28, 2022.

** Period from May 19, 2021 (commencement of operations) through February 28, 2022.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Emerging Country Debt Fund
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,103,782		$	1,685,489		$	238,557,153		$	234,615,368
Net realized gain (loss)		9,714,027			11,202,659			42,391,923			112,641,594
Change in net unrealized appreciation (depreciation)		(10,233,591	)		(4,762,322	)		(598,650,728	)		(230,763,388	)
Net increase (decrease) in net assets from operations		584,218			8,125,826			(317,701,652	)		116,493,574
Distributions to shareholders:
Class III		(300,707	)		(403,791	)		(100,344,029	)		(110,457,805	)
Class IV		—			—			(220,289,705	)		(299,019,091	)
Class VI		(699,355	)		(1,120,355	)		(98,169,031	)*		—
Total distributions		(1,000,062	)		(1,524,146	)		(418,802,765	)		(409,476,896	)
Net share transactions (Note 9):
Class III		(62,140,074	)		18,928,517			113,189,447			(59,256,916	)
Class IV		—			—			(1,395,160,087	)		222,010,887
Class VI		(19,881,378	)		(138,607,964	)		1,516,676,054	*		—
Increase (decrease) in net assets resulting from net share transactions		(82,021,452	)		(119,679,447	)		234,705,414			162,753,971
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			678,088			1,428,115
Class IV		—			—			1,511,015			3,980,122
Class VI		—			—			605,125	*		—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(82,021,452	)		(119,679,447	)		237,499,642			168,162,208
Total increase (decrease) in net assets		(82,437,296	)		(113,077,767	)		(499,004,775	)		(124,821,114	)
Net assets:
Beginning of period		120,456,072			233,533,839			4,228,221,384			4,353,042,498
End of period	$	38,018,776		$	120,456,072		$	3,729,216,609		$	4,228,221,384

* Period from July 29, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	High Yield Fund						Multi-Sector Fixed Income Fund
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	986,956		$	4,744,456		$	2,405,102		$	5,442,597
Net realized gain (loss)		4,454,786			4,870,688			(1,528,423	)		19,749,096
Change in net unrealized appreciation (depreciation)		(3,881,686	)		2,460,343			(5,325,792	)		(17,582,435	)
Net increase (decrease) in net assets from operations		1,560,056			12,075,487			(4,449,113	)		7,609,258
Distributions to shareholders:
Class III		—			—			(771,747	)		(8,300,596	)
Class IV		—			—			(4,376,860	)		(24,041,607	)
Class VI		(11,979,726	)		(3,588,431	)		—			—
Total distributions		(11,979,726	)		(3,588,431	)		(5,148,607	)		(32,342,203	)
Net share transactions (Note 9):
Class III		—			—			(22,088,583	)		(42,133,243	)
Class IV		—			—			(8,797,990	)		(297,963,316	)
Class VI		460,560			(75,391,205	)		—			—
Increase (decrease) in net assets resulting from net share transactions		460,560			(75,391,205	)		(30,886,573	)		(340,096,559	)
Total increase (decrease) in net assets		(9,959,110	)		(66,904,149	)		(40,484,293	)		(364,829,504	)
Net assets:
Beginning of period		94,545,331			161,449,480			165,464,452			530,293,956
End of period	$	84,586,221		$	94,545,331		$	124,980,159		$	165,464,452

64 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	30,121,595		$	31,707,361		$	400,559		$	735,938
Net realized gain (loss)		7,063,562			2,929,109			(591,117	)		1,188,447
Change in net unrealized appreciation (depreciation)		(28,564,681	)		(12,603,709	)		(560,101	)		(507,093	)
Net increase (decrease) in net assets from operations		8,620,476			22,032,761			(750,659	)		1,417,292
Distributions to shareholders:
Core Class		—			—			(700,751	)		(773,665	)
Class III		(224,578	)*		—			—			—
Class IV		—			—			—			—
Class VI		(8,572,000	)		(24,129,562	)		—			—
Class R6		(2,592,002	)**		—			—			—
Class I		(8,435,870	)		(5,867,931	)		—			—
Total distributions		(19,824,450	)		(29,997,493	)		(700,751	)		(773,665	)
Net share transactions (Note 9):
Core Class		—			—			(123,236,970	)		159,049,444
Class III		12,503,177	*		—			—			—
Class IV		—			—			—			—
Class VI		(98,588,215	)		(337,486,350	)		—			—
Class R6		155,415,258	**		—			—			—
Class I		31,143,682			391,498,422			—			—
Increase (decrease) in net assets resulting from net share transactions		100,473,902			54,012,072			(123,236,970	)		159,049,444
Total increase (decrease) in net assets		89,269,928			46,047,340			(124,688,380	)		159,693,071
Net assets:
Beginning of period		894,607,232			848,559,892			382,454,698			222,761,627
End of period	$	983,877,160		$	894,607,232		$	257,766,318		$	382,454,698

* Period from July 21, 2021 (commencement of operations) through December 28, 2021, when all outstanding shares of the class were redeemed, and February 1, 2022, when the class recommenced operations, to February 28, 2022.

** Period from May 19, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 65

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	23.82			$	22.66			$	21.61			$	21.95			$	22.15			$	23.88			$	22.72			$	21.67			$	22.02			$	22.23
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.41				0.26				0.55				0.54				0.33				0.39				0.27				0.56				0.57				0.36
Net realized and unrealized gain (loss)			(0.36	)			1.18				1.52				0.18				(0.31	)			(0.31	)			1.18				1.53				0.18				(0.33	)
Total from investment operations			0.05				1.44				2.07				0.72				0.02				0.08				1.45				2.09				0.75				0.03
Less distributions to shareholders:
From net investment income			(0.39	)			(0.28	)			(1.02	)			(1.06	)			(0.22	)			(0.44	)			(0.29	)			(1.04	)			(1.10	)			(0.24	)
Total distributions			(0.39	)			(0.28	)			(1.02	)			(1.06	)			(0.22	)			(0.44	)			(0.29	)			(1.04	)			(1.10	)			(0.24	)
Net asset value, end of period		$	23.48			$	23.82			$	22.66			$	21.61			$	21.95			$	23.52			$	23.88			$	22.72			$	21.67			$	22.02
Total Return(b)			0.16	%			6.33	%			9.74	%			3.37	%			0.07	%			0.26	%			6.39	%			9.83	%			3.48	%			0.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	22			$	61,836			$	41,124			$	82,801			$	207,008			$	37,997			$	58,621			$	192,410			$	305,842			$	1,019,135
Net operating expenses to average daily net assets			0.41	%(c)			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			—				—				0.00	%(e)			0.00	%(e)			0.00	%(e)			—				—				0.00	%(e)			0.00	%(e)			0.00	%(e)
Total net expenses to average daily net assets			0.41	%(c)			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%
Net investment income (loss) to average daily net assets(a)			1.68	%			1.11	%			2.49	%			2.48	%			1.50	%			1.60	%			1.15	%			2.49	%			2.57	%			1.59	%
Portfolio turnover rate			209	%(f)			30	%(f)			16	%(f)			59	%(f)			89	%			209	%(f)			30	%(f)			16	%(f)			59	%(f)			89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.16	%(g)			0.08	%(g)			0.06	%(g)			0.04	%			0.02	%			0.17	%(g)			0.08	%(g)			0.06	%(g)			0.04	%			0.02	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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.

^(e) Rounds to less than 0.01%.

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 28, 2020 and February 29, 2019, including transactions in USTF, was 206%, 39%, 37% and 88%, respectively, of the average value of its portfolio.

^(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	25.54			$	27.38			$	26.82			$	28.62			$	28.99			$	25.50			$	27.34			$	26.77			$	28.57			$	28.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.42				1.56				1.44				1.36				1.36				1.41				1.39				1.43				1.37				1.39
Net realized and unrealized gain (loss)			(3.16	)			(0.85	)			0.91				(1.19	)			0.32				(3.14	)			(0.66	)			0.94				(1.19	)			0.29
Total from investment operations			(1.74	)			0.71				2.35				0.17				1.68				(1.73	)			0.73				2.37				0.18				1.68
Less distributions to shareholders:
From net investment income			(1.82	)			(1.93	)			(1.79	)			(1.97	)			(2.05	)			(1.83	)			(1.95	)			(1.80	)			(1.98	)			(2.06	)
From net realized gains			(0.64	)			(0.62	)			—				—				—				(0.64	)			(0.62	)			—				—				—
Total distributions			(2.46	)			(2.55	)			(1.79	)			(1.97	)			(2.05	)			(2.47	)			(2.57	)			(1.80	)			(1.98	)			(2.06	)
Net asset value, end of period		$	21.34			$	25.54			$	27.38			$	26.82			$	28.62			$	21.30			$	25.50			$	27.34			$	26.77			$	28.57
Total Return(b)			(7.83	)%			2.67	%			8.97	%			0.97	%			5.81	%			(7.82	)%			2.73	%			9.08	%			1.02	%			5.83	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	942,565			$	1,010,106			$	1,133,945			$	1,294,577			$	1,273,188			$	1,531,528			$	3,218,116			$	3,219,098			$	2,849,316			$	2,862,977
Net operating expenses to average daily net assets(c)			0.53	%			0.54	%			0.53	%			0.52	%			0.53	%			0.48	%			0.49	%			0.48	%			0.47	%			0.48	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			—				0.00	%(e)			0.01	%			0.02	%			0.00	%(e)			—				0.00	%(e)			0.01	%			0.02	%			0.00	%(e)
Total net expenses to average daily net assets(c)			0.53	%			0.54	%			0.54	%			0.54	%			0.53	%			0.48	%			0.49	%			0.49	%			0.49	%			0.48	%
Net investment income (loss) to average daily net assets(a)			5.62	%			6.02	%			5.23	%			4.99	%			4.57	%			5.56	%			5.38	%			5.22	%			5.04	%			4.67	%
Portfolio turnover rate(f)			34	%			56	%			41	%			15	%			34	%			34	%			56	%			41	%			15	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.03			$	0.03			$	0.03			$	0.03			$	0.02			$	0.03			$	0.03			$	0.03			$	0.03

	Class VI Shares
	Period from July 29, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	25.89
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.77
Net realized and unrealized gain (loss)			(3.60	)
Total from investment operations			(2.83	)
Less distributions to shareholders:
From net investment income			(1.55	)
From net realized gains			(0.21	)
Total distributions			(1.76	)
Net asset value, end of period		$	21.30
Total Return(b)			(11.63	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,255,123
Net operating expenses to average daily net assets(c)			0.43	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			—
Total net expenses to average daily net assets(c)			0.43	%*
Net investment income (loss) to average daily net assets(a)			5.35	%*
Portfolio turnover rate(f)			34	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.00	%(e)
Purchase premiums and 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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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.

^(e) Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 33%, 55%, 40%, 15% and 33%, respectively, of the average value of its portfolio.

^(g)  Ratio includes 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)

HIGH YIELD FUND

	Class VI Shares
	Year Ended February 28/29,												Period From June 25, 2018 (commencement of operations) through February 28, 2019
	2022				2021				2020
Net asset value, beginning of period		$	20.90			$	19.94			$	20.21			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.21				0.64				0.48				0.27
Net realized and unrealized gain (loss)			0.13				0.77				0.82				0.71
Total from investment operations			0.34				1.41				1.30				0.98
Less distributions to shareholders:
From net investment income			(0.68	)			(0.40	)			(1.57	)			(0.61	)
From net realized gains			(1.95	)			(0.05	)			—				(0.16	)
Total distributions			(2.63	)			(0.45	)			(1.57	)			(0.77	)
Net asset value, end of period		$	18.61			$	20.90			$	19.94			$	20.21
Total Return(b)			1.35	%			7.21	%			6.40	%			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	84,586			$	94,545			$	161,449			$	212,762
Net operating expenses to average daily net assets(c)			0.51	%			0.52	%(d)			0.52	%(d)			0.51	%*(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f)			0.00	%(f)			0.03	%			0.04	%*
Total net expenses to average daily net assets(c)			0.51	%			0.52	%(d)			0.55	%(d)			0.55	%*(d)
Net investment income (loss) to average daily net assets(a)			1.05	%			3.23	%			2.34	%			2.00	%*
Portfolio turnover rate			98	%			288	%(g)			105	%(g)			81	%(g)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.00	%(f)(h)			0.00	%(f)(h)			0.12	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d) Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e) Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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) Rounds to less than 0.01%.

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020 and February 28, 2019, including transactions in USTF, was 317%, 214% and 159%, respectively, of the average value of its portfolio.

^(h) Ratio includes indirect fees waived or borne by GMO.

† 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)

MULTI-SECTOR FIXED INCOME FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	20.13			$	22.19			$	20.88			$	20.93			$	21.10			$	20.20			$	22.26			$	20.94			$	20.98			$	21.15
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.27				0.43				0.53				0.51				0.41				0.28				0.35				0.54				0.48				0.46
Net realized and unrealized gain (loss)			(0.99	)			(0.24	)(b)			2.01				0.49				(0.06	)			(0.98	)			(0.16	)(b)			2.02				0.53				(0.10	)
Total from investment operations			(0.72	)			0.19				2.54				1.00				0.35				(0.70	)			0.19				2.56				1.01				0.36
Less distributions to shareholders:
From net investment income			—				(0.93	)			(0.64	)			(1.05	)			(0.52	)			—				(0.93	)			(0.65	)			(1.05	)			(0.53	)
From net realized gains			(0.57	)			(1.32	)			(0.59	)			—				—				(0.57	)			(1.32	)			(0.59	)			—				—
Total distributions			(0.57	)			(2.25	)			(1.23	)			(1.05	)			(0.52	)			(0.57	)			(2.25	)			(1.24	)			(1.05	)			(0.53	)
Net asset value, end of period		$	18.84			$	20.13			$	22.19			$	20.88			$	20.93			$	18.93			$	20.20			$	22.26			$	20.94			$	20.98
Total Return(c)			(3.74	)%			0.59	%			12.38	%			4.88	%			1.61	%			(3.63	)%			0.59	%			12.44	%			4.93	%			1.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	8,803			$	31,602			$	80,639			$	84,163			$	34,641			$	116,178			$	133,862			$	449,655			$	580,456			$	920,637
Net operating expenses to average daily net assets(d)			0.31	%			0.30	%			0.29	%			0.29	%			0.29	%			0.25	%			0.24	%			0.24	%			0.24	%			0.24	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)			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(d)			0.31	%			0.30	%			0.29	%			0.29	%			0.29	%			0.25	%			0.24	%			0.24	%			0.24	%			0.24	%
Net investment income (loss) to average daily net assets(a)			1.33	%			1.98	%			2.43	%			2.41	%			1.91	%			1.39	%			1.57	%			2.47	%			2.29	%			2.14	%
Portfolio turnover rate(g)			256	%			262	%			215	%			201	%			198	%			256	%			262	%			215	%			201	%			198	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.24	%			0.19	%			0.16	%			0.16	%			0.14	%			0.25	%			0.19	%			0.16	%			0.15	%			0.14	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(e) Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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)  Rounds to less than 0.01%.

^(g) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 263%, 335%, 285%, 250% and 221%, respectively, of the average value of its portfolio.

^(h) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class III Shares								Class VI Shares
	Period from February 1, 2022 (commencement of operations) through February 28, 2022				Period from July 21, 2021 (commencement of operations) through December 28, 2021				Year Ended February 28/29,
									2022				2021				2020				2019				2018
Net asset value, beginning of period		$	25.66			$	25.88			$	25.84			$	26.15			$	26.21			$	26.41			$	25.78
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.07				0.44				0.81				1.06				1.46				1.32				1.15
Net realized and unrealized gain (loss)			(0.17	)			(0.33	)			(0.55	)			(0.31	)			(0.06	)			(0.38	)			0.18
Total from investment operations			(0.10	)			0.11				0.26				0.75				1.40				0.94				1.33
Less distributions to shareholders:
From net investment income			—				(0.42	)			(0.54	)			(1.06	)			(1.46	)			(1.14	)			(0.70	)
From net realized gains			—				—				—				0.00				—				—				—
Total distributions			—				(0.42	)			(0.54	)			(1.06	)			(1.46	)			(1.14	)			(0.70	)
Net asset value, end of period		$	25.56			$	25.57			$	25.56			$	25.84			$	26.15			$	26.21			$	26.41
Total Return(b)			(0.39	)%**			0.43	%**			1.00	%			2.95	%			5.45	%			3.58	%			5.18	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	12,281			$	13,847			$	375,117			$	477,457			$	825,876			$	1,001,146			$	1,205,954
Net operating expenses to average daily net assets(c)			0.70	%*			0.56	%*			0.47	%			0.47	%			0.47	%			0.49	%			0.47	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%*(d)			0.00	%*(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)
Total net expenses to average daily net assets(c)			0.70	%*			0.56	%*			0.47	%			0.47	%			0.47	%			0.49	%			0.47	%
Net investment income (loss) to average daily net assets(a)			3.92	%*			3.84	%*			3.13	%			4.12	%			5.50	%			4.99	%			4.39	%
Portfolio turnover rate(f)			95	%**			95	%**			95	%			43	%			47	%			75	%			152	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%*			0.04	%*			0.05	%(g)			0.05	%(g)			0.04	%(g)			0.04	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	—			$	0.01			$	0.05			$	0.04

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019, and February 28, 2018, including transactions in USTF, was 94%, 45%, 48%, 83%, and 175%, respectively, of the average value of its portfolio.

^(g)  Ratio includes indirect fees waived or borne by GMO.

† 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)

OPPORTUNISTIC INCOME FUND (continued)

	Class R6 Shares				Class I Shares
	Period from May 19, 2021 (commencement of operations) through February 28, 2022				Year Ended February 28,								Period from November 5, 2019 (commencement of operations) through February 29, 2020
					2022				2021
Net asset value, beginning of period		$	25.86			$	25.80			$	26.12			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.67				0.77				0.89				0.54
Net realized and unrealized gain (loss)			(0.51	)			(0.57	)			(0.18	)			(0.08	)
Total from investment operations			0.16				0.20				0.71				0.46
Less distributions to shareholders:
From net investment income			(0.54	)			(0.49	)			(1.03	)			(1.19	)
From net realized gains			—				—				—				—
Total distributions			(0.54	)			(0.49	)			(1.03	)			(1.19	)
Net asset value, end of period		$	25.48			$	25.51			$	25.80			$	26.12
Total Return(b)			0.62	%**			0.77	%			2.79	%			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	152,877			$	443,602			$	417,150			$	22,684
Net operating expenses to average daily net assets(c)			0.58	%*			0.67	%			0.68	%			0.66	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%*(d)			0.00	%(d)			0.00	%(d)			0.00	%*(d)
Total net expenses to average daily net assets(c)			0.58	%*			0.67	%			0.68	%			0.66	%*
Net investment income (loss) to average daily net assets(a)			3.29	%*			2.97	%			3.47	%			6.55	%*
Portfolio turnover rate(f)			95	%**			95	%			43	%			47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.05	%(g)			0.07	%(g)			0.07	%*(g)

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021 and February 29, 2020, including transactions in USTF, was 94%, 45% and 48%, respectively, of the average value of its portfolio.

^(g)  Ratio includes 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. 71

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Year Ended February 28/29,
	2022				2021				2020				2019(a)				2018(a)
Net asset value, beginning of period		$	5.04			$	5.02			$	5.00			$	5.00			$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.01				0.01				0.10				0.10				0.05
Net realized and unrealized gain (loss)			(0.04	)			0.02				0.02				0.01				(0.01	)
Total from investment operations			(0.03	)			0.03				0.12				0.11				0.04
Less distributions to shareholders:
From net investment income			(0.00	)(b)			(0.01	)			(0.10	)			(0.11	)			(0.05	)
From net realized gains			(0.00	)(b)			(0.00	)(b)			—				—				—
Total distributions			(0.00	)(b)			(0.01	)			(0.10	)			(0.11	)			(0.05	)
Net asset value, end of period		$	5.01			$	5.04			$	5.02			$	5.00			$	5.00
Total Return(c)			(0.37	)%			0.63	%			2.47	%			2.16	%			0.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	257,766			$	382,455			$	222,762			$	635,777			$	2,324,706
Net expenses to average daily net assets			0.02	%			0.08	%			0.06	%			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets			0.13	%			0.20	%			2.03	%			1.97	%			1.06	%
Portfolio turnover rate(e)			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.10	%			0.03	%			0.05	%			0.10	%			0.09	%

^(a) Per share amounts were adjusted to reflect an approximate 5 for 1 stock split effective December 6, 2018.

^(b) Rounds to less than $0.01.

^(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) Rounds to less than 0.01%.

^(e) Portfolio turnover rate calculation excludes short-term investments.

† Calculated using average shares outstanding throughout the period.

72 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2022

1. Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury 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 (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds 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”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	FTSE 3-Month Treasury Bill Index	Total return in excess of benchmark
Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified	Total return in excess of benchmark
High Yield Fund	Markit iBoxx USD Liquid High Yield Index	Total return in excess of benchmark
Multi-Sector Fixed Income Fund	Bloomberg U.S. Aggregate Index	Total return in excess of benchmark
Opportunistic Income Fund	Not Applicable	Capital appreciation and current income
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond 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

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates 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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

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 that range, then they will be valued at the closing bid price

73

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

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 when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. 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).

“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 quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2022, the Funds did not reduce the value of any of their 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.

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 methodologies 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.

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; 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 certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts

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February 28, 2022

valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; 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, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be 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; certain investment funds valued at cost; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2022:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	37,852,066	$	—	$	—	$	37,852,066
TOTAL DEBT OBLIGATIONS		37,852,066		—		—		37,852,066
Mutual Funds		11,626		—		—		11,626
Short-Term Investments		216,918		—		—		216,918
Total Investments		38,080,610		—		—		38,080,610
Total	$	38,080,610	$	—	$	—	$	38,080,610
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	11,907,918	$	—	$	11,907,918
Corporate Debt		—		183,562,412		20,629,398		204,191,810
Sovereign and Sovereign Agency Issuers		—		2,793,635,756		272,728,861		3,066,364,617
U.S. Government		108,403,572		—		—		108,403,572
TOTAL DEBT OBLIGATIONS		108,403,572		2,989,106,086		293,358,259		3,390,867,917
Loan Assignments		—		—		53,869,474		53,869,474
Loan Participations		—		—		43,258,898		43,258,898
Investment Funds		—		—		7,850,000		7,850,000
Mutual Funds		74,339,103		—		—		74,339,103
Purchased Options		—		30,644		—		30,644
Rights/Warrants		—		3,240,577		2,194,666		5,435,243
Short-Term Investments		63,850,067		—		—		63,850,067
Total Investments		246,592,742		2,992,377,307		400,531,297		3,639,501,346
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		9,315,733		—		9,315,733
Options
Credit Risk		—		—		326,111		326,111
Swap Contracts
Credit Risk		—		34,074,409		—		34,074,409
Interest Rate Risk		—		9,016,873		—		9,016,873
Total	$	246,592,742	$	3,044,784,322	$	400,857,408	$	3,692,234,472

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February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(5,074,237	)	$	—	$	(5,074,237	)
Swap Contracts
Credit Risk		—			(10,200,864	)		—		(10,200,864	)
Interest Rate Risk		—			(12,437,718	)		—		(12,437,718	)
Total	$	—		$	(27,712,819	)	$	—	$	(27,712,819	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	23,327,780		$	—	$	23,327,780
U.S. Government		3,635,687			—			—		3,635,687
TOTAL DEBT OBLIGATIONS		3,635,687			23,327,780			—		26,963,467
Short-Term Investments		35,693,852			20,626,496			—		56,320,348
Total Investments		39,329,539			43,954,276			—		83,283,815
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			218,399			—		218,399
Futures Contracts
Interest Rate Risk		180,489			—			—		180,489
Swap Contracts
Credit Risk		—			1,644,741			—		1,644,741
Total	$	39,510,028		$	45,817,416		$	—	$	85,327,444
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(11,329	)	$	—		$	—	$	(11,329	)
Swap Contracts
Credit Risk		—			(321,248	)		—		(321,248	)
Interest Rate Risk		—			(814,909	)		—		(814,909	)
Written Options
Credit Risk		—			(116,704	)		—		(116,704	)
Total	$	(11,329	)	$	(1,252,861	)	$	—	$	(1,264,190	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	36,733,064		$	—	$	36,733,064
U.S. Government Agency		—			17,789,784			—		17,789,784
TOTAL DEBT OBLIGATIONS		—			54,522,848			—		54,522,848
Mutual Funds		34,615,466			—			—		34,615,466
Short-Term Investments		24,165,286			28,568,515			—		52,733,801
Total Investments		58,780,752			83,091,363			—		141,872,115

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February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	529,761		$	—	$	529,761
Futures Contracts
Interest Rate Risk		450,626			—			—		450,626
Swap Contracts
Interest Rate Risk		—			2,188,309			—		2,188,309
Total	$	59,231,378		$	85,809,433		$	—	$	145,040,811
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,063,151	)	$	—	$	(1,063,151	)
Futures Contracts
Interest Rate Risk		(41,875	)		—			—		(41,875	)
Swap Contracts
Interest Rate Risk		—			(2,562,675	)		—		(2,562,675	)
Total	$	(41,875	)	$	(3,625,826	)	$	—	$	(3,667,701	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	691,056,284		$	12,356,438	$	703,412,722
Corporate Debt		—			4,233,245			—		4,233,245
U.S. Government		170,827,351			—			—		170,827,351
U.S. Government Agency		—			—			7,640,437		7,640,437
TOTAL DEBT OBLIGATIONS		170,827,351			695,289,529			19,996,875		886,113,755
Mutual Funds		10,938,043			—			—		10,938,043
Short-Term Investments		62,968,111			—			—		62,968,111
Purchased Options		—			2,117,955			—		2,117,955
Total Investments		244,733,505			697,407,484			19,996,875		962,137,864
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			98,731			—		98,731
Futures Contracts
Interest Rate Risk		155,255			—			—		155,255
Swap Contracts
Credit Risk		—			24,883,395			—		24,883,395
Interest Rate Risk		—			149,920			—		149,920
Total	$	244,888,760		$	722,539,530		$	19,996,875	$	987,425,165
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(25,235	)	$	—	$	(25,235	)
Futures Contracts
Interest Rate Risk		(437,439	)		—			—		(437,439	)
Written Options
Credit Risk		—			(2,132,177	)		—		(2,132,177	)
Swap Contracts
Credit Risk		—			(5,037,032	)		—		(5,037,032	)
Interest Rate Risk		—			(14,336	)		—		(14,336	)
Total	$	(437,439	)	$	(7,208,780	)	$	—	$	(7,646,219	)

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February 28, 2022

Description	Level 1		Level 2		Level 3		Total
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	260,850,764	$	—	$	—	$	260,850,764
Total Investments		260,850,764		—		—		260,850,764
Total	$	260,850,764	$	—	$	—	$	260,850,764

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

Emerging Country Debt Fund has committed an additional $7,850,000 to its investment in Bona Fide Investments Feeder LLC, a private investment in a pool of constitutional obligations of the Colombian government owed to individuals.

The underlying funds held at year end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, an investment fund valued at cost, two Colombia Government International Bonds, due 2/15/27 and 3/09/28, respectively, which are valued by applying a 150 and 160 basis point spread, respectively, to the yield of the Colombia Government International Bond, due 4/25/27, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds and applying a 200 basis point discount for liquidity considerations, a Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued by applying a 550 basis point spread to the yield of the Republic of Turkey, due 3/31/25 and a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations and five asset-backed securities that were valued in line with general movement of spreads, interest rates or a comparable bond. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 28, 2022.

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For Funds with material total Level 3 assets and/or liabilities, 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, 2021		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 February 28, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2022
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	27,230,315	$	—	$	—		$	(1,731	) $		—	$	(6,599,186	)	$	—		$	—		$	20,629,398	$	(6,599,186	)
Sovereign and Sovereign Agency Issuers		232,617,919		75,196,898		(6,412,671	)		4,601,513			1,345,428		(84,476,580	)		49,856,354	‡		—			272,728,861		(84,476,580	)
Loan Assignments		23,371,890		37,367,603		(6,395,216	)		1,430,357			—		(1,905,160	)		—			—			53,869,474		(1,904,408	)
Loan Participations		39,866,840		15,401,752		(19,967,493	)		2,081,987			471,942		5,403,870			—			—			43,258,898		5,403,870
Investment Funds		—		7,850,000		—			—			—		—			—			—			7,850,000		—
Rights/Warrants		34,800		—		—			—			—		(7,034	)		2,166,900	‡		—			2,194,666		(7,034	)
Total Investments		323,121,764		135,816,253		(32,775,380	)		8,112,126			1,817,370		(87,584,090	)		52,023,254			—			400,531,297		(87,583,338	)
Derivatives
Options		390,519		—		—			—			317,281		(381,689	)		—			—			326,111		501,175
Total	$	323,512,283	$	135,816,253	$	(32,775,380	)#	$	8,112,126		$	2,134,651	$	(87,965,779	)		$52,023,254		$	—		$	400,857,408	$	(87,082,163	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	42,612,548	$	2,756,923	$	(9,202,211	)	$	201,728		$	4,987,004	$	(3,670,878	)	$	—		$	(25,328,676	)‡	$	12,356,438	$	(837,367	)
U.S. Government Agency		9,938,002		—		(2,445,822	)		32,876			—		115,381			—			—			7,640,437		115,381
Total	$	52,550,550	$	2,756,923	$	(11,648,033	)##	$	234,604		$	4,987,004	$	(3,555,497	)	$	—		$	(25,328,676	)	$	19,996,875	$	(721,986	)

# Includes $26,128,709 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $6,163,957 of proceeds received from partial calls and/or principal paydowns as applicable.

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2022 for Funds with material Level 3 investments.

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February 28, 2022

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Sovereign and Sovereign Agency Issuers		51,043,759		Fair Value	Discount for lack of liquidity/marketability		1.40%-1.60% (1.42%)
Corporate Debt		20,629,398		Fair Value	Discount for lack of liquidity/marketability		2.00% (N/A)
Loan Assignments and Participations		35,671,282		Fair Value	Discount for lack of liquidity/marketability		5.00%-6.00% (5.44%)
Warrants		27,766		Fair Value	Discount for lack of liquidity/marketability		50% (N/A)
Options		326,111		Fair Value	Probability of CDS threshold event		<5% (N/A)
Opportunistic Income Fund
Asset-Backed Securities		12,274,188		Fair Value	Broker mark of comparable bond		N/A
Government Agency		7,640,437		Fair Value	Discount for lack of liquidity/marketability		1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2022, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $293,159,092 and $82,250 respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist 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 marked-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 NYSE, generally at 4:00 pm Eastern 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 in 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.

Indexed investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. 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. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. 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

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February 28, 2022

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. Loan assignments and participations outstanding at the end of the year, 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” in Note 4 “Derivative financial instruments”. 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. 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. 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 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 year, 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 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. As of February 28, 2022, 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		6,346,002		6,300,945

As of February 28, 2022, Emerging Country Debt Fund had investments in reverse repurchase agreements with J.P. Morgan Securities Plc with a gross value of $6,346,002. The value of related collateral on reverse repurchase agreements exceeded the value at year end. As of February 28, 2022, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

Reverse repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:

	February 28, 2022
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		On Demand		Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Sovereign and Sovereign Agency Issuers	$	—	$	—	$	—	$	—	$	6,346,002	$	6,346,002
Total borrowings	$	—	$	—	$	—	$	—	$	6,346,002	$	6,346,002

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/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

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. 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/decrease 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 year, 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. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the year, 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 dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and 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 its net investment income, if any, and 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.

82

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

With the exception of U.S. Treasury Fund, the policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available. U.S. Treasury Fund will generally pay dividends on the first business day following the end of each month in which dividends were declared. Accrued dividends in respect of a shareholder’s partial redemption of U.S. Treasury Fund shares redeemed between monthly payment dates will be paid on the first business day following the end of the month in which redemptions are made. Accrued dividends in respect of a shareholder’s complete redemption of U.S. Treasury Fund shares between monthly payment dates will be paid with the redemption proceeds. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

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 may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2022, 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.

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.

83

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Interest, accretion and amortization		X	X		X
Capital loss carryforwards	X			X	X
Debt modifications
Defaulted bonds		X
Derivative contract transactions		X	X	X	X
Foreign currency transactions		X	X	X
Late-year ordinary losses			X	X
Litigation proceeds received	X			X
Losses on wash sale transactions	X	X		X
Losses related to debt obligations					X
Mutual fund distributions received				X
Net operating losses				X
Paydown gain/losses					X
Post-October capital losses	X	X		X		X
Straddle Loss Deferrals			X

The tax character of distributions declared by each Fund to shareholders is as follows:

	Tax year ended February 28, 2022						Tax year ended February 28, 2021
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Asset Allocation Bond Fund		1,000,062		—		1,000,062		1,524,146		—		1,524,146
Emerging Country Debt Fund		344,849,612		73,953,153		418,802,765		351,626,283		57,850,613		409,476,896
High Yield Fund		11,531,519		448,207		11,979,726		3,469,056		119,375		3,588,431
Multi-Sector Fixed Income Fund		—		5,148,607		5,148,607		15,707,759		16,634,444		32,342,203
Opportunistic Income Fund		19,824,450		—		19,824,450		29,997,493		—		29,997,493
U.S. Treasury Fund		564,398		136,353		700,751		773,665		—		773,665

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.

84

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

As of February 28, 2022, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Loss Deferral ($)
Asset Allocation Bond Fund		147,922		—		—		(45,902,559)		(148,152)
Emerging Country Debt Fund		62,279,515		—		—		—		(6,905,248)
High Yield Fund		450,671		168,310		(68,060)		—		—
Multi-Sector Fixed Income Fund		—		—		(2,852,871)		(22,199,368)		(3,662,952)
Opportunistic Income Fund		11,049,698		9,982,443		—		(58,989,497)		—
U.S. Treasury Fund		—		—		—		—		(732,625)

As of February 28, 2022, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses 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 capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2022, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Asset Allocation Bond Fund		(25,503,316)		(20,399,243)
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Multi-Sector Fixed Income Fund		—		(22,199,368)
Opportunistic Income Fund		—		(58,989,497)
U.S. Treasury Fund		—		—

As of February 28, 2022, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		39,099,446		—		(1,018,836)		(1,018,836)		—
Emerging Country Debt Fund		4,789,037,584		77,427,316		(1,226,963,554)		(1,149,536,238)		(1,972,979)
High Yield Fund		83,920,204		409,683		(1,046,072)		(636,389)		(1,563,126)
Multi-Sector Fixed Income Fund		146,998,274		139,717		(5,265,876)		(5,126,159)		(307,943)
Opportunistic Income Fund		1,021,293,589		12,329,434		(71,485,159)		(59,155,725)		(5,713,698)
U.S. Treasury Fund		261,243,750		155,623		(548,609)		(392,986)		—

85

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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 and tax legislation/initiatives 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. As of February 28, 2022, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

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. GMO 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 underlying funds, if any, 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/deflation 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. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. 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 and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, 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).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent 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 (e.g., through investments in underlying funds) as a result of an investor’s 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 redemption fee or increase or decrease an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other 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).

86

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

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 for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of February 28, 2022, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund	Emerging Country Debt Fund(1)	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund(2)	U.S. Treasury Fund
Purchase Premium	—	0.75%	—	—	—	—
Redemption Fee	—	0.75%	—	—	—	—

⁽¹⁾  For the periods from July 31, 2020 to May 18, 2021, May 8, 2020 to July 31, 2020, March 25, 2020 to May 8, 2020, March 16, 2020 to March 25, 2020, February 1, 2016 to March 16, 2020 the premiums on purchases and the fee on redemptions were each 1.00%, 1.50%, 2.00%, 1.15% and 0.75%, respectively, of the amount invested or redeemed.

⁽²⁾  Prior to June 30, 2019, the premiums on purchases and the fee on redemptions were each 0.40% of the amount invested or redeemed.

Recently-issued accounting guidance

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. The Investment Adviser does not expect ASU No. 2020-04 to have a material impact on the financial statements.

87

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

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		Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund	U.S. Treasury Fund
Credit Risk	X		X	X	X	X	X
Market Risk – Fixed Income	X		X	X	X	X	X
Illiquidity Risk	X		X	X	X	X
Derivatives and Short Sales Risk	X		X	X	X	X
Market Risk – Asset-Backed Securities	X		X		X	X
Counterparty Risk	X		X	X	X	X	X
Management and Operational Risk	X		X	X	X	X	X
Focused Investment Risk	X		X	X	X	X
Futures Contracts Risk				X	X	X
Currency Risk	X	��	X	X	X	X
Commodities Risk	X
Fund of Funds Risk	X		X	X	X	X
Non-US Investment Risk	X		X	X	X	X
Market Disruption and Geopolitical Risk	X		X	X	X	X	X
Leveraging Risk	X		X	X	X	X
Large Shareholder Risk	X		X	X	X	X	X
Market Risk – Equities	X					X
Smaller Company 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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the 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 as a result of its investment in 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.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to

88

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. In addition, investments in emerging country sovereign or quasi-sovereign debt involve a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and the Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. In addition, investments in emerging country sovereign or quasi-sovereign debt involve a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and the Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a U.S. credit default would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments.

• MARKET RISK — FIXED INCOME. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market prices of emerging country sovereign and quasi-sovereign debt investments can decline due to uncertainty about their credit quality and the reliability of their payment streams.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent a Fund from selling particular securities or closing derivative positions at desirable prices.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. A Fund 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 asset, pool of assets, rate, currency or index. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• MARKET RISK — ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, creditworthiness of any credit-support provider, and reliability of various other service providers with access to the payment stream), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. The liquidity of below investment grade asset-based and mortgage-backed securities (including non-agency and unregistered asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, with respect to securitizations involving loans, sales contracts, receivables and other obligations underlying asset-backed securities. The effects of the COVID-19 virus, and governmental responses to the effects of the virus, may result in increased delinquencies and losses and have other, potentially unanticipated, adverse effects on such investments and the markets for those investments.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or otherwise honor its obligations.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce desired results. For many funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately

89

GMO Trust Funds

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February 28, 2022

predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. Those Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• FOCUSED INVESTMENT RISK. Investments focused in asset classes, countries, regions, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose prices are closely correlated are subject to greater overall risk than investments that are more diversified or whose prices are not as closely correlated.

• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds (including underlying GMO Funds and ETFs) in which it invests, including the risk that those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, the increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund may be subject to non-U.S. taxes, potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, limitations on, or difficulties enforcing, legal judgments, contractual rights, or other remedies) tend to be greater for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

In late February 2022, Russia began an invasion of Ukraine. Following such invasion, the United States, the European Union, and other countries and entities imposed wide-ranging sanctions on Russia, the President of Russia and other members of the Government

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of Russia as well as entities owned or controlled by, or acting on behalf of, the Government of Russia. The Government of Russia has also imposed countersanctions and taken other actions in response to the sanctions. The scope and scale of the sanctions may be expanded and the conflict between Russia and Ukraine may further deteriorate. These sanctions and current environment could impair the ability of the Funds to buy, sell, hold, receive, deliver or otherwise transact in certain securities and other instruments. The full impact of the sanctions and the conflict on the Funds, the financial markets and the global economy is not yet known.

• LEVERAGING RISK. The use of derivatives and securities lending creates leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request

• LARGE SHAREHOLDER RISK. To the extent that 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 require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• MARKET RISK — EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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.

• NON-DIVERSIFIED FUNDS. High Yield Fund and Multi-Sector Fixed Income Fund are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

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 that are used 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, options, or other derivatives on an index, an ETF, 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, ETFs, 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

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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.

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, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than 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 GMO 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 year ended February 28, 2022, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Country Debt Fund		High Yield Fund		Multi-Sector Fixed Income Fund		Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk		X		X		X		X
Adjust exposure to foreign currencies		X		X		X
Futures contracts
Adjust interest rate exposure				X		X		X
Maintain the diversity and liquidity of the portfolio				X		X		X
Options (Purchased)
Adjust exposure to foreign currencies		X
Achieve exposure to a reference entity’s credit								X
Provide a measure of protection against default loss								X
Options (Written)
Achieve exposure to a reference entity’s credit				X				X
Provide a measure of protection against default loss								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						X
Adjust interest rate exposure		X				X		X
Provide a measure of protection against default loss		X		X				X
Provide exposure to the Fund’s benchmark				X		X
Hedge non-core equity exposure						X
Adjust portfolio beta		X
Generate long risk exposure to an index				X

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 settled.

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 collateralized. Forward currency contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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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 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 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 in 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 year, 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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, which is disclosed in the Schedule of Investments, 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 year, 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 year, if any, are listed in each applicable 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 Statements of Operations.

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.

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Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or 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.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

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

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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 year, 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.

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The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2022 and the Statements of Operations for the year ended February 28, 2022^:

The risks referenced in the tables below 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.

	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Emerging Country Debt Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	30,644		$	—		$	30,644
Unrealized Appreciation on Forward Currency Contracts		—			9,315,733			—			9,315,733
Options, at value		326,111			—			—			326,111
Swap Contracts, at value¤		34,074,409			—			9,016,873			43,091,282
Total	$	34,400,520		$	9,346,377		$	9,016,873		$	52,763,770
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(5,074,237	)	$	—		$	(5,074,237	)
Swap Contracts, at value¤		(10,200,864	)		—			(12,437,718	)		(22,638,582	)
Total	$	(10,200,864	)	$	(5,074,237	)	$	(12,437,718	)	$	(27,712,819	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	16,529,875		$	—		$	16,529,875
Options		317,281			—			—			317,281
Swap Contracts		(10,844,980	)		—			(231,925	)		(11,076,905	)
Total	$	(10,527,699	)	$	16,529,875		$	(231,925	)	$	5,770,251
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	(1,064,064	)	$	—		$	(1,064,064	)
Forward Currency Contracts		—			4,586,507			—			4,586,507
Options		(381,689	)		—			—			(381,689	)
Swap Contracts		12,495,049			—			(3,093,482	)		9,401,567
Total	$	12,113,360		$	3,522,443		$	(3,093,482	)	$	12,542,321
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	218,399		$	—		$	218,399
Unrealized Appreciation on Futures Contracts¤		—			—			180,489			180,489
Swap Contracts, at value¤		1,644,741			—			—			1,644,741
Total	$	1,644,741		$	218,399		$	180,489		$	2,043,629
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(11,329	)	$	(11,329	)
Written Options, at value		(116,704	)		—			—			(116,704	)
Swap Contracts, at value¤		(321,248	)		—			(814,909	)		(1,136,157	)
Total	$	(437,952	)	$	—		$	(826,238	)	$	(1,264,190	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	793,954		$	—		$	793,954
Futures Contracts		—			—			(486,116	)		(486,116	)
Written Options		314,381			—			—			314,381
Swap Contracts		2,255,474			—			1,380,652			3,636,126
Total	$	2,569,855		$	793,954		$	894,536		$	4,258,345
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	(45,999	)	$	—		$	(45,999	)
Futures Contracts		—			—			229,217			229,217
Written Options		82,597			—			—			82,597
Swap Contracts		(1,652,025	)		—			(686,976	)		(2,339,001	)
Total	$	(1,569,428	)	$	(45,999	)	$	(457,759	)	$	(2,073,186	)

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Multi-Sector Fixed Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	529,761		$	—		$	529,761
Unrealized Appreciation on Futures Contracts¤		—			—			450,626			450,626
Swap Contracts, at value¤		—			—			2,188,309			2,188,309
Total	$	—		$	529,761		$	2,638,935		$	3,168,696
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(1,063,151	)	$	—		$	(1,063,151	)
Unrealized Depreciation on Futures Contracts¤		—			—			(41,875	)		(41,875	)
Swap Contracts, at value¤		—			—			(2,562,675	)		(2,562,675	)
Total	$	—		$	(1,063,151	)	$	(2,604,550	)	$	(3,667,701	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	2,266,522		$	—		$	2,266,522
Futures Contracts		—			—			(1,649,668	)		(1,649,668	)
Swap Contracts		—			—			(10,314,273	)		(10,314,273	)
Total	$	—		$	2,266,522		$	(11,963,941	)	$	(9,697,419	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	(1,571,293	)	$	—		$	(1,571,293	)
Futures Contracts		—			—			596,190			596,190
Swap Contracts		—			—			(736,114	)		(736,114	)
Total	$	—		$	(1,571,293	)	$	(139,924	)	$	(1,711,217	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	2,117,955		$	—		$	—		$	2,117,955
Unrealized Appreciation on Forward Currency Contracts		—			98,731			—			98,731
Unrealized Appreciation on Futures Contracts¤		—			—			155,255			155,255
Swap Contracts, at value¤		24,883,395			—			149,920			25,033,315
Total	$	27,001,350		$	98,731		$	305,175		$	27,405,256
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(25,235	)	$	—		$	(25,235	)
Unrealized Depreciation on Futures Contracts¤		—			—			(437,439	)		(437,439	)
Written Options, at value		(2,132,177	)		—			—			(2,132,177	)
Swap Contracts, at value¤		(5,037,032	)		—			(14,336	)		(5,051,368	)
Total	$	(7,169,209	)	$	(25,235	)	$	(451,775	)	$	(7,646,219	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(232,856	)	$	(232,856	)
Forward Currency Contracts		—			303,454			—			303,454
Futures Contracts		—			—			3,741,319			3,741,319
Written Options		—			—			1,278,191			1,278,191
Swap Contracts		(5,711,050	)		—			2,865,469			(2,845,581	)
Total	$	(5,711,050	)	$	303,454		$	7,652,123		$	2,244,527
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	110,921		$	—		$	—		$	110,921
Forward Currency Contracts		—			74,197			—			74,197
Futures Contracts		—			—			14,614			14,614
Written Options		(126,348	)		—			—			(126,348	)
Swap Contracts		2,255,644			—			(2,498,630	)		(242,986	)
Total	$	2,240,217		$	74,197		$	(2,484,016	)	$	(169,602	)

98

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

^ 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 unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year-end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain 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 OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off 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. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. 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 an early termination of 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. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in 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 February 28, 2022, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded 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 February 28, 2022:

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
Barclays Bank PLC	$	3,004,460	$	—		$	(3,004,460	)	$	—
Citibank N.A.		1,854,859		—			(1,854,859	)		—
Deutsche Bank AG		3,801,281		—			(3,801,281	)		—
Goldman Sachs International		12,148,920		(10,869,231	)		—			1,279,689
JPMorgan Chase Bank, N.A.		2,772,008		(2,098,806	)		(673,202	)		—	*
Morgan Stanley & Co. International PLC		2,671,331		(1,199,741	)		(159,293	)		1,312,297
Morgan Stanley Capital Services LLC		138,343		—			—			138,343
State Street Bank and Trust Company		2,160,435		(1,489,930	)		(236,701	)		433,804
Total	$	28,551,637	$	(15,657,708	)	$	(9,729,796	)	$	3,164,133

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Emerging Country Debt Fund (continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged		Derivative Assets/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Barclays Bank PLC	$	(4,005,041	)	$	—	$	3,004,460	$	(1,000,581	)
Citibank N.A.		(8,664,063	)		3,540,250		1,854,859		(3,268,954	)
Deutsche Bank AG		(4,717,918	)		916,637		3,801,281		—	*
JPMorgan Chase Bank, N.A.		(673,202	)		—		673,202		—
Morgan Stanley & Co. International PLC		(159,293	)		—		159,293		—
State Street Bank and Trust Company		(236,701	)		—		236,701		—
Total	$	(18,456,218	)	$	4,456,887	$	9,729,796	$	(4,269,535	)

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Morgan Stanley & Co. International PLC	$	218,399		$	(206,842	)	$	(11,557	)	$	—	*
Total	$	218,399		$	(206,842	)	$	(11,557	)	$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	(116,704	)	$	—		$	—		$	(116,704	)
Goldman Sachs International		(164,854	)		164,854			—			—	*
JPMorgan Chase Bank, N.A.		(638,498	)		638,498			—			—	*
Morgan Stanley & Co. International PLC		(11,557	)		—			11,557			—
Total	$	(931,613	)	$	803,352		$	11,557		$	(116,704	)

Multi-Sector Fixed Income 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	$	148,506	$	—		$	(145,213	)	$	3,293
Citibank N.A.		12,153		—			(12,153	)		—
Deutsche Bank AG		2,329		—			(2,329	)		—
Goldman Sachs International		4,431		(4,431	)		—			—	*
JPMorgan Chase Bank, N.A.		89,845		—			(70,419	)		19,426
Morgan Stanley & Co. International PLC		256,894		—			(256,894	)		—
State Street Bank and Trust Company		15,603		—			—			15,603
Total	$	529,761	$	(4,431	)	$	(487,008	)	$	38,322

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Multi-Sector Fixed Income Fund (continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged		Derivative Assets/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Barclays Bank PLC	$	(145,213	)	$	—	$	145,213	$	—
Citibank N.A.		(12,553	)		—		12,153		(400	)
Deutsche Bank AG		(149,233	)		146,904		2,329		—	*
JPMorgan Chase Bank, N.A.		(70,419	)		—		70,419		—
Morgan Stanley & Co. International PLC		(685,733	)		171,076		256,894		(257,763	)
Total	$	(1,063,151	)	$	317,980	$	487,008	$	(258,163	)

Opportunistic Income 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.	$	2,290,281		$	(1,471,737	)	$	(818,544	)	$	—	*
Barclays Bank PLC		1,242,969			—			(1,242,969	)		—
Citigroup Global Markets Inc.		1,925,280			(1,816,554	)		(108,726	)		—	*
Citibank N.A.		2,658,873			(2,607,846	)		(51,027	)		—	*
Deutsche Bank AG		468,747			(378,589	)		(90,158	)		—	*
Goldman Sachs International		8,576,439			(8,128,046	)		(448,393	)		—	*
JPMorgan Chase Bank, N.A.		7,709,427			(7,376,294	)		(231,912	)		101,221
Morgan Stanley & Co. International PLC		594,190			(594,190	)		—			—	*
Morgan Stanley Capital Services LLC		1,365,946			(1,000,000	)		(341,313	)		24,633
State Street Bank and Trust Company		93,721			—			(25,235	)		68,486
Total	$	26,925,873		$	(23,373,256	)	$	(3,358,277	)	$	194,340
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.	$	(818,544	)	$	—		$	818,544		$	—
Barclays Bank PLC		(1,391,474	)		148,505			1,242,969			—	*
Citigroup Global Markets Inc.		(108,726	)		—			108,726			—
Citibank N.A.		(51,027	)		—			51,027			—
Credit Suisse International		(31,691	)		—			—			(31,691	)
Deutsche Bank AG		(90,158	)		—			90,158			—
Goldman Sachs International		(448,393	)		—			448,393			—
JPMorgan Chase Bank, N.A.		(231,912	)		—			231,912			—
Morgan Stanley Capital Services LLC		(341,313	)		—			341,313			—
State Street Bank and Trust Company		(25,235	)		—			25,235			—
Total	$	(3,538,473	)	$	148,505		$	3,358,277		$	(31,691	)

* The actual collateral received and/or pledged is more than the amount shown.

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2022:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Emerging Country Debt Fund		361,665,458		—		196,976,333		880,475,532
High Yield Fund		13,936,159		23,265,404		19,894,167		66,739,337
Multi-Sector Fixed Income Fund		153,164,844		85,317,616		—		568,534,177
Opportunistic Income Fund		9,302,983		165,361,362		307,820,557		919,408,596

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. Management fees are 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

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund

Opportunistic Income Fund

U.S. Treasury Fund

Management Fee

0.25%

0.35%

0.35%

0.25%

0.40%

0.08%(a)

^(a)  Since April 9, 2021 and prior to June 30, 2019, GMO voluntarily waived the Fund’s entire management fee.

In addition, each class of shares of certain Funds pays GMO directly or indirectly 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 at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class III			Class IV			Class V			Class VI		Class R6			Class I
Asset Allocation Bond Fund		0.15%									0.055%
Emerging Country Debt Fund		0.15%			0.10%						0.055%
High Yield Fund		0.15%	*		0.10%	*		0.085%	*		0.055%		0.15%	*		0.15%	*
Multi-Sector Fixed Income Fund		0.15%			0.10%								0.15%	*		0.15%	*
Opportunistic Income Fund		0.15%									0.055%		0.15%			0.15%

* Class is offered but has no shareholders as of February 28, 2022.

For each Fund, other than Emerging Country Debt Fund and High Yield Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For High Yield 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. Any such reimbursements are paid to a Fund concurrently with the Fund’s 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 (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

For High Yield Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Fund’s “Specified Operating Expenses” later fall below the annualized rate of 0.10% per year or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the annual limitation rate set forth above or any lower expense limit as is in effect at the time GMO seeks to recover the expenses.

For the year ended February 28, 2022, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 28, 2022, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2023		Expiring the year ending February 29, 2024		Expiring the year ending February 28, 2025
High Yield Fund, Class VI		$—		$—		$28,545

GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

These contractual waivers and reimbursements will continue through at least June 30, 2022 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 supplemental support agreement.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class III, IV, V, VI, and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class III, IV, V, VI, or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

103

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2022 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Asset Allocation Bond Fund		1,775		263
Emerging Country Debt Fund		145,138		12,635
High Yield Fund		2,866		298
Multi-Sector Fixed Income Fund		5,568		636
Opportunistic Income Fund		34,000		2,717
U.S. Treasury Fund		9,900		968

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2022, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses
Multi-Sector Fixed Income Fund		0.107%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2022, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2022 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		141,400,534		731,456		218,607,231		5,720,000
Emerging Country Debt Fund		302,056,324		1,098,192,329		406,185,057		960,847,074
High Yield Fund		3,630,374		27,591,531		150,082		39,992,209
Multi-Sector Fixed Income Fund		285,535,508		113,661,385		292,426,848		176,802,904
Opportunistic Income Fund		605,494,040		369,744,005		453,880,820		282,838,755
U.S. Treasury Fund		—		—		—		—

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.

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

8. Principal shareholders as of February 28, 2022

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
Asset Allocation Bond Fund		1	‡		99.89%
Emerging Country Debt Fund		1			18.13%
High Yield Fund		1			92.45%
Multi-Sector Fixed Income Fund		3	‡		81.47%
Opportunistic Income Fund		3	‡		57.86%
U.S. Treasury Fund		3	#		62.29%

‡ One of the shareholders is another fund of the Trust.

# Two 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:

	Year Ended February 28, 2022						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		231,090		$	5,615,500			1,248,070		$	29,430,309
Shares issued to shareholders in reinvestment of distributions		15			359			16,888			403,791
Shares repurchased		(2,826,353	)		(67,755,933	)		(483,688	)		(10,905,583	)
Net increase (decrease)		(2,595,248	)	$	(62,140,074	)		781,270		$	18,928,517
Class VI:
Shares sold		685,291		$	16,677,005			433,703		$	10,053,052
Shares issued to shareholders in reinvestment of distributions		28,792			699,355			33,513			802,127
Shares repurchased		(1,552,611	)		(37,257,738	)		(6,482,285	)		(149,463,143	)
Net increase (decrease)		(838,528	)	$	(19,881,378	)		(6,015,069	)	$	(138,607,964	)
Emerging Country Debt Fund
Class III:
Shares sold		7,338,675		$	177,081,443			11,064,651		$	283,435,647
Shares issued to shareholders in reinvestment of distributions		3,749,384			91,061,066			3,930,574			101,703,325
Shares repurchased		(6,465,058	)		(154,953,062	)		(16,856,375	)		(444,395,888	)
Purchase premiums		—			262,799			—			490,114
Redemption fees		—			415,289			—			938,001
Net increase (decrease)		4,623,001		$	113,867,535			(1,861,150	)	$	(57,828,801	)

105

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund (continued)
Class IV:
Shares sold		19,770,838		$	511,809,366			23,275,901		$	606,562,660
Shares issued to shareholders in reinvestment of distributions		7,567,539			186,159,290			10,246,489			264,614,402
Shares repurchased		(81,664,417	)		(2,093,128,743	)		(25,052,203	)		(649,166,175	)
Purchase premiums		—			676,346			—			1,390,217
Redemption fees		—			834,669			—			2,589,905
Net increase (decrease)		(54,326,040	)	$	(1,393,649,072	)		8,470,187		$	225,991,009
Class VI:(a)
Shares sold		57,276,130		$	1,479,762,322
Shares issued to shareholders in reinvestment of distributions		4,061,385			96,336,051
Shares repurchased		(2,398,142	)		(59,422,319	)
Purchase premiums		—			151,434
Redemption fees		—			453,691
Net increase (decrease)		58,939,373		$	1,517,281,179
High Yield Fund
Class VI:
Shares sold		—		$	—			2,201,261		$	42,312,765
Shares issued to shareholders in reinvestment of distributions		607,965			11,960,560			178,442			3,585,146
Shares repurchased		(585,873	)		(11,500,000	)		(5,954,398	)		(121,289,116	)
Net increase (decrease)		22,092		$	460,560			(3,574,695	)	$	(75,391,205	)
Multi-Sector Fixed Income Fund
Class III:
Shares sold		198,808		$	4,000,000			812,914		$	17,690,556
Shares issued to shareholders in reinvestment of distributions		38,703			771,747			382,203			8,066,426
Shares repurchased		(1,340,616	)		(26,860,330	)		(3,258,411	)		(67,890,225	)
Net increase (decrease)		(1,103,105	)	$	(22,088,583	)		(2,063,294	)	$	(42,133,243	)
Class IV:
Shares sold		2,988,268		$	60,053,854			3,063,305		$	64,755,408
Shares issued to shareholders in reinvestment of distributions		193,216			3,868,186			1,036,159			22,030,270
Shares repurchased		(3,669,201	)		(72,720,030	)		(17,672,884	)		(384,748,994	)
Net increase (decrease)		(487,717	)	$	(8,797,990	)		(13,573,420	)	$	(297,963,316	)
Opportunistic Income Fund
Class III:(b)
Shares sold		1,013,442		$	26,129,885
Shares issued to shareholders in reinvestment of distributions		8,790			224,578
Shares repurchased		(541,722	)		(13,851,286	)
Net increase (decrease)		480,510		$	12,503,177
Class VI:
Shares sold		1,201,167		$	30,987,689			2,091,345		$	53,827,718
Shares issued to shareholders in reinvestment of distributions		294,328			7,561,416			855,202			21,741,055
Shares repurchased		(5,293,597	)		(137,137,320	)		(16,058,148	)		(413,055,123	)
Net increase (decrease)		(3,798,102	)	$	(98,588,215	)		(13,111,601	)	$	(337,486,350	)

106

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Opportunistic Income Fund (continued)
Class R6:(c)
Shares sold		6,348,670		$	164,336,615
Shares issued to shareholders in reinvestment of distributions		26,344			673,318
Shares repurchased		(374,066	)		(9,594,675	)
Net increase (decrease)		6,000,948		$	155,415,258
Class I:
Shares sold		5,654,035		$	146,238,616			16,150,520		$	413,015,196
Shares issued to shareholders in reinvestment of distributions		234,350			6,009,933			92,094			2,336,633
Shares repurchased		(4,671,231	)		(121,104,867	)		(940,346	)		(23,853,407	)
Net increase (decrease)		1,217,154		$	31,143,682			15,302,268		$	391,498,422
U.S. Treasury Fund
Core Class:
Shares sold		304,783,797		$	1,534,292,585			373,331,155		$	1,880,713,417
Shares issued to shareholders in reinvestment of distributions		63,726			320,558			72,372			364,660
Shares repurchased		(329,360,932	)		(1,657,850,113	)		(341,823,451	)		(1,722,028,633	)
Net increase (decrease)		(24,513,409	)	$	(123,236,970	)		31,580,076		$	159,049,444

(a) The period under the heading “Year Ended February 28, 2022” represents the period from July 29, 2021 (commencement of operations) through February 28, 2022.

(b) The period under the heading “Year Ended February 28, 2022” represents the period from July 21, 2021 (commencement of operations) through December 28, 2021 and the period under the heading “Year Ended February 28, 2022” represents the period from February 1, 2022 (commencement of operations) through February 28, 2022.

(c) The period under the heading “Year Ended February 28, 2022” represents the period from May 19, 2021 (commencement of operations) through February 28, 2022.

107

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2022 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	5,000,835	$	731,456	$	5,720,000	$	632	$	824	$	(618	)	$	(47	)	$	11,626
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,784,247	$	—	$	—	$	100,129	$	71,223	$	—		$	(445,144	)	$	74,339,103
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class IV	$	8,584,702	$	2,000,000	$	11,866,039	$	123,288	$	176,281	$	(145,567	)	$	1,426,904		$	—
GMO Emerging Country Debt Fund, Class VI		—		11,866,039		3,100,000		390,598		53,662		(525,336	)		(1,949,265	)		6,291,438
GMO Opportunistic Income Fund, Class VI		27,641,535		5,200,002		6,700,000		552,136		—		(52,863	)		(163,972	)		25,924,702
GMO U.S. Treasury Fund		14,825,453		25,290,000		37,710,000		4,761		3,000		3,451			(9,578	)		2,399,326
Totals	$	51,051,690	$	44,356,041	$	59,376,039	$	1,070,783	$	232,943	$	(720,315	)	$	(695,911	)	$	34,615,466
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	11,003,541	$	—	$	—	$	14,732	$	10,480	$	—		$	(65,498	)	$	10,938,043

11. Subsequent events

Subsequent to February 28, 2022, GMO Asset Allocation Bond Fund received redemption requests in the amount of $9,535,397.

108

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund (six of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2022, the related statements of operations for the year ended February 28, 2022, the statements of changes in net assets for each of the two years in the period ended February 28, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2022 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 27, 2022

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

109

GMO Trust Funds

Fund Expenses

February 28, 2022 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2022.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction 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, September 1, 2021 through February 28, 2022.

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 September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$960.10		$1.94		$1,000.00		$1,022.81		$2.01		0.40%
Class VI		$1,000.00		$960.40		$1.51		$1,000.00		$1,023.26		$1.56		0.31%
Emerging Country Debt Fund
Class III		$1,000.00		$871.50		$2.46		$1,000.00		$1,022.17		$2.66		0.53%
Class IV		$1,000.00		$871.70		$2.23		$1,000.00		$1,022.41		$2.41		0.48%
Class VI		$1,000.00		$872.20		$2.00		$1,000.00		$1,022.66		$2.16		0.43%
High Yield Fund
Class VI		$1,000.00		$970.20		$2.49		$1,000.00		$1,022.27		$2.56		0.51%
Multi-Sector Fixed Income Fund
Class III		$1,000.00		$937.30		$1.97		$1,000.00		$1,022.76		$2.06		0.41%
Class IV		$1,000.00		$938.10		$1.73		$1,000.00		$1,023.01		$1.81		0.36%
Opportunistic Income Fund
Class III(a)		$1,000.00		$996.10		$0.52		$1,000.00		$1,021.32		$3.51		0.70%
Class VI		$1,000.00		$999.50		$2.38		$1,000.00		$1,022.41		$2.41		0.48%
Class R6		$1,000.00		$999.40		$2.92		$1,000.00		$1,021.87		$2.96		0.59%
Class I		$1,000.00		$998.70		$3.32		$1,000.00		$1,021.47		$3.36		0.67%
U.S. Treasury Fund
Core		$1,000.00		$995.50		$0.00		$1,000.00		$1,024.80		$0.00		0.00%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2022, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

^(a)  For the period February 1, 2022 (commencement of operations) through February 28, 2022, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2022, multiplied by the average account value over the period, multiplied by 27 days in the period, divided by 365 days in the year.

110

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2022 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2022:

Fund Name	U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short-Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)
Asset Allocation Bond Fund		100.00%		865,298		—		—
Emerging Country Debt Fund		—		1,591,477		33,352,294		73,953,153
High Yield Fund		—		1,397,456		8,409,039		448,207
Multi-Sector Fixed Income Fund		—		—		—		5,148,607
Opportunistic Income Fund		1.04%		17,562,105		—		—
U.S. Treasury Fund		65.96%		400,559		163,840		136,353

⁽¹⁾  Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾  All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾  These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest related dividend amounts could include short-term capital gain distributions received from underlying funds.

⁽⁴⁾  The Funds hereby designate the above business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations thereunder.

U.S. Treasury Fund hereby designates $317,452 (or, if subsequently determined to be different, the maximum amount allowable) of business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations thereunder.

In early 2023, the Funds will notify applicable shareholders of amounts for use in preparing 2022 U.S. federal income tax forms.

111

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2022. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*	Number of Portfolios in Fund Complex1 Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		30	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (Since July 1, 2011) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2021) University of Oxford, Said Business School		30	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired.		30	Trustee of HIMCO Variable Insurance Trust (27 Portfolios) (April 2014 – April 2019).
Interested Trustee and Officer
Carolyn Haley2 YOB: 1966	Trustee; President of the Trust	Trustee and President since June 2021.	Head of Global Operations and Finance, Head of Operations, Co-Head of Operations, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – Present).		30	None.

¹  The Fund Complex includes series of each of GMO Trust.

²  Ms. Haley is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of her positions with the Trust and GMO indicated in the table above and her interest as a member of GMO.

112

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Carolyn Haley YOB: 1966	Trustee, President of the Trust	Trustee and President since June 2021	Head of Global Operations and Finance, Head of Operations, Co-Head of Operations, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – Present).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present). Head of Fund Reporting, Risk and Controls and Proxy Voting (October 2021 to present), Grantham, Mayo, Van Otterloo & Co. LLC.
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011– present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002-November 2020). Treasury and Payables Manager, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006-November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

113

AR-022822-FI

GMO Trust

Annual Report

February 28, 2022

Alternative Allocation Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Strategic Opportunities Allocation Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com 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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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-PORT which is available on the Commission’s website at www.sec.gov. 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 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, 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, market risk-asset backed securities, credit risk, non- U.S. investment risk, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Alternative Allocation Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Benchmark-Free Allocation Fund
Management Discussion and Analysis of Fund Performance	22
Performance Graph	23
Investment Concentration Summary	24
Schedule of Investments	25
Benchmark-Free Fund
Management Discussion and Analysis of Fund Performance	26
Performance Graph	27
Investment Concentration Summary	28
Schedule of Investments	29
Global Asset Allocation Fund
Management Discussion and Analysis of Fund Performance	56
Performance Graph	57
Investment Concentration Summary	58
Schedule of Investments	59
Global Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	60
Performance Graph	61
Investment Concentration Summary	62
Schedule of Investments	63
Global Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	64
Performance Graph	65
Investment Concentration Summary	66
Schedule of Investments	67
Implementation Fund
Management Discussion and Analysis of Fund Performance	68
Performance Graph	69
Investment Concentration Summary	70
Schedule of Investments	71
International Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	104
Performance Graph	105
Investment Concentration Summary	106
Schedule of Investments	107
International Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	108
Performance Graph	109
Investment Concentration Summary	110
Schedule of Investments	111
SGM Major Markets Fund
Management Discussion and Analysis of Fund Performance	112
Performance Graph	113
Investment Concentration Summary	114
Schedule of Investments	115
Strategic Opportunities Allocation Fund
Management Discussion and Analysis of Fund Performance	118
Performance Graph	119
Investment Concentration Summary	120
Schedule of Investments	121

Portfolio, Counterparty and Currency Abbreviations	133
Fund Financial Statements:
Statements of Assets and Liabilities	134
Statements of Operations	140
Statements of Changes in Net Assets	143
Financial Highlights	149
Notes to Financial Statements	161
Report of Independent Registered Public Accounting Firm	213
Fund Expenses	214
Tax Information	216
Trustees and Officers	217

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes only.

Class VI shares of GMO Alternative Allocation Fund returned -0.99% (net) for the fiscal year ended February 28, 2022, as compared with +0.05% for the FTSE-3 Month Treasury Bill Index.

Equity Dislocation, which is broadly 100% long cheap global Value and 100% short expensive global Growth, had a very strong year and, as a sizeable allocation, was the biggest contributor to total Fund returns with a 3.5% contribution. Other strategies that had a positive impact included Put Selling, Event-Driven, and Relative Credit which contributed a little over 1% between them. That left three strategies posting negative returns. The Asset Allocation Long/Short strategy suffered a very difficult year, but the relatively modest exposure mitigated some of this and it detracted -1.3%. Unfortunately, two of the larger exposures, Systematic Global Macro and Fixed Income Absolute Return, also had a disappointing 12 months and detracted -1.4% and -1.8%, respectively.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

2

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO Alternative Allocation Fund Class VI Shares and the FTSE 3-Month Treasury Bill Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For Class VI, R6 and I the gross expense ratio of 1.49%, 1.69% and 1.77%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 1.34%, 1.53% and 1.62% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

3

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		64.3	%
Debt Obligations		35.2
Short-Term Investments		27.4
Investment Funds		2.1
Swap Contracts		1.0
Preferred Stocks		0.4
Purchased Options		0.3
Rights/Warrants		0.1
Futures Contracts		(0.2	)
Written Options		(0.5	)
Forward Currency Contracts		(0.5	)
Securities Sold Short		(36.7	)
Other		7.1
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Switzerland		15.0	%
Canada		12.5
Sweden		12.5
Australia		6.5
New Zealand		(1.5	)
Euro Region		(1.7	)#
Germany		(3.2	)
United States		(18.1	)
United Kingdom		(29.6	)
		(7.6	)%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		19.1	%
Other Emerging		3.3	†
Other Developed		3.0	‡
Australia		2.5
China		2.3
United Kingdom		1.6
		31.8	%

(a) GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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 table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

# “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

4

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 61.1%
		Australia — 1.1%
	18,532	Aurizon Holdings Ltd (a)		47,273
	32,619	BlueScope Steel Ltd		483,017
	26,458	Brambles Ltd		190,570
	41,316	Dexus (REIT)		327,057
	38,021	Fortescue Metals Group Ltd (a)		506,529
	83,955	GPT Group (The) (REIT)		299,558
	150,357	Mirvac Group (REIT)		280,403
	4,693	Rio Tinto Ltd (a)		404,710
	95,582	Scentre Group (REIT)		212,345
	85,657	Stockland (REIT)		259,189
		Total Australia		3,010,651
		Belgium — 0.3%
	7,921	Ageas SA/NV (a)		381,049
	299	Sofina SA (a)		116,118
	3,561	UCB SA		388,636
		Total Belgium		885,803
		Brazil — 0.1%
	23,300	Petroleo Brasileiro SA Sponsored ADR (a)		332,957
		Canada — 1.7%
	6,700	Canadian Apartment Properties (REIT)		278,889
	2,800	Canadian Tire Corp Ltd – Class A (a)		412,809
	800	iA Financial Corp Inc		47,533
	2,300	Imperial Oil Ltd (a)		103,232
	2,100	Linamar Corp		109,664
	4,600	Magna International Inc		341,761
	1,000	Onex Corp (a)		67,156
	1,100	Power Corp of Canada (a)		33,924
	6,000	Quebecor Inc – Class B		131,219
	4,000	RioCan Real Estate Investment Trust (REIT)		79,274
	88,397	Shaw Communications Inc – Class B (a)		2,650,864
	3,300	Teck Resources Ltd – Class B (a)		118,826
	4,400	West Fraser Timber Co Ltd		439,202
		Total Canada		4,814,353
		China — 1.4%
	74,000	Agile Group Holdings Ltd		33,716
	1,700	Autohome Inc ADR		52,003
	581,000	Bank of Communications Co Ltd – Class H		398,292
	29,500	Beijing Enterprises Holdings Ltd		100,846
	222,000	China Communications Services Corp Ltd – Class H		121,794
	181,500	China Overseas Land & Investment Ltd		554,150
	610,000	China Railway Group Ltd – Class H		358,165
	308,000	China Zhongwang Holdings Ltd * (b)		66,215
	231,000	CITIC Ltd		269,559
	316,000	Dongfeng Motor Group Co Ltd – Class H		271,989

Shares		Description	Value ($)
		China — continued
	50,500	Fosun International Ltd		54,793
	256,800	Guangzhou R&F Properties Co Ltd – Class H		109,320
	8,000	Haier Smart Home Co Ltd – Class H		28,033
	38,700	Hello Group Inc Sponsored ADR		368,811
	26,500	Kingboard Holdings Ltd		123,971
	44,000	Seazen Group Ltd *		23,217
	57,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		103,791
	239,500	Shimao Group Holdings Ltd		143,723
	120,800	Sinopharm Group Co Ltd – Class H		292,841
	282,000	Skyworth Group Ltd *		159,310
	214,000	Sunac China Holdings Ltd		174,923
	19,100	Vipshop Holdings Ltd ADR * (a)		165,597
	461,616	Yuzhou Group Holdings Co Ltd		36,676
		Total China		4,011,735
		Denmark — 0.6%
	46	AP Moller – Maersk A/S – Class A (a)		137,929
	136	AP Moller – Maersk A/S – Class B (a)		430,238
	541	Carlsberg A/S – Class B (a)		79,337
	29,834	Danske Bank A/S (a)		505,329
	3,960	Pandora A/S		405,493
		Total Denmark		1,558,326
		Finland — 0.2%
	85,324	Nokia Oyj * (a)		461,376
		France — 0.5%
	14,074	ArcelorMittal SA		436,697
	6,364	BNP Paribas SA (a)		369,268
	3,425	Publicis Groupe SA (a)		227,302
	15,352	Societe Generale SA (a)		434,117
		Total France		1,467,384
		Germany — 1.5%
	7,724	Bayer AG (Registered) (a)		446,161
	3,665	Bayerische Motoren Werke AG		352,966
	6,817	Fresenius SE & Co KGaA		237,860
	5,680	HeidelbergCement AG		368,558
	5,579	Mercedes-Benz Group AG (a)		435,829
	2,054	SAP SE (a)		231,699
	17,785	Siltronic AG		2,021,190
		Total Germany		4,094,263
		Hong Kong — 0.3%
	75,000	CK Hutchison Holdings Ltd (a)		525,830
	110,000	First Pacific Co Ltd		43,063
	45,000	Kerry Properties Ltd		123,308
	198,000	PCCW Ltd		110,770
		Total Hong Kong		802,971

See accompanying notes to the financial statements. 5

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		India — 0.5%
	20,309	Hindustan Petroleum Corp Ltd		73,881
	102,719	NTPC Ltd		182,922
	259,110	Oil & Natural Gas Corp Ltd		557,193
	88,036	REC Ltd		143,583
	24,127	Tata Steel Ltd		394,126
		Total India		1,351,705
		Israel — 0.8%
	3,500	Check Point Software Technologies Ltd *		507,080
	51,000	Teva Pharmaceutical Industries Ltd Sponsored ADR *		414,630
	27,969	Tower Semiconductor Ltd *		1,310,348
		Total Israel		2,232,058
		Italy — 1.0%
	5,592	EXOR NV (a)		423,681
	33,207	Leonardo SPA *		296,036
	5,048,396	Telecom Italia SPA		2,121,062
		Total Italy		2,840,779
		Japan — 3.5%
	3,400	AGC Inc (a)		150,833
	3,600	Aisin Corp		131,127
	52,000	Asahi Kasei Corp (a)		488,011
	12,800	Astellas Pharma Inc (a)		213,558
	10,000	Daiwa House Industry Co Ltd (a)		283,603
	9,000	Electric Power Development Co Ltd (a)		142,796
	18,100	Honda Motor Co Ltd (a)		549,894
	1,700	Honda Motor Co Ltd Sponsored ADR (a)		51,952
	4,300	Idemitsu Kosan Co Ltd (a)		115,268
	58,300	Inpex Corp (a)		600,928
	18,100	ITOCHU Corp (a)		589,854
	24,000	JFE Holdings Inc		357,301
	2,500	Kajima Corp (a)		33,646
	14,900	KDDI Corp (a)		484,864
	2,300	MEIJI Holdings Co Ltd		138,041
	11,900	Mitsubishi Corp (a)		400,122
	5,300	Mitsubishi UFJ Financial Group Inc (a)		32,537
	1,700	Mitsui Chemicals Inc		43,460
	20,700	Nippon Steel Corp (a)		378,996
	19,700	Nippon Telegraph & Telephone Corp (a)		566,195
	63,700	Obayashi Corp (a)		533,359
	16,200	ORIX Corp (a)		321,135
	25,700	Sekisui House Ltd (a)		523,974
	44,400	Shimizu Corp (a)		293,891
	11,600	Subaru Corp		190,249
	68,300	Sumitomo Chemical Co Ltd		326,080
	15,500	Sumitomo Corp (a)		252,892
	28,400	Sumitomo Dainippon Pharma Co Ltd		311,681
	4,600	Sumitomo Electric Industries Ltd		61,065

Shares		Description	Value ($)
		Japan — continued
	1,400	Suzuki Motor Corp		55,745
	12,200	Taisei Corp (a)		405,668
	151,300	Tokyo Electric Power Co Holdings Inc * (a)		474,929
	16,300	Tosoh Corp		252,945
	4,700	Yamaha Motor Co Ltd		105,654
		Total Japan		9,862,253
		Malaysia — 0.0%
	87,400	Top Glove Corp Bhd		42,655
		Netherlands — 0.8%
	67,151	Aegon NV (a)		331,712
	5,900	AerCap Holdings NV *		321,137
	25,955	ING Groep NV (a)		303,115
	11,728	JDE Peet’s NV (a)		385,021
	1	Just Eat Takeaway.com NV Sponsored ADR * (a)		8
	15,312	Koninklijke Ahold Delhaize NV		471,032
	7,952	NN Group NV (a)		381,655
	1,098	Prosus NV *		68,166
		Total Netherlands		2,261,846
		New Zealand — 0.1%
	15,249	Auckland International Airport Ltd * (a)		73,836
	50,699	Meridian Energy Ltd (a)		172,128
	10,696	Spark New Zealand Ltd		32,840
		Total New Zealand		278,804
		South Africa — 0.1%
	23,649	Bidvest Group Ltd (The)		324,022
		South Korea — 0.2%
	5,625	Kia Corp		348,723
	162	POSCO		38,544
	900	POSCO Sponsored ADR		53,388
		Total South Korea		440,655
		Spain — 0.4%
	77,022	Banco Bilbao Vizcaya Argentaria SA (a)		457,027
	145,629	Banco Santander SA (a)		484,947
	9,557	Telefonica SA (a)		45,644
		Total Spain		987,618
		Sweden — 0.3%
	1,747	Investor AB – A Shares (a)		38,630
	18,412	Investor AB – B Shares (a)		374,914
	7,320	Kinnevik AB – Class B * (a)		186,369
	1,952	Securitas AB – B Shares		23,633
	8,838	Skanska AB – B Shares (a)		200,033
	3,739	Svenska Cellulosa AB SCA – Class B		61,004
		Total Sweden		884,583

6 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Switzerland — 0.2%
	7,777	Adecco Group AG (Registered)		367,297
	3,319	Logitech International SA (Registered)		248,357
	900	Novartis AG Sponsored ADR (a)		78,714
		Total Switzerland		694,368
		Taiwan — 0.1%
	11,000	Hon Hai Precision Industry Co Ltd		40,860
	106,000	Ruentex Development Co Ltd		273,695
		Total Taiwan		314,555
		United Kingdom — 3.8%
	82	AstraZeneca Plc Sponsored ADR (a)		4,992
	476,720	Avast Plc (a)		4,015,416
	7,771	Berkeley Group Holdings Plc		404,141
	236,593	BT Group Plc		590,322
	6,138	Coca-Cola HBC AG *		155,945
	93,455	Kingfisher Plc (a)		381,236
	175,691	M&G Plc (a)		483,655
	327,643	Meggitt Plc *		3,300,008
	48,283	Micro Focus International Plc		250,948
	2,800	Rio Tinto Plc Sponsored ADR (a)		220,024
	116,432	Taylor Wimpey Plc		233,538
	2,926	Unilever Plc (a)		146,811
	21,192	WPP Plc		298,063
		Total United Kingdom		10,485,099
		United States — 41.6%
	59,680	Activision Blizzard, Inc. (a) (c)		4,863,920
	15	Advanced Micro Devices, Inc. *		1,850
	6,700	Aflac, Inc. (a)		409,303
	3,400	AGNC Investment Corp. (REIT) (a)		43,894
	5,800	Alliance Data Systems Corp.		391,210
	1,100	Allstate Corp. (The) (a)		134,596
	9,100	Ally Financial, Inc. (a)		454,090
	1,200	Arch Capital Group Ltd. * (a)		56,532
	20,928	Arena Pharmaceuticals, Inc. *		1,987,532
	4,100	Arrow Electronics, Inc. *		499,708
	17,300	AT&T, Inc. (a)		409,837
	800	Bath & Body Works, Inc. (a)		42,696
	4,200	Best Buy Co., Inc. (a)		405,888
	700	Bio-Rad Laboratories, Inc. – Class A *		438,172
	1,800	Biogen, Inc. * (a)		379,818
	8,800	BorgWarner, Inc.		360,888
	6,400	Bristol-Myers Squibb Co. (a)		439,488
	3,700	Capital One Financial Corp. (a)		567,099
	9,900	Carrier Global Corp. (a)		444,312
	5,300	CBRE Group, Inc. – Class A * (a)		513,305
	6,000	Centene Corp. * (a)		495,720
	35,790	Cerner Corp. (a)		3,337,418
	346,453	Change Healthcare, Inc. * (a)		7,421,023

Shares		Description	Value ($)
		United States — continued
	2,500	Cigna Corp. (a)		594,450
	8,700	Citigroup, Inc. (a)		515,301
	3,200	Citizens Financial Group, Inc.		167,744
	19,204	Citrix Systems, Inc. (a)		1,968,410
	14,304	CMC Materials, Inc. (a)		2,652,391
	5,600	Cognizant Technology Solutions Corp. – Class A (a)		482,328
	4,869	Coherent, Inc. *		1,286,974
	8,800	Comcast Corp. – Class A (a)		411,488
	58,524	Cornerstone Building Brands, Inc. *		1,292,210
	3,800	CVS Health Corp. (a)		393,870
	66,081	CyrusOne, Inc. (REIT) (a)		5,970,418
	3,500	Discover Financial Services (a)		432,040
	13,100	DISH Network Corp. – Class A *		418,676
	5,300	DR Horton, Inc. (a)		452,620
	6,800	eBay, Inc. (a)		371,212
	8,000	Fidelity National Financial, Inc. (a)		381,120
	1,800	FleetCor Technologies, Inc. * (a)		421,560
	24,200	Ford Motor Co.		424,952
	2,100	Fox Corp. – Class A		87,843
	95,651	Fox Corp. – Class B (a)		3,659,607
	12,900	Franklin Resources, Inc. (a)		383,517
	147,328	Frontier Group Holdings, Inc. * (a)		1,897,585
	8,900	General Motors Co. *		415,808
	7,500	Gilead Sciences, Inc. (a)		453,000
	1,100	Goldman Sachs Group, Inc. (The) (a)		375,419
	14,500	HP, Inc. (a)		498,220
	3,500	IAC/InterActiveCorp *		401,660
	5,700	Incyte Corp. * (a)		389,310
	9,800	Intel Corp. (a)		467,460
	4,200	International Business Machines Corp. (a)		514,542
	18,000	Invesco Ltd. (a)		382,320
	268,098	Investors Bancorp, Inc. (a)		4,487,961
	3,200	Jazz Pharmaceuticals Plc *		439,744
	32,700	Kinder Morgan, Inc. (a)		568,980
	6,600	Kohl’s Corp. (a)		367,092
	8,500	Kroger Co. (The) (a)		397,800
	1,900	Laboratory Corp. of America Holdings * (a)		515,394
	3,700	Leidos Holdings, Inc. (a)		376,808
	5,100	Lennar Corp. – Class A (a)		458,388
	15,592	Liberty Broadband Corp. – Class C *		2,287,346
	7,100	Liberty Global Plc – Class A *		183,038
	13,500	Liberty Global Plc – Class C *		349,245
	7,100	Lincoln National Corp. (a)		478,682
	7,000	LKQ Corp. (a)		328,650
	32,000	Lumen Technologies, Inc.		331,520
	5,800	LyondellBasell Industries NV – Class A (a)		563,934
	5,500	Merck & Co., Inc. (a)		421,190
	600	Meta Platforms, Inc. – Class A * (a)		126,618
	8,500	MetLife, Inc. (a)		574,175
	6,100	Micron Technology, Inc. (a)		542,046

See accompanying notes to the financial statements. 7

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		United States — continued
	1,700	Mohawk Industries, Inc. *		239,326
	9,900	Molson Coors Brewing Co. – Class B (a)		516,582
	4,400	NRG Energy, Inc. (a)		166,496
	118,386	Nuance Communications, Inc. * (a)		6,572,791
	20	NVR, Inc. * (a)		99,169
	3,000	Omnicom Group, Inc. (a)		251,670
	5,700	Oracle Corp. (a)		433,029
	700	Owens Corning (a)		65,233
	12,600	Paramount Global – Class B		385,686
	216,100	People’s United Financial, Inc. (a)		4,555,388
	189,448	Pershing Square Tontine Holdings Ltd. – Class A *		3,752,965
	29,020	PNM Resources, Inc. (a)		1,310,833
	1,500	Principal Financial Group, Inc. (a)		105,960
	4,800	Prudential Financial, Inc. (a)		535,968
	9,300	PulteGroup, Inc.		461,838
	3,200	Quest Diagnostics, Inc. (a)		420,064
	54,000	Qurate Retail, Inc. – Series A (a)		297,540
	800	Regeneron Pharmaceuticals, Inc. * (a)		494,688
	2,100	Regions Financial Corp. (a)		50,799
	9,535	S&P Global, Inc.		3,582,129
	800	Skyworks Solutions, Inc. (a)		110,536
	400	Snap-on, Inc. (a)		84,072
	38,841	South Jersey Industries, Inc.		1,317,875
	62,736	Sportsman’s Warehouse Holdings, Inc. *		715,818
	3,800	SS&C Technologies Holdings, Inc. (a)		284,886
	3,200	Steel Dynamics, Inc.		225,856
	11,400	Synchrony Financial (a)		487,692
	26	Teledyne Technologies, Inc. *		11,164
	82,904	Terminix Global Holdings, Inc. * (a)		3,528,394
	5,100	Textron, Inc. (a)		372,963
	6,200	Tyson Foods, Inc. – Class A (a)		574,492
	131,015	Umpqua Holdings Corp. (a)		2,797,170
	3,800	Universal Health Services, Inc. – Class B		546,934
	8,200	Verizon Communications, Inc. (a)		440,094
	32,800	Viatris, Inc.		361,128
	3,300	VMware, Inc. – Class A (a)		387,156
	3,600	Walgreens Boots Alliance, Inc. (a)		165,924
	22,300	Western Union Co. (The) (a)		405,414
	7,800	Western Digital Corp. *		397,332
	1,900	Whirlpool Corp.		382,413
	23,408	Willis Towers Watson Plc (a)		5,203,599
	24,954	Zogenix, Inc. *		655,292
	1,600	Zoom Video Communications, Inc. – Class A * (a)		212,160
	619,478	Zynga Inc. – Class A * (a) (c)		5,624,860
		Total United States		116,052,343
		TOTAL COMMON STOCKS (COST $173,686,090)		170,493,162

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (d) — 0.2%
		Brazil — 0.1%
	24,100	Petroleo Brasileiro SA Sponsored ADR (a)		315,469
		Germany — 0.1%
	2,544	Bayerische Motoren Werke AG		205,728
	443	Volkswagen AG (a)		87,084
		Total Germany		292,812
		TOTAL PREFERRED STOCKS (COST $554,082)		608,281
		RIGHTS/WARRANTS — 0.1%
		United States — 0.1%
	195,149	Bristol-Myers Squibb Co. CVR * (b)		263,451
		TOTAL RIGHTS/WARRANTS (COST $284,429)		263,451
		INVESTMENT FUNDS — 2.0%
		United States — 2.0%
	950,441	Altaba, Inc. (b)		5,607,602
		TOTAL INVESTMENT FUNDS (COST $5,422,144)		5,607,602
		DEBT OBLIGATIONS — 35.2%
		United States — 35.2%
		U.S. Government — 35.2%
	14,200,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.41%, due 01/31/23 (a)		14,205,732
	39,025,000	U.S. Treasury Note, 0.13%, due 02/28/23		38,653,043
	17,025,000	U.S. Treasury Note, 0.13%, due 03/31/23		16,836,794
	17,025,000	U.S. Treasury Note, 0.13%, due 04/30/23		16,813,517
	8,073,000	U.S. Treasury Note, 0.13%, due 06/30/23 (a)		7,952,220
	400,000	U.S. Treasury Note, 0.13%, due 07/31/23 (a)		393,422
	3,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.40%, due 10/31/23 (a)		3,506,319
		Total U.S. Government		98,361,047
		Total United States		98,361,047
		TOTAL DEBT OBLIGATIONS (COST $98,790,289)		98,361,047
		MUTUAL FUNDS — 3.5%
		United States — 3.5%
		Affiliated Issuers — 3.5%
	331,931	GMO Emerging Markets Fund, Class VI		9,811,873
		TOTAL MUTUAL FUNDS (COST $11,292,136)		9,811,873

8 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 27.4%
		Money Market Funds — 0.2%
	569,327	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		569,327
		U.S. Government — 27.2%
	8,200,000	U.S. Treasury Bill, 0.31%, due 05/24/22 (a) (f)		8,193,992
	24,500,000	U.S. Treasury Bill, 0.54%, due 07/21/22 (a) (f)		24,447,912

Par Value†		Description	Value ($)
		U.S. Government — continued
	1,190,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (f)		1,187,193
	42,050,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (f)		41,923,577
		Total U.S. Government		75,752,674
		TOTAL SHORT-TERM INVESTMENTS (COST $76,335,374)		76,322,001

PURCHASED OPTIONS — 0.3%

Description	Counterparty	Exercise Rate	Expiration Date	Principal/ Notional Amount		Floating Rate Index	Pay/Receive Floating Rate		Value ($)
Options on Credit Default Swaps – Puts — 0.3%
CDX.NA.HYS.37.V1-5Y	BCLY	104.50%	03/16/22	USD	22,250,000	Fixed Spread		Pay		96,358
CDX.NA.HYS.37.V1-5Y	BCLY	105.50%	03/16/22	USD	22,250,000	Fixed Spread		Pay		170,499
CDX.NA.IGS.37.V1-5Y	BOA	65.00%	03/16/22	USD	41,720,000	Fixed Spread		Pay		96,183
CDX.NA.IGS.37.V1-5Y	BOA	55.00%	03/16/22	USD	41,720,000	Fixed Spread		Pay		253,342
CDX.NA.IGS.37.V1-5Y	BCLY	67.50%	04/20/22	USD	29,815,000	Fixed Spread		Pay		98,175
CDX.NA.IGS.37.V1-5Y	BCLY	82.50%	04/20/22	USD	29,815,000	Fixed Spread		Pay		48,284

Total Options on Credit Default Swaps – Puts	762,841
TOTAL PURCHASED OPTIONS (COST $699,402)	762,841
TOTAL INVESTMENTS — 129.8% (Cost $367,063,946)	362,230,258

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (36.7)%
			Common Stocks — (36.6)%
			Australia — (0.5)%
	(65,190	)	APA Group		(476,570	)
	(6,284	)	ASX Ltd		(377,426	)
	(1,270	)	Cochlear Ltd		(207,320	)
	(111,793	)	Qantas Airways Ltd *		(414,246	)
	(309	)	Santos Ltd		(1,646	)
			Total Australia		(1,477,208	)
			Austria — (0.2)%
	(5,064	)	Verbund AG		(610,802	)
			Belgium — (0.2)%
	(7,093	)	Anheuser-Busch InBev SA/NV		(437,693	)
	(351	)	Galapagos NV *		(23,185	)
			Total Belgium		(460,878	)
			Canada — (0.9)%
	(2,301	)	Agnico Eagle Mines Ltd		(116,177	)
	(1,500	)	Algonquin Power & Utilities Corp		(21,720	)
	(17,200	)	AltaGas Ltd		(378,875	)

Shares			Description	Value ($)
			Common Stocks — continued
			Canada — continued
	(8,500	)	Cameco Corp		(208,930	)
	(2	)	Canadian Pacific Railway Ltd		(141	)
	(10,300	)	Enbridge Inc		(444,754	)
	(3,100	)	Franco-Nevada Corp		(456,072	)
	(3,700	)	Pan American Silver Corp		(87,431	)
	(12,400	)	Pembina Pipeline Corp		(421,104	)
	(5,700	)	Restaurant Brands International Inc		(319,086	)
			Total Canada		(2,454,290	)
			Denmark — (0.1)%
	(13,383	)	Ambu A/S – Class B		(246,793	)
			France — (0.8)%
	(12,804	)	Accor SA *		(437,299	)
	(2,689	)	Aeroports de Paris *		(380,197	)
	(32,724	)	Getlink SE		(533,707	)
	(312	)	Hermes International		(430,259	)
	(313	)	Sartorius Stedim Biotech		(120,026	)
	(3,433	)	Ubisoft Entertainment SA *		(184,067	)
	(1,621	)	Wendel SE		(164,561	)
			Total France		(2,250,116	)

See accompanying notes to the financial statements. 9

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

	Shares			Description	Value ($)
				Common Stocks — continued
				Germany — (1.0)%
		(62	)	adidas AG		(14,659	)
		(5,270	)	Delivery Hero SE *		(282,475	)
		(342	)	MTU Aero Engines AG		(81,870	)
		(4,281	)	Puma SE		(392,587	)
		(3,854	)	QIAGEN NV *		(193,634	)
		(88	)	Rational AG		(64,765	)
		(3,813	)	Scout24 SE		(222,414	)
		(3,429	)	Symrise AG – Class A		(407,868	)
		(188,893	)	Telefonica Deutschland Holding AG		(515,460	)
		(6,543	)	Uniper SE		(209,318	)
		(4,995	)	Zalando SE *		(330,602	)
				Total Germany		(2,715,652	)
				Israel — (0.3)%
		(2,900	)	CyberArk Software Ltd *		(493,406	)
		(700	)	Kornit Digital Ltd *		(66,381	)
		(2,700	)	Wix.com Ltd *		(247,266	)
				Total Israel		(807,053	)
				Italy — (0.7)%
		(8,147	)	Amplifon SPA		(349,624	)
		(21,822	)	Atlantia SPA *		(401,421	)
		(1,500	)	CNH Industrial NV		(21,495	)
		(1,865	)	Ferrari NV		(400,767	)
		(27,501	)	FinecoBank Banca Fineco SPA		(458,327	)
		(37,205	)	Infrastrutture Wireless Italiane SPA		(379,912	)
				Total Italy		(2,011,546	)
				Japan — (3.1)%
		(27,200	)	Acom Co Ltd		(75,769	)
��		(8,300	)	Aeon Co Ltd		(188,026	)
		(18,200	)	ANA Holdings Inc *		(400,731	)
		(15,400	)	Asahi Intecc Co Ltd		(332,537	)
		(1,300	)	Benefit One Inc		(30,111	)
		(2,600	)	East Japan Railway Co		(154,463	)
		(4,200	)	GMO Payment Gateway Inc		(406,257	)
		(2,900	)	Harmonic Drive Systems Inc		(118,621	)
		(16,700	)	Hitachi Metals Ltd *		(297,686	)
		(26,800	)	Isetan Mitsukoshi Holdings Ltd		(216,130	)
		(600	)	Ito En Ltd		(34,507	)
		(20,100	)	Japan Airlines Co Ltd *		(398,556	)
		(6,300	)	Japan Airport Terminal Co Ltd *		(294,187	)
		(9,600	)	Japan Exchange Group Inc		(179,770	)
		(20	)	Japan Real Estate Investment Corp (REIT)		(106,835	)
		(16,500	)	JGC Holding Corp		(165,378	)
		(18,600	)	Keikyu Corp		(194,894	)
		(5,600	)	Keio Corp		(229,135	)
		(3,800	)	Kintetsu Group Holdings Co Ltd *		(114,161	)
		(2,100	)	Lasertec Corp		(389,282	)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(9,100	)	LIXIL Corp		(202,815	)
	(11,200	)	M3 Inc		(421,383	)
	(9,200	)	Mercari Inc *		(288,144	)
	(24,000	)	MonotaRO Co Ltd		(451,752	)
	(3,200	)	Nidec Corp		(278,188	)
	(19,800	)	Nihon M&A Center Holdings Inc		(292,863	)
	(43,600	)	Nippon Paint Holdings Co Ltd		(390,224	)
	(4,200	)	Nissin Foods Holdings Co Ltd		(335,568	)
	(14,100	)	Odakyu Electric Railway Co Ltd		(232,629	)
	(2,900	)	ORIENTAL LAND CO LTD		(536,108	)
	(33,600	)	Rakuten Group Inc		(285,621	)
	(2,500	)	Shiseido Co Ltd		(143,465	)
	(3,900	)	Tobu Railway Co Ltd		(95,864	)
	(5,600	)	Tokyu Corp		(74,683	)
	(9,200	)	West Japan Railway Co		(396,924	)
			Total Japan		(8,753,267	)
			Netherlands — (0.4)%
	(215	)	Adyen NV *		(448,119	)
	(1,343	)	Heineken Holding NV		(109,681	)
	(1,150	)	IMCD NV		(186,808	)
	(8,450	)	Just Eat Takeaway.com NV *		(341,989	)
			Total Netherlands		(1,086,597	)
			New Zealand — (0.1)%
	(4,729	)	Xero Ltd *		(325,157	)
			Norway — (0.0)%
	(1,416	)	Schibsted ASA – Class A		(40,693	)
	(1,246	)	Schibsted ASA – Class B		(32,345	)
			Total Norway		(73,038	)
			Singapore — (0.3)%
	(22,900	)	City Developments Ltd		(121,176	)
	(107,700	)	Singapore Airlines Ltd *		(407,804	)
	(40,500	)	Singapore Exchange Ltd		(280,980	)
			Total Singapore		(809,960	)
			Spain — (0.6)%
	(2,384	)	Aena SME SA *		(389,081	)
	(8,628	)	Cellnex Telecom SA		(390,264	)
	(17,643	)	Ferrovial SA		(480,669	)
	(21,349	)	Siemens Gamesa Renewable Energy SA *		(491,236	)
			Total Spain		(1,751,250	)
			Sweden — (0.4)%
	(42,154	)	Embracer Group AB – Class B *		(361,856	)
	(1,384	)	EQT AB		(46,323	)
	(3,547	)	Evolution AB		(406,695	)

10 See accompanying notes to the financial statements. ��

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			Sweden — continued
	(38,234	)	Sinch AB *		(322,519	)
			Total Sweden		(1,137,393	)
			Switzerland — (0.3)%
	(6	)	Chocoladefabriken Lindt & Spruengli AG		(63,646	)
	(310	)	Partners Group Holding AG		(419,054	)
	(198	)	Sika AG (Registered)		(65,703	)
	(247	)	Straumann Holding AG (Registered)		(392,351	)
			Total Switzerland		(940,754	)
			United Kingdom — (2.2)%
	(5,295	)	Admiral Group Plc		(210,929	)
	(10,252	)	Antofagasta Plc		(207,581	)
	(56,978	)	Auto Trader Group Plc		(503,918	)
	(87,143	)	ConvaTec Group Plc		(210,681	)
	(970	)	Croda International Plc		(97,096	)
	(548	)	Experian Plc		(21,407	)
	(4,686	)	Halma Plc		(151,142	)
	(25,122	)	Hargreaves Lansdown Plc		(380,754	)
	(69,320	)	Informa Plc *		(548,864	)
	(1,992	)	InterContinental Hotels Group Plc *		(138,709	)
	(19,566	)	Land Securities Group Plc (REIT)		(207,335	)
	(4,804	)	London Stock Exchange Group Plc		(419,661	)
	(20,611	)	Ocado Group Plc *		(379,014	)
	(284,708	)	Rentokil Initial Plc		(1,932,131	)
	(281,555	)	Rolls-Royce Holdings Plc *		(388,395	)
	(1,439	)	Spirax-Sarco Engineering Plc		(229,312	)
			Total United Kingdom		(6,026,929	)
			United States — (24.5)%
	(18,800	)	AES Corp. (The)		(399,124	)
	(2,500	)	Airbnb, Inc. – Class A *		(378,725	)
	(1,300	)	American Tower Corp. (REIT)		(294,931	)
	(1	)	Analog Devices, Inc.		(160	)
	(19,252	)	Aon Plc – Class A		(5,624,279	)
	(11,300	)	Aramark		(417,648	)
	(2,900	)	Arthur J Gallagher & Co.		(458,751	)
	(1,700	)	Autodesk, Inc. *		(374,391	)
	(4,000	)	Avalara, Inc. *		(415,640	)
	(2,200	)	Bill.com Holdings, Inc. *		(523,336	)
	(500	)	Bio-Techne Corp.		(209,705	)
	(4,700	)	BioMarin Pharmaceutical, Inc. *		(367,164	)
	(3,903	)	Block Inc. – Class A *		(497,633	)
	(2,100	)	Boeing Co. (The) *		(431,214	)
	(1	)	Bristol-Myers Squibb Co.		(69	)
	(800	)	Broadcom, Inc.		(469,952	)
	(1,900	)	Burlington Stores, Inc. *		(429,191	)
	(5,600	)	Caesars Entertainment, Inc. *		(471,464	)
	(300	)	Camden Property Trust (REIT)		(49,533	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(2,900	)	Carvana Co. – Class A *		(436,363	)
	(2,500	)	Catalent, Inc. *		(255,100	)
	(5,200	)	Ceridian HCM Holding, Inc. *		(379,132	)
	(3,520	)	Charter Communications, Inc. – Class A *		(2,118,266	)
	(300	)	Chipotle Mexican Grill, Inc. – Class A *		(457,005	)
	(79,627	)	Citizens Financial Group, Inc.		(4,174,048	)
	(19,500	)	Clarivate Plc *		(292,110	)
	(4,600	)	Cloudflare, Inc. – Class A *		(535,532	)
	(1,900	)	CME Group, Inc.		(449,407	)
	(78,059	)	Columbia Banking System, Inc.		(2,859,301	)
	(3,100	)	Coupa Software, Inc. *		(375,131	)
	(1,700	)	Crown Castle International Corp. (REIT)		(283,203	)
	(7,700	)	Delta Air Lines, Inc. *		(307,384	)
	(1,000	)	Dexcom, Inc. *		(413,910	)
	(3,500	)	DocuSign, Inc. – Class A *		(414,505	)
	(1,200	)	DoorDash, Inc. – Class A *		(125,940	)
	(20,400	)	DraftKings Inc. – Class A *		(483,072	)
	(400	)	Ecolab, Inc.		(70,504	)
	(6,446	)	Entegris, Inc.		(841,074	)
	(400	)	Equinix, Inc. (REIT)		(283,892	)
	(3,900	)	Equity LifeStyle Properties, Inc. (REIT)		(291,018	)
	(200	)	Erie Indemnity Co. – Class A		(35,020	)
	(5,100	)	Exact Sciences Corp. *		(398,106	)
	(2,100	)	Expedia Group, Inc. *		(411,831	)
	(100	)	Extra Space Storage, Inc. (REIT)		(18,815	)
	(3,500	)	Fastenal Co.		(180,110	)
	(1,500	)	First Republic Bank		(259,890	)
	(74,925	)	Fox Corp. – Class A		(3,134,113	)
	(4,300	)	Guidewire Software, Inc. *		(379,045	)
	(2,600	)	Hess Corp.		(262,756	)
	(900	)	HubSpot, Inc. *		(472,500	)
	(800	)	IDEXX Laboratories, Inc. *		(425,880	)
	(4,362	)	II-VI, Inc. *		(302,984	)
	(6,700	)	Ingersoll Rand, Inc.		(338,484	)
	(1,700	)	Insulet Corp. *		(449,973	)
	(1,700	)	Invitation Homes, Inc. (REIT)		(64,260	)
	(1,300	)	Ionis Pharmaceuticals, Inc. *		(43,394	)
	(2,200	)	IQVIA Holdings, Inc. *		(506,264	)
	(6,700	)	Iron Mountain, Inc. (REIT)		(329,506	)
	(7,400	)	Lamb Weston Holdings, Inc.		(491,582	)
	(1,400	)	Liberty Broadband Corp. – Class A *		(202,734	)
	(2,700	)	Liberty Broadband Corp. – Class C *		(396,090	)
	(8,800	)	Liberty Media Corp-Liberty Formula One – Class C *		(534,424	)
	(1,500	)	Linde Plc		(439,860	)
	(4,700	)	Live Nation Entertainment, Inc. *		(567,854	)
	(25,502	)	M&T Bank Corp.		(4,647,230	)
	(1,100	)	MarketAxess Holdings, Inc.		(419,573	)
	(2,600	)	Marriott International, Inc. – Class A *		(442,364	)
	(2,300	)	Marvell Technology, Inc.		(157,159	)

See accompanying notes to the financial statements. 11

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(100	)	Mastercard, Inc.		(36,082	)
	(5,600	)	MGM Resorts International		(248,024	)
	(1,100	)	MongoDB, Inc.—Class A *		(420,189	)
	(600	)	Monolithic Power Systems, Inc.		(275,220	)
	(900	)	MSCI, Inc.—Class A		(451,521	)
	(300	)	NIKE Inc. – Class B		(40,965	)
	(900	)	NiSource, Inc.		(26,037	)
	(14,418	)	NortonLifeLock, Inc.		(417,833	)
	(5,900	)	Novocure Ltd. *		(482,974	)
	(24,400	)	Oak Street Health, Inc. *		(427,244	)
	(2,200	)	Okta, Inc. *		(402,248	)
	(600	)	ONEOK, Inc.		(39,180	)
	(24,700	)	Palantir Technologies, Inc. – Class A *		(292,695	)
	(200	)	Palo Alto Networks, Inc. *		(118,850	)
	(500	)	Paycom Software, Inc. *		(169,605	)
	(10,200	)	Peloton Interactive, Inc. – Class A *		(296,412	)
	(1	)	Realty Income Corp. (REIT)		(66	)
	(2,400	)	RingCentral, Inc. – Class A *		(314,016	)
	(2,600	)	Roku, Inc. *		(362,778	)
	(6,900	)	Rollins, Inc.		(225,147	)
	(5,800	)	Royal Caribbean Cruises Ltd. *		(468,176	)
	(9,528	)	S&P Global, Inc.		(3,579,670	)
	(7	)	salesforce.com, Inc. *		(1,473	)
	(5,700	)	Sarepta Therapeutics, Inc. *		(436,677	)
	(3,200	)	Seagen, Inc. *		(412,384	)
	(800	)	ServiceNow, Inc. *		(463,936	)
	(2,100	)	Simon Property Group, Inc. (REIT)		(288,876	)
	(12,700	)	Snap, Inc. – Class A *		(507,238	)
	(1,500	)	Snowflake, Inc. – Class A *		(398,490	)
	(77,031	)	Spirit Airlines, Inc. *		(1,931,937	)
	(600	)	Starbucks Corp.		(55,074	)
	(3,000	)	T-Mobile US, Inc. *		(369,630	)
	(17,025	)	Take-Two Interactive Software, Inc. *		(2,758,050	)
	(5,500	)	Teladoc Health, Inc. *		(417,505	)
	(600	)	Tesla, Inc. *		(522,258	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(1,700	)	Trade Desk, Inc. (The) – Class A *		(145,044	)
	(600	)	Tradeweb Markets, Inc. – Class A		(50,688	)
	(2,100	)	Twilio, Inc. – Class A *		(367,080	)
	(10,900	)	Twitter, Inc. *		(387,495	)
	(11,500	)	Uber Technologies, Inc. *		(414,345	)
	(5,400	)	UDR, Inc. (REIT)		(296,298	)
	(3,800	)	Upstart Holdings, Inc. *		(600,362	)
	(1,500	)	Vail Resorts, Inc.		(390,825	)
	(18,000	)	Vistra Corp.		(410,760	)
	(31,717	)	Vonage Holdings Corp. *		(644,489	)
	(1,900	)	Wayfair, Inc. – Class A *		(267,653	)
	(19,400	)	Williams Cos, Inc. (The)		(606,832	)
	(4,200	)	Zendesk, Inc. *		(490,014	)
	(7,800	)	Zillow Group, Inc. – Class A *		(446,706	)
	(3,488	)	Zillow Group, Inc. – Class C *		(200,629	)
	(600	)	Zoetis, Inc.		(116,190	)
	(5,200	)	ZoomInfo Technologies, Inc. – Class A *		(284,388	)
	(1,600	)	Zscaler, Inc. *		(382,640	)
			Total United States		(68,131,506	)
			TOTAL COMMON STOCKS (PROCEEDS $108,182,047)		(102,070,189	)
			PREFERRED STOCKS (d) — (0.1)%
			Germany — (0.1)%
	(744	)	Sartorius AG		(328,486	)
			TOTAL PREFERRED STOCKS (PROCEEDS $364,907)		(328,486	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $108,546,954)		(102,398,675	)
			Other Assets and Liabilities (net) — 6.9%		19,333,389
			TOTAL NET ASSETS — 100.0%		$279,164,972

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/18/2022	MSCI		AUD	8,641,154		USD	6,312,510		35,026
03/18/2022	SSB		AUD	433,345		USD	308,420		(6,390	)
04/21/2022	BOA		AUD	6,961,693		USD	5,055,772		(4,235	)
04/21/2022	MSCI		AUD	1,680,271		USD	1,207,292		(13,989	)
04/21/2022	SSB		AUD	2,006,209		USD	1,447,156		(11,029	)
05/09/2022	BCLY		AUD	4,870,000		USD	3,469,875		(70,676	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/09/2022	JPM		AUD	1,530,000		USD	1,087,187		(25,142	)
05/09/2022	MSCI		AUD	12,019,000		USD	8,489,277		(248,687	)
03/25/2022	MSCI		CAD	7,185,087		USD	5,685,997		16,659
04/12/2022	SSB		CAD	5,454,175		USD	4,310,653		6,922
04/25/2022	JPM		CAD	6,000,000		USD	4,747,211		12,788
04/25/2022	SSB		CAD	1,025,416		USD	810,703		1,578

12 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/02/2022	JPM		CAD	2,564,034		USD	2,020,000		(3,204	)
03/28/2022	UBSA		CHF	2,300,640		USD	2,513,262		1,680
05/16/2022	MSCI		CHF	14,440,792		USD	15,679,640		(115,938	)
05/16/2022	MSCI		CLP	567,052,500		USD	702,102		(206	)
03/17/2022	MSCI		COP	7,209,730,000		USD	1,834,210		5,760
03/18/2022	JPM		EUR	764,890		USD	865,840		7,655
03/18/2022	SSB		EUR	477,794		USD	539,154		3,083
03/21/2022	JPM		EUR	472,873		USD	536,356		5,738
03/21/2022	MSCI		EUR	711,468		USD	809,821		11,472
03/21/2022	SSB		EUR	526,228		USD	594,935		4,447
03/31/2022	JPM		EUR	1,390,000		USD	1,561,735		1,327
04/21/2022	MSCI		EUR	2,052,593		USD	2,333,572		27,615
04/21/2022	SSB		EUR	4,805,800		USD	5,464,718		65,712
03/21/2022	SSB		GBP	1,194,717		USD	1,624,152		21,167
04/21/2022	MSCI		GBP	2,570,288		USD	3,488,849		40,002
04/21/2022	SSB		GBP	50,856		USD	68,186		(53	)
05/16/2022	BCLY		GBP	1,390,000		USD	1,861,328		(3,566	)
05/16/2022	MSCI		HUF	392,623,910		USD	1,257,040		82,315
04/29/2022	CITI		ILS	1,294,020		USD	400,000		(3,630	)
04/29/2022	GS		ILS	2,488,858		USD	780,780		4,457
04/29/2022	JPM		ILS	1,421,811		USD	440,000		(3,491	)
03/08/2022	JPM		INR	167,627,376		USD	2,235,172		11,450
03/08/2022	MSCI		INR	26,405,050		USD	350,000		(286	)
06/03/2022	MSCI		INR	194,032,426		USD	2,539,858		(4,029	)
03/07/2022	MSCI		JPY	70,391,498		USD	613,214		877
03/07/2022	SSB		JPY	28,553,440		USD	248,237		(151	)
03/09/2022	JPM		JPY	374,179,656		USD	3,240,000		(15,109	)
05/09/2022	BCLY		KRW	3,222,590,377		USD	2,674,837		(3,402	)
03/22/2022	MSCI		MXN	24,093,955		USD	1,181,401		8,921
03/01/2022	JPM		NZD	5,030,000		USD	3,361,137		(42,162	)
03/01/2022	MSCI		NZD	23,910,000		USD	15,851,733		(325,775	)
06/01/2022	JPM		NZD	26,770,000		USD	17,993,054		(94,737	)
04/19/2022	JPM		PLN	1,656,291		USD	390,000		(3,156	)
04/19/2022	SSB		PLN	3,259,196		USD	810,000		36,359
03/31/2022	CITI		RON	12,392,218		USD	2,768,221		(31,761	)
03/16/2022	BCLY		RUB	130,043,160		USD	1,464,881		264,167
05/11/2022	MSCI		RUB	78,335,878		USD	900,133		226,276
03/07/2022	JPM		SEK	36,606,902		USD	3,920,485		55,372
05/18/2022	MSCI		THB	60,427,657		USD	1,868,974		19,096
05/17/2022	JPM		TWD	22,838,753		USD	824,117		6,389
03/18/2022	DB		USD	205,278		AUD	287,585		3,642
03/18/2022	GS		USD	205,206		AUD	287,585		3,714
05/09/2022	JPM		USD	5,996,864		AUD	8,330,000		59,151
04/04/2022	CITI		USD	790,000		BRL	4,283,654		34,382
04/04/2022	GS		USD	1,120,000		BRL	5,867,759		9,240
04/04/2022	MSCI		USD	940,000		BRL	5,041,120		30,155
03/25/2022	JPM		USD	205,002		CAD	261,092		1,010
03/25/2022	SSB		USD	34,042		CAD	43,255		88

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/12/2022	MSCI		USD	1,474,019		CAD	1,874,097		4,776
05/02/2022	BCLY		USD	15,526,955		CAD	19,825,950		117,116
05/02/2022	JPM		USD	8,130,000		CAD	10,317,398		11,154
05/16/2022	JPM		USD	3,860,000		CHF	3,535,213		6,875
05/16/2022	MSCI		USD	692,626		CLP	567,052,500		9,682
03/17/2022	MSCI		USD	1,320,000		COP	5,185,629,300		(4,879	)
05/18/2022	MSCI		USD	2,441,022		CZK	52,862,764		(104,382	)
03/18/2022	BCLY		USD	54,161		EUR	47,193		(1,212	)
03/18/2022	UBSA		USD	1,772,675		EUR	1,542,748		(41,754	)
03/21/2022	UBSA		USD	8,995,886		EUR	7,926,708		(101,200	)
03/28/2022	BCLY		USD	2,405,069		EUR	2,126,624		(18,038	)
03/31/2022	SSB		USD	1,554,057		EUR	1,390,000		6,350
04/21/2022	MSCI		USD	38,143		EUR	33,930		(25	)
04/26/2022	MSCI		USD	4,830,599		EUR	4,266,797		(36,313	)
03/21/2022	BCLY		USD	386,130		GBP	285,450		(3,134	)
05/16/2022	BCLY		USD	842,631		GBP	620,000		(10,808	)
05/16/2022	MSCI		USD	10,971,305		GBP	8,056,000		(162,974	)
05/16/2022	MSCI		USD	520,000		HUF	164,288,800		(28,450	)
05/04/2022	JPM		USD	1,460,937		IDR	21,183,591,000		6,680
04/29/2022	JPM		USD	1,225,569		ILS	3,910,669		(5,756	)
03/08/2022	MSCI		USD	2,567,857		INR	194,032,426		6,151
03/07/2022	DB		USD	6,481,319		JPY	742,218,000		(24,743	)
03/09/2022	DB		USD	2,040,000		JPY	235,442,520		8,190
03/09/2022	JPM		USD	2,970,000		JPY	339,557,130		(16,084	)
03/09/2022	MSCI		USD	15,860,493		JPY	1,827,876,784		40,794
04/04/2022	MSCI		USD	6,545,091		JPY	750,000,000		(16,423	)
05/09/2022	SSB		USD	6,548,914		JPY	750,000,000		(15,318	)
05/09/2022	UBSA		USD	537,589		JPY	61,993,082		2,462
05/09/2022	BCLY		USD	550,000		KRW	660,385,000		(1,165	)
05/09/2022	JPM		USD	360,000		KRW	432,165,600		(835	)
05/09/2022	MSCI		USD	940,000		KRW	1,127,729,420		(2,764	)
03/22/2022	JPM		USD	450,000		MXN	9,217,375		(1,457	)
05/16/2022	BCLY		USD	12,141,736		NOK	107,411,871		33,918
03/01/2022	JPM		USD	18,021,564		NZD	26,770,000		91,020
03/01/2022	MSCI		USD	1,462,927		NZD	2,170,000		5,295
03/18/2022	GS		USD	511,291		NZD	755,604		(150	)
03/18/2022	SSB		USD	424,567		NZD	636,477		5,989
04/19/2022	DB		USD	370,000		PLN	1,473,787		(20,165	)
04/19/2022	MSCI		USD	1,140,045		PLN	4,532,133		(64,245	)
05/11/2022	MSCI		USD	2,665,478		RUB	208,379,038		(872,970	)
03/07/2022	BCLY		USD	8,291,287		SEK	75,481,596		(321,620	)
03/18/2022	MSCI		USD	731,115		SGD	982,911		(6,163	)
05/18/2022	MSCI		USD	340,000		THB	11,028,954		(2,369	)
05/17/2022	JPM		USD	310,000		TWD	8,631,330		(960	)
05/31/2022	MSCI		USD	469,157		ZAR	7,348,636		3,284
								$	(1,431,732	)

See accompanying notes to the financial statements. 13

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 15	Australian Government Bond 10 Yr.	March 2022		1,465,639		(51,881	)
52	CAC40 10 Euro	March 2022		3,850,851		(201,708	)
3	Canadian Government Bond 10 Yr.	June 2022		323,479		2,196
29	DAX Index	March 2022		11,703,431		(934,397	)
102	FTSE 100 Index	March 2022		10,145,420		250,797
39	Hang Seng Index	March 2022		5,658,058		(232,326	)
334	Mini MSCI Emerging Markets	March 2022		19,630,850		(913,460	)
8	MSCI Singapore	March 2022		196,931		(6,105	)
3	S&P/TSX 60	March 2022		603,740		(6,425	)
			$	53,578,399	$	(2,093,309	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales 113	E-mini Russell 2000 Index	March 2022		11,551,425		768,702
47	Euro Bund	March 2022		8,802,797		329,372
26	FTSE Taiwan Index	March 2022		1,620,600		19,015
93	S&P 500 E-Mini	March 2022		20,311,200		386,198
2	SPI 200 Futures	March 2022		255,855		7,970
35	TOPIX Index	March 2022		5,766,067		243,301
29	U.S. Treasury Note 10 Yr. (CBT)	June 2022		3,695,687		(27,896	)
33	UK Gilt Long Bond	June 2022		5,448,692		(26,700	)
			$	57,452,323	$	1,699,962

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Activision Blizzard, Inc. (c)	82.50		05/20/22		(317	)		USD	(2,583,550	)		(42,795	)
Zynga, Inc. (c)	9.00		05/20/22		(1,802	)		USD	(1,636,216	)		(102,714	)
Activision Blizzard, Inc. (c)	82.50		06/17/22		(166	)		USD	(2,583,550	)		(29,050	)
			Total Equity Options – Calls									(174,559)
Index Options – Puts
S&P 500 Index	4,420.00		03/04/22		(15	)		USD	(6,560,910	)		(120,000	)
S&P 500 Index	4,350.00		03/11/22		(16	)		USD	(6,998,304	)		(117,120	)
S&P 500 Index	4,385.00		03/18/22		(15	)		USD	(6,560,910	)		(164,100	)
			Total Index Options – Puts									(401,220)

Written Options on Credit Default Swaps – Puts

Description

Counterparty

Exercise Rate

Expiration Date

Principal / Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

CDX.NA.HYS.37.V1-5Y

BCLY

105.00%

03/16/22

USD  (44,500,000)

Fixed Spread

Pay

(256,260

)

CDX.NA.IGS.37.V1-5Y

GS

70.00%

03/16/22

USD  (11,125,000)

Fixed Spread

Pay

(15,073

)

CDX.NA.IGS.37.V1-5Y

BOA

60.00%

03/16/22

USD  (83,440,000)

Fixed Spread

Pay

(324,225

)

CDX.NA.IGS.37.V1-5Y

DB

75.00%

03/16/22

USD  (11,125,000)

Fixed Spread

Pay

(8,962

)

CDX.NA.IGS.37.V1-5Y

BCLY

75.00%

04/20/22

USD  (59,630,000)

Fixed Spread

Pay

(135,755

)

Total Written Options on Credit Default Swaps – Puts

(740,275

)

TOTAL WRITTEN OPTIONS

(Premiums $1,406,726)

$

(1,316,054

)

14 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.EUROPE.S34.V1-5Y	EUR	9,968,000		1.00%		0.56%		N/A		12/20/2025		Quarterly		(313,377	)		(182,246	)		131,131
ITRAXX.XOVER.S34.V2-5Y	EUR	4,116,345		5.00%		2.63%		N/A		12/20/2025		Quarterly		(607,943	)		(348,965	)		258,978
CDX.NA.IGS.37.V1-5Y	USD	22,250,000		1.00%		0.69%		N/A		12/20/2026		Quarterly		(539,238	)		(326,341	)		212,897
													$	(1,460,558	)	$	(857,552	)	$	603,006

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.31.V14-5Y	CITI		USD	1,631,000		5.00%		2.06%		N/A		12/20/2023		Quarterly		(6,361	)		(21,118	)		(14,757	)
CMBX.NA.BBB-.11	GS		USD	1,440,000		3.00%		4.76%		N/A		11/18/2054		Monthly		54,713			119,567			64,854
CMBX.NA.BBB-.9	CGMI		USD	1,110,000		3.00%		6.51%		N/A		09/17/2058		Monthly		128,809			122,052			(6,757	)
CMBX.NA.BBB-.9	CGMI		USD	666,000		3.00%		6.51%		N/A		09/17/2058		Monthly		77,753			73,231			(4,522	)
CMBX.NA.BBB-.9	MLCS		USD	2,750,000		3.00%		6.51%		N/A		09/17/2058		Monthly		221,087			302,382			81,295
CMBX.NA.BBB-.12	GS		USD	1,260,000		3.00%		4.74%		N/A		08/17/2061		Monthly		49,804			117,166			67,362
CMBX.NA.BBB-.13	CGMI		USD	1,500,000		3.00%		4.63%		N/A		12/16/2072		Monthly		65,524			147,542			82,018
CMBX.NA.BBB-.13	GS		USD	576,500		3.00%		4.63%		N/A		12/16/2072		Monthly		35,496			56,705			21,209
CMBX.NA.BBB-.13	MSCI		USD	1,780,000		3.00%		4.63%		N/A		12/16/2072		Monthly		99,709			175,084			75,375
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI		USD	1,187,000		5.00%		2.06%		1,187,000 USD		12/20/2023		Quarterly		121,667			85,906			(35,761	)
CDX.NA.HYS.31.V14-5Y	CITI		USD	1,928,000		5.00%		2.06%		1,928,000 USD		12/20/2023		Quarterly		203,886			139,532			(64,354	)
CDX.NA.HYS.33.V12-5Y	CITI		USD	4,388,727		5.00%		2.54%		4,388,727 USD		12/20/2024		Quarterly		756,836			560,317			(196,519	)
CDX.NA.HYS.35.V1-5Y	JPM		USD	1,780,000		5.00%		3.12%		1,780,000 USD		12/20/2025		Quarterly		129,940			72,143			(57,797	)
CDX.NA.HYS.35.V1-5Y	MSCI		USD	2,160,000		5.00%		3.12%		2,160,000 USD		12/20/2025		Quarterly		158,760			87,544			(71,216	)
ITRAXX.EUROPE.S34.V1-5Y	BOA		EUR	17,800,000		1.00%		0.56%		17,800,000 EUR		12/20/2025		Quarterly		857,391			590,126			(267,265	)
ITRAXX.XOVER.S34.V2-5Y	JPM		EUR	13,076,017		5.00%		2.62%		13,076,017 EUR		12/20/2025		Quarterly		3,079,383			2,449,410			(629,973	)
CMBX.NA.A.9	CGMI		USD	1,112,500		2.00%		2.29%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(10,997	)		22,099
CMBX.NA.A.9	CGMI		USD	1,780,000		2.00%		2.29%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(17,595	)		27,007
CMBX.NA.A.9	MLCS		USD	4,750,000		2.00%		2.29%		4,750,000 USD		09/17/2058		Monthly		9,294			(46,954	)		(56,248	)
CMBX.NA.AAA.10	GS		USD	4,610,000		0.50%		0.44%		4,610,000 USD		11/17/2059		Monthly		42,162			12,450			(29,712	)
CMBX.NA.AAA.13	GS		USD	1,730,000		0.50%		0.59%		1,730,000 USD		12/16/2072		Monthly		4,051			(10,493	)		(14,544	)
															$	6,012,206		$	5,004,000		$	(1,008,206	)

^ Buy Protection - Fund pays a 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.

Sell Protection - 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.

See accompanying notes to the financial statements. 15

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

⁽¹⁾  As of February 28, 2022, implied credit spreads in absolute terms, calculated using a model, 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.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.60%	3 Month AUD BBSW	AUD	10,100,000		03/16/2024	Quarterly		—			(26,313	)		(26,313	)
1.82%	3 Month CAD CDOR	CAD	93,040,000		03/16/2024	Semi-Annually		(27,504	)		288,951			316,455
1.99%	3 Month CAD CDOR	CAD	14,790,000		03/16/2024	Semi-Annually		—			6,714			6,714
1.90%	3 Month CAD CDOR	CAD	27,730,000		03/16/2024	Semi-Annually		—			52,481			52,481
1.95%	3 Month CAD CDOR	CAD	12,210,000		03/16/2024	Semi-Annually		—			12,474			12,474
3 Month CAD CDOR	2.12%	CAD	9,840,000		03/16/2024	Semi-Annually		—			15,351			15,351
3 Month CAD CDOR	1.74%	CAD	15,820,000		03/16/2024	Semi-Annually		—			(69,307	)		(69,307	)
3 Month CAD CDOR	1.80%	CAD	14,070,000		03/16/2024	Semi-Annually		—			(46,760	)		(46,760	)
2.03%	3 Month CAD CDOR	CAD	13,760,000		03/16/2024	Semi-Annually		—			(2,848	)		(2,848	)
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	26,650,000		03/16/2024	Annually		—			148,295			148,295
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	4,070,000		03/16/2024	Annually		(1,233	)		23,330			24,563
(0.44)%	CHF - SARON - OIS - COMPOUND	CHF	9,440,000		03/16/2024	Annually		—			32,386			32,386
CHF - SARON - OIS - COMPOUND	(0.17)%	CHF	6,860,000		03/16/2024	Annually		—			17,697			17,697
CHF - SARON - OIS - COMPOUND	(0.57)%	CHF	6,200,000		03/16/2024	Annually		(1,625	)		(39,280	)		(37,655	)
(0.08)%	CHF - SARON - OIS - COMPOUND	CHF	12,660,000		03/16/2024	Annually		—			(58,542	)		(58,542	)
(0.24)%	CHF - SARON - OIS - COMPOUND	CHF	16,280,000		03/16/2024	Annually		—			(16,899	)		(16,899	)
(0.25)%	CHF - SARON - OIS - COMPOUND	CHF	16,080,000		03/16/2024	Annually		—			(13,098	)		(13,098	)
(0.28)%	CHF - SARON - OIS - COMPOUND	CHF	17,140,000		03/16/2024	Annually		—			(2,472	)		(2,472	)
GBP - SONIA - COMPOUND	1.64%	GBP	81,760,000		03/16/2024	Annually		34,166			54,840			20,674
GBP - SONIA - COMPOUND	1.80%	GBP	8,420,000		03/16/2024	Annually		5,791			42,225			36,434
1.62%	GBP - SONIA - COMPOUND	GBP	11,580,000		03/16/2024	Annually		3,760			(3,194	)		(6,954	)
1.67%	GBP - SONIA - COMPOUND	GBP	6,950,000		03/16/2024	Annually		208			(10,151	)		(10,359	)
1.67%	GBP - SONIA - COMPOUND	GBP	7,320,000		03/16/2024	Annually		(725	)		(12,426	)		(11,701	)
2.51%	3 Month NZD Bank Bill Rate	NZD	33,640,000		03/16/2024	Quarterly		—			126,919			126,919
2.40%	3 Month NZD Bank Bill Rate	NZD	11,450,000		03/16/2024	Quarterly		—			59,812			59,812
2.38%	3 Month NZD Bank Bill Rate	NZD	15,920,000		03/16/2024	Quarterly		—			87,363			87,363
2.61%	3 Month NZD Bank Bill Rate	NZD	17,600,000		03/16/2024	Quarterly		—			43,187			43,187
3 Month NZD Bank Bill Rate	2.53%	NZD	44,640,000		03/16/2024	Quarterly		—			(156,644	)		(156,644	)
3 Month NZD Bank Bill Rate	2.6%	NZD	55,800,000		03/16/2024	Quarterly		5,109			(143,548	)		(148,657	)
0.34%	3 Month SEK STIBOR	SEK	809,500,000		03/16/2024	Quarterly		—			504,531			504,531
0.33%	3 Month SEK STIBOR	SEK	119,180,000		03/16/2024	Quarterly		(8,708	)		75,566			84,274
0.32%	3 Month SEK STIBOR	SEK	60,300,000		03/16/2024	Quarterly		—			39,445			39,445
3 Month SEK STIBOR	0.72%	SEK	98,500,000		03/16/2024	Quarterly		—			17,340			17,340
3 Month SEK STIBOR	0.69%	SEK	179,800,000		03/16/2024	Quarterly		—			21,003			21,003
3 Month SEK STIBOR	0.69%	SEK	166,200,000		03/16/2024	Quarterly		—			20,469			20,469
3 Month SEK STIBOR	0.64%	SEK	92,400,000		03/16/2024	Quarterly		—			1,608			1,608
3 Month SEK STIBOR	0.33%	SEK	108,000,000		03/16/2024	Quarterly		2,855			(68,934	)		(71,789	)
3 Month SEK STIBOR	0.42%	SEK	40,700,000		03/16/2024	Quarterly		917			(18,230	)		(19,147	)
3 Month SEK STIBOR	0.63%	SEK	79,600,000		03/16/2024	Quarterly		—			(298	)		(298	)
1.22%	USD - SOFR - COMPOUND	USD	11,990,000		03/16/2024	Annually		2,554			44,769			42,215
USD - SOFR - COMPOUND	1.46%	USD	7,500,000		03/16/2024	Annually		942			7,345			6,403
USD - SOFR - COMPOUND	0.97%	USD	7,110,000		03/16/2024	Annually		(2,257	)		(62,472	)		(60,215	)
USD - SOFR - COMPOUND	1.01%	USD	17,820,000		03/16/2024	Annually		(3,397	)		(142,340	)		(138,943	)
USD - SOFR - COMPOUND	1.15%	USD	11,060,000		03/16/2024	Annually		(1,262	)		(57,420	)		(56,158	)
USD - SOFR - COMPOUND	1.05%	USD	10,640,000		03/16/2024	Annually		(1,604	)		(77,552	)		(75,948	)
1.61%	USD - SOFR - COMPOUND	USD	7,230,000		03/16/2024	Annually		(2,124	)		(28,162	)		(26,038	)
6 Month EURIBOR	0.22%	EUR	12,420,000		03/20/2024	Semi-Annually		353			48,262			47,909
6 Month EURIBOR	0.20%	EUR	8,560,000		03/20/2024	Semi-Annually		(1,345	)		30,297			31,642

16 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month EURIBOR	0.20%	EUR	6,160,000		03/20/2024	Semi-Annually		(5,731	)		21,942			27,673
6 Month EURIBOR	0.17%	EUR	8,720,000		03/20/2024	Semi-Annually		934			23,460			22,526
6 Month EURIBOR	(0.23)%	EUR	7,750,000		03/20/2024	Semi-Annually		(539	)		(47,935	)		(47,396	)
6 Month EURIBOR	(0.2)%	EUR	9,150,000		03/20/2024	Semi-Annually		(26	)		(50,172	)		(50,146	)
6 Month EURIBOR	(0.07)%	EUR	9,180,000		03/20/2024	Semi-Annually		109			(23,939	)		(24,048	)
1.95%	6 Month AUD BBSW	AUD	2,210,000		03/16/2032	Semi-Annually		—			73,457			73,457
1.96%	6 Month AUD BBSW	AUD	3,970,000		03/16/2032	Semi-Annually		—			128,876			128,876
2.10%	6 Month AUD BBSW	AUD	2,900,000		03/16/2032	Semi-Annually		—			67,521			67,521
2.10%	6 Month AUD BBSW	AUD	2,900,000		03/16/2032	Semi-Annually		—			68,458			68,458
2.15%	6 Month AUD BBSW	AUD	3,230,000		03/16/2032	Semi-Annually		—			66,225			66,225
2.43%	6 Month AUD BBSW	AUD	6,060,000		03/16/2032	Semi-Annually		—			13,091			13,091
6 Month AUD BBSW	2.52%	AUD	4,650,000		03/16/2032	Semi-Annually		—			17,385			17,385
6 Month AUD BBSW	2.52%	AUD	8,960,000		03/16/2032	Semi-Annually		—			33,498			33,498
6 Month AUD BBSW	2.53%	AUD	2,240,000		03/16/2032	Semi-Annually		—			9,461			9,461
6 Month AUD BBSW	2.54%	AUD	2,820,000		03/16/2032	Semi-Annually		—			14,189			14,189
6 Month AUD BBSW	1.97%	AUD	6,940,000		03/16/2032	Semi-Annually		—			(222,149	)		(222,149	)
6 Month AUD BBSW	2.07%	AUD	3,060,000		03/16/2032	Semi-Annually		—			(77,576	)		(77,576	)
6 Month AUD BBSW	1.99%	AUD	16,650,000		03/16/2032	Semi-Annually		(1,506	)		(507,673	)		(506,167	)
6 Month AUD BBSW	2.25%	AUD	3,020,000		03/16/2032	Semi-Annually		—			(42,397	)		(42,397	)
1.88%	3 Month CAD CDOR	CAD	4,450,000		03/16/2032	Semi-Annually		—			156,655			156,655
2.03%	3 Month CAD CDOR	CAD	4,080,000		03/16/2032	Semi-Annually		—			98,404			98,404
2.14%	3 Month CAD CDOR	CAD	3,420,000		03/16/2032	Semi-Annually		—			57,294			57,294
2.16%	3 Month CAD CDOR	CAD	3,280,000		03/16/2032	Semi-Annually		—			48,146			48,146
2.23%	3 Month CAD CDOR	CAD	3,060,000		03/16/2032	Semi-Annually		—			29,817			29,817
2.23%	3 Month CAD CDOR	CAD	3,020,000		03/16/2032	Semi-Annually		—			29,211			29,211
3 Month CAD CDOR	2.39%	CAD	3,240,000		03/16/2032	Semi-Annually		—			3,649			3,649
2.34%	3 Month CAD CDOR	CAD	3,000,000		03/16/2032	Semi-Annually		—			6,812			6,812
3 Month CAD CDOR	2.42%	CAD	3,010,000		03/16/2032	Semi-Annually		—			10,494			10,494
3 Month CAD CDOR	2.12%	CAD	20,620,000		03/16/2032	Semi-Annually		29,206			(366,083	)		(395,289	)
3 Month CAD CDOR	2.12%	CAD	52,300,000		03/16/2032	Semi-Annually		13,334			(928,523	)		(941,857	)
3 Month CAD CDOR	2.33%	CAD	9,910,000		03/16/2032	Semi-Annually		—			(31,362	)		(31,362	)
3 Month CAD CDOR	2.37%	CAD	7,990,000		03/16/2032	Semi-Annually		—			(144	)		(144	)
3 Month CAD CDOR	2.35%	CAD	4,000,000		03/16/2032	Semi-Annually		—			(4,649	)		(4,649	)
3 Month CAD CDOR	2.28%	CAD	6,050,000		03/16/2032	Semi-Annually		—			(39,698	)		(39,698	)
3 Month CAD CDOR	2.32%	CAD	1,410,000		03/16/2032	Semi-Annually		—			(4,664	)		(4,664	)
3 Month CAD CDOR	2.32%	CAD	2,660,000		03/16/2032	Semi-Annually		—			(8,703	)		(8,703	)
2.39%	3 Month CAD CDOR	CAD	3,170,000		03/16/2032	Semi-Annually		—			(5,157	)		(5,157	)
2.42%	3 Month CAD CDOR	CAD	5,240,000		03/16/2032	Semi-Annually		—			(19,954	)		(19,954	)
2.44%	3 Month CAD CDOR	CAD	3,540,000		03/16/2032	Semi-Annually		—			(17,911	)		(17,911	)
2.44%	3 Month CAD CDOR	CAD	2,150,000		03/16/2032	Semi-Annually		—			(10,878	)		(10,878	)
(0.06)%	CHF - SARON - OIS - COMPOUND	CHF	1,300,000		03/16/2032	Annually		614			79,617			79,003
CHF - SARON - OIS - COMPOUND	0.51%	CHF	2,620,000		03/16/2032	Annually		—			1,271			1,271
CHF - SARON - OIS - COMPOUND	0.56%	CHF	3,400,000		03/16/2032	Annually		—			18,877			18,877
CHF - SARON - OIS - COMPOUND	0.51%	CHF	1,750,000		03/16/2032	Annually		—			1,517			1,517
CHF - SARON - OIS - COMPOUND	0.51%	CHF	1,780,000		03/16/2032	Annually		—			961			961
CHF - SARON - OIS - COMPOUND	0.52%	CHF	3,380,000		03/16/2032	Annually		—			4,035			4,035
CHF - SARON - OIS - COMPOUND	0.55%	CHF	3,340,000		03/16/2032	Annually		—			15,815			15,815
CHF - SARON - OIS - COMPOUND	0.52%	CHF	3,550,000		03/16/2032	Annually		—			7,139			7,139
CHF - SARON - OIS - COMPOUND	0.05%	CHF	5,460,000		03/16/2032	Annually		—			(273,110	)		(273,110	)
CHF - SARON - OIS - COMPOUND	(0.01)%	CHF	810,000		03/16/2032	Annually		2,106			(45,459	)		(47,565	)
CHF - SARON - OIS - COMPOUND	0.20%	CHF	1,930,000		03/16/2032	Annually		—			(64,362	)		(64,362	)
CHF - SARON - OIS - COMPOUND	0.22%	CHF	2,590,000		03/16/2032	Annually		—			(79,035	)		(79,035	)
CHF - SARON - OIS - COMPOUND	0.23%	CHF	26,040,000		03/16/2032	Annually		26,209			(777,594	)		(803,803	)
CHF - SARON - OIS - COMPOUND	0.32%	CHF	1,100,000		03/16/2032	Annually		—			(22,060	)		(22,060	)
0.53%	CHF - SARON - OIS - COMPOUND	CHF	1,420,000		03/16/2032	Annually		—			(3,861	)		(3,861	)

See accompanying notes to the financial statements. 17

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.37%	GBP - SONIA - COMPOUND	GBP	56,150,000		03/16/2032	Annually		(161,248	)		244,305			405,553
1.35%	GBP - SONIA - COMPOUND	GBP	16,760,000		03/16/2032	Annually		(28,546	)		114,487			143,033
GBP - SONIA - COMPOUND	1.43%	GBP	2,070,000		03/16/2032	Annually		—			5,624			5,624
GBP - SONIA - COMPOUND	1.41%	GBP	1,470,000		03/16/2032	Annually		(3,831	)		1,260			5,091
1.35%	GBP - SONIA - COMPOUND	GBP	1,640,000		03/16/2032	Annually		—			11,610			11,610
GBP - SONIA - COMPOUND	1.34%	GBP	2,440,000		03/16/2032	Annually		(3,449	)		(19,844	)		(16,395	)
GBP - SONIA - COMPOUND	1.41%	GBP	1,540,000		03/16/2032	Annually		3,150			174			(2,976	)
1.46%	GBP - SONIA - COMPOUND	GBP	1,780,000		03/16/2032	Annually		(2,569	)		(13,003	)		(10,434	)
2.64%	3 Month NZD Bank Bill Rate	NZD	9,860,000		03/16/2032	Quarterly		3,125			230,575			227,450
2.69%	3 Month NZD Bank Bill Rate	NZD	12,350,000		03/16/2032	Quarterly		(2,850	)		249,618			252,468
3.02%	3 Month NZD Bank Bill Rate	NZD	1,920,000		03/16/2032	Quarterly		—			2,142			2,142
2.98%	3 Month NZD Bank Bill Rate	NZD	3,670,000		03/16/2032	Quarterly		—			12,720			12,720
3 Month NZD Bank Bill Rate	2.57%	NZD	7,310,000		03/16/2032	Quarterly		—			(199,292	)		(199,292	)
3 Month NZD Bank Bill Rate	2.82%	NZD	2,560,000		03/16/2032	Quarterly		(94	)		(32,188	)		(32,094	)
3 Month NZD Bank Bill Rate	2.78%	NZD	3,560,000		03/16/2032	Quarterly		—			(52,920	)		(52,920	)
3 Month NZD Bank Bill Rate	2.99%	NZD	3,950,000		03/16/2032	Quarterly		(3,484	)		(10,210	)		(6,726	)
3.05%	3 Month NZD Bank Bill Rate	NZD	1,810,000		03/16/2032	Quarterly		—			(1,490	)		(1,490	)
0.84%	3 Month SEK STIBOR	SEK	22,400,000		03/16/2032	Quarterly		(2,205	)		131,079			133,284
1.10%	3 Month SEK STIBOR	SEK	8,600,000		03/16/2032	Quarterly		(136	)		27,942			28,078
1.42%	3 Month SEK STIBOR	SEK	21,000,000		03/16/2032	Quarterly		—			961			961
1.40%	3 Month SEK STIBOR	SEK	17,000,000		03/16/2032	Quarterly		—			4,181			4,181
1.41%	3 Month SEK STIBOR	SEK	38,500,000		03/16/2032	Quarterly		—			4,845			4,845
3 Month SEK STIBOR	0.90%	SEK	164,530,000		03/16/2032	Quarterly		—			(867,263	)		(867,263	)
3 Month SEK STIBOR	0.84%	SEK	29,270,000		03/16/2032	Quarterly		7,253			(170,109	)		(177,362	)
3 Month SEK STIBOR	0.85%	SEK	12,500,000		03/16/2032	Quarterly		—			(72,521	)		(72,521	)
3 Month SEK STIBOR	1.39%	SEK	255,800,000		03/16/2032	Quarterly		53,712			(101,328	)		(155,040	)
3 Month SEK STIBOR	1.38%	SEK	29,800,000		03/16/2032	Quarterly		—			(13,296	)		(13,296	)
3 Month SEK STIBOR	1.42%	SEK	20,900,000		03/16/2032	Quarterly		—			(120	)		(120	)
3 Month SEK STIBOR	1.39%	SEK	23,100,000		03/16/2032	Quarterly		—			(8,919	)		(8,919	)
1.45%	3 Month SEK STIBOR	SEK	35,600,000		03/16/2032	Quarterly		—			(9,775	)		(9,775	)
1.43%	3 Month SEK STIBOR	SEK	19,800,000		03/16/2032	Quarterly		—			(1,571	)		(1,571	)
1.57%	USD - SOFR - COMPOUND	USD	1,530,000		03/16/2032	Annually		(85	)		14,553			14,638
1.56%	USD - SOFR - COMPOUND	USD	3,840,000		03/16/2032	Annually		(1,678	)		38,666			40,344
1.58%	USD - SOFR - COMPOUND	USD	2,290,000		03/16/2032	Annually		(2,312	)		18,801			21,113
USD - SOFR - COMPOUND	1.87%	USD	1,570,000		03/16/2032	Annually		4,848			28,852			24,004
1.70%	USD - SOFR - COMPOUND	USD	2,390,000		03/16/2032	Annually		(2,216	)		(7,484	)		(5,268	)
USD - SOFR - COMPOUND	1.61%	USD	2,580,000		03/16/2032	Annually		889			(13,986	)		(14,875	)
1.75%	USD - SOFR - COMPOUND	USD	3,930,000		03/16/2032	Annually		—			(28,930	)		(28,930	)
1.76%	USD - SOFR - COMPOUND	USD	44,250,000		03/16/2032	Annually		(76,092	)		(377,157	)		(301,065	)
1.79%	USD - SOFR - COMPOUND	USD	2,640,000		03/16/2032	Annually		—			(29,373	)		(29,373	)
1.82%	USD - SOFR - COMPOUND	USD	2,110,000		03/16/2032	Annually		—			(29,067	)		(29,067	)
1.84%	USD - SOFR - COMPOUND	USD	1,890,000		03/16/2032	Annually		—			(29,901	)		(29,901	)
1.71%	USD - SOFR - COMPOUND	USD	1,610,000		03/16/2032	Annually		(796	)		(6,314	)		(5,518	)
0.36%	6 Month EURIBOR	EUR	1,580,000		03/17/2032	Semi-Annually		157			76,382			76,225
0.39%	6 Month EURIBOR	EUR	1,870,000		03/17/2032	Semi-Annually		478			84,840			84,362
0.39%	6 Month EURIBOR	EUR	25,280,000		03/17/2032	Semi-Annually		(71,344	)		1,133,006			1,204,350
0.45%	6 Month EURIBOR	EUR	2,580,000		03/17/2032	Semi-Annually		—			99,575			99,575
0.42%	6 Month EURIBOR	EUR	2,150,000		03/17/2032	Semi-Annually		(1,861	)		89,255			91,116
0.49%	6 Month EURIBOR	EUR	1,880,000		03/17/2032	Semi-Annually		511			64,586			64,075
0.71%	6 Month EURIBOR	EUR	2,570,000		03/17/2032	Semi-Annually		3,805			25,249			21,444
0.76%	6 Month EURIBOR	EUR	1,760,000		03/17/2032	Semi-Annually		2,486			8,122			5,636
6 Month EURIBOR	0.81%	EUR	4,960,000		03/17/2032	Semi-Annually		—			6,613			6,613
6 Month EURIBOR	0.82%	EUR	2,000,000		03/17/2032	Semi-Annually		—			5,200			5,200
6 Month EURIBOR	0.83%	EUR	2,960,000		03/17/2032	Semi-Annually		—			11,934			11,934
6 Month EURIBOR	0.82%	EUR	2,960,000		03/17/2032	Semi-Annually		—			7,533			7,533

18 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month EURIBOR	0.81%	EUR	1,950,000		03/17/2032	Semi-Annually		—			3,029			3,029
6 Month EURIBOR	0.86%	EUR	3,180,000		03/17/2032	Semi-Annually		—			22,629			22,629
0.77%	6 Month EURIBOR	EUR	1,280,000		03/17/2032	Semi-Annually		4,639			3,792			(847	)
0.81%	6 Month EURIBOR	EUR	1,810,000		03/17/2032	Semi-Annually		(201	)		(2,912	)		(2,711	)
6 Month EURIBOR	0.77%	EUR	3,800,000		03/17/2032	Semi-Annually		—			(12,722	)		(12,722	)
6 Month EURIBOR	0.76%	EUR	1,250,000		03/17/2032	Semi-Annually		—			(5,562	)		(5,562	)
							$	(210,363	)	$	(1,135,118	)	$	(924,755	)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Bloomberg Commodity Index (g)	(0.15)%	MSCI		USD	3,813,679		03/09/2022		Monthly		—		(167,395	)		(167,395	)
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Value Index	GS		USD	3,406,277		05/06/2022		Monthly		—		(134,820	)		(134,820	)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	3,950,214		05/12/2022		Monthly		—		(138,966	)		(138,966	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA		USD	3,702,346		05/12/2022		Monthly		—		22,107			22,107
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	2,703,455		05/20/2022		Monthly		—		(95,064	)		(95,064	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA		USD	2,492,851		05/20/2022		Monthly		—		14,837			14,837
1 Month Federal Funds Rate plus 0.60%	Total Return on Equity Basket (h)	GS		USD	115,795		05/24/2022		Monthly		—		2,109			2,109
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.50% (h)	GS		USD	605,784		05/24/2022		Monthly		—		(10,034	)		(10,034	)
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.75% (h)	GS		USD	107,440		05/24/2022		Monthly		—		5,493			5,493
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.75% (h)	GS		USD	902,630		05/24/2022		Monthly		—		2,578			2,578
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.50% (h)	GS		USD	502,772		05/24/2022		Monthly		—		(26,076	)		(26,076	)
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.75% (h)	GS		USD	137,940		05/24/2022		Monthly		—		(2,931	)		(2,931	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS		USD	3,198,611		06/06/2022		Monthly		—		89,489			89,489
1 Month Federal Funds Rate plus 0.95%	Total Return on Equity Basket (h)	MORD		USD	102,282		10/18/2022		Monthly		—		(2,003	)		(2,003	)
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.40% (i)	MORD		USD	4,508,932		10/18/2022		Monthly		—		256,695			256,695
Total Return on Equity Basket	1 Month Federal Funds Rate plus 1.00% (h)	MORD		USD	25,627		12/19/2022		Monthly		—		1,647			1,647
Total Return on Equity Basket	1 Month Federal Funds Rate minus 2.55% (h)	MORD		USD	1,483,100		06/20/2023		Monthly		—		(47,388	)		(47,388	)
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.40% (h)	MORD		USD	534,382		11/18/2023		Monthly		—		17,364			17,364
Total Return on Equity Basket	1 Month Federal Funds Rate minus 0.50% (h)	GS		USD	40,878		05/24/2024		Monthly		—		(1,107	)		(1,107	)
										$	—	$	(213,465	)	$	(213,465	)

See accompanying notes to the financial statements. 19

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) Investment valued using significant unobservable inputs (Note 2).

(c) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of February 28, 2022.

(f) The rate shown represents yield-to-maturity.

(g) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(h) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(i) The following table represents the individual short positions within the custom equity basket swap as of February 28, 2022:

Shares		Description	% of Equity Basket			Value ($)
	240,000	Alibaba Health Information Technology Ltd		4.0	%		168,056
	1,100,000	Alibaba Pictures Group Ltd		2.6	%		109,977
	729,000	China Molybdenum Co Ltd –Class H		10.3	%		438,787
	50,000	China Resources Beer Holdings Co Ltd		9.3	%		396,470
	70,000	Citic Securities Co Ltd – Class H		4.0	%		169,589
	72,000	Cosco Shipping Holdings Co –Class H		3.4	%		145,528
	7,000	Country Garden Services Holdings Co Ltd		1.0	%		41,874
	24,600	Ganfeng Lithium Co Ltd –Class H		9.8	%		417,516
	192,000	Greentown Service Group Co Ltd		4.6	%		192,868
	8,800	Hong Kong Exchanges and Clearing Ltd		10.0	%		426,418
	169,000	Kingdee International Software Group Co Lt		9.8	%		417,707
	43,000	New World Development Co Ltd		4.1	%		171,985
	172,800	Sands China Ltd		10.7	%		455,757
	169,000	Weimob Inc		2.6	%		111,769
	396,000	Zijin Mining Group Co Ltd –Class H		13.8	%		587,736
		TOTAL COMMON STOCKS				$	4,252,037

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 133.

20 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Allocation Fund returned +0.86% (net) for the fiscal year ended February 28, 2022, as compared with +7.99% for the CPI.

This was a fairly lackluster 12 months for performance, both from an absolute perspective and a relative one. There was a tremendous spread in returns across risk assets with, for example, the S&P 500 Index returning 16.4% while the MSCI Emerging Markets Index faltered to a -10.7% return. Our equity and equity long/short positions, which together accounted for an average of broadly 46% of the Fund, were biased towards emerging markets and away from the U.S. and therefore performed poorly. We believed that emerging markets were trading at very preferential valuations, but regulatory actions in China and the Russian invasion of Ukraine proved extremely challenging. The disappointing returns suffered by the equity book were exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia. Alternative assets, which accounted for an average of broadly 44% of the Fund, enjoyed a strong year with a 7.5% return. This was driven by an excellent showing from the Equity Dislocation Strategy, which is long cheap Value stocks and short expensive Growth stocks. Fixed income assets accounted for the remaining 10% of the Fund, and these too enjoyed a solid 12 months. We generated a modestly positive return, as the High Yield/Distressed portfolio and Asset-Backed Securities more than offset the difficult year for Emerging Debt, which was well ahead of the -2.6% posted by the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index).

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

22

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Benchmark-Free Allocation Fund Class III Shares, the Consumer Price Index and the Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index (formerly Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

For Class III, IV, MF, R6 and I the gross expense ratio of 1.07%, 1.02%, 1.02%, 1.05% and 1.17%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.96%, 0.92%, 0.91%, 0.97% and 1.07% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

23

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		71.3	%
Debt Obligations		31.7
Short-Term Investments		11.7
Preferred Stocks		1.4
Futures Contracts		0.9
Investment Funds		0.6
Loan Assignments		0.0	^
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.1	)
Securities Sold Short		(21.0	)
Other		3.5
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Switzerland		4.4	%
Sweden		3.7
Canada		3.7
Other Emerging		2.2	†
Australia		1.9
Euro Region		(0.6	)#
Other Developed		(1.2	)‡
United States		(2.4	)
United Kingdom		(8.8	)
		2.9	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		8.5	%
United States		7.6
China		7.0
Other Developed		5.9	‡
Taiwan		4.5
South Korea		3.6
Other Emerging		3.0	†
United Kingdom		2.5
India		2.2
Brazil		1.9
Mexico		1.3
Australia		1.2
Canada		1.1
France		1.0
Russia		1.0
		52.3	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. Duration is based on GMO’s models. The greater the duration of a bond, the greater contribution to the concentration percentage. Credit default swap exposure are factored into the duration adjusted exposure using the reference securities and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposure which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^ Rounds to 0.0%.

24

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	5,411,918	GMO Emerging Country Debt Fund, Class VI		115,273,843
	373,319,979	GMO Implementation Fund		4,681,432,538
	7,187,781	GMO Opportunistic Income Fund, Class VI		183,719,672
	4,842,351	GMO SGM Major Markets Fund, Class VI		141,735,622
		TOTAL MUTUAL FUNDS (COST $5,344,673,966)		5,122,161,675
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,385,029	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		4,385,029
		TOTAL SHORT-TERM INVESTMENTS (COST $4,385,029)		4,385,029
		TOTAL INVESTMENTS — 100.1% (Cost $5,349,058,995)		5,126,546,704
		Other Assets and Liabilities (net) — (0.1%)		(2,901,665	)
		TOTAL NET ASSETS — 100.0%		$5,123,645,039

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 133.

See accompanying notes to the financial statements. 25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Fund returned +1.21% (net) for the fiscal year ended February 28, 2022, as compared with +7.99% for the CPI.

This was a fairly lackluster 12 months for performance, both from an absolute perspective and a relative one. There was a tremendous spread in returns across risk assets with, for example, the S&P 500 Index returning 16.4% while the MSCI Emerging Markets Index faltered to a -10.7% return. Our equity and equity long/short positions were biased towards emerging markets and away from the U.S., and therefore performed poorly. We believed that emerging markets were trading at very preferential valuations, but regulatory actions in China and the Russian invasion of Ukraine proved extremely challenging. The disappointing returns suffered by the equity book were exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia. Alternative assets enjoyed a strong year, driven by an excellent showing from the Equity Dislocation Strategy, which is long cheap Value stocks and short expensive Growth stocks. The exposure to fixed income assets was relatively modest, a positive return from Asset-Backed Securities worked to offset the difficult year for Emerging Debt.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

26

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Benchmark-Free Fund Class III Shares, the Consumer Price Index and the Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index (formerly Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

For Class III the gross expense ratio of 0.36% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Class listed above, the net expense ratio of 0.31% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		80.5	%
Debt Obligations		28.0
Short-Term Investments		16.7
Preferred Stocks		1.6
Futures Contracts		1.2
Investment Funds		0.2
Swap Contracts		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Securities Sold Short		(20.6	)
Other		(7.7	)
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		2.9	%†
Switzerland		2.4
Sweden		1.8
Canada		1.8
Other Developed		(0.0	)^‡
Euro Region		(0.4	)#
United Kingdom		(4.3	)
		4.2	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		11.5	%
China		8.8
Taiwan		6.2
Other Developed		5.1	‡
South Korea		4.7
United States		3.9
Other Emerging		3.9	†
United Kingdom		2.9
India		2.8
Brazil		2.5
Mexico		1.7
France		1.4
Russia		1.4
Canada		1.2
Netherlands		1.1
Australia		1.0
Hong Kong		1.0
		61.1	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. Duration is based on GMO’s models. The greater the duration of a bond, the greater contribution to the concentration percentage. Credit default swap exposure are factored into the duration adjusted exposure using the reference securities and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposure which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

28

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 78.6%
		Argentina — 0.0%
	4,800	Banco BBVA Argentina SA ADR *		15,504
	7,296	Grupo Financiero Galicia SA ADR		69,093
		Total Argentina		84,597
		Australia — 1.5%
	17,150	Abacus Property Group (REIT)		44,049
	54,811	Accent Group Ltd		74,683
	25,859	Adairs Ltd (a)		54,019
	96,619	Aurizon Holdings Ltd (b)		246,466
	60,850	Australian Pharmaceutical Industries Ltd (b)		67,703
	93,039	Beach Energy Ltd (a)		103,634
	295,992	BlueScope Steel Ltd		4,383,006
	135,795	Brambles Ltd		978,093
	212,047	Dexus (REIT) (b)		1,678,560
	260,673	Fortescue Metals Group Ltd (a)		3,472,774
	39,768	GDI Property Group (REIT)		30,336
	149,150	Genworth Mortgage Insurance Australia Ltd (a)		325,351
	430,888	GPT Group (The) (REIT)		1,537,441
	65,691	GrainCorp Ltd – Class A		401,789
	67,954	HomeCo Daily Needs (REIT)		75,637
	2,473	JB Hi-Fi Ltd		88,953
	14,449	McMillan Shakespeare Ltd		126,291
	130,157	Metcash Ltd		390,538
	17,530	Mineral Resources Ltd		584,565
	767,728	Mirvac Group (REIT) (b)		1,431,747
	99,102	Mount Gibson Iron Ltd		38,009
	66,896	Rio Tinto Ltd (b)		5,768,911
	60,671	Sandfire Resources Ltd		299,104
	510,173	Scentre Group (REIT) (b)		1,133,401
	24,820	Southern Cross Media Group Ltd		31,983
	410,016	Stockland (REIT) (b)		1,240,665
	11,084	Super Retail Group Ltd		89,080
	13,140	Virtus Health Ltd (a)		71,298
		Total Australia		24,768,086
		Austria — 0.0%
	1,904	Raiffeisen Bank International AG		31,026
	2,078	Vienna Insurance Group AG Wiener Versicherung Gruppe		54,410
		Total Austria		85,436
		Belgium — 0.5%
	2,304	Ackermans & van Haaren NV		430,099
	52,236	Ageas SA/NV		2,512,873
	11,906	Bekaert SA		518,011
	872	Cie d’Entreprises CFE		115,903
	2,397	D’ieteren Group (b)		387,223

Shares		Description	Value ($)
		Belgium — continued
	8,100	KBC Group NV		583,580
	2,423	Orange Belgium SA		52,900
	4,937	Proximus SADP		98,149
	1,580	Sofina SA		613,602
	26,137	UCB SA		2,852,506
	282	VGP NV (b)		72,008
		Total Belgium		8,236,854
		Brazil — 1.6%
	22,100	Ambev SA		64,858
	39,300	Ambev SA ADR		115,149
	240,040	Banco Bradesco SA		787,295
	135,000	Banco do Brasil SA		912,745
	98,100	Blau Farmaceutica SA		565,785
	9,500	Cia Paranaense de Energia		64,189
	56,000	Cia Siderurgica Nacional SA		275,617
	11,400	Equatorial Energia SA		56,376
	66,200	JBS SA		463,717
	603,900	Marfrig Global Foods SA		2,613,888
	15,700	Petroleo Brasileiro SA		111,634
	202,800	Petroleo Brasileiro SA Sponsored ADR (b)		2,898,012
	59,300	Ser Educacional SA		127,231
	419,300	Telefonica Brasil SA		4,111,930
	1,393,500	TIM SA		3,696,242
	35,600	Transmissora Alianca de Energia Eletrica SA		272,804
	55,152	Vale SA		1,023,272
	236,500	Vale SA Sponsored ADR – Class B (b)		4,372,885
	291,900	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		621,034
	727,140	Vibra Energia SA		3,312,062
		Total Brazil		26,466,725
		Canada — 1.9%
	7,100	AGF Management Ltd – Class B		39,547
	19,800	Bank of Montreal		2,260,871
	8,200	Baytex Energy Corp * (a)		37,458
	69,848	Brookfield Asset Management Inc – Class A (b)		3,816,495
	42,100	Canaccord Genuity Group Inc (a)		428,806
	32,300	Canadian Apartment Properties (REIT) (b)		1,344,496
	13,900	Canadian Tire Corp Ltd – Class A (a) (b)		2,049,304
	7,200	Canadian Western Bank		210,802
	32,400	Canfor Corp *		733,378
	17,400	Celestica Inc * (c)		206,886
	47,900	Celestica Inc * (a) (c)		569,509
	10,600	Cenovus Energy Inc		166,420
	3,703	Cogeco Inc (b)		229,162
	50,700	Corus Entertainment Inc – Class B (b)		203,200
	5,000	DREAM Unlimited Corp – Class A		185,602

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Canada — continued
	20,100	Finning International Inc		584,843
	1,200	Great-West Lifeco Inc (b)		36,099
	12,500	iA Financial Corp Inc		742,702
	8,300	Imperial Oil Ltd (c)		372,534
	17,300	Imperial Oil Ltd (c)		775,732
	19,700	Interfor Corp		600,092
	900	Laurentian Bank of Canada		30,227
	10,300	Linamar Corp		537,875
	21,300	Magna International Inc		1,582,502
	2,400	Morguard North American Residential Real Estate Investment Trust (REIT)		36,052
	49,586	Nutrien Ltd		4,263,900
	5,300	Onex Corp		355,926
	22,500	Parex Resources Inc		496,154
	73,000	Power Corp of Canada (a)		2,251,337
	24,000	PrairieSky Royalty Ltd (a)		324,544
	30,700	Quebecor Inc – Class B (b)		671,404
	21,100	RioCan Real Estate Investment Trust (REIT) (b)		418,171
	3,000	Russel Metals Inc (a)		74,320
	7,100	Tamarack Valley Energy Ltd		28,904
	9,700	Teck Resources Ltd – Class B		349,277
	32,600	Teck Resources Ltd – Class B		1,171,970
	12,200	Topaz Energy Corp		191,157
	1,700	Tourmaline Oil Corp (a)		67,061
	5,000	Wajax Corp		92,899
	21,300	West Fraser Timber Co Ltd		2,126,135
	2,800	Westshore Terminals Investment Corp (a) (b)		65,632
		Total Canada		30,729,385
		Chile — 0.1%
	448,993	Banco de Chile		47,603
	994,744	Banco Santander Chile		48,846
	4,500	Banco Santander Chile ADR		87,840
	1,433	CAP SA		16,587
	10,026	Cencosud SA		18,434
	37,376	Cencosud Shopping SA		40,109
	9,200	Cia Cervecerias Unidas SA Sponsored ADR		147,016
	3,870,250	Colbun SA		282,195
	1,368	Empresas COPEC SA		10,608
	213,361	Enel Americas SA		24,983
	187,321	Falabella SA		616,751
	28,643	Inversiones La Construccion SA		114,717
		Total Chile		1,455,689
		China — 8.3%
	364,000	361 Degrees International Ltd *		178,953
	22,500	A-Living Smart City Services Co Ltd		40,332
	508,000	Agile Group Holdings Ltd (a)		231,456

Shares		Description	Value ($)
		China — continued
	293,276	Agricultural Bank of China Ltd – Class A		138,681
	17,511,136	Agricultural Bank of China Ltd – Class H		6,631,801
	123,095	Alibaba Group Holding Ltd *		1,620,407
	9,100	Anhui Conch Cement Co Ltd – Class A		58,309
	29,320	ANTA Sports Products Ltd		447,810
	11,796	Autohome Inc ADR (b)		360,840
	11,584	Autohome Inc – Class A *		85,536
	2,695,500	BAIC Motor Corp Ltd – Class H		941,739
	641,796	Bank of China Ltd – Class A		315,477
	17,409,840	Bank of China Ltd – Class H		6,777,680
	6,772,091	Bank of Communications Co Ltd – Class H		4,642,467
	149,500	Beijing Enterprises Holdings Ltd		511,066
	3,495	BYD Co Ltd – Class A		140,668
	107,400	BYD Electronic International Co Ltd (a)		303,063
	149,000	China Aoyuan Group Ltd (a)		24,836
	456,000	China BlueChemical Ltd – Class H		136,540
	4,554,000	China Cinda Asset Management Co Ltd – Class H		822,059
	2,788,354	China Communications Services Corp Ltd – Class H		1,529,750
	62,456	China Construction Bank Corp – Class A		59,807
	3,628,480	China Construction Bank Corp – Class H		2,721,231
	292,000	China Datang Corp Renewable Power Co Ltd – Class H (a)		110,653
	1,845,040	China Dongxiang Group Co Ltd		139,237
	4,574,000	China Energy Engineering Corp Ltd – Class H (a)		749,691
	80,000	China Everbright Bank Co Ltd – Class H		29,753
	631,000	China Everbright Environment Group Ltd		453,042
	773,280	China Feihe Ltd		922,724
	1,058,000	China Greenfresh Group Co Ltd * (d)		—
	104,000	China High Speed Transmission Equipment Group Co Ltd *		78,903
	1,881,000	China Hongqiao Group Ltd		2,633,416
	889,920	China Lesso Group Holdings Ltd		1,370,107
	54,000	China Lilang Ltd		29,997
	174,000	China Longyuan Power Group Corp Ltd – Class H		359,065
	983,645	China Medical System Holdings Ltd		1,751,531
	142,031	China Merchants Bank Co Ltd – Class A		1,123,739
	74,000	China Merchants Port Holdings Co Ltd		139,519
	423,000	China Molybdenum Co Ltd – Class A		406,151
	51,000	China Molybdenum Co Ltd – Class H		30,697
	1,724,000	China National Building Material Co Ltd – Class H		2,211,596
	112,640	China Oriental Group Co Ltd		32,742
	714,000	China Overseas Grand Oceans Group Ltd		411,903
	1,256,860	China Overseas Land & Investment Ltd		3,837,403
	18,273	China Pacific Insurance Group Co Ltd – Class A		76,920

30 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		China — continued
	94,928	China Pacific Insurance Group Co Ltd – Class H		264,334
	3,138	China Petroleum & Chemical Corp ADR (b)		156,429
	11,514,000	China Petroleum & Chemical Corp – Class H		5,728,062
	28,000	China Pioneer Pharma Holdings Ltd		8,480
	7,540,042	China Railway Group Ltd – Class H		4,427,180
	1,122,120	China Reinsurance Group Corp – Class H		107,848
	32,240	China Resources Gas Group Ltd		148,078
	135,440	China Resources Land Ltd		658,820
	2,019,500	China Resources Pharmaceutical Group Ltd		998,855
	191,000	China Shineway Pharmaceutical Group Ltd		156,281
	1,156,000	China South City Holdings Ltd		96,499
	648,000	China State Construction International Holdings Ltd		912,589
	2,582,000	China Traditional Chinese Medicine Holdings Co Ltd		1,471,894
	2,900	China Yuchai International Ltd		35,873
	1,776,400	China Zhongwang Holdings Ltd * (a) (e)		381,894
	14,000	CIFI Ever Sunshine Services Group Ltd		25,460
	4,126,000	CITIC Ltd		4,814,729
	1,221,000	Country Garden Holdings Co Ltd (a)		948,633
	33,000	Country Garden Services Holdings Co Ltd		197,405
	3,736,000	CSPC Pharmaceutical Group Ltd		4,428,515
	3,730,000	Dongfeng Motor Group Co Ltd – Class H		3,210,509
	44,000	Dongyue Group Ltd		63,833
	36,860	ENN Energy Holdings Ltd		533,821
	480,527	Fangda Special Steel Technology Co Ltd – Class A		627,731
	991,500	Fosun International Ltd		1,075,781
	23,400	Fuyao Glass Industry Group Co Ltd – Class A		164,381
	23,600	Fuyao Glass Industry Group Co Ltd – Class H		115,784
	18,000	Geely Automobile Holdings Ltd		33,528
	132,240	Guangdong Investment Ltd		177,955
	252,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		673,561
	1,718,800	Guangzhou R&F Properties Co Ltd – Class H (a)		731,693
	44,600	Haier Smart Home Co Ltd – Class H		156,282
	195,500	Hello Group Inc Sponsored ADR (b)		1,863,115
	113,380	Hisense Home Appliances Group Co Ltd – Class A		244,680
	158,000	Hisense Home Appliances Group Co Ltd – Class H		177,330
	4,172	Hollysys Automation Technologies Ltd *		58,742
	223,310	Hopson Development Holdings Ltd		459,696
	1,541,080	Industrial & Commercial Bank of China Ltd – Class H		919,955
	264,595	Inner Mongolia Eerduosi Resources Co Ltd – Class A		1,093,933

Shares		Description	Value ($)
		China — continued
	2,970	JD.com Inc – Class A *		106,087
	14,900	KE Holdings Inc ADR * (b)		289,209
	363,000	Kingboard Holdings Ltd		1,698,168
	22,240	Kingboard Laminates Holdings Ltd		37,060
	96,000	Kunlun Energy Co Ltd		94,434
	82,880	KWG Group Holdings Ltd		38,806
	419,000	Legend Holdings Corp – Class H		589,446
	4,350,000	Lenovo Group Ltd		4,844,025
	9,000	Li Ning Co Ltd		89,893
	135,781	Livzon Pharmaceutical Group Inc – Class H		509,637
	35,320	Logan Group Co Ltd (a)		11,736
	1,157,520	Lonking Holdings Ltd		308,509
	16,032	Lufax Holding Ltd ADR *		103,727
	5,165,000	Metallurgical Corp of China Ltd – Class H		1,570,965
	128,000	MMG Ltd *		46,365
	23,500	NetDragon Websoft Holdings Ltd.		52,698
	4,874	NetEase Inc		94,271
	802	NetEase Inc ADR (b)		76,463
	1,149,000	Nexteer Automotive Group Ltd		1,150,814
	38,500	PetroChina Co Ltd ADR		2,050,510
	3,780,000	PetroChina Co Ltd – Class H		2,024,665
	4,413,600	PICC Property & Casualty Co Ltd – Class H		4,658,936
	667,000	Ping An Insurance Group Co of China Ltd – Class H		5,171,693
	745,000	Poly Property Group Co Ltd		202,231
	688,032	Postal Savings Bank of China Co Ltd – Class A		610,059
	1,108,000	Powerlong Real Estate Holdings Ltd		531,087
	58,000	Road King Infrastructure Ltd		55,183
	202,000	Seazen Group Ltd *		106,587
	156,000	Shanghai Jin Jiang Capital Co Ltd – Class H		59,346
	737,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,330,693
	1,294,500	Shimao Group Holdings Ltd (a)		776,827
	3,052,000	Sihuan Pharmaceutical Holdings Group Ltd (a)		654,435
	616,000	Sino-Ocean Land Holdings Ltd		132,500
	910,520	Sinopec Engineering Group Co Ltd – Class H		435,580
	1,525,600	Sinopharm Group Co Ltd – Class H		3,698,334
	880,360	Sinotruk Hong Kong Ltd		1,314,084
	4,276,000	Skyworth Group Ltd *		2,415,630
	1,182,000	Sunac China Holdings Ltd		966,166
	15,000	Sunac Services Holdings Ltd		12,820
	29,232	Sunny Optical Technology Group Co Ltd		700,514
	1,108,000	TCL Electronics Holdings Ltd		519,417
	55,071	Tencent Holdings Ltd		2,971,703
	11,200	Tencent Holdings Ltd ADR (b)		602,448

See accompanying notes to the financial statements. 31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		China — continued
	36,300	Tencent Music Entertainment Group ADR * (b)		195,657
	554,000	Tianjin Port Development Holdings Ltd		44,637
	1,022,960	Tianneng Power International Ltd (a)		938,450
	142,500	Vipshop Holdings Ltd ADR *		1,235,475
	88,000	West China Cement Ltd		15,107
	2,782,512	Yuzhou Group Holdings Co Ltd (a)		221,072
	124,640	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		255,161
	56,000	Zhenro Properties Group Ltd (a)		4,821
	308,240	Zhongsheng Group Holdings Ltd		2,152,416
	59,700	Zhuzhou CRRC Times Electric Co Ltd – Class H		311,187
	666,800	Zijin Mining Group Co Ltd – Class A		1,194,431
	90,800	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		60,400
		Total China		134,312,040
		Czech Republic — 0.1%
	1,435	CEZ AS		54,595
	733	Komercni Banka AS		28,836
	109,122	Moneta Money Bank AS		431,843
	410	Philip Morris CR AS		296,629
		Total Czech Republic		811,903
		Denmark — 0.5%
	200	AP Moller – Maersk A/S – Class A (b)		599,694
	743	AP Moller – Maersk A/S – Class B (b)		2,350,489
	3,159	Carlsberg A/S – Class B		463,266
	155,611	Danske Bank A/S		2,635,741
	7,316	Matas A/S		106,766
	20,341	Pandora A/S		2,082,864
	21,753	Scandinavian Tobacco Group A/S		490,537
		Total Denmark		8,729,357
		Egypt — 0.1%
	98,547	Commercial International Bank Egypt SAE *		300,156
	414,351	Eastern Co SAE		286,463
	40,669	Misr Fertilizers Production Co SAE		230,087
		Total Egypt		816,706
		Finland — 0.4%
	2,416	Aktia Bank Oyj		27,526
	23,985	Kesko Oyj – B Shares		705,871
	53,345	Neste Oyj		2,080,168
	482,283	Nokia Oyj *		2,607,868
	77,829	Outokumpu Oyj *		458,771
		Total Finland		5,880,204

Shares		Description	Value ($)
		France — 2.1%
	18,514	ALD SA (b)		258,429
	298	Alten SA (b)		44,991
	17,208	APERAM SA (a)		963,513
	71,239	ArcelorMittal SA		2,210,448
	282	Arkema SA		37,398
	700	Axway Software SA		14,547
	81,247	BNP Paribas SA		4,714,318
	721	Boiron SA		33,628
	680	Bonduelle SCA		13,631
	165	Christian Dior SE (b)		116,847
	40,523	Cie de Saint-Gobain		2,512,632
	24,403	Coface SA		324,601
	55,233	Derichebourg SA		573,849
	956	Eramet SA *		125,266
	337	Groupe Crit (a)		23,299
	389	HEXAOM		14,720
	11,132	Ipsen SA		1,295,315
	14,558	IPSOS (b)		693,801
	1,514	Kaufman & Broad SA		54,987
	3,801	Kering SA (b)		2,636,501
	4,847	LVMH Moet Hennessy Louis Vuitton SE (b)		3,562,084
	23,776	Metropole Television SA (b)		471,265
	1,974	Nexity SA		77,811
	48,951	Publicis Groupe SA (b)		3,248,668
	18,273	Quadient SA		334,080
	1,204	Rothschild & Co		46,739
	36,374	Safran SA		4,624,850
	3,294	Sanofi (b)		344,330
	3,076	Schneider Electric SE (b)		476,583
	5,965	Societe BIC SA		314,755
	106,130	Societe Generale SA		3,001,095
	2,700	STMicroelectronics NV – NY Shares		114,264
	695	Synergie SE		27,192
	62,672	Television Francaise 1 (b)		618,657
	172	TotalEnergies SE (b)		8,763
	369	Vilmorin & Cie SA		19,084
		Total France		33,952,941
		Germany — 1.4%
	10,395	ADVA Optical Networking SE *		175,996
	137	Amadeus Fire AG		22,099
	39,668	Bayer AG (Registered)		2,291,341
	20,722	Bayerische Motoren Werke AG		1,995,677
	24,247	Beiersdorf AG		2,457,870
	478	Cewe Stiftung & Co KGaA		54,271
	1,065	Covestro AG		56,323
	20,787	Deutsche Pfandbriefbank AG		225,408
	900	Draegerwerk AG & Co KGaA (b)		47,221
	1,126	Elmos Semiconductor SE		72,522

32 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Germany — continued
	34,922	Fresenius SE & Co KGaA (b)		1,218,507
	4,219	Hamburger Hafen und Logistik AG (b)		83,595
	28,750	HeidelbergCement AG		1,865,499
	2,415	Hornbach Holding AG & Co KGaA		316,329
	78,520	Kloeckner & Co SE *		1,062,245
	62,249	Mercedes-Benz Group AG (b)		4,862,859
	9,381	Merck KGaA (b)		1,860,698
	2,286	RTL Group SA		127,380
	15,447	Salzgitter AG *		674,750
	11,594	SAP SE (b)		1,307,850
	3,031	Takkt AG		52,051
	3,431	Traton SE		70,076
	3,822	Volkswagen AG		988,519
		Total Germany		21,889,086
		Greece — 0.0%
	12,055	FF Group * (d)		—
	19,243	Hellenic Telecommunications Organization SA		384,898
	13,566	JUMBO SA		194,906
		Total Greece		579,804
		Hong Kong — 0.9%
	85,500	ASM Pacific Technology Ltd		938,022
	53,400	Bank of East Asia Ltd (The)		90,013
	26,400	Budweiser Brewing Co APAC Ltd		81,945
	58,400	Champion (REIT)		26,483
	71,000	Chow Sang Sang Holdings International Ltd		99,650
	491,000	CITIC Telecom International Holdings Ltd		174,749
	22,500	CK Asset Holdings Ltd (b)		142,111
	385,500	CK Hutchison Holdings Ltd (b)		2,702,765
	550,000	CSI Properties Ltd		14,526
	100,500	Dah Sing Banking Group Ltd		90,992
	36,800	Dah Sing Financial Holdings Ltd		119,173
	1,222,000	First Pacific Co Ltd		478,385
	260,495	Galaxy Entertainment Group Ltd *		1,452,841
	212,000	Giordano International Ltd		42,894
	186,500	HK Electric Investments & HK Electric Investments Ltd (b)		184,011
	327,000	HKT Trust & HKT Ltd		441,238
	231,000	IGG Inc		138,349
	102,000	Johnson Electric Holdings Ltd		169,843
	30,000	JS Global Lifestyle Co Ltd		34,601
	113,000	K Wah International Holdings Ltd		42,889
	85,500	Kerry Logistics Network Ltd		207,447
	314,000	Kerry Properties Ltd		860,418
	52,800	Luk Fook Holdings International Ltd		140,275
	4,000	Orient Overseas International Ltd. (b)		113,158
	376,000	Pacific Textiles Holdings Ltd		182,417

Shares		Description	Value ($)
		Hong Kong — continued
	29,760	PAX Global Technology Ltd		22,210
	1,086,000	PCCW Ltd		607,557
	135,500	Power Assets Holdings Ltd (b)		853,992
	268,000	Shun Tak Holdings Ltd *		68,489
	60,500	SmarTone Telecommunications Holdings Ltd		34,510
	102,000	Sun Hung Kai & Co Ltd		51,783
	13,500	Sun Hung Kai Properties Ltd (b)		156,948
	53,000	Swire Pacific Ltd – Class A (b)		292,889
	56,500	Texhong Textile Group Ltd		70,315
	180,000	Texwinca Holdings Ltd		37,577
	258,000	VSTECS Holdings Ltd		265,250
	80,900	VTech Holdings Ltd		665,093
	2,592,500	WH Group Ltd		1,810,539
	201,880	Xinyi Glass Holdings Ltd		537,756
	189,000	Yue Yuen Industrial Holdings Ltd *		319,385
		Total Hong Kong		14,763,488
		Hungary — 0.0%
	38,427	MOL Hungarian Oil & Gas Plc		299,742
	3,495	OTP Bank Nyrt Plc *		133,366
		Total Hungary		433,108
		India — 2.8%
	5	Amara Raja Batteries Ltd		37
	23	Ambuja Cements Ltd		97
	78,614	Apollo Tyres Ltd		193,919
	242,669	Arvind Ltd *		383,465
	18,741	Asian Paints Ltd		791,354
	5	Astral Ltd		130
	54,403	Axis Bank Ltd *		539,231
	4,001	Bajaj Consumer Care Ltd		8,670
	7,102	Balrampur Chini Mills Ltd		37,584
	11,640	Bharat Electronics Ltd		32,688
	18,119	Bharat Petroleum Corp Ltd		84,443
	85,089	Brightcom Group Ltd		137,855
	2,326	Clean Science & Technology Ltd *		57,289
	176,772	Coal India Ltd		399,005
	3	Colgate-Palmolive India Ltd		57
	3,412	Coromandel International Ltd		35,058
	3,900	Cummins India Ltd		49,858
	2	Cyient Ltd		22
	47,932	Dhampur Sugar Mills Ltd		240,217
	2,681	Emami Ltd		17,619
	315,467	GAIL India Ltd		609,779
	44,323	Glenmark Pharmaceuticals Ltd		264,915
	1,326	Godrej Properties Ltd *		26,613
	6,703	Grasim Industries Ltd		143,180
	9	Gujarat Gas Ltd		70

See accompanying notes to the financial statements. 33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		India — continued
	8,151	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		59,896
	68,257	Gujarat State Fertilizers & Chemicals Ltd		114,253
	6,909	Gujarat State Petronet Ltd		26,531
	184,262	HCL Technologies Ltd		2,768,454
	24,036	HDFC Bank Ltd		457,085
	12,000	HDFC Bank Ltd ADR		746,040
	70,186	Hindalco Industries Ltd		537,884
	9,003	Hindustan Aeronautics Ltd		165,749
	89,468	Hindustan Petroleum Corp Ltd		325,470
	17,479	Hindustan Unilever Ltd		506,266
	11,763	Hindustan Zinc Ltd		48,977
	21,541	Housing Development Finance Corp Ltd		680,057
	82,548	ICICI Bank Ltd		816,515
	459,335	Indiabulls Housing Finance Ltd		922,895
	61,099	Indiabulls Real Estate Ltd *		88,321
	152,712	Indian Oil Corp Ltd		234,498
	26,857	Indus Towers Ltd *		77,408
	13,107	Infosys Ltd		299,299
	53,100	Infosys Ltd Sponsored ADR (b)		1,192,626
	2,062,780	ITC Ltd		5,940,956
	127,481	Jai Balaji Industries Ltd *		77,953
	433,260	Karnataka Bank Ltd (The)		348,156
	8	KEI Industries Ltd		106
	1	KNR Constructions Ltd		4
	2	L&T Technology Services Ltd		121
	6,289	Mahanagar Gas Ltd		60,902
	95,145	Mahindra & Mahindra Ltd		1,004,731
	77	Manappuram Finance Ltd		118
	13,868	Marico Ltd		94,074
	13,609	Mindtree Ltd		704,691
	218,033	National Aluminium Co Ltd		353,668
	24,979	NBCC India Ltd		13,030
	35,842	NCC Ltd		30,173
	50,102	NHPC Ltd		18,241
	354,867	NMDC Ltd		679,406
	478,359	NTPC Ltd		851,861
	3,045	Oberoi Realty Ltd *		37,027
	2,884,029	Oil & Natural Gas Corp Ltd		6,201,853
	482	Oracle Financial Services Software Ltd		21,837
	28,405	Petronet LNG Ltd		81,660
	1	PI Industries Ltd		33
	3	Polycab India Ltd		94
	1,346,055	Power Finance Corp Ltd		1,974,755
	193,949	Power Grid Corp of India Ltd		537,859
	6,569	Prestige Estates Projects Ltd		39,745
	72,356	PTC India Ltd		81,995
	56,068	Rajesh Exports Ltd		526,174
	1,744,566	REC Ltd		2,845,308
	166,085	Redington India Ltd		338,529

Shares		Description	Value ($)
		India — continued
	2	Reliance Industries Ltd		63
	2,047	Sobha Ltd		21,043
	190,377	Sun Pharmaceutical Industries Ltd		2,139,346
	12,668	Sun TV Network Ltd		75,889
	18,431	Tata Consultancy Services Ltd		872,113
	36,243	Tata Motors Ltd – Class A *		105,555
	103,988	Tata Steel Ltd		1,698,696
	20,805	Titan Co Ltd		709,295
	167,956	TV18 Broadcast Ltd *		136,137
	679	United Spirits Ltd *		8,080
	4,557	UPL Ltd		40,509
	7,026	Vardhman Textiles Ltd		240,750
	7,963	Welspun Corp Ltd		15,287
	199,249	Wipro Ltd		1,474,721
		Total India		44,523,923
		Indonesia — 0.5%
	924,200	Adaro Energy Tbk PT		158,345
	5,782,900	Bank Central Asia Tbk PT		3,264,827
	1,612,400	Bank Mandiri Persero Tbk PT		871,730
	442,547	Bank Negara Indonesia Persero Tbk PT		247,965
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		138,801
	6,507,600	Bank Rakyat Indonesia Persero Tbk PT		2,080,871
	1,935,900	Bukit Asam Tbk PT		425,290
	179,200	Indo Tambangraya Megah Tbk PT		333,288
	1,182,500	Media Nusantara Citra Tbk PT		71,980
	138,120	Pakuwon Jati Tbk PT *		4,447
	963,900	Panin Financial Tbk PT *		11,344
	1,263,024	Telkom Indonesia Persero Tbk PT		381,323
	35,548	United Tractors Tbk PT		62,031
		Total Indonesia		8,052,242
		Ireland — 0.6%
	79,900	AIB Group Plc * (a)		210,798
	320,010	Bank of Ireland Group Plc *		2,123,345
	3,941	CRH Plc		179,151
	12,640	CRH Plc Sponsored ADR		567,410
	29,000	Glanbia Plc		405,972
	111,663	Hibernia REIT Plc		145,760
	3,640	Kingspan Group Plc		355,490
	15,644	Origin Enterprises Plc		63,340
	11,448	Permanent TSB Group Holdings Plc *		22,104
	114,409	Ryanair Holdings Plc *		1,983,650
	16,112	Ryanair Holdings Plc Sponsored ADR * (b)		1,606,528
	7,054	Smurfit Kappa Group Plc (c)		350,035
	37,501	Smurfit Kappa Group Plc (c)		1,872,883
		Total Ireland		9,886,466

34 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Israel — 0.4%
	132,397	Bank Leumi Le-Israel BM		1,434,246
	17,900	Check Point Software Technologies Ltd *		2,593,352
	6,798	First International Bank of Israel Ltd		292,422
	530	Fox Wizel Ltd		89,802
	29,050	Isracard Ltd		152,466
	213	Israel Corp Ltd (The) *		111,931
	424,975	Oil Refineries Ltd *		152,280
	257,400	Teva Pharmaceutical Industries Ltd Sponsored ADR *		2,092,662
		Total Israel		6,919,161
		Italy — 0.9%
	34,484	A2A SPA (b)		61,523
	12,314	ACEA SPA (b)		233,853
	15,804	Anima Holding SPA		74,707
	10,608	Azimut Holding SPA		253,122
	16,544	Banca IFIS SPA		349,150
	90,247	Banco BPM SPA		309,659
	55,960	Cofide SPA *		25,143
	22,116	Credito Emiliano SPA		158,815
	5,505	De’ Longhi SPA		174,682
	1,378	El.En. SPA (b)		19,984
	161,034	Enel SPA (b)		1,186,650
	7,503	Esprinet SPA		93,551
	73,113	EXOR NV		5,539,451
	180,666	Italgas SPA (b)		1,166,201
	9,031	La Doria SPA		166,463
	178,725	Leonardo SPA *		1,593,308
	79,574	Poste Italiane SPA		912,675
	847	Salcef SPA		20,926
	2,484,855	Telecom Italia SPA		1,044,001
	1,189,605	Telecom Italia SPA – RSP		494,004
	6,007	Unieuro SPA (a)		118,926
	260,188	Unipol Gruppo SPA		1,320,215
		Total Italy		15,317,009
		Japan — 14.4%
	7,900	ADEKA Corp		183,219
	20,700	Aeon Delight Co Ltd (a)		537,441
	195,600	Aeon Mall Co Ltd (a)		2,750,537
	68,800	AGC Inc		3,052,143
	6,100	Aichi Corp		46,830
	20,200	Aisin Corp		735,770
	75,300	Amano Corp		1,476,219
	6,600	AOKI Holdings Inc		34,436
	55,300	Arcs Co Ltd (a)		1,047,336
	343,300	Asahi Kasei Corp		3,221,811
	128,100	Astellas Pharma Inc		2,137,248
	3,600	Bando Chemical Industries Ltd		26,993

Shares		Description	Value ($)
		Japan — continued
	76,200	Brother Industries Ltd		1,386,907
	8,500	Calbee Inc (a)		191,129
	2,500	Canon Electronics Inc		34,892
	54,800	Canon Inc (b)		1,289,605
	1,900	Canon Inc Sponsored ADR (b)		44,897
	9,600	Canon Marketing Japan Inc		200,643
	1,600	Cawachi Ltd (a)		34,169
	3,400	Central Glass Co Ltd		61,012
	1,600	Chiyoda Integre Co Ltd		27,667
	121,700	Chugoku Marine Paints Ltd		975,359
	31,700	Citizen Watch Co Ltd		138,088
	4,300	CONEXIO Corp		52,103
	43,900	Dai Nippon Printing Co Ltd		1,145,996
	5,400	Dai Nippon Toryo Co Ltd		38,212
	1,500	Dai-Dan Co Ltd		30,462
	17,700	Daihen Corp		666,382
	1,400	Daiichi Jitsugyo Co Ltd		53,241
	59,600	Daiwa House Industry Co Ltd (b)		1,690,272
	280,600	Daiwabo Holdings Co Ltd		4,343,509
	99,800	Denka Co Ltd		3,065,122
	800	Dowa Holdings Co Ltd		36,104
	4,400	DTS Corp (b)		105,425
	2,800	Ehime Bank Ltd (The)		23,398
	1,300	Eizo Corp		41,774
	43,600	Electric Power Development Co Ltd (b)		691,766
	181,800	EXEO Group Inc		3,784,415
	25,000	Ezaki Glico Co Ltd		852,859
	129,200	Fuji Corp (a)		2,627,334
	4,500	Fuji Electric Co Ltd		231,532
	4,700	FUJIFILM Holdings Corp (b)		298,751
	700	Fujimori Kogyo Co Ltd		24,294
	9,600	Fujitsu Ltd (b)		1,394,726
	2,600	Furuno Electric Co Ltd (a)		23,385
	6,000	G-7 Holdings Inc		86,794
	9,300	Hanwa Co Ltd		270,512
	224,000	Haseko Corp		2,859,339
	8,700	Hazama Ando Corp		70,077
	1,800	Heiwado Co Ltd		31,374
	18,700	Hitachi Ltd (b)		924,765
	300	Hitachi Zosen Corp		2,080
	42,600	Hogy Medical Co Ltd (b)		1,242,309
	181,500	Honda Motor Co Ltd		5,514,132
	2,300	Hyakujushi Bank Ltd (The)		36,021
	21,900	Idemitsu Kosan Co Ltd		587,063
	41,700	Iida Group Holdings Co Ltd		773,916
	70,000	Inabata & Co Ltd		1,413,620
	413,400	Inpex Corp		4,261,127
	45,100	Isuzu Motors Ltd		609,960
	187,900	ITOCHU Corp (b)		6,123,398
	3,700	Itochu Enex Co Ltd		33,671

See accompanying notes to the financial statements. 35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Japan — continued
	600	Itochu-Shokuhin Co Ltd		26,100
	23,300	Itoham Yonekyu Holdings Inc		140,009
	11,600	Itoki Corp		36,261
	6,800	Jaccs Co Ltd		192,043
	105,500	Japan Tobacco Inc		1,940,267
	123,000	JFE Holdings Inc		1,831,169
	173,800	JVCKenwood Corp		280,611
	344,300	K’s Holdings Corp		3,730,832
	5,100	Kaga Electronics Co Ltd		134,226
	127,600	Kajima Corp		1,717,303
	3,500	Kamei Corp		32,054
	2,700	Kanamoto Co Ltd		53,495
	18,200	Kandenko Co Ltd		138,394
	5,300	Kaneka Corp		173,357
	122,500	Kanematsu Corp		1,495,576
	900	Kato Sangyo Co Ltd		24,261
	238,600	KDDI Corp		7,764,340
	22,900	Kinden Corp		324,782
	1,000	Kintetsu World Express Inc (b)		26,207
	181,000	Kirin Holdings Co Ltd		3,009,208
	3,497	Kohnan Shoji Co Ltd (a)		111,203
	10,200	Kokuyo Co Ltd		142,995
	15,401	Komeri Co Ltd		378,683
	8,674	Konica Minolta Inc		36,748
	81,800	Konoike Transport Co Ltd (b)		855,506
	1,900	Kumagai Gumi Co Ltd		47,765
	5,100	Kyokuto Kaihatsu Kogyo Co Ltd		64,389
	103,500	Kyudenko Corp		2,778,637
	6,800	Lintec Corp		151,576
	3,300	Macnica Fuji Electronics Holdings Inc		77,670
	94,900	Macromill Inc		932,525
	116,200	Mandom Corp		1,393,421
	85,500	Marubeni Corp		897,462
	104,700	Maruichi Steel Tube Ltd		2,598,607
	2,100	Maruzen Showa Unyu Co Ltd (b)		58,444
	103,700	Maxell Ltd		1,068,224
	14,900	MCJ Co Ltd		130,453
	13,200	MEIJI Holdings Co Ltd		792,237
	1,300	Melco Holdings Inc		43,580
	1,700	Mirait Holdings Corp		28,891
	70,900	Mitsubishi Corp (b)		2,383,919
	3,400	Mitsubishi Research Institute Inc (b)		114,957
	1,400	Mitsubishi Shokuhin Co Ltd		37,739
	447,500	Mitsubishi UFJ Financial Group Inc (b)		2,747,195
	3,100	Mitsuboshi Belting Ltd		58,434
	26,400	Mitsui & Co Ltd (b)		658,223
	22,400	Mitsui Chemicals Inc		572,646
	6,200	Mitsui DM Sugar Holdings Co Ltd		110,679
	5,595	Mixi Inc (b)		108,829
	90,800	Morinaga & Co Ltd		2,954,260

Shares		Description	Value ($)
		Japan — continued
	76,600	MS&AD Insurance Group Holdings Inc		2,591,891
	74,900	NEC Corp (b)		3,240,595
	15,400	NEC Networks & System Integration Corp (b)		236,784
	6,400	NGK Insulators Ltd		99,391
	3,600	NGK Spark Plug Co Ltd		64,874
	99,200	NH Foods Ltd		3,723,247
	4,700	Nichias Corp		106,471
	5,500	Nichiha Corp		123,887
	6,100	Nichireki Co Ltd		68,625
	50,100	Nikon Corp		523,687
	7,400	Nippn Corp (a)		109,775
	1,800	Nippo Corp		62,278
	2,000	Nippon Densetsu Kogyo Co Ltd		27,732
	2,200	Nippon Soda Co Ltd		64,450
	105,900	Nippon Steel Corp		1,938,919
	3,100	Nippon Steel Trading Corp		147,051
	43,200	Nippon Suisan Kaisha Ltd		204,568
	209,500	Nippon Telegraph & Telephone Corp (b)		6,021,216
	42,900	Nippon Television Holdings Inc (b)		490,770
	1,500	Nissin Corp		22,622
	8,400	Nissin Electric Co Ltd		106,897
	7,600	Nojima Corp		168,804
	11,300	Nomura Real Estate Holdings Inc (b)		281,354
	1,600	Noritake Co Ltd		63,894
	339,600	Obayashi Corp		2,843,468
	17,800	Okamura Corp		183,410
	16,000	Organo Corp		1,138,848
	83,200	ORIX Corp		1,649,284
	24,200	Osaka Gas Co Ltd (b)		442,891
	1,700	Osaka Soda Co Ltd		46,515
	112,200	Pacific Industrial Co Ltd		994,677
	12,900	Panasonic Corp		134,719
	250,000	Penta-Ocean Construction Co Ltd		1,315,977
	4,300	Prima Meat Packers Ltd		90,770
	5,700	Proto Corp		57,365
	9,100	Raito Kogyo Co Ltd		155,042
	42,300	Resona Holdings Inc		189,178
	2,500	Restar Holdings Corp		43,201
	900	Rion Co Ltd		17,006
	18,000	Rohm Co Ltd		1,435,565
	2,800	Roland DG Corp		74,094
	1,300	Ryobi Ltd		12,375
	18,400	San-A Co Ltd (a)		683,193
	4,500	San-Ai Oil Co Ltd		37,414
	10,800	Sanki Engineering Co Ltd		140,153
	78,800	Sankyu Inc (b)		2,732,220
	8,300	Sanwa Holdings Corp		92,758
	48,800	Sawai Group Holdings Co Ltd		1,939,443
	42,200	Secom Co Ltd (b)		3,099,437

36 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Japan — continued
	114,400	Sega Sammy Holdings Inc		2,086,587
	39,300	Seiko Epson Corp		604,451
	3,500	Seiko Holdings Corp		73,143
	5,300	Sekisui Chemical Co Ltd		86,793
	160,100	Sekisui House Ltd		3,264,133
	2,900	Sekisui Jushi Corp		48,410
	11,800	Shimamura Co Ltd		1,070,379
	243,200	Shimizu Corp		1,609,780
	10,600	Shizuoka Gas Co Ltd (b)		80,021
	800	Sinanen Holdings Co Ltd		24,093
	3,600	Sinko Industries Ltd		54,487
	196,000	SKY Perfect JSAT Holdings Inc (b)		737,044
	122,260	Sojitz Corp		2,019,379
	138,800	Stanley Electric Co Ltd		3,298,272
	65,300	Subaru Corp		1,070,972
	1,004,700	Sumitomo Chemical Co Ltd		4,796,668
	72,500	Sumitomo Corp		1,182,882
	181,100	Sumitomo Dainippon Pharma Co Ltd (a)		1,987,515
	19,100	Sumitomo Electric Industries Ltd		253,555
	166,600	Sumitomo Forestry Co Ltd		3,212,632
	5,600	Sumitomo Heavy Industries Ltd		135,692
	112,600	Sumitomo Mitsui Financial Group Inc		3,993,049
	91,900	Sumitomo Mitsui Trust Holdings Inc		3,265,391
	1,500	Sumitomo Seika Chemicals Co Ltd		42,690
	7,500	Suzuki Motor Corp		298,635
	1,200	T Hasegawa Co Ltd		25,196
	233,600	T&D Holdings Inc		3,392,683
	4,000	T-Gaia Corp (a)		60,496
	80,200	Tachi-S Co Ltd		785,172
	65,300	Taisei Corp		2,171,319
	116,900	Takara Holdings Inc		1,161,503
	32,900	Takara Leben Co Ltd		89,943
	161,200	Takuma Co Ltd (a)		2,048,655
	3,000	Tamron Co Ltd		61,651
	247,600	Teijin Ltd		2,978,601
	86,800	THK Co Ltd		1,994,056
	71,400	Toho Holdings Co Ltd (b)		1,174,749
	229,900	Tokai Carbon Co Ltd		2,206,642
	821,400	Tokyo Electric Power Co Holdings Inc * (b)		2,578,368
	70,300	Tokyo Gas Co Ltd (b)		1,431,893
	72,700	Tokyo Seimitsu Co Ltd		3,027,034
	20,800	Tokyu Construction Co Ltd		128,923
	189,300	Toppan Inc		3,730,026
	49,000	Toray Industries Inc		279,432
	110,300	Tosei Corp		1,051,161
	210,984	Tosoh Corp		3,274,066
	8,300	Towa Pharmaceutical Co Ltd		215,086
	35,400	Toyo Construction Co Ltd		184,458
	28,100	Toyota Boshoku Corp		514,229
	35,600	Toyota Industries Corp (b)		2,707,774
	15,700	Toyota Tsusho Corp		651,785
	2,200	TPR Co Ltd		26,628

Shares		Description	Value ($)
		Japan — continued
	1,000	Tsubakimoto Chain Co		28,598
	70,000	Tsumura & Co		1,944,230
	6,000	TV Asahi Holdings Corp (b)		82,006
	14,100	Ulvac Inc		703,778
	5,300	Wacoal Holdings Corp		90,976
	13,400	YAMABIKO Corp		155,190
	33,400	Yamaha Motor Co Ltd		750,819
	5,300	Yamazen Corp		47,503
	4,900	Yellow Hat Ltd		69,570
	42,100	Yokogawa Bridge Holdings Corp		769,046
	18,800	Yokohama Rubber Co Ltd (The)		263,583
	5,500	Yuasa Trading Co Ltd		143,065
	71,700	Zenkoku Hosho Co Ltd (a)		3,015,168
		Total Japan		232,452,462
		Kuwait — 0.1%
	18,005	Humansoft Holding Co KSC		219,159
	554,796	Kuwait Finance House KSCP		1,735,518
		Total Kuwait		1,954,677
		Luxembourg — 0.1%
	26,700	Ternium SA Sponsored ADR		1,048,776
		Malaysia — 0.0%
	216,400	DRB-Hicom Bhd		76,488
	116,300	Kossan Rubber Industries Bhd		47,947
	72,200	Petronas Chemicals Group Bhd		164,500
	77,800	Syarikat Takaful Malaysia Keluarga Bhd		69,019
	485,300	Top Glove Corp Bhd		236,849
	98,700	Westports Holdings Bhd		91,993
		Total Malaysia		686,796
		Mexico — 1.6%
	41,936	America Movil SAB de CV – Class L Sponsored ADR		759,880
	275,600	America Movil SAB de CV – Series L		250,558
	83,612	Arca Continental SAB de CV		551,126
	158,600	Banco del Bajio SA		385,639
	6,376	Coca-Cola Femsa SAB de CV Sponsored ADR		351,063
	495,200	Credito Real SAB de CV SOFOM ER *		38,927
	69,492	El Puerto de Liverpool SAB de CV – Class C1		338,927
	19,996	Fibra Uno Administracion SA de CV (REIT)		22,416
	525,024	Fomento Economico Mexicano SAB de CV		4,218,700
	22,600	Fomento Economico Mexicano SAB de CV Sponsored ADR		1,817,040
	302,608	Gentera SAB de CV *		227,831
	1,440	Gruma SAB de CV – Class B		19,500

See accompanying notes to the financial statements. 37

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Mexico — continued
	100	Grupo Aeroportuario del Centro Norte SAB de CV ADR		5,813
	8,339	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		60,060
	1,600	Grupo Aeroportuario del Pacifico SAB de CV – Class B *		23,433
	3,060	Grupo Aeroportuario del Sureste SAB de CV – Class B		65,877
	262,300	Grupo Bimbo SAB de CV – Series A		811,963
	1,034,200	Grupo Financiero Banorte SAB de CV – Class O		7,018,381
	25,856	Grupo Financiero Inbursa SAB de CV – Class O *		42,254
	1,083,385	Grupo Mexico SAB de CV – Series B		5,534,092
	90,500	Industrias Bachoco SAB de CV – Series B		303,037
	53,856	Kimberly-Clark de Mexico SAB de CV – Class A		75,284
	4,600	Orbia Advance Corp SAB de CV		11,751
	74,100	Qualitas Controladora SAB de CV		405,938
	29,200	Regional SAB de CV		173,409
	8,151	Unifin Financiera SAB de CV SOFOM ENR *		10,149
	794,700	Wal-Mart de Mexico SAB de CV		3,026,542
		Total Mexico		26,549,590
		Netherlands — 1.5%
	127,226	ABN AMRO Bank NV CVA GDR		1,693,024
	377,170	Aegon NV (a)		1,863,141
	27,400	AerCap Holdings NV *		1,491,382
	17,355	ForFarmers NV		70,795
	125,402	ING Groep NV		1,464,506
	59,341	JDE Peet’s NV (a)		1,948,120
	128,445	Koninklijke Ahold Delhaize NV		3,951,256
	7,301	Koninklijke BAM Groep NV *		20,541
	64,266	NN Group NV		3,084,439
	101,573	PostNL NV (b)		408,373
	5,767	Prosus NV *		358,025
	56,706	Randstad NV		3,864,439
	38,746	Signify NV		1,982,005
	45,513	Stellantis NV		830,101
	4,839	Van Lanschot Kempen NV		122,425
	2,907	Wolters Kluwer NV (b)		296,193
		Total Netherlands		23,448,765
		New Zealand — 0.1%
	78,269	Auckland International Airport Ltd * (b)		378,980
	298,491	Meridian Energy Ltd (b)		1,013,405
	62,536	Spark New Zealand Ltd		192,004
		Total New Zealand		1,584,389

Shares		Description	Value ($)
		Norway — 0.7%
	11,832	Austevoll Seafood ASA		167,066
	30,967	BW LPG Ltd		184,539
	45,147	Equinor ASA		1,419,218
	62,441	Europris ASA		398,300
	12,231	Kongsberg Gruppen ASA		431,376
	631,489	Norsk Hydro ASA		5,996,673
	132,889	Orkla ASA		1,244,819
	14,029	Sbanken ASA		145,235
	11,817	Selvaag Bolig ASA		67,788
	15,914	SpareBank 1 Nord Norge		194,710
	19,287	SpareBank 1 SMN		318,716
	40,830	SpareBank 1 SR-Bank ASA		605,009
		Total Norway		11,173,449
		Peru — 0.0%
	1,784	Credicorp Ltd		269,830
		Philippines — 0.0%
	10,800	GT Capital Holdings Inc		122,307
	4,691	Manila Electric Co		33,755
	758,080	Megaworld Corp		47,631
	76,600	Puregold Price Club Inc		52,626
	80,750	Semirara Mining & Power Corp – Class A		43,784
		Total Philippines		300,103
		Poland — 0.3%
	14,716	Asseco Poland SA		259,310
	108,745	Bank Polska Kasa Opieki SA		2,983,312
	3,461	Budimex SA		188,269
	25,688	Cyfrowy Polsat SA		166,302
	35,171	Polski Koncern Naftowy ORLEN SA		594,103
	581,280	Polskie Gornictwo Naftowe i Gazownictwo SA		766,074
	17,142	Powszechny Zaklad Ubezpieczen SA		128,610
		Total Poland		5,085,980
		Portugal — 0.2%
	14,825	CTT – Correios de Portugal SA		71,814
	160,251	Galp Energia SGPS SA		1,773,867
	19,389	Jeronimo Martins SGPS SA		422,713
	51,896	Navigator Co SA (The)		185,443
	85,939	NOS SGPS SA		330,856
	626,748	Sonae SGPS SA		682,198
		Total Portugal		3,466,891
		Qatar — 0.1%
	7,568	Qatar Gas Transport Co Ltd		7,841
	135,099	Qatar National Bank QPSC		810,702
	14,520	Qatar National Cement Co QSC		24,710
		Total Qatar		843,253

38 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Russia — 1.0%
	3,038,020	Alrosa PJSC		1,959,267
	10,190	Detsky Mir PJSC		7,179
	148,200,000	Federal Grid Co Unified Energy System PJSC		102,531
	68,395	Fix Price Group Ltd GDR (d)		41,174
	164,130	Gazprom Neft PJSC		535,236
	3,296	Gazprom Neft PJSC Sponsored ADR		52,226
	497,450	Gazprom PJSC		794,467
	776,704	Gazprom PJSC Sponsored ADR		2,054,791
	7,736	Globaltrans Investment Plc Sponsored GDR (Registered)		14,464
	6,310,100	Inter RAO UES PJSC		140,945
	1	LSR Group PJSC GDR (Registered) (d)		1
	19,776	LSR Group PJSC – Class A		81,454
	13	LUKOIL PJSC		376
	74,931	LUKOIL PJSC Sponsored ADR		1,405,470
	7,805	Magnit PJSC Sponsored GDR (Registered)		12,388
	1,468,850	Magnitogorsk Iron & Steel Works PJSC		516,947
	30,345	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		84,971
	12,700	Mechel PJSC Sponsored ADR * (d)		19,873
	45,541	MMC Norilsk Nickel PJSC ADR		625,293
	16,770	Mobile TeleSystems PJSC		33,232
	20,400	Mobile TeleSystems PJSC ADR (d)		78,037
	361,420	Moscow Exchange MICEX-RTS PJSC		270,971
	3,294,000	Mosenergo PJSC		46,590
	7,572	Novatek PJSC Sponsored GDR (Registered)		291,689
	117,310	Novolipetsk Steel PJSC		168,790
	109,470	Novolipetsk Steel PJSC GDR		839,290
	10,465	PhosAgro PJSC GDR (Registered)		64,024
	130,264	Polymetal International Plc		609,036
	622	Polyus PJSC		65,427
	19,187	Polyus PJSC GDR (Registered)		1,023,985
	46,000	QIWI Plc Sponsored ADR (c) (d)		181,404
	1,352	QIWI Plc Sponsored ADR (c)		4,613
	9,900	Raspadskaya OJSC		22,376
	5,248	Ros Agro Plc GDR (Registered)		36,323
	1,879,040	ROSSETI PJSC		9,392
	23,515,000	RusHydro PJSC		131,048
	9,562	RusHydro PJSC ADR		4,797
	1,286,440	Sberbank of Russia PJSC		644,740
	597,803	Sberbank of Russia PJSC Sponsored ADR		624,741
	91,185	Severstal PAO GDR (Registered)		462,916
	425	Severstal PJSC		4,904
	11,580	SFI PJSC *		42,722
	2,709,800	Surgutneftegas PJSC		490,377
	323,082	Surgutneftegas PJSC Sponsored ADR		555,315
	55,398	Tatneft PJSC Sponsored ADR		754,958
	1,300,440	Unipro PJSC		18,029

Shares		Description	Value ($)
		Russia — continued
	50,950	United Co Rusal International PJSC *		21,479
	8,456	X5 Retail Group NV GDR (Registered)		22,124
		Total Russia		15,972,382
		Singapore — 0.7%
	100,500	AIMS APAC (REIT)		100,323
	101,400	ARA LOGOS Logistics Trust (REIT)		62,531
	67,200	Ascendas India Trust		59,130
	148,800	Ascendas Real Estate Investment Trust (REIT)		305,106
	155,300	Asian Pay Television Trust		15,581
	93,594	Capitaland Investment Ltd *		256,472
	228,800	ComfortDelGro Corp Ltd		238,992
	101,635	DBS Group Holdings Ltd		2,555,117
	187,200	First Real Estate Investment Trust		41,558
	1,318,100	Golden Agri-Resources Ltd		278,704
	391,840	Japfa Ltd (a)		171,338
	49,216	Jardine Cycle & Carriage Ltd		794,869
	125,900	Keppel Corp Ltd		560,501
	78,000	Lendlease Global Commercial (REIT)		47,616
	136,600	Sasseur Real Estate Investment Trust (a)		85,353
	53,700	Sembcorp Industries Ltd		100,098
	27,500	Sheng Siong Group Ltd		30,896
	329,700	Silverlake Axis Ltd.		69,673
	700	Singapore Exchange Ltd		4,856
	142,200	StarHub Ltd		131,436
	6,300	UOL Group Ltd		32,649
	270,400	Wilmar International Ltd		878,809
	3,609,899	Yangzijiang Shipbuilding Holdings Ltd		3,692,748
	223,700	Yanlord Land Group Ltd		199,264
		Total Singapore		10,713,620
		South Africa — 1.0%
	427,675	Absa Group Ltd		4,916,838
	32,844	Aspen Pharmacare Holdings Ltd		430,238
	19,085	Astral Foods Ltd		202,579
	67,174	Barloworld Ltd		536,048
	113,934	Bidvest Group Ltd (The)		1,561,045
	77,272	Blue Label Telecoms Ltd *		26,706
	15,645	Imperial Logistics Ltd		66,972
	48,127	Investec Ltd		270,930
	68,642	Kumba Iron Ore Ltd		2,713,335
	18,305	Lewis Group Ltd		55,390
	31,586	Metair Investments Ltd		57,478
	106,659	Motus Holdings Ltd		762,166
	160,130	MTN Group Ltd *		1,998,830
	49,611	Old Mutual Ltd		40,731
	13,551	Pepkor Holdings Ltd		19,357
	30,943	Raubex Group Ltd		80,731
	32,778	Reunert Ltd		100,274

See accompanying notes to the financial statements. 39

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		South Africa — continued
	492,133	RMB Holdings Ltd		53,491
	307,875	Telkom SA SOC Ltd *		826,782
	141,915	Truworths International Ltd		539,780
	90,743	Tsogo Sun Gaming Ltd *		68,645
	15,741	Wilson Bayly Holmes-Ovcon Ltd		85,412
		Total South Africa		15,413,758
		South Korea — 4.3%
	257,969	BNK Financial Group Inc		1,698,223
	544	Cheil Worldwide Inc		10,228
	223	CJ CheilJedang Corp		70,636
	907	Coway Co Ltd		54,473
	63,888	Daewoo Engineering & Construction Co Ltd *		336,044
	2,167	Daihan Pharmaceutical Co Ltd		52,039
	5,533	Daou Data Corp		64,012
	5,705	DB Insurance Co Ltd		293,711
	115,002	DGB Financial Group Inc		910,291
	688	DL E&C Co Ltd		74,170
	396	Dongkuk Steel Mill Co Ltd		5,503
	34,093	Dongwon Development Co Ltd		138,644
	609	Doosan Bobcat Inc		19,546
	3,629	Fila Holdings Corp		107,239
	22,868	GS Engineering & Construction Corp		821,855
	592	GS Holdings Corp		19,796
	1,141	GS Retail Co Ltd		25,373
	168	HAESUNG DS Co Ltd *		7,525
	119,971	Hana Financial Group Inc		4,874,162
	581	Hana Materials Inc		25,335
	47,869	Hankook Tire & Technology Co Ltd		1,410,375
	1,023	Hanmi Semiconductor Co Ltd		28,839
	2,208	Hanwha Aerospace Co Ltd		96,414
	28,888	Hanwha Investment & Securities Co Ltd *		117,021
	89,253	Hanwha Life Insurance Co Ltd *		220,415
	38,379	HDC Hyundai Development Co-Engineering & Construction *		516,508
	308	Hyosung TNC Corp		125,244
	229	Hyundai Autoever Corp		20,762
	31,751	Hyundai Engineering & Construction Co Ltd		1,156,759
	4,813	Hyundai Home Shopping Network Corp		234,025
	4,707	Hyundai Marine & Fire Insurance Co Ltd		113,058
	1,312	Hyundai Mobis Co Ltd		246,349
	2,160	Hyundai Motor Co GDR (Registered)		77,136
	18,286	Industrial Bank of Korea		164,273
	56,972	JB Financial Group Co Ltd		390,226
	52,707	KB Financial Group Inc		2,600,270
	7,326	KC Co Ltd		119,225
	272	KCC Corp		76,157
	643	KCC Glass Corp		31,236
	123,780	Kia Corp		7,673,780

Shares		Description	Value ($)
		South Korea — continued
	882	KIWOOM Securities Co Ltd *		74,895
	58	Kolon Industries Inc		2,861
	1,179	Korea Petrochemical Ind Co Ltd *		168,645
	6,570	Korea Real Estate Investment & Trust Co Ltd		12,029
	645	Korea Zinc Co Ltd		295,823
	37,569	KT Skylife Co Ltd		266,778
	130,703	KT&G Corp		8,688,684
	5,073	Kumho Petrochemical Co Ltd *		684,402
	13,560	LF Corp		202,109
	53,286	LG Electronics Inc		5,562,864
	526	LG Household & Health Care Ltd		417,351
	2,811	LG Uplus Corp		30,877
	3,755	Lotte Chemical Corp		692,046
	9,739	LOTTE Fine Chemical Co Ltd		647,893
	1,391	LX Semicon Co Ltd		133,610
	317	Meritz Financial Group Inc		9,748
	700	Meritz Fire & Marine Insurance Co Ltd		24,057
	5,706	Meritz Securities Co Ltd		27,942
	21,590	Mirae Asset Life Insurance Co Ltd		73,651
	14,874	NAVER Corp		3,963,285
	1,743	NH Investment & Securities Co Ltd *		16,867
	10,945	POSCO		2,604,075
	4,346	POSCO Sponsored ADR		257,805
	652	PSK Inc		26,014
	7,767	Samjin Pharmaceutical Co Ltd		163,928
	1,739	Samsung C&T Corp		160,606
	178,588	Samsung Electronics Co Ltd		10,760,530
	21,427	Samsung Engineering Co Ltd *		418,578
	935	Samsung Fire & Marine Insurance Co Ltd		148,684
	658	Samsung Life Insurance Co Ltd		32,900
	907	Samsung SDS Co Ltd		106,480
	1,865	Samsung Securities Co Ltd		66,099
	1,510	SD Biosensor Inc		68,843
	326	Sebang Global Battery Co Ltd		17,411
	117,835	Shinhan Financial Group Co Ltd		3,833,850
	3,056	SK Telecom Co Ltd		139,455
	50,593	SK Telecom Co Ltd Sponsored ADR		1,268,367
	21	SKC Co Ltd		2,442
	2,438	SL Corp *		48,600
	510	SM Entertainment Co Ltd		31,890
	168	Unid Co Ltd		12,252
	148,952	Woori Financial Group Inc		1,781,704
	5,838	Woori Technology Investment Co Ltd *		41,812
		Total South Korea		69,015,619
		Spain — 1.4%
	659	Acciona SA (b)		112,619
	203,598	Acerinox SA		2,588,483

40 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Spain — continued
	15,955	ACS Actividades de Construccion y Servicios SA (a)		387,716
	48,634	Amadeus IT Group SA * (b)		3,208,706
	41,700	Atresmedia Corp de Medios de Comunicacion SA (b)		180,246
	822,323	Banco Bilbao Vizcaya Argentaria SA		4,879,438
	2,202,224	Banco de Sabadell SA *		1,904,206
	1,214,102	Banco Santander SA		4,042,978
	47,618	Bankinter SA		270,391
	23,037	Cia de Distribucion Integral Logista Holdings SA (b)		418,388
	27,450	Faes Farma SA		105,006
	897	Grupo Catalana Occidente SA		28,914
	87,060	Industria de Diseno Textil SA (b)		2,271,027
	102,122	Mediaset Espana Comunicacion SA *		523,890
	2,074	Red Electrica Corp SA (b)		41,087
	50,208	Repsol SA		651,501
	50,833	Telefonica SA		242,774
	252,077	Unicaja Banco SA		237,659
		Total Spain		22,095,029
		Sweden — 0.3%
	1,725	Bufab AB		60,413
	13,589	Investor AB – A Shares (b)		300,487
	95,763	Investor AB – B Shares		1,949,971
	27,367	Inwido AB		423,755
	35,209	Kinnevik AB – Class B *		896,432
	1,701	KNOW IT AB (b)		56,103
	6,220	New Wave Group AB – B Shares		94,051
	14,105	Securitas AB – B Shares		170,767
	50,337	Skanska AB – B Shares		1,139,292
	13,945	SSAB AB – A Shares *		87,270
	20,043	Svenska Cellulosa AB SCA – Class B		327,012
		Total Sweden		5,505,553
		Switzerland — 0.6%
	41,542	Adecco Group AG (Registered)		1,961,972
	404	ALSO Holding AG (Registered) *		107,793
	1,804	BKW AG (b)		227,288
	2,121	Bobst Group SA (Registered) *		192,988
	373	Cie Financiere Richemont SA – Class A (Registered) (b)		49,947
	119	Huber + Suhner AG (Registered)		11,473
	244	Kardex Holding AG (Registered)		63,346
	17,755	Logitech International SA (Registered)		1,328,587
	2,853	Mobilezone Holding AG (Registered)		42,187
	15,043	Novartis AG (Registered) (b)		1,322,150
	4,600	Novartis AG Sponsored ADR (b)		402,316
	8,492	Roche Holding AG – Genusschein (b)		3,216,203
	14,025	UBS Group AG (Registered) (b)		258,015

Shares		Description	Value ($)
		Switzerland — continued
	1,742	Zehnder Group AG – Class RG		150,670
		Total Switzerland		9,334,935
		Taiwan — 5.9%
	98,560	Acer Inc		102,288
	7,207	Acter Group Corp Ltd		56,899
	489,000	AmTRAN Technology Co Ltd		283,139
	23,000	Arcadyan Technology Corp		95,267
	713,035	Asustek Computer Inc		9,512,225
	19,000	Aten International Co Ltd		54,947
	8,400	Aurora Corp		27,571
	898,000	Catcher Technology Co Ltd		4,609,263
	1,493,399	Cathay Financial Holding Co Ltd		3,358,110
	150,651	Chailease Holding Co Ltd		1,367,235
	79,000	Chicony Electronics Co Ltd		254,117
	295,490	China Development Financial Holding Corp		202,356
	52,000	China Steel Corp		67,618
	683,000	Chipbond Technology Corp		1,699,481
	9,280	Chong Hong Construction Co Ltd		25,355
	200,000	Chunghwa Telecom Co Ltd		888,923
	913,000	Compal Electronics Inc		831,754
	360,440	Coretronic Corp		923,700
	1,248,000	CTBC Financial Holding Co Ltd		1,219,892
	86,000	Delta Electronics Inc		766,441
	13,000	E.Sun Financial Holding Co Ltd		13,742
	72,000	Elan Microelectronics Corp		427,611
	70,000	Elite Material Co Ltd		686,438
	91,000	Farglory Land Development Co Ltd		199,090
	46,000	First Financial Holding Co Ltd		42,354
	315,000	FLEXium Interconnect Inc *		1,075,293
	6,000	Formosa Petrochemical Corp		21,106
	251,000	Formosa Plastics Corp		947,780
	195,821	Foxconn Technology Co Ltd		450,731
	1,792,175	Fubon Financial Holding Co Ltd		4,838,987
	6,080	Fusheng Precision Co Ltd		42,900
	15,000	Gamania Digital Entertainment Co Ltd		34,114
	11,560	Getac Holdings Corp		24,427
	74,000	Gigabyte Technology Co Ltd		379,190
	445,000	Grand Pacific Petrochemical		456,425
	26,000	HannStar Display Corp		14,996
	22,000	Holiday Entertainment Co Ltd		47,740
	10,000	Holtek Semiconductor Inc		39,068
	3,673,318	Hon Hai Precision Industry Co Ltd		13,644,753
	78,000	Huaku Development Co Ltd		253,209
	86,820	IEI Integration Corp		144,618
	32,721	Innodisk Corp		248,511
	28,000	International Games System Co Ltd		692,062
	210,000	King’s Town Bank Co Ltd		303,439
	62,000	Kung Long Batteries Industrial Co Ltd		303,606

See accompanying notes to the financial statements. 41

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Taiwan — continued
	13,000	Largan Precision Co Ltd		944,747
	591,000	Lite-On Technology Corp ADR		1,453,198
	2,807	Makalot Industrial Co Ltd		22,174
	176,000	MediaTek Inc		6,954,786
	91,120	Mega Financial Holding Co Ltd		122,793
	5,408	Merry Electronics Co Ltd		15,871
	196,000	Micro-Star International Co Ltd		1,104,808
	246,000	Mitac Holdings Corp		297,374
	266,000	Nan Ya Plastics Corp		838,964
	140,903	Nantex Industry Co Ltd		375,329
	26,000	Nichidenbo Corp		49,234
	4,800	Nien Made Enterprise Co Ltd		62,226
	65,000	Novatek Microelectronics Corp		1,077,600
	52,000	Pegatron Corp		128,885
	121,000	Phison Electronics Corp		2,238,758
	1,337,000	Pou Chen Corp		1,541,845
	48,000	Powertech Technology Inc		162,813
	160,000	Qisda Corp ADR		176,829
	175,000	Quanta Computer Inc		585,182
	131,472	Radiant Opto-Electronics Corp		475,380
	634,400	Ruentex Development Co Ltd		1,638,037
	273,400	Ruentex Industries Ltd		1,137,387
	89,000	Shin Kong Financial Holding Co Ltd		36,093
	31,760	Shin Zu Shing Co Ltd		103,172
	76,000	Shinkong Insurance Co Ltd		129,396
	39,900	Simplo Technology Co Ltd		447,748
	22,945	Sinmag Equipment Corp		85,521
	39,000	Sitronix Technology Corp		413,195
	29,750	Syncmold Enterprise Corp		72,509
	692,000	Taiwan Cement Corp		1,174,755
	30,000	Taiwan Sakura Corp		72,108
	592,000	Taiwan Semiconductor Manufacturing Co Ltd		12,727,737
	22,885	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)		2,448,924
	6,760	TCI Co Ltd		47,405
	80,000	Teco Electric and Machinery Co Ltd		86,414
	23,000	Test Research Inc		51,607
	36,681	TOPBI International Holdings Ltd *		14,048
	40,000	Transcend Information Inc		101,452
	94,000	Tripod Technology Corp		430,975
	6,000	Tung Ho Steel Enterprise Corp		15,113
	68,560	Uni-President Enterprises Corp		164,948
	77,624	United Integrated Services Co Ltd		491,426
	178,000	Universal Inc		256,373
	24,000	USI Corp		24,615
	47,000	Vanguard International Semiconductor Corp		213,303
	10,000	Via Technologies Inc		22,934
	7,000	Visual Photonics Epitaxy Co Ltd		28,474

Shares		Description	Value ($)
		Taiwan — continued
	28,000	Walsin Technology Corp *		148,311
	2,694,000	Yuanta Financial Holding Co Ltd		2,406,530
	6,000	Yulon Nissan Motor Co Ltd		53,294
	33,000	Zeng Hsing Industrial Co Ltd		169,416
		Total Taiwan		95,520,787
		Thailand — 0.8%
	1,825,224	AP Thailand Pcl NVDR		593,289
	128,900	Bangkok Bank Pcl NVDR		555,346
	32,300	CP ALL Pcl (Foreign Registered)		67,482
	34,600	CP ALL Pcl NVDR		72,287
	11,300	Delta Electronics Thailand Pcl NVDR		141,479
	17,200	Kasikornbank Pcl (Foreign Registered)		86,503
	900,400	Kasikornbank Pcl NVDR		4,528,346
	1,215,600	Krung Thai Bank Pcl NVDR		522,985
	53,632	Pruksa Holding Pcl NVDR		23,645
	53,100	PTT Exploration & Production Pcl NVDR		223,564
	1,307,400	PTT Global Chemical Pcl NVDR		2,130,626
	237,500	PTT Pcl NVDR		289,101
	3,453,500	Sansiri Pcl NVDR		130,805
	217,304	Siam Cement Pcl NVDR (The)		2,615,174
	112,748	Siam Commercial Bank Pcl NVDR (The)		435,687
	141,300	Somboon Advance Technology Pcl NVDR		91,431
	23,760	Supalai Pcl (Foreign Registered)		16,002
	97,624	Supalai Pcl NVDR		65,747
	1,555,100	Thai Union Group Pcl NVDR		972,562
	80,000	Thai Vegetable Oil Pcl NVDR		79,702
		Total Thailand		13,641,763
		Turkey — 0.7%
	1,316,070	Akbank TAS		671,759
	480,551	Arcelik AS		1,922,814
	519,002	Dogan Sirketler Grubu Holding AS		95,625
	63,018	Dogus Otomotiv Servis ve Ticaret AS		213,810
	73,924	Enerjisa Enerji AS		70,896
	249,129	Eregli Demir ve Celik Fabrikalari TAS		560,692
	102,847	Ford Otomotiv Sanayi AS		2,004,746
	1,170,159	Haci Omer Sabanci Holding AS		1,316,153
	15,249	Koza Altin Isletmeleri AS *		126,429
	166,633	Tofas Turk Otomobil Fabrikasi AS		968,190
	2,801,385	Turkiye Garanti Bankasi AS		2,245,216
	153,019	Vestel Elektronik Sanayi ve Ticaret AS		248,815
	511,431	Yapi ve Kredi Bankasi AS		132,097
		Total Turkey		10,577,242
		United Arab Emirates — 0.0%
	20,644	Dubai Islamic Bank PJSC		34,309
		United Kingdom — 4.2%
	124,054	3i Group Plc		2,209,913

42 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		United Kingdom — continued
	134,901	Airtel Africa Plc		254,883
	5,111	Bank of Georgia Group Plc		90,525
	380,860	Barratt Developments Plc		3,102,186
	35,068	Bellway Plc		1,348,875
	83,495	Berkeley Group Holdings Plc		4,342,266
	40,000	BP Plc Sponsored ADR (b)		1,168,400
	47,424	British American Tobacco Plc (b)		2,078,446
	43,900	British American Tobacco Plc Sponsored ADR (b)		1,942,136
	2,432,378	BT Group Plc		6,069,009
	29,584	Centrica Plc * (b)		30,471
	11,654	CMC Markets Plc		36,429
	116,258	Coca-Cola HBC AG *		2,953,713
	221,802	Compass Group Plc (b)		5,013,402
	2,537	Computacenter Plc (b)		92,864
	46,229	Crest Nicholson Holdings Plc		189,736
	892	DCC Plc		69,998
	4,137	EMIS Group Plc (b)		68,246
	23,265	Evraz Plc		44,848
	262,378	Ferrexpo Plc		595,136
	11,710	Galliford Try Holdings Plc		27,014
	3,400	GlaxoSmithKline Plc Sponsored ADR (b)		142,324
	11,933	Grafton Group Plc		171,359
	72,648	Halfords Group Plc		269,933
	3,376	IMI Plc		66,136
	32,754	Imperial Brands Plc		716,208
	144,010	Indivior Plc *		541,883
	22,506	International Personal Finance Plc		33,683
	85,553	Investec Plc		464,013
	454,468	ITV Plc * (b)		669,589
	38,809	J Sainsbury Plc		143,132
	84,890	JD Sports Fashion Plc (b)		170,768
	4,789	Keller Group Plc		50,677
	1,175,646	Kingfisher Plc (b)		4,795,878
	361,170	Legal & General Group Plc		1,335,400
	1,550,591	M&G Plc		4,268,584
	23,885	Marks & Spencer Group Plc *		55,670
	258,566	Micro Focus International Plc (b)		1,343,879
	16,499	Morgan Advanced Materials Plc		67,049
	14,875	Morgan Sindall Group Plc		460,050
	6,503	Next Plc (b)		595,430
	3,429	Numis Corp Plc		11,821
	51,383	OSB Group Plc		343,369
	61,108	Paragon Banking Group Plc		411,442
	126,276	Persimmon Plc		4,064,007
	43,838	Pets at Home Group Plc		211,929
	70,375	Plus500 Ltd		1,313,199
	158,059	Premier Foods Plc		232,687
	110,446	Reach Plc (b)		337,360
	35,451	Redde Northgate Plc (b)		179,920

Shares		Description	Value ($)
		United Kingdom — continued
	97,894	Redrow Plc		746,296
	11,000	Rio Tinto Plc Sponsored ADR (b)		864,380
	158,662	Royal Mail Plc (b)		833,857
	44,288	Serica Energy Plc		164,668
	153,151	Shell Plc (b)		4,038,713
	41,626	Spirent Communications Plc		136,198
	28,209	Tate & Lyle Plc		283,176
	723,367	Taylor Wimpey Plc		1,450,919
	1,270	TBC Bank Group Plc		20,439
	15,564	Unilever Plc (c)		780,916
	15,642	Unilever Plc (b) (c)		785,729
	12,980	Vesuvius Plc		68,964
	9,507	Vistry Group Plc		127,877
	131,507	WPP Plc (b)		1,849,631
		Total United Kingdom		67,347,638
		United States — 14.0%
	29,400	Aflac, Inc.		1,796,046
	600	AGNC Investment Corp. (REIT)		7,746
	30,300	Alliance Data Systems Corp. (b)		2,043,735
	2,800	Allstate Corp. (The) (b)		342,608
	47,500	Ally Financial, Inc.		2,370,250
	23,753	American Express Co. (b)		4,620,909
	3,300	Arch Capital Group Ltd. *		155,463
	20,200	Arrow Electronics, Inc. *		2,461,976
	87,700	AT&T, Inc. (b)		2,077,613
	4,000	Bath & Body Works, Inc. (b)		213,480
	20,600	Best Buy Co., Inc. (b)		1,990,784
	3,400	Bio-Rad Laboratories, Inc. – Class A *		2,128,264
	9,100	Biogen, Inc. *		1,920,191
	1,638	Booking Holdings, Inc. * (b)		3,558,146
	120,523	BorgWarner, Inc.		4,942,648
	22,600	Bristol-Myers Squibb Co. (b)		1,551,942
	16,800	Capital One Financial Corp. (b)		2,574,936
	52,300	Carrier Global Corp.		2,347,224
	23,800	CBRE Group, Inc. – Class A * (b)		2,305,030
	30,100	Centene Corp. * (b)		2,486,862
	24,448	Chevron Corp. (b)		3,520,512
	11,600	Cigna Corp. (b)		2,758,248
	41,500	Citigroup, Inc. (b)		2,458,045
	9,800	Citizens Financial Group, Inc.		513,716
	25,600	Cognizant Technology Solutions Corp. – Class A (b)		2,204,928
	31,200	Comcast Corp. – Class A (b)		1,458,912
	14,100	CVS Health Corp. (b)		1,461,465
	66,077	Darling Ingredients, Inc. *		4,789,261
	17,800	Discover Financial Services (b)		2,197,232
	61,200	DISH Network Corp. – Class A * (b)		1,955,952
	26,600	DR Horton, Inc.		2,271,640
	32,400	eBay, Inc. (b)		1,768,716

See accompanying notes to the financial statements. 43

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		United States — continued
	42,749	EOG Resources, Inc.		4,912,715
	42,400	Fidelity National Financial, Inc.		2,019,936
	8,200	FleetCor Technologies, Inc. * (b)		1,920,440
	112,300	Ford Motor Co.		1,971,988
	12,900	Fox Corp. – Class A (b)		539,607
	70,300	Fox Corp. – Class B (b)		2,689,678
	58,900	Franklin Resources, Inc.		1,751,097
	45,900	General Motors Co. *		2,144,448
	35,800	Gilead Sciences, Inc. (b)		2,162,320
	16,121	Global Payments, Inc. (b)		2,150,219
	4,600	Goldman Sachs Group, Inc. (The) (b)		1,569,934
	28,185	Green Plains, Inc. *		922,777
	28,774	Hasbro, Inc.		2,792,517
	22,549	Hilton Worldwide Holdings, Inc. * (b)		3,356,644
	69,300	HP, Inc.		2,381,148
	20,400	IAC/InterActiveCorp * (b)		2,341,104
	27,400	Incyte Corp. *		1,871,420
	54,000	Intel Corp. (b)		2,575,800
	27,402	Intercontinental Exchange, Inc. (b)		3,510,744
	21,800	International Business Machines Corp. (b)		2,670,718
	81,100	Invesco Ltd.		1,722,564
	16,400	Jazz Pharmaceuticals Plc *		2,253,688
	159,900	Kinder Morgan, Inc.		2,782,260
	27,300	Kohl’s Corp.		1,518,426
	39,100	Kroger Co. (The) (b)		1,829,880
	9,900	Laboratory Corp. of America Holdings * (b)		2,685,474
	47,621	Las Vegas Sands Corp. * (b)		2,041,036
	14,800	Leidos Holdings, Inc. (b)		1,507,232
	25,300	Lennar Corp. – Class A		2,273,964
	31,800	Liberty Global Plc – Class A *		819,804
	60,900	Liberty Global Plc – Class C *		1,575,483
	38,300	Lincoln National Corp.		2,582,186
	29,600	LKQ Corp. (b)		1,389,720
	147,700	Lumen Technologies, Inc.		1,530,172
	81,627	Lyft, Inc. – Class A * (b)		3,178,555
	27,300	LyondellBasell Industries NV – Class A (b)		2,654,379
	2,530	Markel Corp. *		3,144,562
	26,000	Merck & Co., Inc. (b)		1,991,080
	3,000	Meta Platforms, Inc. – Class A * (b)		633,090
	41,000	MetLife, Inc.		2,769,550
	30,100	Micron Technology, Inc. (b)		2,674,686
	7,300	Mohawk Industries, Inc. *		1,027,694
	51,600	Molson Coors Brewing Co. – Class B		2,692,488
	17,700	NRG Energy, Inc. (b)		669,768
	30	NVR, Inc. *		148,753
	9,100	Omnicom Group, Inc. (b)		763,399
	26,800	Oracle Corp. (b)		2,035,996
	3,500	Owens Corning		326,165
	68,400	Paramount Global – Class B (b)		2,093,724
	4,700	Principal Financial Group, Inc.		332,008

Shares		Description	Value ($)
		United States — continued
	24,300	Prudential Financial, Inc.		2,713,338
	47,500	PulteGroup, Inc.		2,358,850
	16,200	Quest Diagnostics, Inc. (b)		2,126,574
	288,100	Qurate Retail, Inc. – Series A		1,587,431
	40,077	Raytheon Technologies Corp. (b)		4,115,908
	4,500	Regeneron Pharmaceuticals, Inc. * (b)		2,782,620
	10,300	Regions Financial Corp.		249,157
	7,600	Resolute Forest Products, Inc. (c)		94,772
	6,900	Resolute Forest Products, Inc. (c)		86,230
	73,515	Sensata Technologies Holding Plc *		4,257,254
	1,500	Skyworks Solutions, Inc.		207,255
	500	Snap-on, Inc.		105,090
	13,300	SS&C Technologies Holdings, Inc. (b)		997,101
	12,100	Steel Dynamics, Inc.		854,018
	60,100	Synchrony Financial		2,571,078
	22,700	Textron, Inc.		1,660,051
	27,800	Tyson Foods, Inc. – Class A (b)		2,575,948
	18,900	Universal Health Services, Inc. – Class B (b)		2,720,277
	75,389	US Bancorp		4,262,494
	39,400	Verizon Communications, Inc. (b)		2,114,598
	5,799	Verso Corp. – Class A		153,731
	44,883	VF Corp.		2,604,112
	153,400	Viatris, Inc.		1,688,934
	16,000	VMware, Inc. – Class A (b)		1,877,120
	13,500	Walgreens Boots Alliance, Inc. (b)		622,215
	79,100	Wells Fargo & Co.		4,221,567
	116,000	Western Union Co. (The) (b)		2,108,880
	39,600	Western Digital Corp. *		2,017,224
	9,200	Whirlpool Corp.		1,851,684
	7,500	Zoom Video Communications, Inc. – Class A * (b)		994,500
		Total United States		225,737,531
		TOTAL COMMON STOCKS (COST $1,294,231,128)		1,268,469,337
		PREFERRED STOCKS (f) — 1.4%
		Brazil — 0.8%
	591,693	Bradespar SA		3,405,935
	278,400	Cia Energetica de Minas Gerais		684,104
	119,000	Cia Energetica de Minas Gerais Sponsored ADR (b)		299,880
	1,277,400	Cia Paranaense de Energia – Class B		1,706,853
	57,900	Gerdau SA		287,173
	7,900	Gerdau SA Sponsored ADR		38,473
	670,200	Petroleo Brasileiro SA		4,405,531
	189,500	Petroleo Brasileiro SA Sponsored ADR		2,480,555
	18,200	Usinas Siderurgicas de Minas Gerais SA Usiminas – Class A		51,447
		Total Brazil		13,359,951

44 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Chile — 0.0%
	1,900	Sociedad Quimica y Minera de Chile SA Sponsored ADR		125,742
	2,163	Sociedad Quimica y Minera de Chile SA – Class B		143,649
		Total Chile		269,391
		Colombia — 0.0%
	297,879	Grupo Aval Acciones y Valores SA		80,201
		Germany — 0.1%
	17,917	Bayerische Motoren Werke AG		1,448,912
	5,449	Draegerwerk AG & Co KGaA (b)		308,700
	1,243	Sixt SE (b)		101,361
	1,552	Villeroy & Boch AG		41,460
	2,951	Volkswagen AG		580,100
		Total Germany		2,480,533
		Russia — 0.2%
	12,924	Bashneft PJSC		61,467
	56,000	Nizhnekamskneftekhim PJSC – Class S		32,168
	20,810	Sberbank of Russia PJSC		19,320
	9,254,300	Surgutneftegas PJSC		2,603,376
	161	Transneft PJSC		198,954
		Total Russia		2,915,285
		South Korea — 0.3%
	5,999	Hyundai Motor Co Ltd-Prf		440,007
	4,881	LG Electronics Inc		244,284
	62,498	Samsung Electronics Co Ltd		3,454,107
		Total South Korea		4,138,398
		Taiwan — 0.0%
	12,589	Chailease Holding Co Ltd		45,817
	77,681	China Development Financial Holding Corp		25,824
		Total Taiwan		71,641
		TOTAL PREFERRED STOCKS (COST $23,246,867)		23,315,400
		INVESTMENT FUNDS — 0.2%
		United States — 0.2%
	42,458	iShares Core MSCI Emerging Markets ETF		2,429,871
		TOTAL INVESTMENT FUNDS (COST $2,628,363)		2,429,871

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 16.8%
		United States — 16.8%
		Asset-Backed Securities — 0.0%
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g)		3
		Total Asset-Backed Securities		3
		U.S. Government — 16.8%
	107,850,000	U.S. Treasury Note, 0.13%, due 02/28/23		106,822,055
	50,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		49,447,265
	50,000,000	U.S. Treasury Note, 0.13%, due 04/30/23		49,378,906
	13,700,000	U.S. Treasury Note, 0.13%, due 06/30/23 (b)		13,495,035
	1,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		983,555
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 07/31/23 (b)		5,007,832
	46,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.40%, due 10/31/23 (b)		46,809,354
		Total U.S. Government		271,944,002
		Total United States		271,944,005
		TOTAL DEBT OBLIGATIONS (COST $274,284,708)		271,944,005
		MUTUAL FUNDS — 15.2%
		United States — 15.2%
		Affiliated Issuers — 15.2%
	2,258,105	GMO Emerging Country Debt Fund, Class VI		48,097,631
	1,150,766	GMO Emerging Markets Fund, Class VI		34,016,640
	3,597,225	GMO Opportunistic Income Fund, Class VI		91,945,071
	2,076,590	GMO SGM Major Markets Fund, Class VI		60,781,806
	2,014,030	GMO U.S. Treasury Fund (h)		10,090,292
		TOTAL MUTUAL FUNDS (COST $269,215,510)		244,931,440
		SHORT-TERM INVESTMENTS — 14.9%
		Money Market Funds — 0.2%
	2,958,576	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i)		2,958,576
		U.S. Government — 14.7%
	24,000,000	U.S. Treasury Bill, 0.31%, due 05/24/22 (b) (j)		23,982,416
	50,000,000	U.S. Treasury Bill, 0.35%, due 05/31/22 (b) (j)		49,955,764

See accompanying notes to the financial statements. 45

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value† / Shares				Description	Value ($)
				U.S. Government — continued
	25,000,000			U.S. Treasury Bill, 0.54%, due 07/21/22 (b) (j)		24,946,849
	2,900,000			U.S. Treasury Bill, 0.58%, due 07/28/22 (b) (j)		2,893,158
	86,700,000			U.S. Treasury Bill, 0.64%, due 08/18/22 (b) (j)		86,439,338
	50,000,000			U.S. Treasury Bill, 0.89%, due 01/26/23 (j)		49,598,893
				Total U.S. Government		237,816,418
				TOTAL SHORT-TERM INVESTMENTS (COST $240,868,576)		240,774,994
				TOTAL INVESTMENTS — 127.1% (Cost $2,104,475,152)		2,051,865,047
				SECURITIES SOLD SHORT — (20.6)%
				Common Stocks — (20.5)%
				Australia — (0.5)%
	(347,879	)		APA Group		(2,543,160	)
	(31,944	)		ASX Ltd		(1,918,603	)
	(6,457	)		Cochlear Ltd		(1,054,067	)
	(1,414	)		Domino’s Pizza Enterprises Ltd		(81,647	)
	(593,725	)		Qantas Airways Ltd *		(2,200,033	)
				Total Australia		(7,797,510	)
				Austria — (0.2)%
	(26,070	)		Verbund AG		(3,144,473	)
				Belgium — (0.1)%
	(35,915	)		Anheuser-Busch InBev SA/NV		(2,216,236	)
				Canada — (0.7)%
	(8,400	)		Agnico Eagle Mines Ltd		(424,116	)
	(86,900	)		AltaGas Ltd		(1,914,200	)
	(33,900	)		Cameco Corp		(833,262	)
	(49,800	)		Enbridge Inc		(2,150,364	)
	(14,300	)		Franco-Nevada Corp		(2,103,816	)
	(15,700	)		Pan American Silver Corp		(370,991	)
	(61,600	)		Pembina Pipeline Corp		(2,091,936	)
	(26,200	)	��	Restaurant Brands International Inc		(1,466,676	)
				Total Canada		(11,355,361	)
				Denmark — (0.1)%
	(71,137	)		Ambu A/S – Class B		(1,311,820	)
				France — (0.7)%
	(64,836	)		Accor SA *		(2,214,361	)
	(13,833	)		Aeroports de Paris *		(1,955,841	)
	(176,550	)		Getlink SE		(2,879,413	)
	(1,600	)		Hermes International		(2,206,459	)
	(1,579	)		Sartorius Stedim Biotech		(605,500	)
	(18,453	)		Ubisoft Entertainment SA *		(989,394	)
	(8,332	)		Wendel SE		(845,851	)
				Total France		(11,696,819	)

Shares			Description	Value ($)
			Common Stocks — continued
			Germany — (0.9)%
	(828	)	adidas AG		(195,774	)
	(26,788	)	Delivery Hero SE *		(1,435,853	)
	(1,740	)	MTU Aero Engines AG		(416,532	)
	(1,075	)	Nemetschek SE		(95,386	)
	(22,044	)	Puma SE		(2,021,532	)
	(20,468	)	QIAGEN NV *		(1,028,361	)
	(467	)	Rational AG		(343,694	)
	(20,250	)	Scout24 SE		(1,181,190	)
	(17,429	)	Symrise AG – Class A		(2,073,119	)
	(925,836	)	Telefonica Deutschland Holding AG		(2,526,463	)
	(35,555	)	Uniper SE		(1,137,445	)
	(26,884	)	Zalando SE *		(1,779,362	)
			Total Germany		(14,234,711	)
			Israel — (0.2)%
	(13,900	)	CyberArk Software Ltd *		(2,364,946	)
	(3,500	)	Kornit Digital Ltd *		(331,905	)
	(13,600	)	Wix.com Ltd *		(1,245,488	)
			Total Israel		(3,942,339	)
			Italy — (0.6)%
	(43,270	)	Amplifon SPA		(1,856,909	)
	(110,630	)	Atlantia SPA *		(2,035,067	)
	(10,076	)	Ferrari NV		(2,165,215	)
	(141,699	)	FinecoBank Banca Fineco SPA		(2,361,530	)
	(189,125	)	Infrastrutture Wireless Italiane SPA		(1,931,214	)
			Total Italy		(10,349,935	)
			Japan — (2.8)%
	(145,800	)	Acom Co Ltd		(406,144	)
	(42,000	)	Aeon Co Ltd		(951,455	)
	(96,700	)	ANA Holdings Inc *		(2,129,158	)
	(79,400	)	Asahi Intecc Co Ltd		(1,714,509	)
	(6,900	)	Benefit One Inc		(159,817	)
	(14,600	)	East Japan Railway Co		(867,368	)
	(22,400	)	GMO Payment Gateway Inc		(2,166,703	)
	(14,400	)	Harmonic Drive Systems Inc		(589,014	)
	(86,100	)	Hitachi Metals Ltd *		(1,534,776	)
	(131,800	)	Isetan Mitsukoshi Holdings Ltd		(1,062,907	)
	(107,200	)	Japan Airlines Co Ltd *		(2,125,633	)
	(30,900	)	Japan Airport Terminal Co Ltd *		(1,442,919	)
	(47,700	)	Japan Exchange Group Inc		(893,233	)
	(103	)	Japan Real Estate Investment Corp (REIT)		(550,200	)
	(86,300	)	JGC Holding Corp		(864,977	)
	(91,700	)	Keikyu Corp		(960,846	)
	(28,400	)	Keio Corp		(1,162,044	)
	(21,900	)	Kintetsu Group Holdings Co Ltd *		(657,927	)
	(10,400	)	Lasertec Corp		(1,927,875	)
	(41,600	)	LIXIL Corp		(927,154	)

46 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(57,100	)	M3 Inc		(2,148,301	)
	(2,000	)	McDonald’s Holdings Co Japan Ltd		(85,997	)
	(49,100	)	Mercari Inc *		(1,537,814	)
	(9,000	)	Mizuho Financial Group Inc		(118,612	)
	(120,800	)	MonotaRO Co Ltd		(2,273,818	)
	(17,500	)	Nidec Corp		(1,521,338	)
	(105,100	)	Nihon M&A Center Holdings Inc		(1,554,540	)
	(219,100	)	Nippon Paint Holdings Co Ltd		(1,960,965	)
	(23,600	)	Nissin Foods Holdings Co Ltd		(1,885,573	)
	(76,100	)	Odakyu Electric Railway Co Ltd		(1,255,535	)
	(14,500	)	ORIENTAL LAND CO LTD		(2,680,539	)
	(170,700	)	Rakuten Group Inc		(1,451,057	)
	(13,500	)	Shiseido Co Ltd		(774,712	)
	(23,000	)	Tobu Railway Co Ltd		(565,353	)
	(33,500	)	Tokyu Corp		(446,769	)
	(48,800	)	West Japan Railway Co		(2,105,423	)
			Total Japan		(45,461,005	)
			Netherlands — (0.3)%
	(1,092	)	Adyen NV *		(2,276,025	)
	(6,321	)	Heineken Holding NV		(516,230	)
	(6,106	)	IMCD NV		(991,867	)
	(42,911	)	Just Eat Takeaway.com NV *		(1,736,700	)
			Total Netherlands		(5,520,822	)
			New Zealand — (0.1)%
	(25,114	)	Xero Ltd *		(1,726,788	)
			Norway — (0.0)%
	(6,374	)	Schibsted ASA – Class A		(183,176	)
	(8,129	)	Schibsted ASA – Class B		(211,022	)
			Total Norway		(394,198	)
			Russia — (0.0)%
	(5,690	)	Magnit PJSC Sponsored GDR (Registered)		(9,031	)
			Singapore — (0.3)%
	(119,400	)	City Developments Ltd		(631,806	)
	(545,300	)	Singapore Airlines Ltd *		(2,064,770	)
	(206,600	)	Singapore Exchange Ltd		(1,433,346	)
			Total Singapore		(4,129,922	)
			Spain — (0.6)%
	(12,664	)	Aena SME SA *		(2,066,830	)
	(46,805	)	Cellnex Telecom SA		(2,117,094	)
	(90,938	)	Ferrovial SA		(2,477,533	)
	(113,384	)	Siemens Gamesa Renewable Energy SA *		(2,608,943	)
			Total Spain		(9,270,400	)

Shares				Description	Value ($)
				Common Stocks — continued
				Sweden — (0.4)%
	(208,527	)		Embracer Group AB – Class B *		(1,790,024	)
	(8,109	)		EQT AB		(271,408	)
	(19,226	)		Evolution AB		(2,204,435	)
	(10,109	)		Nibe Industrier AB-Class B		(89,988	)
	(194,356	)		Sinch AB *		(1,639,471	)
				Total Sweden		(5,995,326	)
				Switzerland — (0.3)%
	(14	)		Chocoladefabriken Lindt & Spruengli AG		(148,508	)
	(2	)		Chocoladefabriken Lindt & Spruengli AG (Registered)		(224,490	)
	(1,592	)		Partners Group Holding AG		(2,152,047	)
	(1,006	)		Sika AG (Registered)		(333,826	)
	(1,269	)		Straumann Holding AG (Registered)		(2,015,759	)
				Total Switzerland		(4,874,630	)
				United Kingdom — (1.3)%
	(31,603	)		Admiral Group Plc		(1,258,924	)
	(60,750	)		Antofagasta Plc		(1,230,056	)
	(289,857	)		Auto Trader Group Plc		(2,563,517	)
	(494,209	)		ConvaTec Group Plc		(1,194,823	)
	(4,036	)	��	Croda International Plc		(403,999	)
	(2,910	)		Experian Plc		(113,678	)
	(26,892	)		Halma Plc		(867,376	)
	(130,093	)		Hargreaves Lansdown Plc		(1,971,716	)
	(370,733	)		Informa Plc *		(2,935,404	)
	(10,126	)		InterContinental Hotels Group Plc *		(705,103	)
	(97,319	)		Land Securities Group Plc (REIT)		(1,031,262	)
	(24,083	)		London Stock Exchange Group Plc		(2,103,810	)
	(109,465	)		Ocado Group Plc *		(2,012,942	)
	(1,445,591	)		Rolls-Royce Holdings Plc *		(1,994,136	)
	(7,304	)		Spirax-Sarco Engineering Plc		(1,163,925	)
				Total United Kingdom		(21,550,671	)
				United States — (10.4)%
	(84,500	)		AES Corp. (The)		(1,793,935	)
	(13,200	)		Airbnb, Inc. – Class A *		(1,999,668	)
	(6,000	)		American Tower Corp. (REIT)		(1,361,220	)
	(57,500	)		Aramark		(2,125,200	)
	(13,800	)		Arthur J Gallagher & Co.		(2,183,022	)
	(9,300	)		Autodesk, Inc. *		(2,048,139	)
	(19,500	)		Avalara, Inc. *		(2,026,245	)
	(9,400	)		Bill.com Holdings, Inc. *		(2,236,072	)
	(2,100	)		Bio-Techne Corp.		(880,761	)
	(23,800	)		BioMarin Pharmaceutical, Inc. *		(1,859,256	)
	(17,000	)		Block Inc. – Class A *		(2,167,500	)
	(10,400	)		Boeing Co. (The) *		(2,135,536	)
	(4,000	)		Broadcom, Inc.		(2,349,760	)
	(8,800	)		Burlington Stores, Inc. *		(1,987,832	)
	(26,900	)		Caesars Entertainment, Inc. *		(2,264,711	)

See accompanying notes to the financial statements. 47

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(900	)	Camden Property Trust (REIT)		(148,599	)
	(14,200	)	Carvana Co. – Class A *		(2,136,674	)
	(10,200	)	Catalent, Inc. *		(1,040,808	)
	(25,200	)	Ceridian HCM Holding, Inc. *		(1,837,332	)
	(1,400	)	Chipotle Mexican Grill, Inc. – Class A *		(2,132,690	)
	(83,200	)	Clarivate Plc *		(1,246,336	)
	(22,000	)	Cloudflare, Inc. – Class A *		(2,561,240	)
	(8,800	)	CME Group, Inc.		(2,081,464	)
	(15,100	)	Coupa Software, Inc. *		(1,827,251	)
	(8,100	)	Crown Castle International Corp. (REIT)		(1,349,379	)
	(37,800	)	Delta Air Lines, Inc. *		(1,508,976	)
	(4,600	)	Dexcom, Inc. *		(1,903,986	)
	(16,800	)	DocuSign, Inc. – Class A *		(1,989,624	)
	(5,200	)	DoorDash, Inc. – Class A *		(545,740	)
	(98,300	)	DraftKings Inc. – Class A *		(2,327,744	)
	(1,000	)	Ecolab, Inc.		(176,260	)
	(2,000	)	Equinix, Inc. (REIT)		(1,419,460	)
	(18,100	)	Equity LifeStyle Properties, Inc. (REIT)		(1,350,622	)
	(800	)	Erie Indemnity Co. – Class A		(140,080	)
	(25,700	)	Exact Sciences Corp. *		(2,006,142	)
	(9,200	)	Expedia Group, Inc. *		(1,804,212	)
	(600	)	Extra Space Storage, Inc. (REIT)		(112,890	)
	(14,600	)	Fastenal Co.		(751,316	)
	(7,000	)	First Republic Bank		(1,212,820	)
	(22,500	)	Guidewire Software, Inc. *		(1,983,375	)
	(12,700	)	Hess Corp.		(1,283,462	)
	(4,600	)	HubSpot, Inc. *		(2,415,000	)
	(3,900	)	IDEXX Laboratories, Inc. *		(2,076,165	)
	(28,400	)	Ingersoll Rand, Inc.		(1,434,768	)
	(9,000	)	Insulet Corp. *		(2,382,210	)
	(6,600	)	Invitation Homes, Inc. (REIT)		(249,480	)
	(4,000	)	Ionis Pharmaceuticals, Inc. *		(133,520	)
	(10,100	)	IQVIA Holdings, Inc. *		(2,324,212	)
	(28,300	)	Iron Mountain, Inc. (REIT)		(1,391,794	)
	(36,700	)	Lamb Weston Holdings, Inc.		(2,437,981	)
	(8,700	)	Liberty Broadband Corp. – Class A *		(1,259,847	)
	(11,200	)	Liberty Broadband Corp. – Class C *		(1,643,040	)
	(43,800	)	Liberty Media Corp-Liberty Formula One – Class C *		(2,659,974	)
	(6,600	)	Linde Plc		(1,935,384	)
	(22,000	)	Live Nation Entertainment, Inc. *		(2,658,040	)
	(5,500	)	MarketAxess Holdings, Inc.		(2,097,865	)
	(12,700	)	Marriott International, Inc. – Class A *		(2,160,778	)
	(10,500	)	Marvell Technology, Inc.		(717,465	)
	(22,100	)	MGM Resorts International		(978,809	)
	(5,500	)	MongoDB, Inc. – Class A *		(2,100,945	)
	(2,900	)	Monolithic Power Systems, Inc.		(1,330,230	)
	(4,500	)	MSCI, Inc. – Class A		(2,257,605	)
	(28,500	)	Novocure Ltd. *		(2,333,010	)
	(104,300	)	Oak Street Health, Inc. *		(1,826,293	)
	(11,100	)	Okta, Inc. *		(2,029,524	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(2,800	)	ONEOK, Inc.		(182,840	)
	(105,600	)	Palantir Technologies, Inc. – Class A *		(1,251,360	)
	(800	)	Palo Alto Networks, Inc. *		(475,400	)
	(47,400	)	Peloton Interactive, Inc. – Class A *		(1,377,444	)
	(11,600	)	RingCentral, Inc. – Class A *		(1,517,744	)
	(12,800	)	Roku, Inc. *		(1,785,984	)
	(29,900	)	Rollins, Inc.		(975,637	)
	(29,900	)	Royal Caribbean Cruises Ltd. *		(2,413,528	)
	(29,400	)	Sarepta Therapeutics, Inc. *		(2,252,334	)
	(15,200	)	Seagen, Inc. *		(1,958,824	)
	(4,300	)	ServiceNow, Inc. *		(2,493,656	)
	(9,700	)	Simon Property Group, Inc. (REIT)		(1,334,332	)
	(61,500	)	Snap, Inc. – Class A *		(2,456,310	)
	(8,000	)	Snowflake, Inc. – Class A *		(2,125,280	)
	(14,300	)	T-Mobile US, Inc. *		(1,761,903	)
	(26,400	)	Teladoc Health, Inc. *		(2,004,024	)
	(2,700	)	Tesla, Inc. *		(2,350,161	)
	(6,000	)	Trade Desk, Inc. (The) – Class A *		(511,920	)
	(1,600	)	Tradeweb Markets, Inc. – Class A		(135,168	)
	(10,300	)	Twilio, Inc. – Class A *		(1,800,440	)
	(49,000	)	Twitter, Inc. *		(1,741,950	)
	(55,300	)	Uber Technologies, Inc. *		(1,992,459	)
	(24,600	)	UDR, Inc. (REIT)		(1,349,802	)
	(16,200	)	Upstart Holdings, Inc. *		(2,559,438	)
	(7,800	)	Vail Resorts, Inc.		(2,032,290	)
	(88,100	)	Vistra Corp.		(2,010,442	)
	(8,400	)	Wayfair, Inc. – Class A *		(1,183,308	)
	(91,100	)	Williams Cos, Inc. (The)		(2,849,608	)
	(20,300	)	Zendesk, Inc. *		(2,368,401	)
	(38,900	)	Zillow Group, Inc. – Class A *		(2,227,803	)
	(18,356	)	Zillow Group, Inc. – Class C *		(1,055,837	)
	(3,400	)	Zoetis, Inc.		(658,410	)
	(19,600	)	ZoomInfo Technologies, Inc. – Class A *		(1,071,924	)
	(8,500	)	Zscaler, Inc. *		(2,032,775	)
			Total United States		(165,430,014	)
			TOTAL COMMON STOCKS (PROCEEDS $356,653,250)		(330,412,011	)
			PREFERRED STOCKS (f) — (0.1)%
			Germany — (0.1)%
	(4,035	)	Sartorius AG		(1,781,505	)
			TOTAL PREFERRED STOCKS (PROCEEDS $1,785,022)		(1,781,505	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $358,438,272)		(332,193,516	)
			Other Assets and Liabilities (net) — (6.5%)		(105,817,761	)
			TOTAL NET ASSETS — 100.0%		$1,613,853,770

48 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/21/2022	SSB	AUD	9,435,800		USD	6,800,366		(57,912	)
05/09/2022	BCLY	AUD	4,450,000		USD	3,170,625		(64,581	)
05/09/2022	JPM	AUD	1,410,000		USD	1,001,918		(23,170	)
05/09/2022	MSCI	AUD	10,980,000		USD	7,755,410		(227,189	)
05/02/2022	DB	CAD	1,901,352		USD	1,500,000		(300	)
05/02/2022	JPM	CAD	2,348,249		USD	1,850,000		(2,934	)
05/16/2022	MSCI	CHF	13,205,545		USD	14,338,424		(106,021	)
05/16/2022	MSCI	CLP	519,112,500		USD	642,744		(189	)
03/17/2022	MSCI	COP	6,592,425,000		USD	1,677,163		5,267
05/18/2022	BCLY	CZK	3,844,446		USD	170,000		68
03/31/2022	JPM	EUR	1,270,000		USD	1,426,908		1,213
04/21/2022	SSB	EUR	44,244,200		USD	50,336,161		630,657
04/21/2022	BCLY	GBP	1,327,400		USD	1,801,083		19,959
04/21/2022	MSCI	GBP	8,254,600		USD	11,250,541		174,403
05/16/2022	BCLY	GBP	1,780,000		USD	2,383,991		(4,146	)
04/21/2022	JPM	HKD	21,358,500		USD	2,741,803		8,446
04/21/2022	SSB	HKD	4,411,700		USD	565,721		1,133
05/16/2022	MSCI	HUF	361,390,452		USD	1,157,042		75,767
04/29/2022	CITI	ILS	1,164,618		USD	360,000		(3,267	)
04/29/2022	GS	ILS	2,269,129		USD	711,851		4,066
04/29/2022	JPM	ILS	1,292,556		USD	400,000		(3,173	)
03/08/2022	JPM	INR	154,397,074		USD	2,058,791		10,580
03/08/2022	MSCI	INR	23,387,330		USD	310,000		(253	)
06/03/2022	MSCI	INR	164,223,204		USD	2,149,659		(3,410	)
03/09/2022	JPM	JPY	342,997,320		USD	2,970,000		(13,844	)
03/09/2022	SSB	JPY	137,931,132		USD	1,200,000		93
04/21/2022	DB	JPY	396,486,400		USD	3,438,199		(14,361	)
04/21/2022	SSB	JPY	1,635,935,500		USD	14,303,835		58,290
05/09/2022	BCLY	KRW	2,939,238,054		USD	2,439,647		(3,103	)
03/22/2022	MSCI	MXN	22,107,439		USD	1,083,996		8,186
05/16/2022	GS	NOK	7,056,177		USD	800,000		148
03/01/2022	JPM	NZD	4,600,000		USD	3,073,803		(38,557	)
03/01/2022	MSCI	NZD	21,860,000		USD	14,492,604		(297,873	)
06/01/2022	JPM	NZD	24,480,000		USD	16,453,865		(86,633	)
04/19/2022	JPM	PLN	1,528,884		USD	360,000		(2,914	)
04/19/2022	SSB	PLN	3,017,776		USD	750,000		33,665
03/31/2022	CITI	RON	11,343,046		USD	2,533,853		(29,072	)
03/16/2022	BCLY	RUB	118,773,241		USD	1,337,903		241,247
05/11/2022	MSCI	RUB	71,556,801		USD	822,237		206,694
03/07/2022	JPM	SEK	36,269,628		USD	3,880,443		50,941
03/18/2022	JPM	SGD	67,868		USD	50,000		(56	)
05/18/2022	MSCI	THB	55,230,454		USD	1,708,229		17,453
05/17/2022	JPM	TWD	20,881,550		USD	753,493		5,842
04/21/2022	GS	USD	641,400		AUD	893,800		8,246
05/09/2022	JPM	USD	5,485,761		AUD	7,620,000		54,075
05/09/2022	MSCI	USD	508,776		AUD	700,000		133
04/04/2022	CITI	USD	730,000		BRL	3,958,441		31,795

Settlement Date	Counter party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/04/2022	GS	USD	1,030,000		BRL	5,395,695		8,392
04/04/2022	MSCI	USD	850,000		BRL	4,558,501		27,276
05/02/2022	BCLY	USD	14,194,498		CAD	18,124,571		107,065
05/02/2022	JPM	USD	7,440,000		CAD	9,441,691		10,160
05/16/2022	JPM	USD	4,340,000		CHF	3,975,113		8,045
05/16/2022	MSCI	USD	634,069		CLP	519,112,500		8,864
03/17/2022	MSCI	USD	1,210,000		COP	4,753,535,100		(4,462	)
05/18/2022	MSCI	USD	2,230,918		CZK	48,312,756		(95,397	)
03/31/2022	SSB	USD	1,419,894		EUR	1,270,000		5,802
04/21/2022	BCLY	USD	8,370,241		EUR	7,391,500		(66,367	)
04/21/2022	SSB	USD	2,094,220		EUR	1,876,100		13,457
04/21/2022	MSCI	USD	963,080		GBP	710,000		(10,392	)
04/21/2022	SSB	USD	547,452		GBP	405,400		(3,481	)
05/16/2022	BCLY	USD	774,677		GBP	570,000		(9,936	)
05/16/2022	MSCI	USD	10,030,246		GBP	7,365,000		(148,995	)
04/21/2022	JPM	USD	100,948		HKD	785,800		(385	)
05/16/2022	MSCI	USD	490,000		HUF	154,810,600		(26,809	)
05/16/2022	SSB	USD	50,000		HUF	16,608,583		(307	)
05/04/2022	JPM	USD	1,332,282		IDR	19,318,085,000		6,092
04/29/2022	JPM	USD	1,116,201		ILS	3,561,685		(5,242	)
03/08/2022	MSCI	USD	2,352,873		INR	177,784,404		5,591
03/09/2022	DB	USD	1,860,000		JPY	214,668,180		7,467
03/09/2022	JPM	USD	2,720,000		JPY	310,974,880		(14,730	)
03/09/2022	MSCI	USD	14,505,064		JPY	1,671,667,403		37,308
04/21/2022	CITI	USD	2,038,363		JPY	234,208,900		1,102
04/21/2022	DB	USD	2,080,337		JPY	237,505,100		(12,169	)
05/09/2022	BCLY	USD	500,000		KRW	600,350,000		(1,060	)
05/09/2022	GS	USD	60,000		KRW	72,252,448		48
05/09/2022	JPM	USD	330,000		KRW	396,151,800		(765	)
05/09/2022	MSCI	USD	860,000		KRW	1,031,734,330		(2,543	)
03/22/2022	GS	USD	50,000		MXN	1,024,674		(136	)
03/22/2022	JPM	USD	410,000		MXN	8,398,052		(1,327	)
05/16/2022	BCLY	USD	11,107,145		NOK	98,259,359		31,027
03/01/2022	JPM	USD	16,479,936		NZD	24,480,000		83,233
03/01/2022	MSCI	USD	1,334,837		NZD	1,980,000		4,831
04/19/2022	DB	USD	350,000		PLN	1,394,123		(19,075	)
04/19/2022	MSCI	USD	1,037,274		PLN	4,123,579		(58,453	)
03/31/2022	CITI	USD	190,000		RON	840,215		(156	)
05/11/2022	MSCI	USD	2,434,604		RUB	190,330,042		(797,356	)
03/07/2022	BCLY	USD	7,586,681		SEK	69,067,053		(294,288	)
03/18/2022	MSCI	USD	671,018		SGD	902,116		(5,657	)
05/18/2022	CITI	USD	110,000		THB	3,591,148		(64	)
05/18/2022	MSCI	USD	310,000		THB	10,055,811		(2,160	)
05/17/2022	JPM	USD	280,000		TWD	7,796,040		(868	)
05/31/2022	MSCI	USD	430,805		ZAR	6,747,915		3,015
							$	(548,396	)

See accompanying notes to the financial statements. 49

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
886	Euro STOXX 50		March 2022		38,772,218		2,854,752
114	FTSE 100 Index		March 2022		11,338,999		(227,034	)
19	Hang Seng Index		March 2022		2,756,490		103,801
2,183	Mini MSCI Emerging Markets		March 2022		128,305,825		5,859,021
774	S&P 500 E-Mini		March 2022		169,041,600		10,881,316
177	SGX Nifty 50		March 2022		5,968,921		119,997
45	SPI 200 Futures		March 2022		5,756,743		165,150
83	TOPIX Index		March 2022		13,673,817		465,686
				$	375,614,613	$	20,222,689

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(72,635,000	)
Average interest rate (net)		(0.09	)%
Maximum balance outstanding	$	(72,635,000	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.60%	3 Month AUD BBSW	AUD	9,250,000		03/16/2024	Quarterly		—			(24,099	)		(24,099	)
1.82%	3 Month CAD CDOR	CAD	85,680,000		03/16/2024	Semi-Annually		(22,127	)		266,093			288,220
1.99%	3 Month CAD CDOR	CAD	13,560,000		03/16/2024	Semi-Annually		—			6,156			6,156
1.90%	3 Month CAD CDOR	CAD	25,300,000		03/16/2024	Semi-Annually		—			47,882			47,882
1.95%	3 Month CAD CDOR	CAD	11,200,000		03/16/2024	Semi-Annually		—			11,442			11,442
3 Month CAD CDOR	2.12%	CAD	9,020,000		03/16/2024	Semi-Annually		—			14,072			14,072
3 Month CAD CDOR	2.05%	CAD	8,450,000		03/16/2024	Semi-Annually		1,007			4,443			3,436
3 Month CAD CDOR	1.74%	CAD	14,620,000		03/16/2024	Semi-Annually		—			(64,050	)		(64,050	)
3 Month CAD CDOR	1.80%	CAD	12,870,000		03/16/2024	Semi-Annually		—			(42,772	)		(42,772	)
2.03%	3 Month CAD CDOR	CAD	12,570,000		03/16/2024	Semi-Annually		—			(2,602	)		(2,602	)
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	19,360,000		03/16/2024	Annually		—			107,730			107,730
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	2,960,000		03/16/2024	Annually		(897	)		16,967			17,864
(0.44)%	CHF - SARON - OIS - COMPOUND	CHF	8,610,000		03/16/2024	Annually		—			29,539			29,539
CHF - SARON - OIS - COMPOUND	(0.17)%	CHF	6,330,000		03/16/2024	Annually		—			16,330			16,330
(0.08)%	CHF - SARON - OIS - COMPOUND	CHF	11,600,000		03/16/2024	Annually		—			(53,640	)		(53,640	)
(0.24)%	CHF - SARON - OIS - COMPOUND	CHF	14,880,000		03/16/2024	Annually		—			(15,445	)		(15,445	)
(0.25)%	CHF - SARON - OIS - COMPOUND	CHF	14,730,000		03/16/2024	Annually		—			(11,998	)		(11,998	)
(0.28)%	CHF - SARON - OIS - COMPOUND	CHF	9,170,000		03/16/2024	Annually		—			(1,323	)		(1,323	)
GBP - SONIA -  COMPOUND	1.64%	GBP	75,140,000		03/16/2024	Annually		31,400			50,399			18,999

50 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
GBP - SONIA -  COMPOUND	1.80%	GBP	7,710,000		03/16/2024	Annually		5,303			38,664			33,361
1.62%	GBP - SONIA - COMPOUND	GBP	10,530,000		03/16/2024	Annually		3,419			(2,904	)		(6,323	)
1.67%	GBP - SONIA - COMPOUND	GBP	6,380,000		03/16/2024	Annually		191			(9,318	)		(9,509	)
1.67%	GBP - SONIA - COMPOUND	GBP	6,700,000		03/16/2024	Annually		(664	)		(11,373	)		(10,709	)
1.64%	GBP - SONIA - COMPOUND	GBP	4,220,000		03/16/2024	Annually		(2,343	)		(3,164	)		(821	)
2.51%	3 Month NZD Bank Bill Rate	NZD	12,010,000		03/16/2024	Quarterly		—			45,312			45,312
2.40%	3 Month NZD Bank Bill Rate	NZD	10,240,000		03/16/2024	Quarterly		—			53,492			53,492
2.38%	3 Month NZD Bank Bill Rate	NZD	14,530,000		03/16/2024	Quarterly		—			79,735			79,735
2.61%	3 Month NZD Bank Bill Rate	NZD	16,130,000		03/16/2024	Quarterly		—			39,580			39,580
3 Month NZD Bank Bill Rate	2.53%	NZD	32,560,000		03/16/2024	Quarterly		—			(114,255	)		(114,255	)
3 Month NZD Bank Bill Rate	2.60%	NZD	40,690,000		03/16/2024	Quarterly		3,727			(104,677	)		(108,404	)
0.34%	3 Month SEK STIBOR	SEK	586,900,000		03/16/2024	Quarterly		—			365,792			365,792
0.33%	3 Month SEK STIBOR	SEK	86,340,000		03/16/2024	Quarterly		(6,309	)		54,744			61,053
0.33%	3 Month SEK STIBOR	SEK	73,400,000		03/16/2024	Quarterly		—			46,850			46,850
0.32%	3 Month SEK STIBOR	SEK	56,400,000		03/16/2024	Quarterly		—			36,894			36,894
3 Month SEK STIBOR	0.72%	SEK	90,000,000		03/16/2024	Quarterly		—			15,843			15,843
3 Month SEK STIBOR	0.69%	SEK	163,900,000		03/16/2024	Quarterly		—			19,146			19,146
3 Month SEK STIBOR	0.69%	SEK	152,200,000		03/16/2024	Quarterly		—			18,745			18,745
3 Month SEK STIBOR	0.64%	SEK	97,000,000		03/16/2024	Quarterly		—			1,688			1,688
3 Month SEK STIBOR	0.42%	SEK	37,400,000		03/16/2024	Quarterly		843			(16,752	)		(17,595	)
3 Month SEK STIBOR	0.63%	SEK	73,100,000		03/16/2024	Quarterly		—			(274	)		(274	)
1.22%	USD - SOFR - COMPOUND	USD	10,970,000		03/16/2024	Annually		2,337			40,960			38,623
USD - SOFR -  COMPOUND	1.46%	USD	4,470,000		03/16/2024	Annually		561			4,378			3,817
USD - SOFR -  COMPOUND	0.97%	USD	6,500,000		03/16/2024	Annually		(2,064	)		(57,112	)		(55,048	)
USD - SOFR -  COMPOUND	1.01%	USD	16,290,000		03/16/2024	Annually		(3,105	)		(130,119	)		(127,014	)
USD - SOFR -  COMPOUND	1.15%	USD	10,140,000		03/16/2024	Annually		(1,157	)		(52,644	)		(51,487	)
USD - SOFR -  COMPOUND	1.05%	USD	9,710,000		03/16/2024	Annually		(1,464	)		(70,773	)		(69,309	)
1.61%	USD - SOFR - COMPOUND	USD	6,630,000		03/16/2024	Annually		(1,947	)		(25,825	)		(23,878	)
6 Month EURIBOR	0.22%	EUR	11,310,000		03/20/2024	Semi-Annually		321			43,948			43,627
6 Month EURIBOR	0.20%	EUR	7,830,000		03/20/2024	Semi-Annually		(1,231	)		27,713			28,944
6 Month EURIBOR	0.20%	EUR	5,680,000		03/20/2024	Semi-Annually		(5,284	)		20,232			25,516
6 Month EURIBOR	0.17%	EUR	7,950,000		03/20/2024	Semi-Annually		851			21,388			20,537
6 Month EURIBOR	(0.23)%	EUR	7,070,000		03/20/2024	Semi-Annually		(492	)		(43,729	)		(43,237	)
6 Month EURIBOR	(0.20)%	EUR	8,370,000		03/20/2024	Semi-Annually		(24	)		(45,895	)		(45,871	)
6 Month EURIBOR	(0.07)%	EUR	8,440,000		03/20/2024	Semi-Annually		100			(22,010	)		(22,110	)
0.12%	6 Month EURIBOR	EUR	4,290,000		03/20/2024	Semi-Annually		31			(7,035	)		(7,066	)
1.95%	6 Month AUD BBSW	AUD	2,060,000		03/16/2032	Semi-Annually		—			68,471			68,471
1.96%	6 Month AUD BBSW	AUD	3,640,000		03/16/2032	Semi-Annually		—			118,164			118,164
2.10%	6 Month AUD BBSW	AUD	2,650,000		03/16/2032	Semi-Annually		—			61,700			61,700
2.10%	6 Month AUD BBSW	AUD	2,650,000		03/16/2032	Semi-Annually		—			62,556			62,556
2.15%	6 Month AUD BBSW	AUD	2,940,000		03/16/2032	Semi-Annually		—			60,279			60,279
2.43%	6 Month AUD BBSW	AUD	5,540,000		03/16/2032	Semi-Annually		—			11,967			11,967
6 Month AUD BBSW	2.52%	AUD	4,260,000		03/16/2032	Semi-Annually		—			15,927			15,927
6 Month AUD BBSW	2.52%	AUD	8,180,000		03/16/2032	Semi-Annually		—			30,582			30,582
6 Month AUD BBSW	2.53%	AUD	2,050,000		03/16/2032	Semi-Annually		—			8,658			8,658
6 Month AUD BBSW	2.54%	AUD	2,580,000		03/16/2032	Semi-Annually		—			12,981			12,981
6 Month AUD BBSW	1.97%	AUD	5,070,000		03/16/2032	Semi-Annually		—			(162,291	)		(162,291	)
6 Month AUD BBSW	2.07%	AUD	2,810,000		03/16/2032	Semi-Annually		—			(71,238	)		(71,238	)
6 Month AUD BBSW	1.99%	AUD	16,530,000		03/16/2032	Semi-Annually		(1,486	)		(504,014	)		(502,528	)
6 Month AUD BBSW	2.25%	AUD	2,750,000		03/16/2032	Semi-Annually		—			(38,606	)		(38,606	)
1.88%	3 Month CAD CDOR	CAD	4,320,000		03/16/2032	Semi-Annually		—			152,079			152,079
2.03%	3 Month CAD CDOR	CAD	3,720,000		03/16/2032	Semi-Annually		—			89,721			89,721
2.14%	3 Month CAD CDOR	CAD	3,160,000		03/16/2032	Semi-Annually		—			52,938			52,938
2.16%	3 Month CAD CDOR	CAD	3,010,000		03/16/2032	Semi-Annually		—			44,183			44,183
2.23%	3 Month CAD CDOR	CAD	2,800,000		03/16/2032	Semi-Annually		—			27,283			27,283

See accompanying notes to the financial statements. 51

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
2.23%	3 Month CAD CDOR	CAD	2,760,000		03/16/2032	Semi-Annually		—			26,696			26,696
3 Month CAD CDOR	2.39%	CAD	2,970,000		03/16/2032	Semi-Annually		—			3,345			3,345
2.34%	3 Month CAD CDOR	CAD	2,740,000		03/16/2032	Semi-Annually		—			6,222			6,222
3 Month CAD CDOR	2.42%	CAD	2,750,000		03/16/2032	Semi-Annually		—			9,587			9,587
3 Month CAD CDOR	2.12%	CAD	18,890,000		03/16/2032	Semi-Annually		23,171			(335,369	)		(358,540	)
3 Month CAD CDOR	2.12%	CAD	48,070,000		03/16/2032	Semi-Annually		12,086			(853,424	)		(865,510	)
3 Month CAD CDOR	2.33%	CAD	9,070,000		03/16/2032	Semi-Annually		—			(28,704	)		(28,704	)
3 Month CAD CDOR	2.37%	CAD	7,300,000		03/16/2032	Semi-Annually		—			(132	)		(132	)
3 Month CAD CDOR	2.35%	CAD	3,650,000		03/16/2032	Semi-Annually		—			(4,242	)		(4,242	)
3 Month CAD CDOR	2.28%	CAD	5,520,000		03/16/2032	Semi-Annually		—			(36,220	)		(36,220	)
3 Month CAD CDOR	2.32%	CAD	1,290,000		03/16/2032	Semi-Annually		—			(4,267	)		(4,267	)
3 Month CAD CDOR	2.32%	CAD	2,440,000		03/16/2032	Semi-Annually		—			(7,984	)		(7,984	)
2.39%	3 Month CAD CDOR	CAD	2,900,000		03/16/2032	Semi-Annually		—			(4,718	)		(4,718	)
2.42%	3 Month CAD CDOR	CAD	4,790,000		03/16/2032	Semi-Annually		—			(18,240	)		(18,240	)
2.44%	3 Month CAD CDOR	CAD	3,240,000		03/16/2032	Semi-Annually		—			(16,393	)		(16,393	)
2.44%	3 Month CAD CDOR	CAD	1,970,000		03/16/2032	Semi-Annually		—			(9,967	)		(9,967	)
2.39%	3 Month CAD CDOR	CAD	1,860,000		03/16/2032	Semi-Annually		(1,542	)		(2,361	)		(819	)
2.39%	3 Month CAD CDOR	CAD	3,200,000		03/16/2032	Semi-Annually		(1,629	)		(4,977	)		(3,348	)
CHF -  SARON - OIS - COMPOUND	0.51%	CHF	2,400,000		03/16/2032	Annually		—			1,165			1,165
CHF -  SARON - OIS - COMPOUND	0.56%	CHF	3,100,000		03/16/2032	Annually		—			17,212			17,212
CHF -  SARON - OIS - COMPOUND	0.51%	CHF	1,610,000		03/16/2032	Annually		—			1,396			1,396
CHF -  SARON - OIS - COMPOUND	0.51%	CHF	1,620,000		03/16/2032	Annually		—			875			875
CHF -  SARON - OIS - COMPOUND	0.52%	CHF	3,090,000		03/16/2032	Annually		—			3,689			3,689
CHF -  SARON - OIS - COMPOUND	0.55%	CHF	3,060,000		03/16/2032	Annually		—			14,490			14,490
CHF -  SARON - OIS - COMPOUND	0.52%	CHF	1,900,000		03/16/2032	Annually		—			3,821			3,821
CHF -  SARON - OIS - COMPOUND	0.05%	CHF	3,980,000		03/16/2032	Annually		—			(199,080	)		(199,080	)
CHF -  SARON - OIS - COMPOUND	(0.01)%	CHF	580,000		03/16/2032	Annually		1,509			(32,551	)		(34,060	)
CHF -  SARON - OIS - COMPOUND	0.20%	CHF	1,760,000		03/16/2032	Annually		—			(58,693	)		(58,693	)
CHF -  SARON - OIS - COMPOUND	0.22%	CHF	2,380,000		03/16/2032	Annually		—			(72,626	)		(72,626	)
CHF -  SARON - OIS - COMPOUND	0.23%	CHF	23,800,000		03/16/2032	Annually		23,955			(710,704	)		(734,659	)
CHF -  SARON - OIS - COMPOUND	0.32%	CHF	1,010,000		03/16/2032	Annually		—			(20,255	)		(20,255	)
0.53%	CHF - SARON - OIS - COMPOUND	CHF	1,310,000		03/16/2032	Annually		—			(3,562	)		(3,562	)
1.37%	GBP - SONIA - COMPOUND	GBP	51,340,000		03/16/2032	Annually		(147,435	)		223,377			370,812
1.35%	GBP - SONIA - COMPOUND	GBP	15,320,000		03/16/2032	Annually		(26,094	)		104,650			130,744
GBP - SONIA -  COMPOUND	1.43%	GBP	1,900,000		03/16/2032	Annually		—			5,163			5,163
GBP - SONIA -  COMPOUND	1.41%	GBP	1,350,000		03/16/2032	Annually		(3,519	)		1,157			4,676
1.35%	GBP - SONIA - COMPOUND	GBP	1,510,000		03/16/2032	Annually		—			10,689			10,689
GBP - SONIA -  COMPOUND	1.43%	GBP	3,840,000		03/16/2032	Annually		—			11,339			11,339
GBP - SONIA -  COMPOUND	1.45%	GBP	900,000		03/16/2032	Annually		1,819			5,012			3,193
GBP - SONIA -  COMPOUND	1.34%	GBP	2,220,000		03/16/2032	Annually		(3,138	)		(18,055	)		(14,917	)
GBP - SONIA -  COMPOUND	1.41%	GBP	1,410,000		03/16/2032	Annually		2,884			159			(2,725	)
1.46%	GBP - SONIA - COMPOUND	GBP	1,630,000		03/16/2032	Annually		(2,352	)		(11,907	)		(9,555	)
2.64%	3 Month NZD Bank Bill Rate	NZD	7,190,000		03/16/2032	Quarterly		2,279			168,138			165,859
2.69%	3 Month NZD Bank Bill Rate	NZD	9,010,000		03/16/2032	Quarterly		(2,071	)		182,110			184,181
3.02%	3 Month NZD Bank Bill Rate	NZD	1,750,000		03/16/2032	Quarterly		—			1,953			1,953
2.98%	3 Month NZD Bank Bill Rate	NZD	3,360,000		03/16/2032	Quarterly		—			11,646			11,646
3 Month NZD Bank Bill Rate	2.57%	NZD	2,610,000		03/16/2032	Quarterly		—			(71,156	)		(71,156	)
3 Month NZD Bank Bill Rate	2.82%	NZD	2,290,000		03/16/2032	Quarterly		(84	)		(28,793	)		(28,709	)
3 Month NZD Bank Bill Rate	2.78%	NZD	3,250,000		03/16/2032	Quarterly		—			(48,311	)		(48,311	)
3 Month NZD Bank Bill Rate	2.99%	NZD	3,620,000		03/16/2032	Quarterly		(3,193	)		(9,357	)		(6,164	)
3.05%	3 Month NZD Bank Bill Rate	NZD	1,660,000		03/16/2032	Quarterly		—			(1,367	)		(1,367	)
1.10%	3 Month SEK STIBOR	SEK	7,900,000		03/16/2032	Quarterly		(125	)		25,668			25,793
1.42%	3 Month SEK STIBOR	SEK	19,200,000		03/16/2032	Quarterly		—			879			879
1.40%	3 Month SEK STIBOR	SEK	15,600,000		03/16/2032	Quarterly		—			3,837			3,837
1.41%	3 Month SEK STIBOR	SEK	35,100,000		03/16/2032	Quarterly		—			4,417			4,417

52 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month SEK STIBOR	0.90%	SEK	119,950,000		03/16/2032		Quarterly		—			(632,275	)		(632,275	)
3 Month SEK STIBOR	0.84%	SEK	21,350,000		03/16/2032		Quarterly		5,291			(124,080	)		(129,371	)
3 Month SEK STIBOR	0.83%	SEK	15,300,000		03/16/2032		Quarterly		—			(90,757	)		(90,757	)
3 Month SEK STIBOR	0.85%	SEK	11,700,000		03/16/2032		Quarterly		—			(67,880	)		(67,880	)
3 Month SEK STIBOR	1.39%	SEK	233,870,000		03/16/2032		Quarterly		49,108			(92,641	)		(141,749	)
3 Month SEK STIBOR	1.38%	SEK	27,300,000		03/16/2032		Quarterly		—			(12,180	)		(12,180	)
3 Month SEK STIBOR	1.42%	SEK	19,100,000		03/16/2032		Quarterly		—			(109	)		(109	)
3 Month SEK STIBOR	1.39%	SEK	21,100,000		03/16/2032		Quarterly		—			(8,147	)		(8,147	)
1.45%	3 Month SEK STIBOR	SEK	32,600,000		03/16/2032		Quarterly		—			(8,951	)		(8,951	)
1.43%	3 Month SEK STIBOR	SEK	20,800,000		03/16/2032		Quarterly		—			(1,651	)		(1,651	)
1.44%	3 Month SEK STIBOR	SEK	22,720,000		03/16/2032		Quarterly		(236	)		(3,282	)		(3,046	)
1.57%	USD - SOFR - COMPOUND	USD	1,400,000		03/16/2032		Annually		(78	)		13,316			13,394
1.56%	USD - SOFR - COMPOUND	USD	3,510,000		03/16/2032		Annually		(1,534	)		35,343			36,877
1.58%	USD - SOFR - COMPOUND	USD	2,090,000		03/16/2032		Annually		(2,110	)		17,159			19,269
USD - SOFR -  COMPOUND	1.87%	USD	1,440,000		03/16/2032		Annually		4,447			26,463			22,016
USD - SOFR -  COMPOUND	1.70%	USD	3,840,000		03/16/2032		Annually		—			12,560			12,560
1.84%	USD - SOFR - COMPOUND	USD	1,730,000		03/16/2032		Annually		—			(27,370	)		(27,370	)
1.71%	USD - SOFR - COMPOUND	USD	960,000		03/16/2032		Annually		(475	)		(3,765	)		(3,290	)
1.70%	USD - SOFR - COMPOUND	USD	2,190,000		03/16/2032		Annually		(2,031	)		(6,858	)		(4,827	)
USD - SOFR -  COMPOUND	1.61%	USD	2,360,000		03/16/2032		Annually		814			(12,794	)		(13,608	)
1.75%	USD - SOFR - COMPOUND	USD	3,600,000		03/16/2032		Annually		—			(26,501	)		(26,501	)
1.76%	USD - SOFR - COMPOUND	USD	40,450,000		03/16/2032		Annually		(69,558	)		(344,768	)		(275,210	)
1.79%	USD - SOFR - COMPOUND	USD	2,410,000		03/16/2032		Annually		—			(26,814	)		(26,814	)
1.82%	USD - SOFR - COMPOUND	USD	1,930,000		03/16/2032		Annually		—			(26,587	)		(26,587	)
0.36%	6 Month EURIBOR	EUR	1,440,000		03/17/2032		Semi-Annually		143			69,614			69,471
0.39%	6 Month EURIBOR	EUR	1,710,000		03/17/2032		Semi-Annually		437			77,581			77,144
0.39%	6 Month EURIBOR	EUR	23,120,000		03/17/2032		Semi-Annually		(65,248	)		1,036,199			1,101,447
0.45%	6 Month EURIBOR	EUR	2,350,000		03/17/2032		Semi-Annually		—			90,698			90,698
0.42%	6 Month EURIBOR	EUR	1,970,000		03/17/2032		Semi-Annually		(1,705	)		81,782			83,487
0.49%	6 Month EURIBOR	EUR	1,730,000		03/17/2032		Semi-Annually		470			59,433			58,963
0.71%	6 Month EURIBOR	EUR	2,340,000		03/17/2032		Semi-Annually		3,465			22,990			19,525
0.76%	6 Month EURIBOR	EUR	1,610,000		03/17/2032		Semi-Annually		2,275			7,430			5,155
6 Month EURIBOR	0.81%	EUR	4,530,000		03/17/2032		Semi-Annually		—			6,040			6,040
6 Month EURIBOR	0.82%	EUR	1,830,000		03/17/2032		Semi-Annually		—			4,758			4,758
6 Month EURIBOR	0.83%	EUR	2,710,000		03/17/2032		Semi-Annually		—			10,926			10,926
6 Month EURIBOR	0.82%	EUR	2,710,000		03/17/2032		Semi-Annually		—			6,897			6,897
6 Month EURIBOR	0.81%	EUR	1,780,000		03/17/2032		Semi-Annually		—			2,765			2,765
6 Month EURIBOR	0.86%	EUR	3,330,000		03/17/2032		Semi-Annually		—			23,696			23,696
6 Month EURIBOR	0.86%	EUR	900,000		03/17/2032		Semi-Annually		17			6,256			6,239
6 Month EURIBOR	0.77%	EUR	3,480,000		03/17/2032		Semi-Annually		—			(11,651	)		(11,651	)
6 Month EURIBOR	0.76%	EUR	1,140,000		03/17/2032		Semi-Annually		—			(5,072	)		(5,072	)
0.77%	6 Month EURIBOR	EUR	1,180,000		03/17/2032		Semi-Annually		4,276			3,496			(780	)
0.81%	6 Month EURIBOR	EUR	1,650,000		03/17/2032		Semi-Annually		(183	)		(2,654	)		(2,471	)
								$	(196,397	)	$	(1,032,399	)	$	(836,002	)

See accompanying notes to the financial statements. 53

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.50%	GS	USD	3,224,746		05/24/2022		Monthly		—		(55,606	)		(55,606	)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.75%	GS	USD	534,480		05/24/2022		Monthly		—		27,526			27,526
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.75%	GS	USD	4,679,598		05/24/2022		Monthly		—		3,289			3,289
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1,332,289		05/24/2022		Monthly		—		(83,353	)		(83,353	)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.75%	GS	USD	732,635		05/24/2022		Monthly		—		(15,000	)		(15,000	)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	2		06/21/2022		Monthly		—		—			—
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	446,423		10/18/2022		Monthly		—		29,238			29,238
Total Return on Equity Basket (1)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	23,163,951		10/18/2022		Monthly		—		1,336,808			1,336,808
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 2.50%	MORD	USD	9,123,624		05/18/2023		Monthly		—		(284,478	)		(284,478	)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	2,752,252		11/20/2023		Monthly		—		89,567			89,567
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.50%	GS	USD	186,525		05/24/2024		Monthly		—		(5,049	)		(5,049	)
									$	—	$	1,042,942		$	1,042,942

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(c) Securities are traded on separate exchanges for the same entity.

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(e) Investment valued using significant unobservable inputs (Note 2).

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) Security is in default.

(h) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(i) The rate disclosed is the 7 day net yield as of February 28, 2022.

(j) The rate shown represents yield-to-maturity.

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

54 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

(l) The following table represents the individual short positions within the custom equity basket swap as of February 28, 2022:

Shares		Description	% of Equity Basket			Value ($)
	1,172,000	Alibaba Health Information Technology Ltd		3.8	%		820,671
	5,800,000	Alibaba Pictures Group Ltd		2.7	%		579,880
	3,759,000	China Molybdenum Co Ltd –Class H		10.4	%		2,262,552
	264,000	China Resources Beer Holdings Co Ltd		9.6	%		2,093,362
	329,500	Citic Securities Co Ltd – Class H		3.7	%		798,280
	366,500	Cosco Shipping Holdings Co –Class H		3.4	%		740,779
	34,000	Country Garden Services Holdings Co Ltd		0.9	%		203,386
	121,600	Ganfeng Lithium Co Ltd – Class H		9.4	%		2,063,819
	976,000	Greentown Service Group Co Ltd		4.5	%		980,414
	45,500	Hong Kong Exchanges and Clearing Ltd		10.1	%		2,204,778
	857,000	Kingdee International Software Group Co Lt		9.7	%		2,118,197
	215,000	New World Development Co Ltd		3.9	%		859,923
	910,800	Sands China Ltd		11.0	%		2,402,218
	18,750	Shandong Gold Mining Co Ltd – Class H		0.2	%		35,209
	969,000	Weimob Inc		2.9	%		640,852
	2,036,000	Zijin Mining Group Co Ltd –Class H		13.8	%		3,021,793
		TOTAL COMMON STOCKS				$	21,826,113

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 133.

See accompanying notes to the financial statements. 55

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Asset Allocation Fund returned -0.10% (net) for the fiscal year ended February 28, 2022, as compared with +4.16% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index (“ACWI”) and 35% Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index).

The Fund’s underweight in equities, compared to the benchmark, had a negative impact on performance, and this was exacerbated by the bias towards emerging markets and away from the U.S., as the S&P 500 Index returned 16.4% while the MSCI Emerging Markets index faltered to a -10.7% return. We believed that emerging markets were trading at very preferential valuations, but regulatory actions in China and the Russian invasion of Ukraine proved extremely challenging. The disappointing returns suffered by the equity book were exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia. The Fund’s exposure to alternative strategies detracted from relative performance, as they did not manage to keep up with the return generated by the Fund’s benchmark. The underweighting to fixed income was additive to performance as the asset class did relatively less well, with the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index) posting -2.6%, and this was complemented by modest outperformance within fixed income.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

56

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Global Asset Allocation Fund Class III Shares, the GMO Global Asset Allocation Index*, the MSCI ACWI and the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

* The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, R6 and I the gross expense ratio of 0.64%, 0.64% and 0.74%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.63%, 0.63% and 0.73% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

57

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		69.4	%
Debt Obligations		24.9
Short-Term Investments		11.8
Preferred Stocks		1.0
Investment Funds		0.6
Swap Contracts		0.3
Purchased Options		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.0	)^
Written/Credit Linked Options		(0.1	)
Forward Currency Contracts		(0.1	)
Securities Sold Short		(7.6	)
Other		(0.3	)
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		6.7	%
Switzerland		4.1
Canada		3.5
Sweden		3.5
Other Emerging		3.1	†
Australia		1.8
Euro Region		(0.6	)#
Other Developed		(0.9	)‡
United Kingdom		(8.1	)
		13.1	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		23.1	%
Japan		8.5
Other Developed		5.0	‡
Taiwan		4.3
United Kingdom		3.7
China		3.4
South Korea		2.5
Other Emerging		2.1	†
France		1.9
Germany		1.4
Mexico		1.3
Netherlands		1.3
Australia		1.2
Switzerland		1.2
Russia		1.1
India		1.0
		63.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/depreciation).

¤ The table 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. 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 table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^ Rounds to 0.0%.

58

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	7,190,498	GMO Alternative Allocation Fund, Class VI		130,004,197
	1,614,929	GMO Asset Allocation Bond Fund, Class VI		37,983,141
	850,562	GMO Emerging Country Debt Fund, Class VI		18,116,964
	1,660,975	GMO Emerging Markets ex-China Fund, Class VI		27,671,845
	2,313,131	GMO Emerging Markets Fund, Class VI		68,376,141
	4,664,345	GMO International Equity Fund, Class IV		107,093,353
	1,267,447	GMO-Usonian Japan Value Creation Fund, Class VI		24,981,389
	2,966,947	GMO Multi-Sector Fixed Income Fund, Class IV		56,164,303
	766,499	GMO Opportunistic Income Fund, Class VI		19,591,715
	784,621	GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		20,219,676
	437,222	GMO Quality Fund, Class VI		12,268,439
	4,543,941	GMO U.S. Equity Fund, Class VI		61,434,084
	1,981,985	GMO U.S. Small Cap Value Fund, Class VI		39,124,376
	375	GMO U.S. Treasury Fund		1,879
		TOTAL MUTUAL FUNDS (COST $672,082,054)		623,031,502
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	833,893	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		833,893
		TOTAL SHORT-TERM INVESTMENTS (COST $833,893)		833,893
		TOTAL INVESTMENTS — 100.0% (Cost $672,915,947)		623,865,395
		Other Assets and Liabilities (net) — 0.00%		115,351
		TOTAL NET ASSETS — 100.0%		$623,980,746

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 133.

See accompanying notes to the financial statements. 59

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Developed Equity Allocation Fund returned +6.80% (net) for the fiscal year ended February 28, 2022, as compared with +10.74% for the Fund’s benchmark, the MSCI World Index.

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. detracted from performance relative to the benchmark. We also believed that emerging markets were trading at very preferential valuations, and therefore held an “off-benchmark” position here. Unfortunately, regulatory actions in China and the Russian invasion of Ukraine proved extremely detrimental. Security selection in developed markets was strong. In developed ex-U.S., strong outperformance of the Value style provided a decent tailwind, although this was partly offset by being overweight to Japan, which was the laggard within developed equities. The performance challenge from being overweight emerging markets was exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

60

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III the gross expense ratio of 0.58% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Class listed above, the net expense ratio of 0.52% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

61

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.2	%
Short -Term Investments		2.7
Preferred Stocks		0.7
Investment Funds		0.1
Debt Obligations		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(1.7	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		40.7	%
Japan		14.9
United Kingdom		8.0
France		4.8
Taiwan		3.3
Germany		3.2
Switzerland		3.1
Netherlands		3.0
Other Developed		2.5	‡
Other Emerging		2.5	†
Spain		2.2
Singapore		1.8
Korea		1.8
Norway		1.8
Australia		1.6
Italy		1.4
China		1.2
Mexico		1.2
Hong Kong		1.0
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

62

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	312,062	GMO Emerging Markets ex-China Fund, Class VI		5,198,953
	78,556	GMO Emerging Markets Fund, Class VI		2,322,106
	1,542,279	GMO International Equity Fund, Class IV		35,410,730
	180,173	GMO-Usonian Japan Value Creation Fund, Class VI		3,551,214
	188,432	GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		4,855,891
	390,433	GMO Quality Fund, Class VI		10,955,561
	1,139,503	GMO U.S. Equity Fund, Class VI		15,406,078
	459,841	GMO U.S. Small Cap Value Fund, Class VI		9,077,255
		TOTAL MUTUAL FUNDS (COST $82,024,578)		86,777,788
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	49,828	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		49,828
		TOTAL SHORT-TERM INVESTMENTS (COST $49,828)		49,828
		TOTAL INVESTMENTS — 100.0% (Cost $82,074,406)		86,827,616
		Other Assets and Liabilities (net) — (0.0%)		(17,742	)
		TOTAL NET ASSETS — 100.0%		$86,809,874

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 133.

See accompanying notes to the financial statements. 63

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Equity Allocation Fund returned +2.49% (net) for the fiscal year ended February 28, 2022, as compared with +7.81% for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. and emerging markets detracted from performance relative to the benchmark. In particular, we believed that emerging markets were trading at very preferential valuations, but regulatory actions in China and the Russian invasion of Ukraine proved extremely detrimental. Security selection in developed markets was strong. In developed ex-U.S., strong outperformance of the Value style provided a decent tailwind, although this was partly offset by being overweight to Japan, which was the laggard within developed equities. The performance challenge from being overweight emerging markets was exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

64

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Global Equity Allocation Fund Class III Shares and the MSCI ACWI

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III, R6 and I the gross expense ratio of 0.57%, 0.57% and 0.67%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.56%, 0.56% and 0.66% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

65

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.2	%
Short -Term Investments		2.5
Preferred Stocks		1.4
Investment Funds		0.3
Debt Obligations		0.1
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(1.5	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		32.8	%
Japan		13.4
United Kingdom		7.3
Taiwan		6.7
China		4.8
France		4.3
Korea		3.8
Germany		2.8
Switzerland		2.7
Netherlands		2.5
Other Developed		2.3	‡
Mexico		1.9
Spain		1.9
Singapore		1.7
Other Emerging		1.7	†
Russia		1.6
Norway		1.5
India		1.5
Australia		1.3
Brazil		1.3
Italy		1.2
Hong Kong		1.0
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

66

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	6,593,568	GMO Emerging Markets ex-China Fund, Class VI		109,848,838
	7,926,051	GMO Emerging Markets Fund, Class VI		234,294,075
	24,320,669	GMO International Equity Fund, Class IV		558,402,561
	3,250,703	GMO-Usonian Japan Value Creation Fund, Class VI		64,071,354
	3,453,525	GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		88,997,330
	7,767,346	GMO Quality Fund, Class VI		217,951,740
	10,576,407	GMO U.S. Equity Fund, Class VI		142,993,024
	8,293,720	GMO U.S. Small Cap Value Fund, Class VI		163,718,031
		TOTAL MUTUAL FUNDS (COST $1,620,458,042)		1,580,276,953
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	608,775	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		608,775
		TOTAL SHORT-TERM INVESTMENTS (COST $608,775)		608,775
		TOTAL INVESTMENTS — 100.0% (Cost $1,621,066,817)		1,580,885,728
		Other Assets and Liabilities (net) — (0.0%)		(52,551	)
		TOTAL NET ASSETS — 100.0%		$1,580,833,177

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 133.

See accompanying notes to the financial statements. 67

GMO Implementation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Allocations among asset classes are made by the Asset Allocation team and specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

GMO Implementation Fund returned +2.02% (net) for the fiscal year ended February 28, 2022, as compared with +7.99% for the CPI.

This was a fairly lackluster 12 months for performance, both from an absolute perspective and a relative one. There was a tremendous spread in returns across risk assets with, for example, the S&P 500 Index returning 16.4% while the MSCI Emerging Market Index faltered to a -10.7% return. Our equity and equity long/short positions were biased towards emerging markets and away from the U.S. and therefore performed poorly. We believed that emerging markets were trading at very preferential valuations, but regulatory actions in China and the Russian invasion of Ukraine proved extremely challenging. The disappointing returns suffered by the equity book were exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia. Alternative assets enjoyed a strong year, driven by an excellent showing from the Equity Dislocation strategy, which is long cheap Value stocks and short expensive Growth stocks. Fixed Income assets also enjoyed a very solid 12 months, well ahead of the -2.6% posted by the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index), as the High Yield/Distressed portfolio delivered decent positive returns.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

68

GMO Implementation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Implementation Fund, the Consumer Price Index and the Bloomberg U.S. Treasury

Inflation Notes: 1-10 Year Index (formerly Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

The gross expense ratio of 0.22% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. The net expense ratio of 0.16% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		78.1	%
Debt Obligations		26.3
Short-Term Investments		11.6
Preferred Stocks		1.5
Futures Contracts		1.0
Investment Funds		0.6
Mutual Funds		0.3
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written Options		(0.0	)^
Swap Contracts		(0.1	)
Forward Currency Contracts		(0.1	)
Securities Sold Short		(22.9	)
Other		3.7
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Switzerland		4.9	%
Canada		4.1
Sweden		4.0
Australia		2.1
Euro Region		(0.6	)§
Other Developed		(1.0	)‡
United States		(3.3	)
United Kingdom		(9.4	)
		0.8	%

Country/Region Summary¤	Equity Investments % of Total Net Assets
Japan		9.3	%
United States		8.3
China		7.6
Other Developed		6.1	‡
Taiwan		4.9
South Korea		3.9
Other Emerging		3.2	†
United Kingdom		2.7
India		2.4
Brazil		2.2
Mexico		1.5
Australia		1.3
Canada		1.2
Russia		1.2
France		1.1
		56.9	%

Industry Group Summary	% of Equity Investments#
Banks		13.9	%
Materials		11.2
Capital Goods		9.4
Technology Hardware & Equipment		8.7
Consumer Durables & Apparel		6.4
Food, Beverage & Tobacco		6.0
Energy		5.8
Automobiles & Components		5.1
Insurance		5.1
Pharmaceuticals, Biotechnology & Life Sciences		4.5
Diversified Financials		4.4
Semiconductors & Semiconductor Equipment		4.1
Telecommunication Services		3.9
Real Estate		3.2
Media & Entertainment		2.7
Retailing		2.4
Commercial & Professional Services		1.4
Health Care Equipment & Services		1.4
Food & Staples Retailing		1.2
Utilities		1.1
Household & Personal Products		0.5
Software & Services		0.3
Consumer Services		(1.3	)
Transportation		(1.4	)
		100.0	%

(a) GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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 table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

70

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 78.1%
		Argentina — 0.0%
	18,036	Banco BBVA Argentina SA ADR *		58,256
		Australia — 1.3%
	40,966	Abacus Property Group (REIT)		105,218
	97,638	Accent Group Ltd (a)		133,037
	120,256	Adairs Ltd (a)		251,214
	253,221	Aurizon Holdings Ltd (b)		645,944
	94,352	Australian Pharmaceutical Industries Ltd (b)		104,978
	223,636	Beach Energy Ltd (a)		249,103
	780,271	BlueScope Steel Ltd		11,554,139
	361,511	Brambles Ltd		2,603,863
	566,766	Dexus (REIT)		4,486,509
	669,793	Fortescue Metals Group Ltd		8,923,208
	82,845	GDI Property Group (REIT)		63,195
	328,387	Genworth Mortgage Insurance Australia Ltd		716,333
	1,151,688	GPT Group (The) (REIT)		4,109,310
	146,147	GrainCorp Ltd – Class A		893,886
	107,307	HomeCo Daily Needs (REIT)		119,441
	6,109	JB Hi-Fi Ltd (b)		219,739
	34,357	McMillan Shakespeare Ltd		300,295
	339,847	Metcash Ltd (a)		1,019,716
	40,784	Mineral Resources Ltd		1,360,005
	1,994,768	Mirvac Group (REIT)		3,720,071
	233,134	Mount Gibson Iron Ltd		89,416
	157,263	Rio Tinto Ltd (b)		13,561,890
	160,116	Sandfire Resources Ltd		789,362
	1,499,927	Scentre Group (REIT)		3,332,240
	54,595	Southern Cross Media Group Ltd		70,350
	1,137,783	Stockland (REIT)		3,442,810
	25,651	Super Retail Group Ltd		206,153
	33,424	Virtus Health Ltd (a)		181,360
		Total Australia		63,252,785
		Austria — 0.0%
	5,487	Raiffeisen Bank International AG		89,410
		Belgium — 0.4%
	5,597	Ackermans & van Haaren NV		1,044,820
	134,831	Ageas SA/NV		6,486,201
	15,143	AGFA-Gevaert NV * (b)		61,399
	27,049	Bekaert SA		1,176,860
	2,117	Cie d’Entreprises CFE		281,384
	5,403	D’ieteren Group (b)		872,826
	17,028	KBC Group NV		1,226,815
	5,551	Orange Belgium SA		121,191
	15,954	Proximus SADP		317,170

Shares		Description	Value ($)
		Belgium — continued
	4,408	Sofina SA		1,711,871
	64,774	UCB SA		7,069,222
	471	VGP NV		120,268
		Total Belgium		20,490,027
		Brazil — 1.4%
	90,000	Ambev SA		264,129
	59,400	Ambev SA ADR		174,042
	526,700	Banco Bradesco SA		1,727,497
	275,700	Banco do Brasil SA		1,864,029
	299,700	Blau Farmaceutica SA		1,728,499
	2,800	Cia de Saneamento Basico do Estado de Sao Paulo		22,468
	165,800	Cia Siderurgica Nacional SA		816,023
	28,100	Equatorial Energia SA		138,963
	172,800	JBS SA		1,210,429
	1,364,200	Marfrig Global Foods SA		5,904,730
	48,600	Petroleo Brasileiro SA		345,566
	552,500	Petroleo Brasileiro SA Sponsored ADR (b)		7,895,225
	136,200	Ser Educacional SA		292,223
	1,026,700	Telefonica Brasil SA		10,068,491
	3,588,500	TIM SA		9,518,452
	141,400	Transmissora Alianca de Energia Eletrica SA		1,083,552
	130,519	Vale SA		2,421,607
	534,100	Vale SA Sponsored ADR – Class B (b)		9,875,509
	1,178,700	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		2,507,750
	1,681,300	Vibra Energia SA		7,658,181
		Total Brazil		65,517,365
		Canada — 1.9%
	44,600	Bank of Montreal		5,092,669
	21,400	Baytex Energy Corp *		97,756
	1,336,333	Bombardier Inc – Class B * (a)		1,665,804
	165,310	Brookfield Asset Management Inc – Class A (b)		9,032,538
	98,100	Canaccord Genuity Group Inc		999,188
	92,500	Canadian Apartment Properties (REIT)		3,850,335
	40,800	Canadian Tire Corp Ltd – Class A (b)		6,015,224
	21,300	Canadian Western Bank		623,624
	78,800	Canfor Corp *		1,783,647
	8,200	Canfor Pulp Products Inc * (a)		37,005
	39,700	Celestica Inc * (c)		472,033
	118,000	Celestica Inc * (c)		1,402,966
	18,300	Cenovus Energy Inc		287,310
	9,800	Cogeco Inc		606,479
	109,300	Corus Entertainment Inc – Class B		438,062
	12,000	DREAM Unlimited Corp – Class A		445,444
	5,700	Enerplus Corp		72,852

See accompanying notes to the financial statements. 71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Canada — continued
	45,500	Finning International Inc		1,323,897
	27,000	iA Financial Corp Inc		1,604,237
	31,200	Imperial Oil Ltd (c)		1,400,369
	30,700	Imperial Oil Ltd (c)		1,376,588
	41,700	Interfor Corp		1,270,246
	3,700	Laurentian Bank of Canada (a)		124,267
	26,300	Linamar Corp		1,373,410
	65,200	Magna International Inc		4,844,090
	5,400	Morguard North American Residential Real Estate Investment Trust (REIT)		81,117
	117,357	Nutrien Ltd (b)		10,091,528
	14,200	Onex Corp		953,613
	53,900	Parex Resources Inc		1,188,564
	171,000	Power Corp of Canada (a)		5,273,680
	60,200	PrairieSky Royalty Ltd (a)		814,065
	81,700	Quebecor Inc – Class B		1,786,765
	66,800	RioCan Real Estate Investment Trust (REIT)		1,323,879
	8,800	Russel Metals Inc (a)		218,004
	346,330	Shaw Communications Inc – Class B (b)		10,385,801
	19,700	Tamarack Valley Energy Ltd		80,199
	36,300	Teck Resources Ltd – Class B (c)		1,307,086
	69,800	Teck Resources Ltd – Class B (c)		2,509,310
	29,800	Topaz Energy Corp		466,925
	1,500	Tourmaline Oil Corp (a)		59,172
	11,800	Transat AT Inc – Class B * (a)		45,338
	720	Transcontinental Inc – Class A (a)		11,617
	11,900	Wajax Corp		221,101
	58,400	West Fraser Timber Co Ltd		5,829,403
	3,100	Westshore Terminals Investment Corp (a) (b)		72,664
		Total Canada		88,959,871
		Chile — 0.1%
	49,497	Aguas Andinas SA – Class A		10,440
	1,391,419	Banco de Chile		147,521
	2,992,951	Banco Santander Chile		146,965
	16,900	Banco Santander Chile ADR		329,888
	6,734	CAP SA		77,948
	43,448	Cencosud SA		79,882
	107,776	Cencosud Shopping SA		115,657
	22,600	Cia Cervecerias Unidas SA Sponsored ADR		361,148
	10,286,240	Colbun SA		750,011
	6,759	Empresas COPEC SA		52,413
	873,397	Enel Americas SA		102,267
	521,373	Falabella SA		1,716,611
	62,938	Inversiones La Construccion SA		252,070
		Total Chile		4,142,821

Shares		Description	Value ($)
		China — 7.8%
	3,033,720	361 Degrees International Ltd *		1,491,463
	270,000	7Road Holdings Ltd *		84,621
	128,750	A-Living Smart City Services Co Ltd		230,787
	866,000	Agile Group Holdings Ltd (a)		394,569
	46,170,280	Agricultural Bank of China Ltd – Class H		17,485,565
	291,832	Alibaba Group Holding Ltd *		3,841,640
	278,000	Angang Steel Co Ltd – Class H		138,246
	500	Anhui Conch Cement Co Ltd – Class H		2,683
	55,920	ANTA Sports Products Ltd		854,077
	52,190	Autohome Inc ADR		1,596,492
	39,960	Autohome Inc – Class A *		295,064
	7,093,000	BAIC Motor Corp Ltd – Class H		2,478,112
	2,590,096	Bank of China Ltd – Class A		1,273,171
	43,883,720	Bank of China Ltd – Class H		17,084,006
	17,811,416	Bank of Communications Co Ltd – Class H		12,210,247
	435,000	Beijing Enterprises Holdings Ltd		1,487,048
	385,220	BYD Electronic International Co Ltd��(a)		1,087,018
	369,000	China Aoyuan Group Ltd (a)		61,507
	1,210,000	China BlueChemical Ltd – Class H		362,311
	11,555,000	China Cinda Asset Management Co Ltd – Class H		2,085,834
	7,901,893	China Communications Services Corp Ltd – Class H		4,335,145
	10,353,513	China Construction Bank Corp – Class H		7,764,768
	1,151,000	China Datang Corp Renewable Power Co Ltd – Class H (a)		436,168
	2,419,480	China Dongxiang Group Co Ltd		182,588
	11,684,000	China Energy Engineering Corp Ltd – Class H (a)		1,915,039
	603,000	China Everbright Bank Co Ltd – Class H		224,260
	1,664,000	China Everbright Environment Group Ltd		1,194,711
	3,189,200	China Feihe Ltd		3,805,543
	3,659,000	China Greenfresh Group Co Ltd * (d)		—
	231,000	China High Speed Transmission Equipment Group Co Ltd – Class H *		175,256
	4,731,000	China Hongqiao Group Ltd		6,623,439
	2,096,480	China Lesso Group Holdings Ltd		3,227,708
	410,000	China Lilang Ltd		227,759
	865,600	China Longyuan Power Group Corp Ltd – Class H		1,786,243
	2,804,925	China Medical System Holdings Ltd		4,994,599
	685,713	China Merchants Bank Co Ltd – Class A		5,425,311
	74,000	China Merchants Port Holdings Co Ltd		139,519
	1,028,600	China Molybdenum Co Ltd – Class A		987,629
	30,000	China Molybdenum Co Ltd – Class H		18,057
	4,394,000	China National Building Material Co Ltd – Class H		5,636,747
	355,520	China Oriental Group Co Ltd		103,342
	1,923,000	China Overseas Grand Oceans Group Ltd		1,109,368

72 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		China — continued
	3,207,000	China Overseas Land & Investment Ltd		9,791,506
	81,840	China Pacific Insurance Group Co Ltd – Class A		344,503
	232,728	China Pacific Insurance Group Co Ltd – Class H		648,049
	30,784,000	China Petroleum & Chemical Corp – Class H		15,314,632
	18,763,000	China Railway Group Ltd – Class H		11,016,805
	629,000	China Railway Signal & Communication Corp Ltd – Class H (a)		229,224
	4,560,320	China Reinsurance Group Corp – Class H		438,296
	84,160	China Resources Gas Group Ltd		386,546
	492,640	China Resources Land Ltd		2,396,348
	4,952,000	China Resources Pharmaceutical Group Ltd		2,449,284
	80,000	China Risun Group Ltd		49,834
	510,000	China Shineway Pharmaceutical Group Ltd		417,295
	2,586,000	China South City Holdings Ltd		215,871
	1,532,000	China State Construction International Holdings Ltd		2,157,541
	5,902,000	China Traditional Chinese Medicine Holdings Co Ltd		3,364,492
	129,000	China Yongda Automobiles Services Holdings Ltd		150,505
	14,600	China Yuchai International Ltd		180,603
	4,237,600	China Zhongwang Holdings Ltd * (a) (e)		911,008
	60,000	CIFI Ever Sunshine Services Group Ltd		109,114
	11,267,000	CITIC Ltd		13,147,735
	2,865,000	Country Garden Holdings Co Ltd ADR (a)		2,225,909
	112,000	Country Garden Services Holdings Co Ltd		669,979
	9,126,000	CSPC Pharmaceutical Group Ltd		10,817,620
	10,022,000	Dongfeng Motor Group Co Ltd – Class H		8,626,198
	98,000	Dongyue Group Ltd (a)		142,172
	114,060	ENN Energy Holdings Ltd		1,651,862
	1,014,534	Fangda Special Steel Technology Co Ltd – Class A		1,325,326
	2,615,500	Fosun International Ltd		2,837,827
	58,100	Fuyao Glass Industry Group Co Ltd – Class A		408,144
	32,000	Fuyao Glass Industry Group Co Ltd – Class H		156,995
	13,000	Geely Automobile Holdings Ltd		24,214
	142,040	Greenland Hong Kong Holdings Ltd		24,315
	264,080	Guangdong Investment Ltd		355,371
	578,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,544,914
	4,548,800	Guangzhou R&F Properties Co Ltd – Class H (a)		1,936,425
	76,600	Haier Smart Home Co Ltd – Class H		268,413
	553,300	Hello Group Inc Sponsored ADR		5,272,949

Shares		Description	Value ($)
		China — continued
	941,244	Hisense Home Appliances Group Co Ltd – Class A		2,031,253
	425,000	Hisense Home Appliances Group Co Ltd – Class H		476,994
	8,964	Hollysys Automation Technologies Ltd *		126,213
	640,210	Hopson Development Holdings Ltd		1,317,906
	88	Industrial & Commercial Bank of China Ltd – Class A		65
	4,070,696	Industrial & Commercial Bank of China Ltd – Class H		2,430,023
	877,793	Inner Mongolia Eerduosi Resources Co Ltd – Class A		3,629,119
	10,792	JD.com Inc – Class A *		385,484
	66,500	KE Holdings Inc ADR *		1,290,765
	910,000	Kingboard Holdings Ltd		4,257,115
	55,260	Kingboard Laminates Holdings Ltd		92,082
	316,000	Kunlun Energy Co Ltd		310,844
	87,000	KWG Living Group Holdings Ltd		36,040
	1,007,100	Legend Holdings Corp – Class H		1,416,780
	10,578,000	Lenovo Group Ltd		11,779,332
	326,400	Livzon Pharmaceutical Group Inc – Class H		1,225,101
	50,880	Logan Group Co Ltd (a)		16,906
	2,658,640	Lonking Holdings Ltd		708,596
	62,392	Lufax Holding Ltd ADR *		403,676
	13,831,000	Metallurgical Corp of China Ltd – Class H		4,206,779
	348,000	MMG Ltd *		126,056
	55,000	NetDragon Websoft Holdings Ltd.		123,335
	15,668	NetEase Inc		303,046
	10,132	NetEase Inc ADR (b)		965,985
	28,000	Newborn Town Inc *		15,795
	2,894,000	Nexteer Automotive Group Ltd		2,898,570
	87,000	PetroChina Co Ltd ADR		4,633,620
	10,374,000	PetroChina Co Ltd – Class H		5,556,580
	12,087,720	PICC Property & Casualty Co Ltd – Class H		12,759,632
	1,624,000	Ping An Insurance Group Co of China Ltd – Class H		12,591,948
	754,000	Poly Property Group Co Ltd		204,674
	2,789,729	Postal Savings Bank of China Co Ltd – Class A		2,473,577
	2,584,000	Powerlong Real Estate Holdings Ltd		1,238,563
	17,000	Q Technology Group Co Ltd		16,054
	265,000	Road King Infrastructure Ltd		252,131
	514,000	Seazen Group Ltd *		271,215
	372,000	Shanghai Jin Jiang Capital Co Ltd – Class H		141,518
	2,089,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		3,772,402
	3,118,000	Shimao Group Holdings Ltd (a)		1,871,105
	7,089,000	Sihuan Pharmaceutical Holdings Group Ltd (a)		1,520,083

See accompanying notes to the financial statements. 73

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		China — continued
	1,787,500	Sino-Ocean Land Holdings Ltd		384,486
	2,223,540	Sinopec Engineering Group Co Ltd – Class H		1,063,710
	4,328,800	Sinopharm Group Co Ltd – Class H		10,493,804
	2,446,440	Sinotruk Hong Kong Ltd		3,651,720
	10,646,000	Skyworth Group Ltd *		6,014,218
	2,918,000	Sunac China Holdings Ltd (a)		2,385,171
	35,000	Sunac Services Holdings Ltd		29,913
	100,872	Sunny Optical Technology Group Co Ltd		2,417,292
	3,093,000	TCL Electronics Holdings Ltd		1,449,961
	196,137	Tencent Holdings Ltd		10,583,810
	15,092	Tencent Holdings Ltd ADR (b)		811,799
	161,400	Tencent Music Entertainment Group ADR *		869,946
	914,000	Tianjin Port Development Holdings Ltd		73,644
	221,000	Tianli Education International Holdings Ltd (e)		54,016
	3,038,000	Tianneng Power International Ltd (a)		2,787,022
	560,700	Vipshop Holdings Ltd ADR * (b)		4,861,269
	1,032,000	West China Cement Ltd		177,167
	47,500	Xiabuxiabu Catering Management China Holdings Co Ltd *		29,890
	10,000	Yihai International Holding Ltd * (a)		41,841
	7,717,484	Yuzhou Group Holdings Co Ltd (a)		613,158
	366,750	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		750,804
	220,000	Zhenro Properties Group Ltd		18,941
	812,680	Zhongsheng Group Holdings Ltd		5,674,882
	29,500	Zhou Hei Ya International Holdings Co Ltd * (a)		19,709
	182,300	Zhuzhou CRRC Times Electric Co Ltd – Class H		950,243
	1,525,600	Zijin Mining Group Co Ltd – Class A		2,732,790
	277,400	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		184,528
		Total China		363,868,180
		Czech Republic — 0.0%
	278,754	Moneta Money Bank AS		1,103,152
	861	Philip Morris CR AS		622,920
		Total Czech Republic		1,726,072
		Denmark — 0.5%
	733	AP Moller – Maersk A/S – Class A (b)		2,197,877
	1,848	AP Moller – Maersk A/S – Class B (b)		5,846,169
	7,774	Carlsberg A/S – Class B		1,140,054
	416,295	Danske Bank A/S		7,051,210
	17,339	Matas A/S		253,038
	55,800	Pandora A/S		5,713,769
	58,408	Scandinavian Tobacco Group A/S		1,317,119
		Total Denmark		23,519,236

Shares		Description	Value ($)
		Egypt — 0.0%
	217,739	Commercial International Bank Egypt SAE *		663,193
	872,223	Eastern Co SAE		603,015
	56,312	Medinet Nasr Housing		6,924
	32,198	Misr Fertilizers Production Co SAE		182,162
		Total Egypt		1,455,294
		Finland — 0.3%
	50,239	Kesko Oyj – B Shares		1,478,519
	126,248	Neste Oyj		4,922,993
	1,274,638	Nokia Oyj *		6,892,399
	188,767	Outokumpu Oyj *		1,112,707
	5,821	Sanoma Oyj		84,876
		Total Finland		14,491,494
		France — 1.8%
	46,270	ALD SA (b)		645,862
	331	Alten SA (b)		49,974
	40,113	APERAM SA		2,246,014
	207,935	ArcelorMittal SA		6,451,937
	546	Arkema SA		72,409
	1,788	Axway Software SA		37,157
	203,567	BNP Paribas SA		11,811,878
	1,836	Boiron SA		85,632
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France		19,766
	468	Christian Dior SE (b)		331,420
	89,776	Cie de Saint-Gobain		5,566,568
	54,256	Coface SA		721,697
	120,410	Derichebourg SA		1,251,012
	3,572	Eramet SA *		468,044
	820	Groupe Crit (a)		56,691
	989	HEXAOM (a)		37,426
	26,893	Ipsen SA		3,129,259
	33,240	IPSOS		1,584,143
	8,995	Kering SA (b)		6,239,233
	11,472	LVMH Moet Hennessy Louis Vuitton SE (b)		8,430,830
	1,885	Mersen SA		69,706
	66,711	Metropole Television SA		1,322,281
	6,572	Nexity SA		259,054
	117,253	Publicis Groupe SA		7,781,579
	41,751	Quadient SA		763,322
	2,190	Rothschild & Co		85,016
	86,083	Safran SA (b)		10,945,207
	8,058	Sanofi (b)		842,323
	7,292	Schneider Electric SE (b)		1,129,794
	15,342	Societe BIC SA		809,551
	273,045	Societe Generale SA		7,721,039
	4,200	STMicroelectronics NV – NY Shares		177,744

74 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		France — continued
	1,769	Synergie SE		69,212
	155,310	Television Francaise 1		1,533,119
	2,003	TotalEnergies SE (b)		102,868
		Total France		82,848,767
		Germany — 1.3%
	21,598	ADVA Optical Networking SE *		365,673
	279	Amadeus Fire AG		45,004
	115,376	Bayer AG (Registered)		6,664,460
	49,356	Bayerische Motoren Werke AG		4,753,337
	57,385	Beiersdorf AG		5,817,002
	933	Cewe Stiftung & Co KGaA		105,930
	1,257	Covestro AG		66,477
	44,360	Deutsche Pfandbriefbank AG		481,027
	2,151	Draegerwerk AG & Co KGaA		112,858
	2,771	Elmos Semiconductor SE		178,472
	92,249	Fresenius SE & Co KGaA (b)		3,218,773
	4,837	Hamburger Hafen und Logistik AG (b)		95,840
	83,943	HeidelbergCement AG		5,446,802
	5,792	Hornbach Holding AG & Co KGaA		758,667
	1,035	HUGO BOSS AG		63,158
	173,307	Kloeckner & Co SE *		2,344,556
	155,245	Mercedes-Benz Group AG (b)		12,127,658
	21,143	Merck KGaA (b)		4,193,661
	5,191	RTL Group SA		289,252
	35,636	Salzgitter AG *		1,556,639
	27,841	SAP SE (b)		3,140,576
	70,928	Siltronic AG		8,060,667
	7,018	Traton SE		143,338
	8,752	Volkswagen AG		2,263,611
	813	Wuestenrot & Wuerttembergische AG		16,078
		Total Germany		62,309,516
		Greece — 0.0%
	47,176	Hellenic Telecommunications Organization SA		943,613
	18,868	JUMBO SA		271,081
		Total Greece		1,214,694
		Hong Kong — 0.8%
	201,000	ASM Pacific Technology Ltd		2,205,174
	123,200	Bank of East Asia Ltd (The)		207,671
	102,388	Budweiser Brewing Co APAC Ltd		317,809
	173,000	Chow Sang Sang Holdings International Ltd		242,810
	1,193,000	CITIC Telecom International Holdings Ltd		424,595
	37,500	CK Asset Holdings Ltd (b)		236,852
	1,120,500	CK Hutchison Holdings Ltd		7,855,896
	1,170,000	CSI Properties Ltd		30,900

Shares		Description	Value ($)
		Hong Kong — continued
	274,400	Dah Sing Banking Group Ltd		248,439
	88,000	Dah Sing Financial Holdings Ltd		284,978
	3,132,000	First Pacific Co Ltd		1,226,107
	616,523	Galaxy Entertainment Group Ltd *		3,438,491
	528,000	Giordano International Ltd		106,829
	332,500	HK Electric Investments & HK Electric Investments Ltd (b)		328,063
	800,000	HKT Trust & HKT Ltd		1,079,481
	517,000	IGG Inc		309,638
	243,500	Johnson Electric Holdings Ltd		405,459
	62,500	JS Global Lifestyle Co Ltd		72,085
	443,000	K Wah International Holdings Ltd		168,139
	148,000	Kerry Logistics Network Ltd		359,090
	838,000	Kerry Properties Ltd		2,296,276
	65,000	Luk Fook Holdings International Ltd		172,687
	6,500	Orient Overseas International Ltd.(b)		183,881
	921,000	Pacific Textiles Holdings Ltd		446,825
	1,222,000	PAX Global Technology Ltd		911,980
	2,724,000	PCCW Ltd		1,523,927
	369,000	Power Assets Holdings Ltd (b)		2,325,632
	142,000	Regal Real Estate Investment Trust (REIT)		26,383
	700,000	Shun Tak Holdings Ltd *		178,889
	350,000	Singamas Container Holdings Ltd		48,983
	54,000	SITC International Holdings Co Ltd		222,650
	139,500	SmarTone Telecommunications Holdings Ltd		79,573
	246,000	Sun Hung Kai & Co Ltd		124,890
	24,000	Sun Hung Kai Properties Ltd (b)		279,019
	139,500	Swire Pacific Ltd – Class A		770,907
	40,000	TAI Cheung Holdings Ltd		25,421
	137,500	Texhong Textile Group Ltd		171,120
	414,000	VPower Group International Holdings Ltd – Class H		61,764
	632,000	VSTECS Holdings Ltd		649,760
	197,500	VTech Holdings Ltd		1,623,682
	5,828,000	WH Group Ltd		4,070,133
	844,920	Xinyi Glass Holdings Ltd		2,250,648
	484,500	Yue Yuen Industrial Holdings Ltd *		818,741
		Total Hong Kong		38,812,277
		Hungary — 0.0%
	17,265	MOL Hungarian Oil & Gas Plc		134,672
	14,831	OTP Bank Nyrt Plc *		565,939
		Total Hungary		700,611
		India — 2.5%
	10	Amara Raja Batteries Ltd		75
	16,032	Ambuja Cements Ltd		67,448
	83,788	Apollo Tyres Ltd		206,682
	491,260	Arvind Ltd *		776,288

See accompanying notes to the financial statements. 75

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		India — continued
	57,385	Asian Paints Ltd		2,423,130
	10	Astral Ltd		259
	2	AU Small Finance Bank Ltd *		32
	166,314	Axis Bank Ltd *		1,648,470
	15,336	Bajaj Consumer Care Ltd		33,231
	55,845	Balrampur Chini Mills Ltd		295,537
	49,336	Bharat Electronics Ltd		138,549
	17,075	Bharat Petroleum Corp Ltd		79,577
	206,177	Brightcom Group Ltd		334,032
	2,576	Chambal Fertilizers and Chemicals Ltd		12,940
	7,165	Clean Science & Technology Ltd *		176,471
	512,404	Coal India Ltd		1,156,584
	861	Colgate-Palmolive India Ltd		16,479
	8,572	Coromandel International Ltd		88,076
	10,516	Cummins India Ltd		134,437
	3	Cyient Ltd		33
	151,712	Dhampur Sugar Mills Ltd		760,322
	82	Dr Lal PathLabs Ltd		2,757
	7,859	Emami Ltd		51,649
	26,184	Engineers India Ltd		21,585
	12	Exide Industries Ltd		24
	1,507	Finolex Cables Ltd		8,350
	7,780	Finolex Industries Ltd		15,902
	774,482	GAIL India Ltd		1,497,027
	77,288	Glenmark Pharmaceuticals Ltd		461,944
	7,304	Grasim Industries Ltd		156,018
	18	Gujarat Gas Ltd		141
	49,605	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		364,514
	232,599	Gujarat State Fertilizers & Chemicals Ltd		389,338
	28,921	Gujarat State Petronet Ltd		111,057
	508,344	HCL Technologies Ltd		7,637,641
	77,139	HDFC Bank Ltd		1,466,929
	18,600	HDFC Bank Ltd ADR		1,156,362
	136,720	Hindalco Industries Ltd		1,047,780
	30,974	Hindustan Aeronautics Ltd		570,244
	282,141	Hindustan Petroleum Corp Ltd		1,026,382
	53,452	Hindustan Unilever Ltd		1,548,197
	57,558	Hindustan Zinc Ltd		239,653
	70,971	Housing Development Finance Corp Ltd		2,240,581
	254,908	ICICI Bank Ltd		2,521,396
	9,500	ICICI Bank Ltd Sponsored ADR		184,965
	1,058,648	Indiabulls Housing Finance Ltd		2,127,033
	258,924	Indiabulls Real Estate Ltd *		374,285
	252,480	Indian Oil Corp Ltd		387,698
	97,373	Indus Towers Ltd *		280,650
	34	Infosys Ltd		776
	177,600	Infosys Ltd Sponsored ADR (b)		3,988,896
	5,033,895	ITC Ltd		14,497,983
	239,470	Jai Balaji Industries Ltd *		146,434

Shares		Description	Value ($)
		India — continued
	5,418	Jindal Stainless Hisar Ltd *		25,631
	985,774	Karnataka Bank Ltd (The)		792,141
	16	KEI Industries Ltd		211
	3	KNR Constructions Ltd		12
	5	L&T Technology Services Ltd		302
	26,111	Mahanagar Gas Ltd		252,854
	252,265	Mahindra & Mahindra Ltd		2,663,918
	19,623	Manappuram Finance Ltd		30,082
	36,830	Marico Ltd		249,839
	42,620	Mindtree Ltd		2,206,916
	285,269	National Aluminium Co Ltd		462,730
	72,851	NBCC India Ltd		38,001
	186,690	NCC Ltd		157,162
	236,794	NHPC Ltd		86,213
	932,331	NMDC Ltd		1,784,982
	1,251,300	NTPC Ltd		2,228,314
	10,240	Oberoi Realty Ltd *		124,518
	7,103,937	Oil & Natural Gas Corp Ltd		15,276,396
	1,223	Oracle Financial Services Software Ltd		55,408
	2	Persistent Systems Ltd		105
	99,387	Petronet LNG Ltd		285,722
	2	PI Industries Ltd		66
	5,207	PNC Infratech Ltd		18,387
	6	Polycab India Ltd		189
	438	Polyplex Corp Ltd		10,625
	3,251,091	Power Finance Corp Ltd		4,769,573
	557,329	Power Grid Corp of India Ltd		1,545,584
	27,090	Prestige Estates Projects Ltd		163,906
	225,121	PTC India Ltd		255,110
	132,791	Rajesh Exports Ltd		1,246,186
	4,384,966	REC Ltd		7,151,680
	473,241	Redington India Ltd		964,602
	2	Reliance Industries Ltd		63
	10	SKF India Ltd		477
	8,836	Sobha Ltd		90,835
	86,897	Steel Authority of India Ltd		112,203
	453,396	Sun Pharmaceutical Industries Ltd		5,095,001
	19,478	Sun TV Network Ltd		116,684
	1,272	Supreme Industries Ltd		34,607
	63,106	Tata Consultancy Services Ltd		2,986,034
	156,774	Tata Motors Ltd – Class A *		456,592
	251,828	Tata Steel Ltd		4,113,736
	63,688	Titan Co Ltd		2,171,286
	3,509	Triveni Engineering & Industries Ltd		11,629
	465,570	TV18 Broadcast Ltd *		377,369
	3	United Spirits Ltd *		36
	21,882	UPL Ltd		194,520
	22,191	Vardhman Textiles Ltd		760,386
	80,745	Welspun Corp Ltd		155,013
	466,587	Wipro Ltd		3,453,396

76 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		India — continued
	21	Zensar Technologies Ltd		99
		Total India		115,850,174
		Indonesia — 0.5%
	2,181,300	Adaro Energy Tbk PT		373,725
	216,600	AKR Corporindo Tbk PT		11,458
	16,422,400	Bank Central Asia Tbk PT		9,271,524
	4,838,200	Bank Mandiri Persero Tbk PT		2,615,730
	1,454,781	Bank Negara Indonesia Persero Tbk PT		815,133
	3,202,200	Bank Pembangunan Daerah Jawa Timur Tbk PT		171,710
	17,494,300	Bank Rakyat Indonesia Persero Tbk PT		5,593,980
	625,900	Bukit Asam Tbk PT		137,501
	81,100	Indika Energy Tbk PT *		12,650
	634,600	Indo Tambangraya Megah Tbk PT		1,180,272
	2,757,100	Media Nusantara Citra Tbk PT		167,828
	45,688,800	Panin Financial Tbk PT *		537,707
	44,700	Ramayana Lestari Sentosa Tbk PT *		1,966
	3,082,868	Telkom Indonesia Persero Tbk PT		930,758
	333,500	Timah Tbk PT *		37,119
	78,200	United Tractors Tbk PT		136,458
		Total Indonesia		21,995,519
		Ireland — 0.5%
	164,848	AIB Group Plc *		434,915
	758,839	Bank of Ireland Group Plc *		5,035,084
	1,924	CRH Plc		87,462
	33,200	CRH Plc Sponsored ADR		1,490,348
	59,861	Glanbia Plc		837,996
	244,384	Hibernia REIT Plc		319,007
	7,809	Kingspan Group Plc		762,644
	38,104	Origin Enterprises Plc		154,276
	31,131	Permanent TSB Group Holdings Plc *		60,109
	194,970	Ryanair Holdings Plc *		3,380,436
	52,276	Ryanair Holdings Plc Sponsored ADR * (b)		5,212,440
	91,730	Smurfit Kappa Group Plc (c)		4,581,200
	13,714	Smurfit Kappa Group Plc (c)		680,518
		Total Ireland		23,036,435
		Israel — 0.5%
	314,849	Bank Leumi Le-Israel BM		3,410,734
	52,400	Check Point Software Technologies Ltd *		7,591,712
	16,564	First International Bank of Israel Ltd		712,514
	57,020	Isracard Ltd		299,263
	836,336	Oil Refineries Ltd *		299,682
	749,000	Teva Pharmaceutical Industries Ltd Sponsored ADR *		6,089,370
	111,209	Tower Semiconductor Ltd *		5,210,142
		Total Israel		23,613,417

Shares		Description	Value ($)
		Italy — 1.0%
	47,141	A2A SPA (b)		84,104
	25,505	ACEA SPA (b)		484,360
	44,306	Anima Holding SPA		209,440
	52,995	Arnoldo Mondadori Editore SPA *		116,310
	24,264	Azimut Holding SPA		578,974
	40,805	Banca IFIS SPA		861,162
	175,429	Banco BPM SPA		601,938
	60,403	Credito Emiliano SPA		433,753
	11,774	De’ Longhi SPA		373,607
	360,697	Enel SPA (b)		2,657,954
	16,855	Esprinet SPA		210,156
	181,347	EXOR NV		13,739,865
	9,105	Hera SPA (b)		35,305
	100,916	IMMSI SPA * (a)		47,305
	411,198	Italgas SPA (b)		2,654,288
	23,101	La Doria SPA		425,808
	439,698	Leonardo SPA *		3,919,846
	199,565	Poste Italiane SPA		2,288,914
	1,097	Prima Industrie SPA *		19,023
	1,858	Sabaf SPA		41,063
	2,146	Salcef SPA		53,019
	25,925,049	Telecom Italia SPA		10,892,298
	2,729,938	Telecom Italia SPA – RSP		1,133,654
	10,058	Unieuro SPA (a)		199,127
	617,374	Unipol Gruppo SPA		3,132,606
		Total Italy		45,193,879
		Japan — 12.1%
	15,600	ADEKA Corp		361,800
	52,300	Aeon Delight Co Ltd (a)		1,357,882
	498,200	Aeon Mall Co Ltd (a)		7,005,714
	160,600	AGC Inc		7,124,624
	15,500	Aichi Corp		118,994
	51,100	Aisin Corp		1,861,280
	177,600	Amano Corp		3,481,759
	29,500	AOKI Holdings Inc		153,917
	135,700	Arcs Co Ltd (a)		2,570,044
	899,200	Asahi Kasei Corp		8,438,836
	307,800	Astellas Pharma Inc		5,135,402
	9,100	Bando Chemical Industries Ltd		68,233
	182,500	Brother Industries Ltd		3,321,661
	18,800	Calbee Inc		422,731
	5,600	Canon Electronics Inc		78,158
	118,000	Canon Inc (b)		2,776,887
	4,100	Canon Inc Sponsored ADR (b)		96,883
	19,700	Canon Marketing Japan Inc		411,736
	4,800	Central Glass Co Ltd		86,135
	4,000	Chiyoda Integre Co Ltd		69,168
	276,100	Chugoku Marine Paints Ltd		2,212,791
	74,900	Citizen Watch Co Ltd		326,271

See accompanying notes to the financial statements. 77

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Japan — continued
	9,600	CONEXIO Corp		116,322
	104,700	Dai Nippon Printing Co Ltd		2,733,161
	13,700	Dai Nippon Toryo Co Ltd		96,945
	4,000	Dai-Dan Co Ltd		81,232
	41,600	Daihen Corp		1,566,185
	4,800	Daiichi Jitsugyo Co Ltd		182,542
	2,800	Daito Pharmaceutical Co Ltd		73,519
	144,300	Daiwa House Industry Co Ltd (b)		4,092,387
	695,400	Daiwabo Holdings Co Ltd		10,764,349
	239,400	Denka Co Ltd		7,352,607
	2,000	Dowa Holdings Co Ltd		90,261
	5,000	Eizo Corp		160,667
	104,700	Electric Power Development Co Ltd (b)		1,661,190
	437,100	EXEO Group Inc		9,098,832
	61,200	Ezaki Glico Co Ltd		2,087,798
	9,200	FJ Next Holdings Co Ltd		81,495
	313,900	Fuji Corp		6,383,283
	10,000	Fuji Electric Co Ltd		514,516
	3,800	Fuji Pharma Co Ltd		33,610
	9,100	FUJIFILM Holdings Corp (b)		578,433
	2,900	Fujimori Kogyo Co Ltd		100,646
	20,800	Fujitsu Ltd (b)		3,021,907
	6,800	Furuno Electric Co Ltd (a)		61,161
	7,800	Furyu Corp		70,661
	14,800	G-7 Holdings Inc		214,091
	21,800	Hanwa Co Ltd		634,104
	535,194	Haseko Corp		6,831,701
	18,400	Hazama Ando Corp		148,209
	5,900	Heiwado Co Ltd (a)		102,837
	39,900	Hitachi Ltd (b)		1,973,163
	8,400	Hitachi Zosen Corp		58,227
	2,700	Hochiki Corp		28,727
	101,400	Hogy Medical Co Ltd		2,957,045
	478,600	Honda Motor Co Ltd		14,540,295
	3,400	Hosokawa Micron Corp		79,544
	5,900	Hyakujushi Bank Ltd (The)		92,403
	57,000	Idemitsu Kosan Co Ltd		1,527,973
	105,500	Iida Group Holdings Co Ltd		1,957,989
	170,700	Inabata & Co Ltd		3,447,213
	1,064,100	Inpex Corp		10,968,228
	106,300	Isuzu Motors Ltd		1,437,665
	462,300	ITOCHU Corp (b)		15,065,710
	1,600	Itochu-Shokuhin Co Ltd		69,600
	58,500	Itoham Yonekyu Holdings Inc		351,525
	29,400	Itoki Corp		91,902
	15,600	Jaccs Co Ltd		440,570
	229,500	Japan Tobacco Inc		4,220,771
	303,800	JFE Holdings Inc		4,522,840
	450,700	JVCKenwood Corp		727,683
	825,800	K’s Holdings Corp		8,948,362

Shares		Description	Value ($)
		Japan — continued
	11,500	Kaga Electronics Co Ltd		302,666
	305,600	Kajima Corp		4,112,913
	13,400	Kamei Corp		122,721
	6,600	Kanamoto Co Ltd		130,767
	47,500	Kandenko Co Ltd		361,193
	13,200	Kaneka Corp		431,758
	301,500	Kanematsu Corp		3,680,948
	500	Kato Sangyo Co Ltd		13,478
	570,600	KDDI Corp		18,568,032
	53,500	Kinden Corp		758,770
	2,300	Kintetsu World Express Inc (b)		60,277
	436,400	Kirin Holdings Co Ltd		7,255,349
	19,400	Kitz Corp		110,722
	7,279	Kohnan Shoji Co Ltd (a)		231,469
	21,500	Kokuyo Co Ltd		301,410
	40,300	Komeri Co Ltd		990,905
	28,700	Konica Minolta Inc		121,590
	193,800	Konoike Transport Co Ltd (b)		2,026,859
	1,700	Krosaki Harima Corp		64,713
	4,400	Kumagai Gumi Co Ltd		110,613
	11,300	Kyokuto Kaihatsu Kogyo Co Ltd		142,666
	12,100	Kyosan Electric Manufacturing Co Ltd		44,701
	249,500	Kyudenko Corp		6,698,260
	14,200	Lintec Corp		316,527
	5,000	Macnica Fuji Electronics Holdings Inc		117,682
	221,700	Macromill Inc		2,178,511
	271,500	Mandom Corp		3,255,712
	181,300	Marubeni Corp		1,903,040
	251,400	Maruichi Steel Tube Ltd		6,239,636
	5,400	Maruzen Showa Unyu Co Ltd (b)		150,284
	225,600	Maxell Ltd		2,323,927
	48,800	MCJ Co Ltd		427,257
	28,100	MEIJI Holdings Co Ltd		1,686,505
	1,600	Melco Holdings Inc		53,637
	1,200	Mirait Holdings Corp		20,394
	181,700	Mitsubishi Corp (b)		6,109,422
	5,300	Mitsubishi Research Institute Inc (b)		179,198
	5,400	Mitsubishi Shokuhin Co Ltd		145,564
	968,100	Mitsubishi UFJ Financial Group Inc (b)		5,943,150
	11,100	Mitsuboshi Belting Ltd		209,230
	55,300	Mitsui & Co Ltd (b)		1,378,779
	49,600	Mitsui Chemicals Inc		1,268,002
	12,600	Mitsui DM Sugar Holdings Co Ltd		224,928
	10,570	Mixi Inc (a)		205,598
	13,900	Modec Inc		142,174
	221,900	Morinaga & Co Ltd		7,219,717
	185,100	MS&AD Insurance Group Holdings Inc		6,263,173
	13,800	MTI Ltd		55,376
	180,400	NEC Corp (b)		7,805,118
	43,900	NEC Networks & System Integration Corp (b)		674,987

78 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Japan — continued
	10,900	NGK Insulators Ltd		169,276
	7,600	NGK Spark Plug Co Ltd		136,957
	239,200	NH Foods Ltd		8,977,828
	12,400	Nichias Corp		280,901
	14,800	Nichiha Corp		333,370
	8,400	Nichireki Co Ltd		94,501
	120,400	Nikon Corp		1,258,520
	21,500	Nippn Corp		318,942
	3,700	Nippo Corp(a)		128,015
	4,200	Nippon Densetsu Kogyo Co Ltd		58,237
	263,700	Nippon Steel Corp		4,828,074
	7,600	Nippon Steel Trading Corp		360,513
	106,400	Nippon Suisan Kaisha Ltd		503,844
	530,500	Nippon Telegraph & Telephone Corp (b)		15,247,041
	102,300	Nippon Television Holdings Inc		1,170,298
	7,100	Nisshin Oillio Group Ltd (The)		188,722
	3,800	Nissin Corp		57,308
	19,500	Nissin Electric Co Ltd		248,154
	20,600	Nojima Corp		457,547
	26,600	Nomura Real Estate Holdings Inc		662,303
	3,800	Noritake Co Ltd		151,747
	919,700	Obayashi Corp		7,700,641
	41,700	Okamura Corp		429,673
	37,400	Organo Corp		2,662,056
	206,700	ORIX Corp (b)		4,097,441
	61,600	Osaka Gas Co Ltd (b)		1,127,358
	3,700	Osaka Soda Co Ltd		101,238
	7,700	Osaki Electric Co Ltd		32,909
	273,000	Pacific Industrial Co Ltd		2,420,202
	24,700	Panasonic Corp		257,950
	538,100	Penta-Ocean Construction Co Ltd		2,832,510
	9,100	Prima Meat Packers Ltd		192,095
	8,000	Proto Corp		80,512
	20,300	Raito Kogyo Co Ltd		345,863
	90,100	Resona Holdings Inc		402,954
	40,800	Rohm Co Ltd		3,253,947
	43,000	San-A Co Ltd (a)		1,596,593
	7,400	San-Ai Oil Co Ltd		61,524
	21,600	Sanki Engineering Co Ltd		280,306
	190,200	Sankyu Inc (b)		6,594,775
	19,000	Sanwa Holdings Corp		212,338
	111,600	Sawai Group Holdings Co Ltd		4,435,283
	102,400	Secom Co Ltd		7,520,909
	275,600	Sega Sammy Holdings Inc		5,026,778
	8,100	Seikitokyu Kogyo Co Ltd (a)		57,784
	87,700	Seiko Epson Corp		1,348,864
	17,400	Sekisui Chemical Co Ltd		284,941
	425,400	Sekisui House Ltd		8,673,093
	7,500	Sekisui Jushi Corp		125,198
	28,300	Shimamura Co Ltd (b)		2,567,095
	674,900	Shimizu Corp		4,467,272
	6,900	Shin-Etsu Polymer Co Ltd		66,057

Shares		Description	Value ($)
		Japan — continued
	5,300	Shinnihon Corp		34,591
	16,900	Shizuoka Gas Co Ltd (b)		127,580
	2,000	Sinanen Holdings Co Ltd		60,234
	10,600	Sinko Industries Ltd		160,435
	500,700	SKY Perfect JSAT Holdings Inc		1,882,846
	293,220	Sojitz Corp		4,843,139
	334,400	Stanley Electric Co Ltd		7,946,270
	167,200	Subaru Corp		2,742,212
	2,523,100	Sumitomo Chemical Co Ltd		12,045,856
	169,000	Sumitomo Corp		2,757,338
	465,200	Sumitomo Dainippon Pharma Co Ltd		5,105,421
	52,600	Sumitomo Electric Industries Ltd		698,271
	400,200	Sumitomo Forestry Co Ltd		7,717,259
	10,600	Sumitomo Heavy Industries Ltd		256,846
	270,300	Sumitomo Mitsui Financial Group Inc		9,585,446
	217,900	Sumitomo Mitsui Trust Holdings Inc		7,742,424
	1,500	Sumitomo Seika Chemicals Co Ltd		42,690
	27,500	Suzuki Motor Corp		1,094,993
	2,900	T Hasegawa Co Ltd		60,891
	570,600	T&D Holdings Inc		8,287,094
	183,400	Tachi-S Co Ltd		1,795,519
	169,100	Taisei Corp		5,622,819
	292,700	Takara Holdings Inc		2,908,228
	75,800	Takara Leben Co Ltd		207,223
	386,600	Takuma Co Ltd		4,913,213
	7,500	Tamron Co Ltd		154,128
	604,500	Teijin Ltd		7,272,070
	209,500	THK Co Ltd		4,812,844
	172,100	Toho Holdings Co Ltd		2,831,573
	554,200	Tokai Carbon Co Ltd		5,319,361
	2,500	Token Corp		198,019
	2,265,900	Tokyo Electric Power Co Holdings Inc * (b)		7,112,641
	174,700	Tokyo Gas Co Ltd (b)		3,558,346
	174,300	Tokyo Seimitsu Co Ltd		7,257,386
	26,200	Tokyu Construction Co Ltd		162,393
	455,400	Toppan Inc		8,973,342
	133,300	Toray Industries Inc		760,169
	258,300	Tosei Corp		2,461,604
	520,649	Tosoh Corp		8,079,473
	19,900	Towa Pharmaceutical Co Ltd		515,689
	80,000	Toyo Construction Co Ltd		416,855
	2,500	Toyo Ink SC Holdings Co Ltd		41,905
	69,700	Toyota Boshoku Corp		1,275,506
	85,600	Toyota Industries Corp		6,510,828
	32,900	Toyota Tsusho Corp		1,365,843
	2,700	Tsubakimoto Chain Co		77,215
	166,100	Tsumura & Co		4,613,380
	11,200	TV Asahi Holdings Corp		153,078
	33,000	Ulvac Inc		1,647,139
	10,600	Unipres Corp		71,095
	8,000	Vital KSK Holdings Inc		56,698

See accompanying notes to the financial statements. 79

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Japan — continued
	8,900	Wacoal Holdings Corp		152,771
	9,100	Warabeya Nichiyo Holdings Co Ltd (a)		144,882
	23,800	YAMABIKO Corp		275,635
	73,700	Yamaha Motor Co Ltd		1,656,748
	23,300	Yamazen Corp		208,836
	19,300	Yellow Hat Ltd		274,022
	106,000	Yokogawa Bridge Holdings Corp		1,936,316
	40,400	Yokohama Rubber Co Ltd (The)		566,423
	7,200	Yuasa Trading Co Ltd		187,286
	176,200	Zenkoku Hosho Co Ltd (a)		7,409,658
		Total Japan		565,101,552
		Kuwait — 0.1%
	30,338	Humansoft Holding Co KSC		369,278
	1,436,792	Kuwait Finance House KSCP		4,494,587
	54,896	Kuwait Projects Holding KSCP		35,522
		Total Kuwait		4,899,387
		Luxembourg — 0.1%
	76,600	Ternium SA Sponsored ADR		3,008,848
		Malaysia — 0.0%
	335,600	Kossan Rubber Industries Bhd		138,358
	143,100	Petronas Chemicals Group Bhd		326,039
	1,169,100	Top Glove Corp Bhd		570,575
	258,300	Westports Holdings Bhd		240,747
		Total Malaysia		1,275,719
		Mexico — 1.5%
	84,944	America Movil SAB de CV – Class L Sponsored ADR		1,539,185
	903,200	America Movil SAB de CV – Series L		821,131
	182,140	Arca Continental SAB de CV		1,200,571
	371,400	Banco del Bajio SA		903,067
	10,500	Bolsa Mexicana de Valores SAB de CV		20,297
	13,296	Coca-Cola Femsa SAB de CV Sponsored ADR		732,078
	1,136,700	Credito Real SAB de CV SOFOM ER *		89,355
	107,028	El Puerto de Liverpool SAB de CV – Class C1		521,997
	1,247,449	Fomento Economico Mexicano SAB de CV		10,023,567
	64,800	Fomento Economico Mexicano SAB de CV Sponsored ADR		5,209,920
	2,700	GCC SAB de CV		17,928
	6,045	Gruma SAB de CV – Class B		81,860
	200	Grupo Aeroportuario del Centro Norte SAB de CV ADR		11,626
	12,600	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		90,749
	2,600	Grupo Aeroportuario del Pacifico SAB de CV – Class B *		38,079

Shares		Description	Value ($)
		Mexico — continued
	15,200	Grupo Aeroportuario del Sureste SAB de CV – Class B		327,229
	586,000	Grupo Bimbo SAB de CV – Series A		1,813,994
	3,121,100	Grupo Financiero Banorte SAB de CV – Class O		21,180,689
	35,800	Grupo Financiero Inbursa SAB de CV – Class O *		58,504
	29,255	Grupo Herdez SAB de CV – Series *		41,067
	2,600,603	Grupo Mexico SAB de CV – Series B		13,284,268
	600	Industrias Bachoco SAB de CV Sponsored ADR		24,246
	174,944	Industrias Bachoco SAB de CV – Series B		585,795
	55,500	Kimberly-Clark de Mexico SAB de CV – Class A		77,583
	5,900	Megacable Holdings SAB de CV CPO		17,356
	23,300	Orbia Advance Corp SAB de CV		59,521
	144,600	Qualitas Controladora SAB de CV		792,155
	104,700	Regional SAB de CV		621,779
	141,348	Unifin Financiera SAB de CV SOFOM ENR *		175,986
	2,073,100	Wal-Mart de Mexico SAB de CV		7,895,210
		Total Mexico		68,256,792
		Netherlands — 1.3%
	302,912	ABN AMRO Bank NV CVA GDR (a)		4,030,916
	992,402	Aegon NV (a)		4,902,260
	80,500	AerCap Holdings NV *		4,381,615
	16,510	Evander Gold Mines Ltd (e)		185
	59,053	ForFarmers NV		240,891
	333,867	ING Groep NV		3,899,062
	172,663	JDE Peet’s NV (a)		5,668,396
	1	Just Eat Takeaway.com NV Sponsored ADR * (b)		8
	315,851	Koninklijke Ahold Delhaize NV		9,716,285
	38,303	Koninklijke BAM Groep NV *		107,761
	162,810	NN Group NV		7,814,047
	244,362	PostNL NV (b)		982,453
	15,359	Prosus NV *		953,512
	131,272	Randstad NV		8,946,013
	87,903	Signify NV		4,496,571
	96,381	Stellantis NV		1,757,870
	11,732	Van Lanschot Kempen NV		296,816
	5,633	Wolters Kluwer NV (b)		573,945
		Total Netherlands		58,768,606
		New Zealand — 0.1%
	208,370	Auckland International Airport Ltd * (b)		1,008,932
	778,343	Meridian Energy Ltd (b)		2,642,546
	164,375	Spark New Zealand Ltd		504,681
		Total New Zealand		4,156,159

80 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Norway — 0.6%
	24,902	Austevoll Seafood ASA		351,612
	56,509	BW LPG Ltd		336,749
	102,687	Equinor ASA		3,228,017
	154,946	Europris ASA		988,372
	29,670	Kongsberg Gruppen ASA		1,046,434
	1,455,207	Norsk Hydro ASA		13,818,770
	315,355	Orkla ASA		2,954,044
	36,490	Sbanken ASA		377,761
	27,627	Selvaag Bolig ASA		158,481
	37,286	SpareBank 1 Nord Norge		456,200
	48,956	SpareBank 1 SMN		808,994
	108,954	SpareBank 1 SR-Bank ASA		1,614,454
	14,066	Wallenius Wilhelmsen ASA * (b)		106,186
		Total Norway		26,246,074
		Philippines — 0.0%
	33,040	GT Capital Holdings Inc		374,169
	133,142	Manila Electric Co		958,049
	6,457,024	Megaworld Corp		405,701
	257,600	Puregold Price Club Inc		176,979
	411,695	Semirara Mining & Power Corp – Class A		223,228
		Total Philippines		2,138,126
		Poland — 0.3%
	29,598	Asseco Poland SA		521,546
	253,543	Bank Polska Kasa Opieki SA		6,955,703
	14,399	Budimex SA		783,265
	60,792	Cyfrowy Polsat SA		393,563
	921	Grupa Lotos SA *		11,817
	73,633	Polski Koncern Naftowy ORLEN SA		1,243,796
	1,256,261	Polskie Gornictwo Naftowe i Gazownictwo SA		1,655,637
	126,701	Powszechny Zaklad Ubezpieczen SA		950,593
		Total Poland		12,515,920
		Portugal — 0.2%
	32,641	CTT – Correios de Portugal SA (a)		158,116
	370,473	Galp Energia SGPS SA		4,100,879
	39,431	Jeronimo Martins SGPS SA		859,662
	128,713	Navigator Co SA (The)		459,937
	191,711	NOS SGPS SA		738,068
	1,510,548	Sonae SGPS SA		1,644,190
		Total Portugal		7,960,852
		Qatar — 0.1%
	98,838	Doha Bank QPSC		77,278
	17,462	Qatar Electricity & Water Co QSC		86,422
	992,300	Qatar National Bank QPSC		5,954,596
	170,042	Qatar National Cement Co QSC		289,374
		Total Qatar		6,407,670

Shares		Description	Value ($)
		Russia — 0.9%
	10,221,010	Alrosa PJSC		6,591,692
	376,870,000	Federal Grid Co Unified Energy System PJSC		260,734
	214,678	Fix Price Group Ltd GDR (d)		129,236
	402,578	Gazprom Neft PJSC		1,312,826
	2,557	Gazprom Neft PJSC Sponsored ADR		40,516
	873,330	Gazprom PJSC		1,394,777
	2,025,633	Gazprom PJSC Sponsored ADR		5,358,865
	75,924	Globaltrans Investment Plc Sponsored GDR (Registered)		141,955
	18,204,300	Inter RAO UES PJSC		406,619
	4	LSR Group PJSC GDR (Registered) (d)		4
	88,304	LSR Group PJSC – Class A		363,712
	192,855	LUKOIL PJSC Sponsored ADR		3,617,354
	4,239,830	Magnitogorsk Iron & Steel Works PJSC		1,492,165
	116,953	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		327,483
	35,900	Mechel PJSC Sponsored ADR * (d)		56,179
	127,978	MMC Norilsk Nickel PJSC ADR		1,757,179
	23,942	Mobile TeleSystems PJSC		47,444
	37,065	Mobile TeleSystems PJSC ADR (d)		141,786
	1,472,470	Moscow Exchange MICEX-RTS PJSC		1,103,971
	7,545,000	Mosenergo PJSC		106,717
	19,196	Novatek PJSC Sponsored GDR (Registered)		739,470
	119,670	Novolipetsk Steel PJSC		172,186
	337,373	Novolipetsk Steel PJSC GDR		2,586,589
	18,463	PhosAgro PJSC GDR (Registered)		112,955
	254,956	Polymetal International Plc		1,192,020
	51,105	Polyus PJSC GDR (Registered)		2,727,406
	138,892	QIWI Plc Sponsored ADR (c) (d)		547,729
	4,500	QIWI Plc Sponsored ADR (c)		15,355
	13,022	Raspadskaya OJSC		29,431
	1,493	Ros Agro Plc GDR (Registered) (c)		10,334
	1,208	Ros Agro Plc GDR (Registered) (c)		5,330
	47,669,440	RusHydro PJSC		265,660
	23,047	RusHydro PJSC ADR		11,562
	2,211,870	Sberbank of Russia PJSC		1,108,548
	1,465,525	Sberbank of Russia PJSC Sponsored ADR		1,531,563
	261,549	Severstal PAO GDR (Registered)		1,327,799
	7,395	Severstal PJSC		85,333
	29,090	SFI PJSC *		107,321
	100	Surgutneftegas PJSC		18
	2,777,057	Surgutneftegas PJSC Sponsored ADR		4,773,222
	35,844	Tatneft PJSC		104,046
	158,512	Tatneft PJSC Sponsored ADR		2,160,185
	725,480	Unipro PJSC		10,058
	55,470	United Co Rusal International PJSC *		23,385
	376,156	VTB Bank PJSC GDR (Registered) (d)		373,281
		Total Russia		44,672,000

See accompanying notes to the financial statements. 81

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Saudi Arabia — 0.0%
	17,860	Al Rajhi Bank		766,225
	8,460	Saudi Arabian Oil Co		93,859
		Total Saudi Arabia		860,084
		Singapore — 0.5%
	167,800	AIMS APAC (REIT)		167,505
	125,800	ARA LOGOS Logistics Trust (REIT)		77,578
	149,900	Ascendas India Trust		131,898
	324,100	Ascendas Real Estate Investment Trust (REIT)		664,548
	621,000	Asian Pay Television Trust		62,304
	171,573	Capitaland Investment Ltd *		470,155
	524,300	ComfortDelGro Corp Ltd		547,655
	225,124	DBS Group Holdings Ltd		5,659,647
	512,600	First Real Estate Investment Trust		113,797
	3,114,200	Golden Agri-Resources Ltd		658,478
	940,299	Japfa Ltd		411,159
	117,100	Jardine Cycle & Carriage Ltd		1,891,237
	316,000	Keppel Corp Ltd (a)		1,406,817
	242,500	Sasseur Real Estate Investment Trust (a)		151,523
	129,500	Sembcorp Industries Ltd		241,391
	57,600	Sheng Siong Group Ltd		64,712
	929,900	Silverlake Axis Ltd.		196,508
	279,000	StarHub Ltd		257,881
	100	UOL Group Ltd		518
	596,300	Wilmar International Ltd		1,937,994
	9,501,513	Yangzijiang Shipbuilding Holdings Ltd		9,719,578
	530,800	Yanlord Land Group Ltd		472,818
		Total Singapore		25,305,701
		South Africa — 0.8%
	1,120,163	Absa Group Ltd		12,878,143
	39,872	AECI Ltd		281,187
	462	Anglo American Platinum Ltd		72,041
	75,317	Aspen Pharmacare Holdings Ltd		986,610
	28,563	Astral Foods Ltd		303,184
	8,735	AVI Ltd		40,746
	147,186	Barloworld Ltd		1,174,543
	297,706	Bidvest Group Ltd (The)		4,078,961
	666,562	Blue Label Telecoms Ltd *		230,370
	1,149	Capitec Bank Holdings Ltd		155,130
	82,774	Imperial Logistics Ltd		354,331
	79,176	Investec Ltd		445,719
	162,822	Kumba Iron Ore Ltd		6,436,156
	177,857	Lewis Group Ltd		538,187
	247,293	Motus Holdings Ltd		1,767,112
	380,070	MTN Group Ltd *		4,744,241
	3,977	Ninety One Ltd		12,974
	239,500	Old Mutual Ltd		196,633

Shares		Description	Value ($)
		South Africa — continued
	128,820	Pepkor Holdings Ltd		184,014
	111,635	Reunert Ltd		341,511
	830,569	RMB Holdings Ltd		90,277
	38,708	Santam Ltd		690,286
	743,602	Telkom SA SOC Ltd *		1,996,903
	277,984	Truworths International Ltd		1,057,324
	270,551	Tsogo Sun Gaming Ltd *		204,667
		Total South Africa		39,261,250
		South Korea — 3.7%
	121	BGF retail Co Ltd		17,142
	572,493	BNK Financial Group Inc		3,768,750
	2,330	Cheil Worldwide Inc		43,809
	573	CJ CheilJedang Corp		181,501
	1,185	Coway Co Ltd		71,170
	234,403	Daewoo Engineering & Construction Co Ltd *		1,232,934
	5,118	Daihan Pharmaceutical Co Ltd		122,904
	991	Daou Data Corp		11,465
	4,213	DB Insurance Co Ltd		216,898
	297,901	DGB Financial Group Inc		2,358,016
	1,087	DL E&C Co Ltd		117,185
	265,854	Dongwon Development Co Ltd		1,081,134
	1,204	Doosan Bobcat Inc		38,642
	3,923	Fila Holdings Corp		115,927
	79,784	GS Engineering & Construction Corp		2,867,364
	2,457	GS Holdings Corp		82,160
	308,409	Hana Financial Group Inc		12,529,990
	1,205	Hana Materials Inc		52,546
	6,228	Handsome Co Ltd		186,762
	1,808	Hankook & Co Co Ltd		20,303
	125,424	Hankook Tire & Technology Co Ltd		3,695,395
	7,037	Hanwha Aerospace Co Ltd		307,276
	85,925	Hanwha Investment & Securities Co Ltd *		348,069
	220,371	Hanwha Life Insurance Co Ltd *		544,217
	96,562	HDC Hyundai Development Co-Engineering & Construction *		1,299,540
	882	Huchems Fine Chemical Corp		16,410
	1,140	Hyosung TNC Corp		463,566
	107,287	Hyundai Engineering & Construction Co Ltd		3,908,703
	13,309	Hyundai Home Shopping Network Corp		647,132
	12,268	Hyundai Marine & Fire Insurance Co Ltd		294,666
	3,575	Hyundai Mobis Co Ltd		671,263
	5,895	Hyundai Motor Co GDR (Registered)		210,516
	73,961	Industrial Bank of Korea		664,433
	116,323	JB Financial Group Co Ltd		796,746
	126,708	KB Financial Group Inc		6,251,068
	9,994	KC Co Ltd		162,645
	2,839	KC Tech Co Ltd		49,539

82 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		South Korea — continued
	787	KCC Corp		220,353
	2,426	KCC Glass Corp		117,853
	307,639	Kia Corp		19,072,177
	2,789	KIWOOM Securities Co Ltd *		236,828
	609	Korea Electric Terminal Co Ltd		29,672
	1,387	Korea Investment Holdings Co Ltd *		92,146
	5,376	Korea Petrochemical Ind Co Ltd *		768,987
	31,846	Korea Real Estate Investment & Trust Co Ltd		58,305
	1,090	Korea Zinc Co Ltd		499,918
	1,884	Korean Reinsurance Co		15,213
	57,175	KT Skylife Co Ltd		406,001
	366,117	KT&G Corp		24,338,195
	20,241	Kumho Petrochemical Co Ltd *		2,730,726
	23,042	LF Corp		343,436
	122,618	LG Electronics Inc		12,800,872
	1,454	LG Household & Health Care Ltd		1,153,667
	11,796	Lotte Chemical Corp		2,174,000
	19,367	LOTTE Fine Chemical Co Ltd		1,288,401
	5,172	LOTTE Himart Co Ltd		100,433
	5,044	LX Semicon Co Ltd		484,491
	461	Meritz Financial Group Inc		14,175
	1,339	Meritz Fire & Marine Insurance Co Ltd		46,018
	12,236	Meritz Securities Co Ltd		59,919
	28,523	Mirae Asset Life Insurance Co Ltd		97,302
	20,626	Namsun Aluminum Co Ltd *		40,565
	35,696	NAVER Corp		9,511,457
	3,835	NH Investment & Securities Co Ltd *		37,111
	433	PI Advanced Materials Co Ltd		15,801
	497	Poongsan Corp		13,237
	22,894	POSCO		5,447,026
	17,900	POSCO Sponsored ADR		1,061,828
	27,999	Samjin Pharmaceutical Co Ltd		590,938
	3,234	Samsung C&T Corp		298,678
	622	Samsung Card Co Ltd		16,705
	315,602	Samsung Electronics Co Ltd		19,016,086
	52,355	Samsung Engineering Co Ltd *		1,022,758
	3,618	Samsung Fire & Marine Insurance Co Ltd		575,336
	1,590	Samsung Life Insurance Co Ltd		79,499
	3,340	Samsung SDS Co Ltd		392,110
	4,771	Samsung Securities Co Ltd		169,093
	1,860	Sangsangin Co Ltd		14,515
	6,363	SD Biosensor Inc		290,099
	1,119	Sebang Global Battery Co Ltd		59,763
	1,077	SFA Engineering Corp		33,979
	307,819	Shinhan Financial Group Co Ltd		10,015,120
	122	SK Gas Ltd		12,129
	4,579	SK Hynix Inc		477,381
	6,213	SK Telecom Co Ltd		283,518
	127,267	SK Telecom Co Ltd Sponsored ADR		3,190,584
	17,008	SL Corp *		339,041

Shares		Description	Value ($)
		South Korea — continued
	551	SNT Motiv Co Ltd		19,923
	180	Taekwang Industrial Co Ltd *		152,520
	1,947	TY Holdings Co Ltd *		44,391
	684	Unid Co Ltd		49,882
	457,391	Woori Financial Group Inc		5,471,126
	29,503	Woori Technology Investment Co Ltd *		211,303
	5,207	Youngone Corp		185,181
	14,399	Yuhan Corp		699,621
		Total South Korea		172,435,178
		Spain — 1.2%
	1,189	Acciona SA (b)		203,193
	483,450	Acerinox SA		6,146,436
	42,067	ACS Actividades de Construccion y Servicios SA (a)		1,022,252
	115,099	Amadeus IT Group SA * (b)		7,593,840
	96,182	Atresmedia Corp de Medios de Comunicacion SA		415,741
	2,134,541	Banco Bilbao Vizcaya Argentaria SA		12,665,777
	5,191,485	Banco de Sabadell SA *		4,488,943
	3,103,987	Banco Santander SA		10,336,324
	103,629	Bankinter SA		588,440
	57,507	Cia de Distribucion Integral Logista Holdings SA (b)		1,044,418
	68,131	Faes Farma SA		260,625
	2,218	Grupo Catalana Occidente SA		71,496
	8,138	Iberdrola SA (b)		92,330
	206,039	Industria de Diseno Textil SA (b)		5,374,685
	248,556	Mediaset Espana Comunicacion SA *		1,275,102
	9,181	Red Electrica Corp SA (b)		181,880
	129,032	Repsol SA		1,674,324
	133,628	Telefonica SA		638,196
	516,524	Unicaja Banco SA		486,982
		Total Spain		54,560,984
		Sweden — 0.3%
	4,371	Bufab AB		153,080
	16,178	Investor AB – A Shares (b)		357,736
	262,926	Investor AB – B Shares (b)		5,353,824
	63,592	Inwido AB		984,669
	88,194	Kinnevik AB – Class B *		2,245,447
	22,978	New Wave Group AB – B Shares		347,444
	27,940	Securitas AB – B Shares		338,266
	119,029	Skanska AB – B Shares		2,694,017
	41,510	SSAB AB – A Shares *		259,775
	53,737	Svenska Cellulosa AB SCA – Class B		876,748
		Total Sweden		13,611,006
		Switzerland — 0.5%
	115,855	Adecco Group AG (Registered)		5,471,673
	532	ALSO Holding AG (Registered) *		141,945
	4,728	BKW AG (b)		595,688

See accompanying notes to the financial statements. 83

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Switzerland — continued
	4,508	Bobst Group SA (Registered) *		410,179
	1,376	Cie Financiere Richemont SA – Class A (Registered) (b)		184,255
	518	Huber + Suhner AG (Registered)		49,941
	513	Kardex Holding AG (Registered)		133,182
	44,860	Logitech International SA (Registered)		3,356,824
	5,037	Mobilezone Holding AG (Registered)		74,482
	32,092	Novartis AG (Registered) (b)		2,820,611
	14,300	Novartis AG Sponsored ADR (b)		1,250,678
	19,048	Roche Holding AG – Genusschein (b)		7,214,112
	27,142	UBS Group AG (Registered) (b)		499,325
	6,153	Zehnder Group AG – Class RG		532,187
		Total Switzerland		22,735,082
		Taiwan — 5.0%
	13,000	Acer Inc		13,492
	23,788	Acter Group Corp Ltd		187,806
	928,224	AmTRAN Technology Co Ltd		537,457
	1,734,672	Asustek Computer Inc		23,141,347
	60,000	Aten International Co Ltd		173,516
	23,000	Capital Securities Corp		13,015
	3,179,000	Catcher Technology Co Ltd		16,317,203
	3,265,000	Cathay Financial Holding Co Ltd		7,341,795
	529,451	Chailease Holding Co Ltd		4,805,038
	74,490	Chicony Electronics Co Ltd		239,610
	404,200	China Development Financial Holding Corp		276,802
	9,000	China Steel Corp		11,703
	1,518,000	Chipbond Technology Corp		3,777,178
	1,000	Chlitina Holding Ltd		7,540
	136,640	Chong Hong Construction Co Ltd		373,335
	427,000	Chunghwa Telecom Co Ltd		1,897,851
	5,000	Cleanaway Co Ltd		38,000
	2,114,000	Compal Electronics Inc		1,925,878
	812,080	Coretronic Corp		2,081,118
	2,733,000	CTBC Financial Holding Co Ltd		2,671,446
	25,000	CTCI Corp		36,796
	65,000	Delta Electronics Inc		579,287
	61,000	Depo Auto Parts Ind Co Ltd		128,037
	108,000	E.Sun Financial Holding Co Ltd		114,162
	79,080	Elan Microelectronics Corp		469,659
	18,960	Elite Material Co Ltd		185,927
	326,000	Farglory Land Development Co Ltd		713,224
	6,520	Feng Hsin Steel Co Ltd		19,664
	145,000	First Financial Holding Co Ltd		133,507
	121,000	FIT Hon Teng Ltd *		21,945
	1,042,000	FLEXium Interconnect Inc *		3,557,002
	127,000	Formosa Advanced Technologies Co Ltd		181,384
	26,000	Formosa Petrochemical Corp		91,457
	701,000	Formosa Plastics Corp		2,646,986
	397,000	Foxconn Technology Co Ltd		913,795

Shares		Description	Value ($)
		Taiwan — continued
	3,000	Foxsemicon Integrated Technology Inc		23,555
	4,440,903	Fubon Financial Holding Co Ltd		11,990,722
	30,000	Gamania Digital Entertainment Co Ltd		68,227
	127,000	Getac Holdings Corp		268,355
	950,000	Grand Pacific Petrochemical		974,389
	2,000	Grand Plastic Technology Corp		22,986
	265,160	HannStar Display Corp		152,933
	107,000	Holiday Entertainment Co Ltd		232,192
	32,000	Holtek Semiconductor Inc		125,019
	8,312,406	Hon Hai Precision Industry Co Ltd		30,876,915
	332,000	Huaku Development Co Ltd		1,077,763
	427,980	IEI Integration Corp		712,895
	53,000	International Games System Co Ltd		1,309,974
	8,000	Kindom Development Co Ltd		10,668
	474,000	King’s Town Bank Co Ltd		684,905
	191,000	Kung Long Batteries Industrial Co Ltd		935,301
	42,000	Largan Precision Co Ltd		3,052,258
	1,281,000	Lite-On Technology Corp ADR		3,149,824
	376,000	MediaTek Inc		14,857,951
	88,000	Mega Financial Holding Co Ltd		118,589
	664,132	Mercuries Life Insurance Co Ltd *		211,740
	460,000	Micro-Star International Co Ltd		2,592,917
	551,000	Mitac Holdings Corp		666,070
	750,000	Nan Ya Plastics Corp		2,365,500
	390,502	Nantex Industry Co Ltd		1,040,197
	69,000	Pegatron Corp		171,020
	217,000	Phison Electronics Corp		4,014,962
	3,229,566	Pou Chen Corp		3,724,376
	140,000	Powertech Technology Inc		474,871
	474,000	Qisda Corp ADR		523,857
	263,000	Quanta Computer Inc		879,445
	2,198,378	Radiant Opto-Electronics Corp		7,948,956
	17,000	Rexon Industrial Corp Ltd		26,188
	1,691,400	Ruentex Development Co Ltd		4,367,239
	637,000	Ruentex Industries Ltd		2,650,020
	20,000	Shanghai Commercial & Savings Bank Ltd (The)		32,945
	185,000	Shin Kong Financial Holding Co Ltd		75,024
	176,280	Shin Zu Shing Co Ltd		572,645
	178,000	Shinkong Insurance Co Ltd		303,059
	85,000	Simplo Technology Co Ltd		953,848
	145,000	SinoPac Financial Holdings Co Ltd		89,039
	42,360	Sitronix Technology Corp		448,793
	387,000	Syncmold Enterprise Corp		943,227
	25,311	Tah Hsin Industrial Corp		76,112
	1,419,000	Taiwan Cement Corp		2,408,927
	1,213,000	Taiwan Semiconductor Manufacturing Co Ltd		26,078,962
	130,850	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)		14,002,258
	24,000	Teco Electric and Machinery Co Ltd		25,924
	4,000	Thinking Electronic Industrial Co Ltd		20,114

84 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Taiwan — continued
	411,699	TOPBI International Holdings Ltd *		157,673
	431,000	Transcend Information Inc		1,093,142
	231,000	Tripod Technology Corp		1,059,098
	28,000	Tung Ho Steel Enterprise Corp		70,527
	190,681	United Integrated Services Co Ltd		1,207,172
	348,000	Universal Inc		501,223
	47,000	Vanguard International Semiconductor Corp		213,303
	85,000	Walsin Technology Corp *		450,229
	303,000	Youngtek Electronics Corp		899,428
	6,114,000	Yuanta Financial Holding Co Ltd		5,461,591
	7,000	Yulon Nissan Motor Co Ltd		62,176
		Total Taiwan		235,133,180
		Thailand — 0.7%
	4,804,000	AP Thailand Pcl NVDR		1,561,540
	240,000	Bangkok Bank Pcl NVDR		1,034,004
	147,600	CP ALL Pcl (Foreign Registered)		308,368
	57,400	CP ALL Pcl NVDR		119,921
	32,800	Delta Electronics Thailand Pcl NVDR		410,666
	79,800	Kasikornbank Pcl (Foreign Registered)		401,335
	2,187,800	Kasikornbank Pcl NVDR		11,003,015
	2,880,600	Krung Thai Bank Pcl NVDR		1,239,314
	159,808	Pruksa Holding Pcl (Foreign Registered)		70,454
	565,380	Pruksa Holding Pcl NVDR		249,258
	123,600	PTT Exploration & Production Pcl NVDR		520,388
	3,130,500	PTT Global Chemical Pcl NVDR		5,101,672
	373,900	PTT Pcl NVDR		455,137
	8,185,700	Sansiri Pcl NVDR		310,041
	849,700	SC Asset Corp Pcl (Foreign Registered)		101,404
	483,596	Siam Cement Pcl NVDR (The)		5,819,901
	132,612	Siam Commercial Bank Pcl NVDR (The)		512,447
	207,800	Somboon Advance Technology Pcl NVDR		134,461
	192,799	Supalai Pcl (Foreign Registered)		129,844
	34,000	Supalai Pcl NVDR		22,898
	3,338,600	Thai Union Group Pcl NVDR		2,087,965
	189,300	Thai Vegetable Oil Pcl NVDR		188,595
		Total Thailand		31,782,628
		Turkey — 0.6%
	4,814,110	Akbank TAS		2,457,255
	18,061	Aksa Akrilik Kimya Sanayii AS		47,042
	1,123,943	Arcelik AS		4,497,198
	181,574	Dogus Otomotiv Servis ve Ticaret AS		616,052
	176,203	Enerjisa Enerji AS		168,986
	988,895	Eregli Demir ve Celik Fabrikalari TAS		2,225,617
	243,290	Ford Otomotiv Sanayi AS		4,742,332
	2,564,897	Haci Omer Sabanci Holding AS		2,884,906

Shares		Description	Value ($)
		Turkey — continued
	6,614	Koza Altin Isletmeleri AS *		54,836
	357,197	Tofas Turk Otomobil Fabrikasi AS		2,075,427
	7,063,818	Turkiye Garanti Bankasi AS		5,661,414
	369,614	Vestel Elektronik Sanayi ve Ticaret AS		601,007
	1,045,924	Yapi ve Kredi Bankasi AS		270,150
		Total Turkey		26,302,222
		United Kingdom — 4.1%
	291,494	3i Group Plc		5,192,709
	300,197	Airtel Africa Plc		567,195
	1,884,016	Avast Plc (b)		15,869,080
	11,845	Bank of Georgia Group Plc		209,796
	901,231	Barratt Developments Plc		7,340,720
	84,796	Bellway Plc		3,261,640
	223,103	Berkeley Group Holdings Plc		11,602,761
	90,900	BP Plc Sponsored ADR (b)		2,655,189
	65,118	British American Tobacco Plc (b)		2,853,919
	136,100	British American Tobacco Plc Sponsored ADR (b)		6,021,064
	5,874,357	BT Group Plc		14,657,066
	63,458	Centrica Plc * (b)		65,361
	280,882	Coca-Cola HBC AG *		7,136,239
	524,863	Compass Group Plc (b)		11,863,505
	3,537	Computacenter Plc (b)		129,468
	104,461	Crest Nicholson Holdings Plc		428,735
	1,869	DCC Plc		146,667
	10,765	EMIS Group Plc (b)		177,586
	30,601	Evraz Plc		58,989
	624,007	Ferrexpo Plc		1,415,396
	9,400	GlaxoSmithKline Plc Sponsored ADR (b)		393,484
	19,354	Grafton Group Plc		277,926
	180,667	Halfords Group Plc		671,291
	6,794	IMI Plc		133,096
	69,093	Imperial Brands Plc		1,510,806
	348,468	Indivior Plc *		1,311,221
	27,836	International Personal Finance Plc		41,660
	182,508	Investec Plc		989,867
	1,128,455	ITV Plc *		1,662,606
	72,951	J Sainsbury Plc		269,052
	154,676	JD Sports Fashion Plc (b)		311,152
	11,440	Keller Group Plc		121,058
	2,955,981	Kingfisher Plc		12,058,496
	778,289	Legal & General Group Plc		2,877,667
	4,216,318	M&G Plc		11,606,999
	54,540	Marks & Spencer Group Plc * (b)		127,119
	1,291,301	Meggitt Plc *		13,005,936
	696,509	Micro Focus International Plc (b)		3,620,059
	44,825	Morgan Sindall Group Plc		1,386,334
	14,377	Next Plc (b)		1,316,392
	122,553	OSB Group Plc		818,965
	140,399	Paragon Banking Group Plc		945,310

See accompanying notes to the financial statements. 85

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		United Kingdom — continued
	289,962	Persimmon Plc		9,332,001
	111,672	Pets at Home Group Plc		539,864
	171,437	Plus500 Ltd		3,199,018
	436,316	Premier Foods Plc		642,323
	272,265	Reach Plc		831,641
	101,046	Redde Northgate Plc (b)		512,827
	233,148	Redrow Plc		1,777,406
	32,200	Rio Tinto Plc Sponsored ADR (b)		2,530,276
	366,827	Royal Mail Plc (b)		1,927,879
	102,406	Serica Energy Plc		380,757
	362,328	Shell Plc(b)		9,554,876
	101,487	Spirent Communications Plc		332,060
	68,194	Tate & Lyle Plc		684,564
	1,491,838	Taylor Wimpey Plc		2,992,308
	3,053	TBC Bank Group Plc		49,133
	48,550	Unilever Plc (b) (c)		2,438,762
	40,915	Unilever Plc (c)		2,052,889
	42,325	Vesuvius Plc		224,878
	14,497	Vistry Group Plc		194,997
	347,798	WPP Plc		4,891,740
		Total United Kingdom		192,199,780
		United States — 20.8%
	235,946	Activision Blizzard, Inc. (b) (f)		19,229,599
	1	Advanced Micro Devices, Inc. *		24
	89,900	Aflac, Inc. (b)		5,491,991
	25,600	AGNC Investment Corp. (REIT)		330,496
	86,200	Alliance Data Systems Corp. (b)		5,814,190
	10,600	Allstate Corp. (The) (b)		1,297,016
	131,100	Ally Financial, Inc.		6,541,890
	56,218	American Express Co. (b)		10,936,650
	51,758	Apollo Investment Corp.		695,628
	10,300	Arch Capital Group Ltd. *		485,233
	83,225	Arena Pharmaceuticals, Inc. *		7,903,878
	59,100	Arrow Electronics, Inc. *		7,203,108
	265,700	AT&T, Inc. (b)		6,294,433
	5,000	Bath & Body Works, Inc. (b)		266,850
	60,300	Best Buy Co., Inc. (b)		5,827,392
	9,200	Bio-Rad Laboratories, Inc. – Class A *		5,758,832
	26,100	Biogen, Inc. *		5,507,361
	3,878	Booking Holdings, Inc. * (b)		8,423,986
	307,445	BorgWarner, Inc.		12,608,319
	69,778	Bristol-Myers Squibb Co. (b)		4,791,655
	99,576	Bruin Blocker LLC (e)		57,226
	50,500	Capital One Financial Corp. (b)		7,740,135
	144,100	Carrier Global Corp. (b)		6,467,208
	74,600	CBRE Group, Inc. – Class A * (b)		7,225,010
	90,500	Centene Corp. * (b)		7,477,110
	141,148	Cerner Corp. (b)		13,162,051
	1,350,675	Change Healthcare, Inc. * (b)		28,931,459
	293,348	Chatham Lodging Trust (REIT) *		4,033,535
	57,861	Chevron Corp. (b)		8,331,984

Shares		Description	Value ($)
		United States — continued
	34,800	Cigna Corp. (b)		8,274,744
	130,121	Citigroup, Inc. (b)		7,707,067
	34,200	Citizens Financial Group, Inc.		1,792,764
	76,369	Citrix Systems, Inc. (b)		7,827,823
	56,413	CMC Materials, Inc.		10,460,663
	77,400	Cognizant Technology Solutions Corp. – Class A (b)		6,666,462
	19,207	Coherent, Inc. *		5,076,794
	127,900	Comcast Corp. – Class A (b)		5,980,604
	232,729	Cornerstone Building Brands, Inc. *		5,138,656
	43,500	CVS Health Corp. (b)		4,508,775
	260,438	CyrusOne, Inc. (REIT) (b)		23,530,573
	156,998	Darling Ingredients, Inc. *		11,379,215
	53,800	Discover Financial Services (b)		6,641,072
	186,000	DISH Network Corp. – Class A *		5,944,560
	73,000	DR Horton, Inc. (b)		6,234,200
	99,100	eBay, Inc. (b)		5,409,869
	101,146	EOG Resources, Inc.		11,623,698
	1,288,200	ESC NII Holdings, Inc. (e)		386,460
	115,300	Fidelity National Financial, Inc.		5,492,892
	24,200	FleetCor Technologies, Inc. * (b)		5,667,640
	341,200	Ford Motor Co.		5,991,472
	62,100	Fox Corp. – Class A (b)		2,597,643
	502,887	Fox Corp. – Class B		19,240,457
	159,600	Franklin Resources, Inc.		4,744,908
	578,586	Frontier Group Holdings, Inc. * (b)		7,452,188
	131,100	General Motors Co. *		6,124,992
	108,300	Gilead Sciences, Inc. (b)		6,541,320
	38,154	Global Payments, Inc. (b)		5,088,981
	14,200	Goldman Sachs Group, Inc. (The) (b)		4,846,318
	66,707	Green Plains, Inc. *		2,183,987
	12,031	Gulfport Energy Corp. *		829,898
	68,100	Hasbro, Inc.		6,609,105
	53,572	Hilton Worldwide Holdings, Inc. * (b)		7,974,728
	208,900	HP, Inc.		7,177,804
	44,900	IAC/InterActiveCorp *		5,152,724
	82,400	Incyte Corp. *		5,627,920
	149,300	Intel Corp. (b)		7,121,610
	64,853	Intercontinental Exchange, Inc. (b)		8,308,966
	60,500	International Business Machines Corp. (b)		7,411,855
	246,000	Invesco Ltd.		5,225,040
	1,058,540	Investors Bancorp, Inc.		17,719,960
	47,300	Jazz Pharmaceuticals Plc *		6,499,966
	474,100	Kinder Morgan, Inc.		8,249,340
	84,100	Kohl’s Corp. (b)		4,677,642
	108,800	Kroger Co. (The) (b)		5,091,840
	27,400	Laboratory Corp. of America Holdings * (b)		7,432,524
	112,705	Las Vegas Sands Corp. * (b)		4,830,536
	43,500	Leidos Holdings, Inc.		4,430,040
	69,500	Lennar Corp. – Class A		6,246,660
	62,164	Liberty Broadband Corp. – Class C *		9,119,459

86 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		United States — continued
	87,800	Liberty Global Plc – Class A *		2,263,484
	167,500	Liberty Global Plc – Class C *		4,333,225
	106,300	Lincoln National Corp.		7,166,746
	91,500	LKQ Corp. (b)		4,295,925
	435,200	Lumen Technologies, Inc.		4,508,672
	193,188	Lyft, Inc. – Class A * (b)		7,522,741
	81,800	LyondellBasell Industries NV – Class A		7,953,414
	63,800	Macquarie Infrastructure Holdings Corp.		232,870
	5,988	Markel Corp. *		7,442,545
	79,100	Merck & Co., Inc. (b)		6,057,478
	6,900	Meta Platforms, Inc. – Class A * (b)		1,456,107
	123,700	MetLife, Inc.		8,355,935
	36,745	MGM Growth Properties LLC – Class A (REIT) (b)		1,391,533
	87,800	Micron Technology, Inc. (b)		7,801,908
	23,300	Mohawk Industries, Inc. *		3,280,174
	147,900	Molson Coors Brewing Co. – Class B		7,717,422
	51,800	NRG Energy, Inc. (b)		1,960,112
	471,940	Nuance Communications, Inc. * (b)		26,202,109
	160	NVR, Inc. *		793,350
	29,800	Omnicom Group, Inc. (b)		2,499,922
	81,400	Oracle Corp. (b)		6,183,958
	8,100	Owens Corning		754,839
	185,800	Paramount Global – Class B		5,687,338
	153,618	Park Hotels & Resorts, Inc. (REIT) *		2,894,163
	852,466	People’s United Financial, Inc.		17,969,983
	755,227	Pershing Square Tontine Holdings Ltd. – Class A *		14,961,047
	86,781	PG&E Corp. * (b)		986,700
	113,348	PNM Resources, Inc. (b)		5,119,929
	15,300	Principal Financial Group, Inc.		1,080,792
	69,900	Prudential Financial, Inc.		7,805,034
	131,100	PulteGroup, Inc.		6,510,426
	47,500	Quest Diagnostics, Inc. (b)		6,235,325
	782,600	Qurate Retail, Inc. – Series A		4,312,126
	94,850	Raytheon Technologies Corp. (b)		9,741,095
	12,100	Regeneron Pharmaceuticals, Inc. * (b)		7,482,156
	22,500	Regions Financial Corp.		544,275
	14,200	Resolute Forest Products, Inc. (c)		177,074
	15,600	Resolute Forest Products, Inc. (c)		194,954
	37,356	S&P Global, Inc.		14,034,553
	173,988	Sensata Technologies Holding Plc *		10,075,645
	69,780	Service Properties Trust (REIT)		602,201
	114,350	Skillsoft Corp. *		740,988
	6,500	Skyworks Solutions, Inc.		898,105
	2,800	Snap-on, Inc.		588,504
	152,904	South Jersey Industries, Inc.		5,188,033
	234,975	Southeastern Grocers, Inc. * (d)		5,345,681
	249,781	Sportsman’s Warehouse Holdings, Inc.*		2,850,001
	42,500	SS&C Technologies Holdings, Inc. (b)		3,186,225

Shares		Description	Value ($)
		United States — continued
	33,000	Steel Dynamics, Inc.		2,329,140
	166,000	Synchrony Financial		7,101,480
	1,507,100	Syncora Holdings Ltd. (d)		232,998
	23,689	Tempur Sealy International, Inc.		781,974
	328,566	Terminix Global Holdings, Inc. * (b)		13,983,769
	69,100	Textron, Inc.		5,053,283
	1,888,723	The Oneida Group (d)		2,058,708
	160,204	TRU TAJ (d)		874,714
	5,869	TRU TAJ Liquidation Unit Trust (d)		59
	83,500	Tyson Foods, Inc. – Class A (b)		7,737,110
	516,004	Umpqua Holdings Corp.		11,016,685
	54,300	Universal Health Services, Inc. – Class B (b)		7,815,399
	178,423	US Bancorp		10,088,036
	119,300	Verizon Communications, Inc. (b)		6,402,831
	23,741	Verso Corp. – Class A		629,374
	106,224	VF Corp.		6,163,117
	463,600	Viatris, Inc.		5,104,236
	48,900	VMware, Inc. – Class A (b)		5,736,948
	45,500	Walgreens Boots Alliance, Inc. (b)		2,097,095
	187,207	Wells Fargo & Co.		9,991,238
	329,600	Western Union Co. (The) (b)		5,992,128
	106,700	Western Digital Corp. *		5,435,298
	107,060	Westmoreland Mining Holdings LLC (e)		5,353
	28,100	Whirlpool Corp.		5,655,687
	92,574	Willis Towers Watson Plc (b)		20,579,200
	95,760	Xenia Hotels & Resorts, Inc. (REIT) *		1,775,390
	99,222	Zogenix, Inc. *		2,605,570
	17,800	Zoom Video Communications, Inc. – Class A * (b)		2,360,280
	2,465,641	Zynga Inc. – Class A * (b) (f)		22,388,020
		Total United States		972,510,605
		Vietnam — 0.0%
	11,000	PetroVietnam Nhon Trach 2 Power JSC		11,144
	35,000	Pha Lai Thermal Power JSC		34,300
		Total Vietnam		45,444
		TOTAL COMMON STOCKS (COST $3,834,366,652)		3,655,296,949
		PREFERRED STOCKS (g) — 1.5%
		Brazil — 0.8%
	1,401,602	Bradespar SA		8,067,977
	871,300	Cia Energetica de Minas Gerais		2,141,018
	377,600	Cia Energetica de Minas Gerais Sponsored ADR (b)		951,552
	3,524,000	Cia Paranaense de Energia – Class B		4,708,745
	139,900	Gerdau SA		693,878
	58,000	Gerdau SA Sponsored ADR		282,460

See accompanying notes to the financial statements. 87

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Brazil — continued
	12,800	Metalurgica Gerdau SA		25,725
	1,579,100	Petroleo Brasileiro SA		10,380,145
	596,300	Petroleo Brasileiro SA Sponsored ADR		7,805,567
	35,000	Usinas Siderurgicas de Minas Gerais SA Usiminas – Class A		98,937
		Total Brazil		35,156,004
		Chile — 0.0%
	22,769	Embotelladora Andina SA – Class B		49,582
	9,400	Sociedad Quimica y Minera de Chile SA Sponsored ADR		622,092
		Total Chile		671,674
		Colombia — 0.0%
	494,873	Grupo Aval Acciones y Valores SA		133,240
		Germany — 0.1%
	54,059	Bayerische Motoren Werke AG		4,371,644
	11,008	Draegerwerk AG & Co KGaA		623,631
	3,461	Villeroy & Boch AG		92,457
	5,481	Volkswagen AG		1,077,442
		Total Germany		6,165,174
		Russia — 0.2%
	15,222	Bashneft PJSC		72,397
	79,750	Nizhnekamskneftekhim PJSC – Class S		45,810
	49,530	Sberbank of Russia PJSC		45,984
	20,862,000	Surgutneftegas PJSC		5,868,799
	12,313	Tatneft PJSC		31,978
	337	Transneft PJSC		416,445
		Total Russia		6,481,413
		South Korea — 0.4%
	4,357	Hyundai Motor Co Ltd-Prf		319,572
	37,422	LG Electronics Inc		1,872,892
	277,666	Samsung Electronics Co Ltd		15,345,901
	1,262	Samsung Electronics Co Ltd GDR (Registered)		1,739,601
		Total South Korea		19,277,966
		Taiwan — 0.0%
	97,864	Chailease Holding Co Ltd		356,168
	368,832	China Development Financial Holding Corp		122,615
		Total Taiwan		478,783
		United States — 0.0%
	39	Gulfport Energy Corp. (e)		181,350

Shares / Par Value†		Description	Value ($)
		United States — continued
	2,313	Murray Energy Corp. (e)		693,900
		Total United States		875,250
		TOTAL PREFERRED STOCKS (COST $66,417,912)		69,239,504
		RIGHTS/WARRANTS — 0.0%
		Egypt — 0.0%
	14,078	Medinet Nasr Housing Co. CVR *		762
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. CVR * (e)		552,100
	222,285	Contra Clementia Pharma CVR * (e)		300,085
��	2,616,810	Media General, Inc. CVR * (e)		130,840
		Total United States		983,025
		TOTAL RIGHTS/WARRANTS (COST $1,183,901)		983,787
		INVESTMENT FUNDS — 0.6%
		United States — 0.6%
	3,755,410	Altaba, Inc. (e)		22,156,919
	110,708	iShares Core MSCI Emerging Markets ETF		6,335,819
		Total United States		28,492,738
		TOTAL INVESTMENT FUNDS (COST $25,808,468)		28,492,738
		DEBT OBLIGATIONS — 26.3%
		Canada — 0.1%
		Corporate Debt — 0.1%
	250,931	Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28		251,303
	2,626,000	Bombardier Inc, 144A, 7.88%, due 04/15/27		2,662,764
		Total Canada		2,914,067
		China — 0.0%
		Corporate Debt — 0.0%
	709,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (h)		69,127
	630,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (h)		57,415
	2,130,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (h)		202,350
		Total China		328,892

88 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

	Par Value†		Description	Value ($)
			Israel — 0.1%
			Corporate Debt — 0.1%
		5,496,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		5,550,273
			Italy — 0.0%
			Corporate Debt — 0.0%
EUR		545,000	Banca Monte dei Paschi di Siena SPA, Reg. S, Variable Rate, 5.38%, due 01/18/28		408,762
			Luxembourg — 0.1%
			Bank Loans
		2,460,000	Delta 2 (LUX) S.a.r.l., 2018 USD Term Loan, Variable Rate, 1 mo. LIBOR plus 2.50%, 3.50%, due 02/01/24 (e)		2,436,433
			Macau — 0.1%
			Corporate Debt — 0.1%
		1,120,000	Wynn Macau Ltd., 144A, 5.50%, due 10/01/27		982,800
		2,250,000	Wynn Macau Ltd., 144A, 5.63%, due 08/26/28		1,958,771
			Total Macau		2,941,571
			Netherlands — 0.0%
			Corporate Debt — 0.0%
EUR		490,150	Evander Gold Mines Ltd, 1.00%, due 04/19/26 (d) (h)		55
			United States — 25.9%
			Asset-Backed Securities — 0.2%
		4,697,761	Alaska Airlines Pass-Through Trust, Series 20-1, Class B, 144A, 8.00%, due 02/15/27		5,165,120
		7,063,383	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (h)		7
		3,792,678	JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30		4,346,102
			Total Asset-Backed Securities		9,511,229
			Bank Loans — 0.4%
		2,077,685	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 3 mo. LIBOR plus 13.00%, 14.00%, due 09/16/25 (e)		2,124,433
		1,908,740	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 1 mo. LIBOR plus 3.75%,, 3.96%, due 10/10/25 (e)		1,388,609

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — continued
	2,447,669	Frontier Communications Corp., 2021 DIP Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.75%,, 4.50%, due 05/01/28 (e)		2,430,340
	4,015,517	Quorum Health Corporation, 2020 Term Loan, Variable Rate, 3 mo. LIBOR plus 7.75%, 8.75%, due 04/29/25 (e)		3,613,965
	7,059,431	SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, Variable Rate, 1 mo. LIBOR plus 3.00%, 3.50%, due 08/25/28 (e)		6,951,351
	1,997,229	Serta Simmons Bedding, LLC, 2020 Super Priority Second Out Term Loan, Variable Rate, 1 mo. LIBOR plus 7.50%, 8.50%, due 08/10/23 (e)		1,919,836
		Total Bank Loans		18,428,534
		Corporate Debt — 2.7%
	1,323,873	American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24		1,325,819
	1,966,706	American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24		1,935,043
	5,044,625	American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25		4,960,035
	2,205,560	American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25		2,200,890
	1,916,750	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		1,866,662
	2,866,554	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		2,812,770
	3,825,079	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		3,644,999
	2,895,004	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,756,514
	2,601,646	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,415,170
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,157,100
	422,000	Boeing Co. (The), 5.81%, due 05/01/50		501,340
	2,963,000	Boeing Co. (The), 5.93%, due 05/01/60		3,518,320
	6,270,000	Carnival Corp, 144A, 7.63%, due 03/01/26		6,445,497
	4,280,000	Carnival Corp, 144A, 5.75%, due 03/01/27		4,168,741
	3,579,000	Carnival Corp, 6.65%, due 01/15/28		3,502,946
	1,120,000	Carrols Restaurant Group, Inc., 144A, 5.88%, due 07/01/29		963,435
	3,615,000	CEC Entertainment LLC, 144A, 6.75%, due 05/01/26		3,440,106
	6,700,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, due 10/01/28 (f)		6,867,500

See accompanying notes to the financial statements. 89

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		781,440
	4,856,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		5,086,660
	1,610,000	Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A, 9.50%, due 07/31/27		1,569,750
	2,010,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		1,713,525
	1,818,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,503,232
	1,523,000	Envision Healthcare Corp., 144A, 8.75%, due 10/15/26		807,190
	1,400,000	Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (d) (h)		140
	1,340,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,393,600
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		292,175
	890,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		938,229
	330,563	Frontier Communications Holdings LLC, 5.88%, due 11/01/29		304,118
	7,923,000	Frontier Communications Holdings LLC, 144A, 6.00%, due 01/15/30		7,380,275
	860,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99		864,816
	4,040,000	Guitar Center, Inc., 144A, 8.50%, due 01/15/26		4,237,637
	18,156	Gulfport Energy Corp., 8.00%, due 05/17/26		19,200
	2,534,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		2,395,688
	2,240,000	LD Holdings Group LLC, 144A, 6.50%, due 11/01/25		2,128,000
	1,120,000	LD Holdings Group LLC, 144A, 6.13%, due 04/01/28		998,760
	2,615,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		2,555,443
	10,720,000	NCL Finance Ltd., 144A, 6.13%, due 03/15/28		10,344,800
	6,282,000	New Residential Investment Corp., 144A, REIT, 6.25%, due 10/15/25		6,161,009
	1,454,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,508,525
	2,986,000	Redfin Corp., 144A, due 10/15/25		2,248,831
	4,746,000	Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27		5,180,686
	3,280,000	Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28		2,973,451
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,115,350
	198,799	Spirit Airlines Pass-Through Trust, 4.10%, due 10/01/29		199,944

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,620,000	Triumph Group, Inc., 144A, 6.25%, due 09/15/24		1,607,850
	1,300,000	Uber Technologies, Inc., 144A, 8.00%, due 11/01/26		1,380,600
	1,120,000	United Wholesale Mortgage LLC, 144A, 5.75%, due 06/15/27		1,070,210
	1,680,000	Wayfair, Inc., 0.63%, due 10/01/25		1,454,880
	278,000	XHR LP, 144A, REIT, 4.88%, due 06/01/29		270,355
		Total Corporate Debt		126,969,256
		U.S. Government — 22.6%
	342,100,000	U.S. Treasury Note, 0.13%, due 02/28/23		338,839,359
	133,550,000	U.S. Treasury Note, 0.13%, due 03/31/23		132,073,646
	133,550,000	U.S. Treasury Note, 0.13%, due 04/30/23		131,891,058
	205,000,000	U.S. Treasury Note, 0.13%, due 06/30/23 (b)		201,933,007
	100,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		98,355,469
	70,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 07/31/23 (b)		70,109,656
	88,450,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.40%, due 10/31/23 (b)		88,609,681
		Total U.S. Government		1,061,811,876
		Total United States		1,216,720,895
		TOTAL DEBT OBLIGATIONS (COST $1,240,643,558)		1,231,300,948
		MUTUAL FUNDS — 0.3%
		United States — 0.3%
		Affiliated Issuers — 0.3%
	2,496,824	GMO U.S. Treasury Fund (i)		12,509,088
		TOTAL MUTUAL FUNDS (COST $12,572,470)		12,509,088
		SHORT-TERM INVESTMENTS — 11.6%
		Money Market Funds — 0.3%
	15,271,872	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (j)		15,271,872
	203,728	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (k)		203,728
		Total Money Market Funds		15,475,600

90 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		U.S. Government — 11.3%
	64,400,000	U.S. Treasury Bill, 0.31%, due 05/24/22 (b) (l)		64,352,816
	50,700,000	U.S. Treasury Bill, 0.35%, due 05/31/22 (b) (k) (l)		50,655,145
	135,000,000	U.S. Treasury Bill, 0.54%, due 07/21/22 (b) (l)		134,712,982
	7,705,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (b) (l)		7,686,822
	800,000	U.S. Treasury Bill, 0.60%, due 08/04/22 (k) (l)		797,941
	254,425,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (l)		253,660,076

Par Value†		Description	Value ($)
		U.S. Government — continued
	11,690,000	U.S. Treasury Bill, 0.73%, due 11/03/22 (b) (k) (l)		11,632,452
	4,060,000	U.S. Treasury Bill, 0.63%, due 12/01/22 (k) (l)		4,040,694
		Total U.S. Government		527,538,928
		TOTAL SHORT-TERM INVESTMENTS (COST $543,161,347)		543,014,528

PURCHASED OPTIONS — 0.0%

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options – Calls — 0.0%
Cedar Fair LP (f)		65.00		04/14/22		263	USD	1,509,094	9,205
Total Equity Options – Calls									9,205
Equity Options – Puts — 0.0%
Kyndryl Holdings, Inc. (f)		15.00		03/18/22		1,110	USD	1,760,460	61,050
Total Equity Options – Puts									61,050

TOTAL PURCHASED OPTIONS (COST $133,061)	70,255
TOTAL INVESTMENTS — 118.4% (Cost $5,724,287,369)	5,540,907,797

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (22.9)%
			Common Stocks — (22.8)%
			Australia — (0.4)%
	(936,532	)	APA Group		(6,846,492	)
	(85,398	)	ASX Ltd		(5,129,128	)
	(17,053	)	Cochlear Ltd		(2,783,800	)
	(3,697	)	Domino’s Pizza Enterprises Ltd		(213,473	)
	(1,574,038	)	Qantas Airways Ltd *		(5,832,559	)
	(1,132	)	Santos Ltd		(6,029	)
			Total Australia		(20,811,481	)
			Austria — (0.2)%
	(69,243	)	Verbund AG		(8,351,850	)
			Belgium — (0.1)%
	(104,741	)	Anheuser-Busch InBev SA/NV		(6,463,337	)
			Canada — (0.7)%
	(24,401	)	Agnico Eagle Mines Ltd		(1,232,007	)
	(253,100	)	AltaGas Ltd		(5,575,189	)

Shares			Description	Value ($)
			Common Stocks — continued
			Canada — continued
	(98,800	)	Cameco Corp		(2,428,504	)
	(1	)	Canadian Pacific Railway Ltd		(70	)
	(145,100	)	Enbridge Inc		(6,265,418	)
	(41,700	)	Franco-Nevada Corp		(6,134,904	)
	(45,800	)	Pan American Silver Corp		(1,082,254	)
	(179,400	)	Pembina Pipeline Corp		(6,092,424	)
	(76,200	)	Restaurant Brands International Inc		(4,265,676	)
			Total Canada		(33,076,446	)
			Denmark — (0.1)%
	(197,671	)	Ambu A/S – Class B		(3,645,202	)
			France — (0.7)%
	(189,085	)	Accor SA *		(6,457,868	)
	(40,200	)	Aeroports de Paris *		(5,683,859	)
	(471,085	)	Getlink SE		(7,683,082	)
	(4,448	)	Hermes International		(6,133,955	)
	(3,919	)	Sartorius Stedim Biotech		(1,502,821	)
	(42,442	)	Ubisoft Entertainment SA *		(2,275,611	)

See accompanying notes to the financial statements. 91

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			France — continued
	(24,232	)	Wendel SE		(2,459,996	)
			Total France		(32,197,192	)
			Germany — (0.8)%
	(71,614	)	Delivery Hero SE *		(3,838,555	)
	(4,596	)	MTU Aero Engines AG		(1,100,219	)
	(64,042	)	Puma SE		(5,872,933	)
	(53,500	)	QIAGEN NV *		(2,687,968	)
	(1,221	)	Rational AG		(898,609	)
	(52,931	)	Scout24 SE		(3,087,484	)
	(46,026	)	Symrise AG – Class A		(5,474,634	)
	(2,707,286	)	Telefonica Deutschland Holding AG		(7,387,763	)
	(103,725	)	Uniper SE		(3,318,282	)
	(74,690	)	Zalando SE *		(4,943,481	)
			Total Germany		(38,609,928	)
			Israel — (0.2)%
	(40,600	)	CyberArk Software Ltd *		(6,907,684	)
	(9,300	)	Kornit Digital Ltd *		(881,919	)
	(39,500	)	Wix.com Ltd *		(3,617,410	)
			Total Israel		(11,407,013	)
			Italy — (0.6)%
	(113,048	)	Amplifon SPA		(4,851,395	)
	(292,947	)	Atlantia SPA *		(5,388,835	)
	(26,610	)	Ferrari NV		(5,718,179	)
	(411,672	)	FinecoBank Banca Fineco SPA		(6,860,852	)
	(499,454	)	Infrastrutture Wireless Italiane SPA		(5,100,079	)
			Total Italy		(27,919,340	)
			Japan — (2.6)%
	(361,800	)	Acom Co Ltd		(1,007,839	)
	(110,800	)	Aeon Co Ltd		(2,510,028	)
	(251,100	)	ANA Holdings Inc *		(5,528,766	)
	(211,200	)	Asahi Intecc Co Ltd		(4,560,509	)
	(18,200	)	Benefit One Inc		(421,547	)
	(40,600	)	East Japan Railway Co		(2,411,995	)
	(58,600	)	GMO Payment Gateway Inc		(5,668,249	)
	(35,900	)	Harmonic Drive Systems Inc		(1,468,444	)
	(237,100	)	Hitachi Metals Ltd *		(4,226,427	)
	(361,100	)	Isetan Mitsukoshi Holdings Ltd		(2,912,107	)
	(279,300	)	Japan Airlines Co Ltd *		(5,538,146	)
	(88,500	)	Japan Airport Terminal Co Ltd *		(4,132,632	)
	(114,100	)	Japan Exchange Group Inc		(2,136,644	)
	(213	)	Japan Real Estate Investment Corp (REIT)		(1,137,793	)
	(260,700	)	JGC Holding Corp		(2,612,972	)
	(251,100	)	Keikyu Corp		(2,631,062	)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(75,000	)	Keio Corp		(3,068,778	)
	(53,800	)	Kintetsu Group Holdings Co Ltd *		(1,616,277	)
	(28,500	)	Lasertec Corp		(5,283,119	)
	(95,300	)	LIXIL Corp		(2,123,985	)
	(152,700	)	M3 Inc		(5,745,107	)
	(130,100	)	Mercari Inc *		(4,074,737	)
	(313,200	)	MonotaRO Co Ltd		(5,895,362	)
	(40,400	)	Nidec Corp		(3,512,118	)
	(274,800	)	Nihon M&A Center Holdings Inc		(4,064,583	)
	(496,500	)	Nippon Paint Holdings Co Ltd		(4,443,721	)
	(60,200	)	Nissin Foods Holdings Co Ltd		(4,809,810	)
	(208,800	)	Odakyu Electric Railway Co Ltd		(3,444,883	)
	(42,000	)	ORIENTAL LAND CO LTD		(7,764,320	)
	(450,800	)	Rakuten Group Inc		(3,832,083	)
	(39,900	)	Shiseido Co Ltd		(2,289,705	)
	(63,200	)	Tobu Railway Co Ltd		(1,553,493	)
	(97,000	)	Tokyu Corp		(1,293,629	)
	(129,200	)	West Japan Railway Co		(5,574,190	)
			Total Japan		(119,295,060	)
			Netherlands — (0.3)%
	(2,920	)	Adyen NV *		(6,086,075	)
	(16,495	)	Heineken Holding NV		(1,347,129	)
	(14,409	)	IMCD NV		(2,340,617	)
	(114,752	)	Just Eat Takeaway.com NV *		(4,644,262	)
			Total Netherlands		(14,418,083	)
			New Zealand — (0.1)%
	(66,582	)	Xero Ltd *		(4,578,045	)
			Norway — (0.0)%
	(18,122	)	Schibsted ASA – Class A		(520,789	)
	(24,400	)	Schibsted ASA – Class B		(633,404	)
			Total Norway		(1,154,193	)
			Singapore — (0.2)%
	(322,500	)	City Developments Ltd		(1,706,512	)
	(1,589,800	)	Singapore Airlines Ltd *		(6,019,752	)
	(543,800	)	Singapore Exchange Ltd		(3,772,768	)
			Total Singapore		(11,499,032	)
			Spain — (0.5)%
	(33,533	)	Aena SME SA *		(5,472,759	)
	(129,034	)	Cellnex Telecom SA		(5,836,493	)
	(264,194	)	Ferrovial SA		(7,197,755	)
	(300,239	)	Siemens Gamesa Renewable Energy SA *		(6,908,437	)
			Total Spain		(25,415,444	)

92 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			Sweden — (0.3)%
	(578,046	)	Embracer Group AB – Class B *		(4,962,025	)
	(10,356	)	EQT AB		(346,615	)
	(50,487	)	Evolution AB		(5,788,793	)
	(514,088	)	Sinch AB *		(4,336,538	)
			Total Sweden		(15,433,971	)
			Switzerland — (0.3)%
	(9	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(1,010,204	)
	(4,628	)	Partners Group Holding AG		(6,256,077	)
	(2,656	)	Sika AG (Registered)		(881,353	)
	(3,447	)	Straumann Holding AG (Registered)		(5,475,432	)
			Total Switzerland		(13,623,066	)
			United Kingdom — (1.5)%
	(75,513	)	Admiral Group Plc		(3,008,105	)
	(146,207	)	Antofagasta Plc		(2,960,376	)
	(64	)	AstraZeneca Plc Sponsored ADR		(3,896	)
	(800,119	)	Auto Trader Group Plc		(7,076,311	)
	(1,316,297	)	ConvaTec Group Plc		(3,182,343	)
	(10,549	)	Croda International Plc		(1,055,943	)
	(7,607	)	Experian Plc		(297,163	)
	(71,627	)	Halma Plc		(2,310,261	)
	(377,520	)	Hargreaves Lansdown Plc		(5,721,771	)
	(1,032,662	)	Informa Plc *		(8,176,450	)
	(26,741	)	InterContinental Hotels Group Plc *		(1,862,053	)
	(257,010	)	Land Securities Group Plc (REIT)		(2,723,462	)
	(69,887	)	London Stock Exchange Group Plc		(6,105,095	)
	(290,001	)	Ocado Group Plc *		(5,332,801	)
	(1,121,570	)	Rentokil Initial Plc		(7,611,379	)
	(4,194,989	)	Rolls-Royce Holdings Plc *		(5,786,823	)
	(18,035	)	Spirax-Sarco Engineering Plc		(2,873,958	)
			Total United Kingdom		(66,088,190	)
			United States — (13.2)%
	(57	)	Advanced Micro Devices, Inc. *		(7,030	)
	(246,100	)	AES Corp. (The)		(5,224,703	)
	(38,200	)	Airbnb, Inc. – Class A *		(5,786,918	)
	(23,762	)	Albertsons Cos, Inc. – Class A		(692,662	)
	(17,500	)	American Tower Corp. (REIT)		(3,970,225	)
	(1	)	Analog Devices, Inc.		(160	)
	(74,397	)	Aon Plc – Class A		(21,734,340	)
	(167,600	)	Aramark		(6,194,496	)
	(40,300	)	Arthur J Gallagher & Co.		(6,375,057	)
	(26,900	)	Autodesk, Inc. *		(5,924,187	)
	(56,800	)	Avalara, Inc. *		(5,902,088	)
	(27,400	)	Bill.com Holdings, Inc. *		(6,517,912	)
	(6,900	)	Bio-Techne Corp.		(2,893,929	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(69,300	)	BioMarin Pharmaceutical, Inc. *		(5,413,716	)
	(49,502	)	Block Inc. – Class A *		(6,311,505	)
	(30,200	)	Boeing Co. (The) *		(6,201,268	)
	(11,700	)	Broadcom, Inc.		(6,873,048	)
	(25,700	)	Burlington Stores, Inc. *		(5,805,373	)
	(78,300	)	Caesars Entertainment, Inc. *		(6,592,077	)
	(2,700	)	Camden Property Trust (REIT)		(445,797	)
	(41,400	)	Carvana Co. – Class A *		(6,229,458	)
	(32,700	)	Catalent, Inc. *		(3,336,708	)
	(73,500	)	Ceridian HCM Holding, Inc. *		(5,358,885	)
	(14,085	)	Charter Communications, Inc. – Class A *		(8,476,071	)
	(4,200	)	Chipotle Mexican Grill, Inc. – Class A *		(6,398,070	)
	(314,389	)	Citizens Financial Group, Inc.		(16,480,271	)
	(242,400	)	Clarivate Plc *		(3,631,152	)
	(64,200	)	Cloudflare, Inc. – Class A *		(7,474,164	)
	(25,600	)	CME Group, Inc.		(6,055,168	)
	(2,500	)	Cognex Corp.		(168,900	)
	(307,436	)	Columbia Banking System, Inc.		(11,261,381	)
	(44,000	)	Coupa Software, Inc. *		(5,324,440	)
	(23,500	)	Crown Castle International Corp. (REIT)		(3,914,865	)
	(110,200	)	Delta Air Lines, Inc. *		(4,399,184	)
	(13,400	)	Dexcom, Inc. *		(5,546,394	)
	(49,000	)	DocuSign, Inc. – Class A *		(5,803,070	)
	(15,100	)	DoorDash, Inc. – Class A *		(1,584,745	)
	(286,400	)	DraftKings Inc. – Class A *		(6,781,952	)
	(3,300	)	Ecolab, Inc.		(581,658	)
	(25,420	)	Entegris, Inc.		(3,316,802	)
	(6,100	)	Equinix, Inc. (REIT)		(4,329,353	)
	(53,500	)	Equity LifeStyle Properties, Inc. (REIT)		(3,992,170	)
	(2,200	)	Erie Indemnity Co. – Class A		(385,220	)
	(74,900	)	Exact Sciences Corp. *		(5,846,694	)
	(26,800	)	Expedia Group, Inc. *		(5,255,748	)
	(1,200	)	Extra Space Storage, Inc. (REIT)		(225,780	)
	(42,400	)	Fastenal Co.		(2,181,904	)
	(20,400	)	First Republic Bank		(3,534,504	)
	(295,170	)	Fox Corp. – Class A		(12,346,961	)
	(65,600	)	Guidewire Software, Inc. *		(5,782,640	)
	(35,000	)	Hess Corp.		(3,537,100	)
	(13,300	)	HubSpot, Inc. *		(6,982,500	)
	(11,500	)	IDEXX Laboratories, Inc. *		(6,122,025	)
	(17,414	)	II-VI, Inc. *		(1,209,576	)
	(87,100	)	Ingersoll Rand, Inc.		(4,400,292	)
	(26,200	)	Insulet Corp. *		(6,934,878	)
	(19,200	)	Invitation Homes, Inc. (REIT)		(725,760	)
	(10,400	)	Ionis Pharmaceuticals, Inc. *		(347,152	)
	(29,500	)	IQVIA Holdings, Inc. *		(6,788,540	)
	(91,100	)	Iron Mountain, Inc. (REIT)		(4,480,298	)
	(14,600	)	Kroger Co. (The)		(683,280	)
	(110,800	)	Lamb Weston Holdings, Inc.		(7,360,444	)

See accompanying notes to the financial statements. 93

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(23,500	)	Liberty Broadband Corp. – Class A *		(3,403,035	)
	(33,600	)	Liberty Broadband Corp. – Class C *		(4,929,120	)
	(129,000	)	Liberty Media Corp-Liberty Formula One – Class C *		(7,834,170	)
	(19,300	)	Linde Plc		(5,659,532	)
	(68,400	)	Live Nation Entertainment, Inc. *		(8,264,088	)
	(100,593	)	M&T Bank Corp.		(18,331,062	)
	(15,900	)	MarketAxess Holdings, Inc.		(6,064,737	)
	(36,900	)	Marriott International, Inc. – Class A *		(6,278,166	)
	(30,613	)	Marvell Technology, Inc.		(2,091,786	)
	(64,400	)	MGM Resorts International		(2,852,276	)
	(15,700	)	MongoDB, Inc. – Class A *		(5,997,243	)
	(8,800	)	Monolithic Power Systems, Inc.		(4,036,560	)
	(12,800	)	MSCI, Inc. – Class A		(6,421,632	)
	(56,829	)	NortonLifeLock, Inc.		(1,646,905	)
	(83,000	)	Novocure Ltd. *		(6,794,380	)
	(303,700	)	Oak Street Health, Inc. *		(5,317,787	)
	(32,400	)	Okta, Inc. *		(5,924,016	)
	(7,400	)	ONEOK, Inc.		(483,220	)
	(307,600	)	Palantir Technologies, Inc. – Class A *		(3,645,060	)
	(2,200	)	Palo Alto Networks, Inc. *		(1,307,350	)
	(138,000	)	Peloton Interactive, Inc. – Class A *		(4,010,280	)
	(1	)	Realty Income Corp. (REIT)		(66	)
	(33,700	)	RingCentral, Inc. – Class A *		(4,409,308	)
	(37,200	)	Roku, Inc. *		(5,190,516	)
	(89,350	)	Rollins, Inc.		(2,915,491	)
	(86,200	)	Royal Caribbean Cruises Ltd. *		(6,958,064	)
	(37,380	)	S&P Global, Inc.		(14,043,666	)
	(14	)	salesforce.com, Inc. *		(2,948	)
	(85,700	)	Sarepta Therapeutics, Inc. *		(6,565,477	)
	(44,400	)	Seagen, Inc. *		(5,721,828	)
	(12,400	)	ServiceNow, Inc. *		(7,191,008	)
	(28,300	)	Simon Property Group, Inc. (REIT)		(3,892,948	)
	(179,000	)	Snap, Inc. – Class A *		(7,149,260	)
	(22,600	)	Snowflake, Inc. – Class A *		(6,003,916	)
	(302,513	)	Spirit Airlines, Inc. *		(7,587,026	)
	(41,600	)	T-Mobile US, Inc. *		(5,125,536	)
	(67,757	)	Take-Two Interactive Software, Inc. *		(10,976,634	)
	(77,000	)	Teladoc Health, Inc. *		(5,845,070	)
	(110	)	Teledyne Technologies, Inc. *		(47,232	)
	(7,900	)	Tesla, Inc. *		(6,876,397	)
	(17,600	)	Trade Desk, Inc. (The) – Class A *		(1,501,632	)
	(4,600	)	Tradeweb Markets, Inc. – Class A		(388,608	)
	(29,900	)	Twilio, Inc. – Class A *		(5,226,520	)
	(142,600	)	Twitter, Inc. *		(5,069,430	)
	(161,100	)	Uber Technologies, Inc. *		(5,804,433	)
	(73,500	)	UDR, Inc. (REIT)		(4,032,945	)
	(47,300	)	Upstart Holdings, Inc. *		(7,472,927	)
	(22,800	)	Vail Resorts, Inc.		(5,940,540	)

Shares / Par Value†			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(258,000	)	Vistra Corp.		(5,887,560	)
	(125,115	)	Vonage Holdings Corp. *		(2,542,337	)
	(24,600	)	Wayfair, Inc. – Class A *		(3,465,402	)
	(272,700	)	Williams Cos, Inc. (The)		(8,530,056	)
	(59,100	)	Zendesk, Inc. *		(6,895,197	)
	(94,900	)	Zillow Group, Inc. – Class A *		(5,434,923	)
	(72,949	)	Zillow Group, Inc. – Class C *		(4,196,026	)
	(9,000	)	Zoetis, Inc.		(1,742,850	)
	(57,000	)	ZoomInfo Technologies, Inc. – Class A *		(3,117,330	)
	(25,100	)	Zscaler, Inc. *		(6,002,664	)
			Total United States		(615,488,824	)
			TOTAL COMMON STOCKS (PROCEEDS $1,137,546,440)		(1,069,475,697	)
			PREFERRED STOCKS (g) — (0.1)%
			Germany — (0.1)%
	(10,645	)	Sartorius AG		(4,699,907	)
			TOTAL PREFERRED STOCKS (PROCEEDS $4,623,495)		(4,699,907	)
			DEBT OBLIGATIONS — (0.0)%
			United States — (0.0)%
			Corporate Debt — (0.0)%
	(1,335,400	)	Kyndryl Holdings, Inc. 144A, 3.15%, due 10/15/31 (f)		(1,210,022	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $1,263,658)		(1,210,022	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,143,433,593)		(1,075,385,626	)
			Other Assets and Liabilities (net) — 4.5%		215,703,728
			TOTAL NET ASSETS — 100.0%		$4,681,225,899

94 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased				Net Unrealized Appreciation (Depreciation) ($)
03/18/2022	MSCI		AUD	32,361,058		USD	23,640,595			131,466
03/18/2022	SSB		AUD	1,754,080		USD	1,248,412	��		(25,863	)
04/21/2022	BOA		AUD	30,351,282		USD	22,040,035			(20,364	)
04/21/2022	MSCI		AUD	6,208,545		USD	4,460,902			(51,690	)
04/21/2022	SSB		AUD	27,624,660		USD	19,911,863			(166,729	)
05/09/2022	BCLY		AUD	26,510,000		USD	18,888,375			(384,730	)
05/09/2022	JPM		AUD	8,360,000		USD	5,940,449			(137,377	)
05/09/2022	MSCI		AUD	65,420,050		USD	46,207,594			(1,353,608	)
03/25/2022	MSCI		CAD	24,691,148		USD	19,539,608			57,247
04/12/2022	SSB		CAD	21,744,531		USD	17,185,573			27,598
04/25/2022	JPM		CAD	25,000,000		USD	19,780,046			53,282
04/25/2022	SSB		CAD	3,801,693		USD	3,005,653			5,849
05/02/2022	JPM		CAD	14,013,337		USD	11,040,000			(17,510	)
03/28/2022	UBSA		CHF	9,130,938		USD	9,974,807			6,667
05/16/2022	MSCI		CHF	78,638,805		USD	85,385,080			(631,354	)
05/16/2022	MSCI		CLP	3,090,639,500		USD	3,826,706			(1,124	)
03/17/2022	MSCI		COP	39,147,255,000		USD	9,959,360			31,274
03/21/2022	JPM		EUR	2,675,275		USD	3,028,639			26,670
03/21/2022	MSCI		EUR	2,749,217		USD	3,129,269			44,328
03/21/2022	SSB		EUR	3,473,656		USD	3,924,067			26,222
03/28/2022	JPM		EUR	1,748,851		USD	1,984,071			21,071
03/31/2022	JPM		EUR	7,600,000		USD	8,538,980			7,258
04/21/2022	BOA		EUR	11,445,200		USD	13,020,174			162,230
04/21/2022	MSCI		EUR	10,250,391		USD	11,650,060			134,407
04/21/2022	SSB		EUR	104,438,758		USD	118,787,148			1,456,942
03/21/2022	SSB		GBP	4,484,937		USD	6,097,025			79,462
04/21/2022	BCLY		GBP	6,189,000		USD	8,412,349			107,861
04/21/2022	MSCI		GBP	22,513,208		USD	30,623,986			415,448
05/16/2022	BCLY		GBP	7,590,000		USD	10,163,664			(19,458	)
04/21/2022	CITI		HKD	9,734,200		USD	1,250,457			4,722
04/21/2022	JPM		HKD	37,206,100		USD	4,776,169			14,714
04/21/2022	SSB		HKD	10,074,000		USD	1,291,809			2,587
05/16/2022	MSCI		HUF	2,148,383,873		USD	6,878,350			450,416
04/29/2022	CITI		ILS	6,923,009		USD	2,140,000			(19,421	)
04/29/2022	GS		ILS	13,463,010		USD	4,223,497			24,123
04/29/2022	JPM		ILS	7,819,962		USD	2,420,000			(19,198	)
03/08/2022	JPM		INR	913,703,030		USD	12,183,611			62,549
03/08/2022	MSCI		INR	143,341,700		USD	1,900,000			(1,552	)
06/03/2022	MSCI		INR	1,057,044,730		USD	13,836,569			(21,950	)
03/07/2022	MSCI		JPY	248,767,820		USD	2,167,137			3,098
03/07/2022	SSB		JPY	101,121,756		USD	879,128			(533	)
03/09/2022	JPM		JPY	2,038,379,448		USD	17,650,000			(82,517	)
04/21/2022	BCLY		JPY	733,043,700		USD	6,426,294			43,031
04/21/2022	DB		JPY	929,727,700		USD	8,062,291			(33,674	)
04/21/2022	SSB		JPY	3,095,070,200		USD	27,061,809			110,281
05/09/2022	BCLY		KRW	17,520,506,982		USD	14,542,495			(18,495	)
03/22/2022	MSCI		MXN	131,035,729		USD	6,425,084			48,517
03/01/2022	JPM		NZD	27,360,000		USD	18,282,444			(229,333	)
03/01/2022	MSCI		NZD	155,970,000		USD	103,358,312			(2,170,998	)
06/01/2022	JPM		NZD	145,700,000		USD	97,930,069			(515,621	)
04/19/2022	JPM		PLN	9,045,897		USD	2,130,000			(17,239	)
04/19/2022	SSB		PLN	17,825,029		USD	4,430,000			198,845
03/31/2022	CITI		RON	70,423,727		USD	15,731,521			(180,496	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/16/2022	BCLY		RUB	757,620,094		USD	8,539,530		1,544,278
05/11/2022	MSCI		RUB	425,279,311		USD	4,886,751		1,228,435
03/07/2022	CITI		SEK	51,796,940		USD	5,652,331		183,390
03/07/2022	JPM		SEK	147,773,717		USD	15,720,000		117,425
05/18/2022	MSCI		THB	327,958,759		USD	10,143,473		103,637
05/17/2022	JPM		TWD	124,951,385		USD	4,508,764		34,956
03/18/2022	DB		USD	701,812		AUD	983,205		12,450
03/18/2022	GS		USD	701,565		AUD	983,204		12,697
04/21/2022	GS		USD	1,843,253		AUD	2,568,600		23,697
05/09/2022	JPM		USD	32,691,307		AUD	45,410,000		322,337
04/04/2022	CITI		USD	4,320,000		BRL	23,423,549		187,823
04/04/2022	GS		USD	6,110,000		BRL	32,009,144		50,106
04/04/2022	MSCI		USD	5,090,000		BRL	27,297,893		163,434
03/25/2022	JPM		USD	528,421		CAD	673,000		2,604
03/25/2022	SSB		USD	172,977		CAD	219,792		448
04/12/2022	MSCI		USD	6,070,530		CAD	7,718,166		19,650
04/12/2022	SSB		USD	916,817		CAD	1,150,120		(9,291	)
05/02/2022	BCLY		USD	84,516,579		CAD	107,916,938		637,485
05/02/2022	JPM		USD	44,290,000		CAD	56,205,986		60,481
05/16/2022	JPM		USD	21,080,000		CHF	19,306,285		37,536
05/16/2022	MSCI		USD	3,775,057		CLP	3,090,639,500		52,773
03/17/2022	MSCI		USD	7,200,000		COP	28,284,479,700		(26,809	)
05/18/2022	MSCI		USD	13,285,325		CZK	287,706,993		(568,100	)
03/18/2022	BCLY		USD	389,294		EUR	339,210		(8,710	)
03/18/2022	UBSA		USD	353,651		EUR	307,780		(8,330	)
03/21/2022	UBSA		USD	11,381,324		EUR	10,028,632		(128,036	)
03/28/2022	BCLY		USD	22,915,959		EUR	20,262,879		(171,865	)
03/31/2022	SSB		USD	8,497,001		EUR	7,600,000		34,721
04/21/2022	BCLY		USD	24,506,392		EUR	21,720,500		(104,811	)
04/21/2022	MSCI		USD	153,875		EUR	136,880		(99	)
04/21/2022	SSB		USD	6,828,374		EUR	6,101,444		26,205
04/26/2022	MSCI		USD	32,590,877		EUR	28,787,041		(244,996	)
03/21/2022	BCLY		USD	1,427,426		GBP	1,055,238		(11,584	)
04/21/2022	CITI		USD	3,285,631		GBP	2,452,700		5,436
04/21/2022	SSB		USD	2,992,893		GBP	2,216,300		(19,031	)
05/16/2022	BCLY		USD	4,566,516		GBP	3,360,000		(58,573	)
05/16/2022	MSCI		USD	59,749,353		GBP	43,872,700		(887,551	)
04/21/2022	JPM		USD	744,478		HKD	5,795,200		(2,837	)
05/16/2022	MSCI		USD	2,880,000		HUF	909,907,200		(157,570	)
05/04/2022	JPM		USD	7,927,012		IDR	114,941,677,400		36,247
04/29/2022	JPM		USD	6,669,896		ILS	21,282,972		(31,324	)
03/08/2022	MSCI		USD	13,989,105		INR	1,057,044,730		33,510
03/07/2022	DB		USD	30,129,566		JPY	3,450,332,473		(115,024	)
03/09/2022	DB		USD	11,050,000		JPY	1,275,313,650		44,363
03/09/2022	JPM		USD	16,240,000		JPY	1,856,702,960		(87,945	)
03/09/2022	MSCI		USD	86,308,380		JPY	9,946,795,658		221,989
04/04/2022	MSCI		USD	21,816,970		JPY	2,500,000,000		(54,743	)
04/21/2022	DB		USD	11,665,124		JPY	1,338,669,700		(8,137	)
05/09/2022	SSB		USD	21,829,714		JPY	2,500,000,000		(51,059	)
05/09/2022	UBSA		USD	2,222,380		JPY	256,278,010		10,176
05/09/2022	BCLY		USD	2,990,000		KRW	3,590,093,000		(6,336	)
05/09/2022	JPM		USD	1,970,000		KRW	2,364,906,200		(4,567	)
05/09/2022	MSCI		USD	5,110,000		KRW	6,130,485,080		(15,059	)

See accompanying notes to the financial statements. 95

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/22/2022	JPM		USD	2,420,000		MXN	49,568,993		(7,834	)
05/16/2022	BCLY	��	USD	66,130,185		NOK	585,020,685		184,732
03/01/2022	JPM		USD	98,085,240		NZD	145,700,000		495,388
03/01/2022	MSCI		USD	25,034,350		NZD	37,630,000		426,110
03/18/2022	GS		USD	1,918,048		NZD	2,835,010		(256	)
03/18/2022	SSB		USD	1,617,358		NZD	2,424,663		22,846
04/19/2022	DB		USD	2,020,000		PLN	8,046,082		(110,089	)
04/19/2022	MSCI		USD	6,213,463		PLN	24,701,002		(350,147	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/11/2022	MSCI		USD	15,131,041		RUB	1,182,899,405		(4,955,563	)
03/07/2022	BCLY		USD	45,131,777		SEK	410,867,289		(1,750,668	)
03/18/2022	MSCI		USD	4,016,125		SGD	5,399,279		(33,857	)
05/18/2022	MSCI		USD	1,810,000		THB	58,712,961		(12,614	)
05/17/2022	JPM		USD	1,710,000		TWD	47,611,530		(5,298	)
05/31/2022	MSCI		USD	2,565,791		ZAR	40,189,269		17,958
								$	(6,016,059	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
56	Australian Government Bond 10 Yr.	March 2022		5,471,718		(193,689	)
197	CAC40 10 Euro	March 2022		14,588,802		(764,782	)
11	Canadian Government Bond 10 Yr.	June 2022		1,186,091		8,053
64	Corn (k)	May 2022		2,210,400		159,873
111	DAX Index	March 2022		44,795,891		(3,539,206	)
383	FTSE 100 Index	March 2022		38,095,058		915,239
149	Hang Seng Index	March 2022		21,616,684		(882,989	)
34	MSCI Singapore	March 2022		836,958		(25,944	)
14	S&P/TSX 60	March 2022		2,817,452		(29,298	)
109	Silver (k)	May 2022		13,279,470		596,285
4	U.S. Treasury Ultra 10 Yr. (CBT)	June 2022		565,313		6,680
92	WTI Crude (k)	April 2022		8,806,240		596,139
			$	154,270,077	$	(3,153,639	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
428	E-mini Russell 2000 Index	March 2022		43,752,300		2,850,893
176	Euro Bund	March 2022		32,963,665		1,218,238
2,016	Euro STOXX 50	March 2022		88,222,112		6,699,003
189	FTSE 100 Index	March 2022		18,798,867		(160,463	)
98	FTSE Taiwan Index	March 2022		6,108,415		71,395
6	Gold 100 OZ (k)	April 2022		1,140,420		(48,792	)
36	Hang Seng Index	March 2022		5,222,823		196,691
3,630	Mini MSCI Emerging Markets	March 2022		213,353,250		11,345,810
2,117	S&P 500 E-Mini	March 2022		462,352,800		26,165,742
479	SGX Nifty 50	March 2022		16,153,182		325,189
34	Soybean (k)	May 2022		2,782,475		(72,881	)
110	SPI 200 Futures	March 2022		14,072,040		389,549
315	TOPIX Index	March 2022		51,894,605		1,896,184
109	U.S. Treasury Note 10 Yr. (CBT)	June 2022		13,890,688		(105,055	)
17	U.S. Ultra Bond (CBT)	June 2022		3,160,938		(40,930	)
126	UK Gilt Long Bond	June 2022		20,804,095		(101,879	)
			$	994,672,675	$	50,628,694

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(152,043,750	)
Average interest rate (net)		(0.02	)%
Maximum balance outstanding	$	(152,043,750	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

96 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Written Options

Equity Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount		Value ($)
Equity Options – Calls
Activision Blizzard, Inc. (f)		82.50		05/20/22		(1,265	)	USD	(10,309,750)		(170,775	)
Zynga, Inc. (f)		9.00		05/20/22		(7,188	)	USD	(6,526,704)		(409,716	)
Activision Blizzard, Inc. (f)		82.50		06/17/22		(649	)	USD	(5,289,350)		(113,575	)
						Total Equity Options — Calls					(694,066	)
						TOTAL WRITTEN OPTIONS (Premiums $955,223)					$(694,066)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Halliburton Co.	BOA		USD	1,140,000		1.00%		0.54%		N/A		12/20/2024		Quarterly		96,637			(14,284	)		(110,921	)
HCA, Inc.	BCLY		USD	1,140,000		5.00%		0.80%		N/A		12/20/2024		Quarterly		(139,584	)		(130,709	)		8,875
Tenet Healthcare Corp.	JPM		USD	570,000		5.00%		2.06%		N/A		12/20/2024		Quarterly		14,842			(44,317	)		(59,159	)
Tenet Healthcare Corp.	JPM		USD	1,140,000		5.00%		2.06%		N/A		12/20/2024		Quarterly		142,500			(88,634	)		(231,134	)
United Rentals North America, Inc.	CSI		USD	1,140,000		5.00%		0.77%		N/A		12/20/2024		Quarterly		(96,605	)		(131,440	)		(34,835	)
United Rentals North America, Inc.	JPM		USD	1,140,000		5.00%		0.77%		N/A		12/20/2024		Quarterly		(51,323	)		(131,440	)		(80,117	)
															$	(33,533	)	$	(540,824	)	$	(507,291	)

^ Buy Protection - Fund pays a 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.

Sell Protection - 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.

⁽¹⁾  As of February 28, 2022, implied credit spreads in absolute terms, calculated using a model, 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.

See accompanying notes to the financial statements. 97

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.60%	3 Month AUD BBSW	AUD	54,980,000		03/16/2024	Quarterly		—			(143,237	)		(143,237	)
1.82%	3 Month CAD CDOR	CAD	533,270,000		03/16/2024	Semi-Annually		(111,492	)		1,656,156			1,767,648
1.99%	3 Month CAD CDOR	CAD	80,780,000		03/16/2024	Semi-Annually		—			36,672			36,672
1.90%	3 Month CAD CDOR	CAD	150,850,000		03/16/2024	Semi-Annually		—			285,494			285,494
1.95%	3 Month CAD CDOR	CAD	66,360,000		03/16/2024	Semi-Annually		—			67,796			67,796
3 Month CAD CDOR	2.12%	CAD	53,560,000		03/16/2024	Semi-Annually		—			83,558			83,558
3 Month CAD CDOR	1.74%	CAD	109,780,000		03/16/2024	Semi-Annually		—			(480,942	)		(480,942	)
3 Month CAD CDOR	1.80%	CAD	76,440,000		03/16/2024	Semi-Annually		—			(254,040	)		(254,040	)
2.03%	3 Month CAD CDOR	CAD	74,980,000		03/16/2024	Semi-Annually		—			(15,522	)		(15,522	)
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	120,680,000		03/16/2024	Annually		—			671,531			671,531
(0.54)%	CHF - SARON - OIS - COMPOUND	CHF	18,430,000		03/16/2024	Annually		(5,582	)		105,643			111,225
(0.44)%	CHF - SARON - OIS - COMPOUND	CHF	45,310,000		03/16/2024	Annually		—			155,447			155,447
CHF -  SARON - OIS - COMPOUND	(0.17)%	CHF	37,550,000		03/16/2024	Annually		—			96,868			96,868
(0.08)%	CHF - SARON - OIS - COMPOUND	CHF	68,870,000		03/16/2024	Annually		—			(318,465	)		(318,465	)
(0.24)%	CHF - SARON - OIS - COMPOUND	CHF	88,780,000		03/16/2024	Annually		—			(92,153	)		(92,153	)
(0.25)%	CHF - SARON - OIS - COMPOUND	CHF	87,380,000		03/16/2024	Annually		—			(71,176	)		(71,176	)
(0.28)%	CHF - SARON - OIS - COMPOUND	CHF	93,240,000		03/16/2024	Annually		—			(13,450	)		(13,450	)
GBP - SONIA - COMPOUND	1.64%	GBP	447,810,000		03/16/2024	Annually		187,132			300,363			113,231
GBP - SONIA - COMPOUND	1.80%	GBP	45,600,000		03/16/2024	Annually		31,363			228,675			197,312
1.62%	GBP - SONIA - COMPOUND	GBP	62,880,000		03/16/2024	Annually		20,419			(17,344	)		(37,763	)
1.67%	GBP - SONIA - COMPOUND	GBP	37,870,000		03/16/2024	Annually		1,131			(55,312	)		(56,443	)
1.67%	GBP - SONIA - COMPOUND	GBP	39,510,000		03/16/2024	Annually		(3,915	)		(67,069	)		(63,154	)
2.51%	3 Month NZD Bank Bill Rate	NZD	74,590,000		03/16/2024	Quarterly		—			281,418			281,418
2.40%	3 Month NZD Bank Bill Rate	NZD	76,150,000		03/16/2024	Quarterly		—			397,792			397,792
2.38%	3 Month NZD Bank Bill Rate	NZD	86,680,000		03/16/2024	Quarterly		—			475,665			475,665
2.61%	3 Month NZD Bank Bill Rate	NZD	96,080,000		03/16/2024	Quarterly		—			235,764			235,764
3 Month NZD Bank Bill Rate	2.53%	NZD	201,880,000		03/16/2024	Quarterly		—			(708,408	)		(708,408	)
3 Month NZD Bank Bill Rate	2.60%	NZD	252,290,000		03/16/2024	Quarterly		23,085			(649,028	)		(672,113	)
0.34%	3 Month SEK STIBOR	SEK	3,652,000,000		03/16/2024	Quarterly		—			2,276,152			2,276,152
0.33%	3 Month SEK STIBOR	SEK	537,510,000		03/16/2024	Quarterly		(39,275	)		340,808			380,083
0.33%	3 Month SEK STIBOR	SEK	452,900,000		03/16/2024	Quarterly		—			289,077			289,077
0.32%	3 Month SEK STIBOR	SEK	150,900,000		03/16/2024	Quarterly		—			98,710			98,710
3 Month SEK STIBOR	0.72%	SEK	537,000,000		03/16/2024	Quarterly		—			94,532			94,532
3 Month SEK STIBOR	0.69%	SEK	977,600,000		03/16/2024	Quarterly		—			114,197			114,197
3 Month SEK STIBOR	0.69%	SEK	904,900,000		03/16/2024	Quarterly		—			111,447			111,447
3 Month SEK STIBOR	0.64%	SEK	503,300,000		03/16/2024	Quarterly		—			8,759			8,759
3 Month SEK STIBOR	0.42%	SEK	230,700,000		03/16/2024	Quarterly		5,200			(103,335	)		(108,535	)
3 Month SEK STIBOR	0.63%	SEK	434,300,000		03/16/2024	Quarterly		—			(1,627	)		(1,627	)
1.22%	USD - SOFR - COMPOUND	USD	65,120,000		03/16/2024	Annually		13,871			243,147			229,276
USD - SOFR - COMPOUND	1.46%	USD	40,790,000		03/16/2024	Annually		5,121			39,948			34,827
USD - SOFR - COMPOUND	0.97%	USD	38,560,000		03/16/2024	Annually		(12,242	)		(338,808	)		(326,566	)
USD - SOFR - COMPOUND	1.01%	USD	97,090,000		03/16/2024	Annually		(18,508	)		(775,523	)		(757,015	)
USD - SOFR - COMPOUND	1.15%	USD	60,470,000		03/16/2024	Annually		(6,901	)		(313,943	)		(307,042	)
USD - SOFR - COMPOUND	1.05%	USD	57,610,000		03/16/2024	Annually		(8,685	)		(419,901	)		(411,216	)
1.61%	USD - SOFR - COMPOUND	USD	39,480,000		03/16/2024	Annually		(11,596	)		(153,780	)		(142,184	)
6 Month EURIBOR	0.22%	EUR	67,470,000		03/20/2024	Semi-Annually		1,916			262,175			260,259
6 Month EURIBOR	0.20%	EUR	46,750,000		03/20/2024	Semi-Annually		(7,347	)		165,466			172,813
6 Month EURIBOR	0.20%	EUR	33,660,000		03/20/2024	Semi-Annually		(31,316	)		119,898			151,214
6 Month EURIBOR	0.17%	EUR	47,370,000		03/20/2024	Semi-Annually		5,073			127,441			122,368
6 Month EURIBOR	(0.23)%	EUR	42,040,000		03/20/2024	Semi-Annually		(2,926	)		(260,023	)		(257,097	)
6 Month EURIBOR	(0.20)%	EUR	49,880,000		03/20/2024	Semi-Annually		(145	)		(273,505	)		(273,360	)
6 Month EURIBOR	(0.07)%	EUR	50,080,000		03/20/2024	Semi-Annually		593			(130,598	)		(131,191	)
1.95%	6 Month AUD BBSW	AUD	12,910,000		03/16/2032	Semi-Annually		—			429,106			429,106
1.96%	6 Month AUD BBSW	AUD	21,380,000		03/16/2032	Semi-Annually		—			694,049			694,049
2.10%	6 Month AUD BBSW	AUD	15,790,000		03/16/2032	Semi-Annually		—			367,638			367,638

98 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
2.10%	6 Month AUD BBSW	AUD	15,790,000		03/16/2032	Semi-Annually		—			372,741			372,741
2.15%	6 Month AUD BBSW	AUD	17,560,000		03/16/2032	Semi-Annually		—			360,036			360,036
2.43%	6 Month AUD BBSW	AUD	32,990,000		03/16/2032	Semi-Annually		—			71,265			71,265
6 Month AUD BBSW	2.52%	AUD	25,350,000		03/16/2032	Semi-Annually		—			94,775			94,775
6 Month AUD BBSW	2.52%	AUD	48,720,000		03/16/2032	Semi-Annually		—			182,148			182,148
6 Month AUD BBSW	2.53%	AUD	12,190,000		03/16/2032	Semi-Annually		—			51,484			51,484
6 Month AUD BBSW	2.54%	AUD	15,350,000		03/16/2032	Semi-Annually		—			77,234			77,234
6 Month AUD BBSW	1.97%	AUD	25,460,000		03/16/2032	Semi-Annually		—			(814,975	)		(814,975	)
6 Month AUD BBSW	2.07%	AUD	17,560,000		03/16/2032	Semi-Annually		—			(445,174	)		(445,174	)
6 Month AUD BBSW	1.99%	AUD	102,700,000		03/16/2032	Semi-Annually		(9,266	)		(3,131,411	)		(3,122,145	)
6 Month AUD BBSW	2.25%	AUD	16,380,000		03/16/2032	Semi-Annually		—			(229,954	)		(229,954	)
1.88%	3 Month CAD CDOR	CAD	25,230,000		03/16/2032	Semi-Annually		—			888,184			888,184
2.03%	3 Month CAD CDOR	CAD	22,280,000		03/16/2032	Semi-Annually		—			537,363			537,363
2.14%	3 Month CAD CDOR	CAD	23,740,000		03/16/2032	Semi-Annually		—			397,706			397,706
2.16%	3 Month CAD CDOR	CAD	17,950,000		03/16/2032	Semi-Annually		—			263,481			263,481
2.23%	3 Month CAD CDOR	CAD	16,630,000		03/16/2032	Semi-Annually		—			162,044			162,044
2.23%	3 Month CAD CDOR	CAD	16,450,000		03/16/2032	Semi-Annually		—			159,114			159,114
3 Month CAD CDOR	2.39%	CAD	17,700,000		03/16/2032	Semi-Annually		—			19,934			19,934
2.34%	3 Month CAD CDOR	CAD	16,330,000		03/16/2032	Semi-Annually		—			37,081			37,081
3 Month CAD CDOR	2.42%	CAD	16,400,000		03/16/2032	Semi-Annually		—			57,174			57,174
3 Month CAD CDOR	2.12%	CAD	117,300,000		03/16/2032	Semi-Annually		114,554			(2,082,518	)		(2,197,072	)
3 Month CAD CDOR	2.12%	CAD	285,870,000		03/16/2032	Semi-Annually		75,091			(5,075,272	)		(5,150,363	)
3 Month CAD CDOR	2.33%	CAD	53,970,000		03/16/2032	Semi-Annually		—			(170,798	)		(170,798	)
3 Month CAD CDOR	2.37%	CAD	43,470,000		03/16/2032	Semi-Annually		—			(783	)		(783	)
3 Month CAD CDOR	2.35%	CAD	21,770,000		03/16/2032	Semi-Annually		—			(25,302	)		(25,302	)
3 Month CAD CDOR	2.28%	CAD	32,920,000		03/16/2032	Semi-Annually		—			(216,010	)		(216,010	)
3 Month CAD CDOR	2.32%	CAD	7,670,000		03/16/2032	Semi-Annually		—			(25,370	)		(25,370	)
3 Month CAD CDOR	2.32%	CAD	14,460,000		03/16/2032	Semi-Annually		—			(47,313	)		(47,313	)
2.39%	3 Month CAD CDOR	CAD	17,240,000		03/16/2032	Semi-Annually		—			(28,047	)		(28,047	)
2.42%	3 Month CAD CDOR	CAD	28,560,000		03/16/2032	Semi-Annually		—			(108,758	)		(108,758	)
2.44%	3 Month CAD CDOR	CAD	19,270,000		03/16/2032	Semi-Annually		—			(97,498	)		(97,498	)
2.44%	3 Month CAD CDOR	CAD	11,700,000		03/16/2032	Semi-Annually		—			(59,197	)		(59,197	)
CHF -  SARON - OIS - COMPOUND	0.51%	CHF	14,250,000		03/16/2032	Annually		—			6,918			6,918
CHF -  SARON - OIS - COMPOUND	0.56%	CHF	18,480,000		03/16/2032	Annually		—			102,609			102,609
CHF -  SARON - OIS - COMPOUND	0.51%	CHF	9,580,000		03/16/2032	Annually		—			8,305			8,305
CHF -  SARON - OIS - COMPOUND	0.51%	CHF	9,670,000		03/16/2032	Annually		—			5,221			5,221
CHF -  SARON - OIS - COMPOUND	0.52%	CHF	18,430,000		03/16/2032	Annually		—			22,001			22,001
CHF -  SARON - OIS - COMPOUND	0.55%	CHF	18,150,000		03/16/2032	Annually		—			85,943			85,943
CHF -  SARON - OIS - COMPOUND	0.52%	CHF	19,310,000		03/16/2032	Annually		—			38,832			38,832
CHF -  SARON - OIS - COMPOUND	0.05%	CHF	24,750,000		03/16/2032	Annually		—			(1,238,000	)		(1,238,000	)
CHF -  SARON - OIS - COMPOUND	(0.01)%	CHF	3,630,000		03/16/2032	Annually		9,442			(203,724	)		(213,166	)
CHF -  SARON - OIS - COMPOUND	0.20%	CHF	9,260,000		03/16/2032	Annually		—			(308,806	)		(308,806	)
CHF -  SARON - OIS - COMPOUND	0.22%	CHF	14,200,000		03/16/2032	Annually		—			(433,318	)		(433,318	)
CHF -  SARON - OIS - COMPOUND	0.23%	CHF	141,650,000		03/16/2032	Annually		142,574			(4,229,885	)		(4,372,459	)
CHF -  SARON - OIS - COMPOUND	0.32%	CHF	5,980,000		03/16/2032	Annually		—			(119,926	)		(119,926	)
0.53%	CHF - SARON - OIS - COMPOUND	CHF	7,770,000		03/16/2032	Annually		—			(21,129	)		(21,129	)
1.37%	GBP - SONIA - COMPOUND	GBP	305,640,000		03/16/2032	Annually		(877,716	)		1,329,821			2,207,537
1.35%	GBP - SONIA - COMPOUND	GBP	91,170,000		03/16/2032	Annually		(155,284	)		622,779			778,063
GBP - SONIA - COMPOUND	1.43%	GBP	11,280,000		03/16/2032	Annually		—			30,649			30,649
GBP - SONIA - COMPOUND	1.41%	GBP	8,010,000		03/16/2032	Annually		(20,877	)		6,865			27,742
1.35%	GBP - SONIA - COMPOUND	GBP	8,910,000		03/16/2032	Annually		—			63,074			63,074
GBP - SONIA - COMPOUND	1.34%	GBP	13,250,000		03/16/2032	Annually		(18,730	)		(107,762	)		(89,032	)
GBP - SONIA - COMPOUND	1.41%	GBP	8,320,000		03/16/2032	Annually		17,016			941			(16,075	)
1.46%	GBP - SONIA - COMPOUND	GBP	9,640,000		03/16/2032	Annually		(13,911	)		(70,422	)		(56,511	)
2.64%	3 Month NZD Bank Bill Rate	NZD	44,670,000		03/16/2032	Quarterly		14,157			1,044,604			1,030,447

See accompanying notes to the financial statements. 99

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
2.69%	3 Month NZD Bank Bill Rate	NZD	55,920,000		03/16/2032	Quarterly		(12,893	)		1,130,255			1,143,148
3.02%	3 Month NZD Bank Bill Rate	NZD	10,440,000		03/16/2032	Quarterly		—			11,648			11,648
2.98%	3 Month NZD Bank Bill Rate	NZD	19,970,000		03/16/2032	Quarterly		—			69,217			69,217
3 Month NZD Bank Bill Rate	2.57%	NZD	16,210,000		03/16/2032	Quarterly		—			(441,932	)		(441,932	)
3 Month NZD Bank Bill Rate	2.82%	NZD	17,020,000		03/16/2032	Quarterly		(627	)		(214,001	)		(213,374	)
3 Month NZD Bank Bill Rate	2.78%	NZD	19,380,000		03/16/2032	Quarterly		—			(288,085	)		(288,085	)
3 Month NZD Bank Bill Rate	2.99%	NZD	21,570,000		03/16/2032	Quarterly		(19,023	)		(55,752	)		(36,729	)
3.05%	3 Month NZD Bank Bill Rate	NZD	9,860,000		03/16/2032	Quarterly		—			(8,117	)		(8,117	)
1.10%	3 Month SEK STIBOR	SEK	48,700,000		03/16/2032	Quarterly		(771	)		158,230			159,001
1.42%	3 Month SEK STIBOR	SEK	114,500,000		03/16/2032	Quarterly		—			5,240			5,240
1.40%	3 Month SEK STIBOR	SEK	92,700,000		03/16/2032	Quarterly		—			22,801			22,801
1.41%	3 Month SEK STIBOR	SEK	209,300,000		03/16/2032	Quarterly		—			26,339			26,339
3 Month SEK STIBOR	0.90%	SEK	745,390,000		03/16/2032	Quarterly		—			(3,929,065	)		(3,929,065	)
3 Month SEK STIBOR	0.84%	SEK	132,630,000		03/16/2032	Quarterly		32,867			(770,807	)		(803,674	)
3 Month SEK STIBOR	0.83%	SEK	94,400,000		03/16/2032	Quarterly		—			(559,965	)		(559,965	)
3 Month SEK STIBOR	0.85%	SEK	31,300,000		03/16/2032	Quarterly		—			(181,593	)		(181,593	)
3 Month SEK STIBOR	1.39%	SEK	1,392,120,000		03/16/2032	Quarterly		292,315			(551,451	)		(843,766	)
3 Month SEK STIBOR	1.38%	SEK	162,800,000		03/16/2032	Quarterly		—			(72,637	)		(72,637	)
3 Month SEK STIBOR	1.42%	SEK	113,500,000		03/16/2032	Quarterly		—			(649	)		(649	)
3 Month SEK STIBOR	1.39%	SEK	126,000,000		03/16/2032	Quarterly		—			(48,650	)		(48,650	)
1.45%	3 Month SEK STIBOR	SEK	193,800,000		03/16/2032	Quarterly		—			(53,211	)		(53,211	)
1.43%	3 Month SEK STIBOR	SEK	107,900,000		03/16/2032	Quarterly		—			(8,564	)		(8,564	)
1.57%	USD - SOFR - COMPOUND	USD	8,300,000		03/16/2032	Annually		(462	)		78,945			79,407
1.56%	USD - SOFR - COMPOUND	USD	20,920,000		03/16/2032	Annually		(9,142	)		210,648			219,790
1.58%	USD - SOFR - COMPOUND	USD	12,400,000		03/16/2032	Annually		(12,517	)		101,804			114,321
USD - SOFR - COMPOUND	1.87%	USD	8,570,000		03/16/2032	Annually		26,463			157,494			131,031
1.70%	USD - SOFR - COMPOUND	USD	13,060,000		03/16/2032	Annually		(12,109	)		(40,897	)		(28,788	)
USD - SOFR - COMPOUND	1.61%	USD	14,010,000		03/16/2032	Annually		4,829			(75,950	)		(80,779	)
1.75%	USD - SOFR - COMPOUND	USD	21,400,000		03/16/2032	Annually		—			(157,531	)		(157,531	)
1.76%	USD - SOFR - COMPOUND	USD	240,850,000		03/16/2032	Annually		(414,166	)		(2,052,839	)		(1,638,673	)
1.79%	USD - SOFR - COMPOUND	USD	14,360,000		03/16/2032	Annually		—			(159,773	)		(159,773	)
1.82%	USD - SOFR - COMPOUND	USD	11,490,000		03/16/2032	Annually		—			(158,283	)		(158,283	)
1.84%	USD - SOFR - COMPOUND	USD	10,270,000		03/16/2032	Annually		—			(162,481	)		(162,481	)
1.71%	USD - SOFR - COMPOUND	USD	8,760,000		03/16/2032	Annually		(4,333	)		(34,354	)		(30,021	)
0.36%	6 Month EURIBOR	EUR	8,570,000		03/17/2032	Semi-Annually		850			414,299			413,449
0.39%	6 Month EURIBOR	EUR	10,190,000		03/17/2032	Semi-Annually		2,605			462,310			459,705
0.39%	6 Month EURIBOR	EUR	137,660,000		03/17/2032	Semi-Annually		(388,499	)		6,169,686			6,558,185
0.45%	6 Month EURIBOR	EUR	14,000,000		03/17/2032	Semi-Annually		—			540,330			540,330
0.42%	6 Month EURIBOR	EUR	11,680,000		03/17/2032	Semi-Annually		(10,107	)		484,882			494,989
0.49%	6 Month EURIBOR	EUR	10,260,000		03/17/2032	Semi-Annually		2,790			352,475			349,685
0.71%	6 Month EURIBOR	EUR	13,960,000		03/17/2032	Semi-Annually		20,670			137,152			116,482
0.76%	6 Month EURIBOR	EUR	9,610,000		03/17/2032	Semi-Annually		13,577			44,347			30,770
6 Month EURIBOR	0.81%	EUR	26,940,000		03/17/2032	Semi-Annually		—			35,918			35,918
6 Month EURIBOR	0.82%	EUR	10,910,000		03/17/2032	Semi-Annually		—			28,366			28,366
6 Month EURIBOR	0.83%	EUR	16,130,000		03/17/2032	Semi-Annually		—			65,034			65,034
6 Month EURIBOR	0.82%	EUR	16,130,000		03/17/2032	Semi-Annually		—			41,049			41,049
6 Month EURIBOR	0.81%	EUR	10,610,000		03/17/2032	Semi-Annually		—			16,483			16,483
6 Month EURIBOR	0.86%	EUR	17,300,000		03/17/2032	Semi-Annually		—			123,107			123,107
6 Month EURIBOR	0.77%	EUR	20,690,000		03/17/2032	Semi-Annually		—			(69,270	)		(69,270	)
6 Month EURIBOR	0.76%	EUR	6,810,000		03/17/2032	Semi-Annually		—			(30,301	)		(30,301	)
0.77%	6 Month EURIBOR	EUR	6,990,000		03/17/2032	Semi-Annually		25,331			20,708			(4,623	)
0.81%	6 Month EURIBOR	EUR	9,840,000		03/17/2032	Semi-Annually		(1,094	)		(15,829	)		(14,735	)
							$	(1,151,422	)	$	(6,220,043	)	$	(5,068,621	)

100 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Value Index	GS	USD	10,784,763		05/06/2022	Monthly		—		(426,861	)		(426,861	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS	USD	10,122,717		05/06/2022	Monthly		—		283,210			283,210
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	12,517,232		05/12/2022	Monthly		—		(440,348	)		(440,348	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA	USD	11,731,893		05/12/2022	Monthly		—		70,052			70,052
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	11,692,367		05/20/2022	Monthly		—		(411,148	)		(411,148	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA	USD	10,781,640		05/20/2022	Monthly		—		64,169			64,169
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	GS	USD	9,034,320		05/24/2022	Monthly		—		(187,021	)		(187,021	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1,552,733		05/24/2022	Monthly		—		80,171			80,171
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	2,094,990		05/24/2022	Monthly		—		(135,505	)		(135,505	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	12,221,165		05/24/2022	Monthly		—		(5,485	)		(5,485	)
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1,914,967		05/24/2022	Monthly		—		(38,993	)		(38,993	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1,293,958		10/18/2022	Monthly		—		84,748			84,748
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	62,713,507		10/18/2022	Monthly		—		3,646,405			3,646,405
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 2.66%	MORD	USD	25,208,866		05/18/2023	Monthly		—		(787,798	)		(787,798	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	7,847,046		11/20/2023	Monthly		—		254,318			254,318
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.50%	GS	USD	505,676		05/24/2024	Monthly		—		(13,688	)		(13,688	)
								$	—	$	2,036,226		$	2,036,226

See accompanying notes to the financial statements. 101

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(c) Securities are traded on separate exchanges for the same entity.

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(e) Investment valued using significant unobservable inputs (Note 2).

(f) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(h) Security is in default.

(i) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(j) The rate disclosed is the 7 day net yield as of February 28, 2022.

(k) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(l) The rate shown represents yield-to-maturity.

(m) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(n) The following table represents the individual short positions within the custom equity basket swap as of February 28, 2022:

Shares	Description	% of Equity Basket			Value ($)
3,094,000	Alibaba Health Information Technology Ltd		3.7	%		2,166,517
14,570,000	Alibaba Pictures Group Ltd		2.5	%		1,456,698
10,923,000	China Molybdenum Co Ltd – Class H		11.1	%		6,574,583
716,000	China Resources Beer Holdings Co Ltd		9.6	%		5,677,452
913,500	Citic Securities Co Ltd – Class H		3.7	%		2,213,138
968,000	Cosco Shipping Holdings Co –Class H		3.3	%		1,956,546
39,000	Country Garden Services Holdings Co Ltd		0.4	%		233,296
277,200	Ganfeng Lithium Co Ltd – Class H		8.0	%		4,704,692
2,610,000	Greentown Service Group Co Ltd		4.4	%		2,621,804
132,100	Hong Kong Exchanges and Clearing Ltd		10.8	%		6,401,124
2,291,000	Kingdee International Software Group Co Lt		9.6	%		5,662,531
576,000	New World Development Co Ltd		3.9	%		2,303,793
2,524,000	Sands China Ltd		11.3	%		6,657,002
2,511,000	Weimob Inc		2.8	%		1,660,659
5,912,000	Zijin Mining Group Co Ltd –Class H		14.9	%		8,774,480
	TOTAL COMMON STOCKS				$	59,064,315

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 133.

102 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Developed Equity Allocation Fund returned +2.88% (net) for the fiscal year ended February 28, 2022, as compared with +2.83% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s decision to hold a broadly 9% position in emerging markets, initially in broad emerging markets and laterally in emerging ex-China, detracted from performance relative to the benchmark. We believed that emerging markets were trading at very preferential valuations but, unfortunately, regulatory actions in China and the Russian invasion of Ukraine proved extremely detrimental. Security selection in developed markets was strong. Outperformance of the Value style undoubtedly provided a decent tailwind, although this was partly offset by being overweight to Japan, which was the laggard within developed equities. The performance challenge from being overweight emerging markets was exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

104

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III and R6 the gross expense ratio of 0.65% and 0.65%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.62% and 0.62% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

105

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.9	%
Short-Term Investments		4.0
Preferred Stocks		0.7
Investment Funds		0.0	^
Other		(3.6	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		27.9	%
United Kingdom		14.8
France		8.3
Netherlands		6.4
Germany		5.8
Switzerland		5.6
Spain		4.0
Singapore		3.9
Norway		3.8
Australia		3.4
Italy		3.0
Other Emerging		2.7	†
Taiwan		2.6
Other Developed		2.6	‡
Hong Kong		2.0
Korea		1.7
Belgium		1.5
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

106

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,003,748	GMO Emerging Markets ex-China Fund, Class VI		16,722,440
	8,895,848	GMO International Equity Fund, Class IV		204,248,674
	483,023	GMO-Usonian Japan Value Creation Fund, Class VI		9,520,380
		TOTAL MUTUAL FUNDS (COST $235,083,070)		230,491,494
		Money Market Funds — 0.0%
	80,822	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		80,822
		TOTAL SHORT-TERM INVESTMENTS (COST $80,822)		80,822
		TOTAL INVESTMENTS — 100.0% (Cost $235,163,892)		230,572,316
		Other Assets and Liabilities (net) — 0.00%		3,801
		TOTAL NET ASSETS — 100.0%		$230,576,117

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 133.

See accompanying notes to the financial statements. 107

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Equity Allocation Fund returned -3.37% (net) for the fiscal year ended February 28, 2022, compared to -0.40% for the MSCI All Country World Index (“ACWI”) ex USA.

The Fund’s overweight to emerging markets detracted from performance relative to the benchmark as the MSCI Emerging Markets Index stumbled to a -10.7% return. We believed that emerging markets were trading at very preferential valuations but, unfortunately, regulatory actions in China and the Russian invasion of Ukraine proved extremely detrimental. Security selection in developed markets was strong. Outperformance of the Value style undoubtedly provided a decent tailwind, although this was partly offset by being overweight to Japan, which was the laggard within developed equities. The performance challenge from being overweight emerging markets was exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

108

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III and R6 the gross expense ratio of 0.67% and 0.67%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 0.65% and 0.65% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

109

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.4	%
Short-Term Investments		3.2
Preferred Stocks		2.1
Investment Funds		0.5
Debt Obligations		0.1
Futures Contracts		(0.1	)
Other		(2.2	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		19.6	%
United Kingdom		9.9
Taiwan		9.8
China		8.5
Korea		6.0
France		5.5
Netherlands		4.2
Germany		3.9
Switzerland		3.7
Singapore		2.9
Other Developed		2.9	‡
Other Emerging		2.9	†
Spain		2.6
India		2.6
Russia		2.6
Norway		2.5
Mexico		2.3
Australia		2.2
Italy		2.0
Brazil		1.8
Hong Kong		1.6
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

110

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,086,191	GMO Emerging Markets ex-China Fund, Class VI		51,415,947
	6,601,991	GMO Emerging Markets Fund, Class VI		195,154,856
	17,602,904	GMO International Equity Fund, Class IV		404,162,685
	1,432,858	GMO-Usonian Japan Value Creation Fund, Class VI		28,241,638
		TOTAL MUTUAL FUNDS (COST $696,780,270)		678,975,126
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	110,766	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		110,766
		TOTAL SHORT-TERM INVESTMENTS (COST $110,766)		110,766
		TOTAL INVESTMENTS — 100.0% (Cost $696,891,036)		679,085,892
		Other Assets and Liabilities (net) — 0.00%		231,448
		TOTAL NET ASSETS — 100.0%		$679,317,340

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2022.

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 133.

See accompanying notes to the financial statements. 111

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Systematic Global Macro team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO SGM Major Markets Fund returned -2.00% (net) for the fiscal year ended February 28, 2022, as compared with +0.05% for the FTSE 3-Month Treasury Bill Index.

The Fund added value from commodity and fixed income positions, while equities and currencies detracted value. The year saw a period of strong economic recovery from the Covid pandemic, but that also brought with it the issues of higher inflation and the prospect of higher interest rates. With this, we saw many assets rally over the beginning of the period, only then to later stall and face headwinds.

Commodities were the main positive contributor through the year. Major gains came from being long energy, and long commodities in general. Fixed income also added value, mainly through long Australian and short European positions.

Currencies and equities detracted over the period. Currencies were a detractor, primarily due to long euro positions. Equity positions were marginally negative, with losses from long emerging market positions offsetting gains from long European positions.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

112

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO SGM Major Markets Fund Class III Shares, the FTSE 3-Month Treasury Bill +++ Index* and the FTSE 3-Month Treasury Bill Index

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited. Performance for classes may vary due to different fees.

* The FTSE 3-Month Treasury Bill +++ Index is a composite benchmark computed by GMO and comprised of 50% Bloomberg Commodity Total Return Index (formerly the Dow Jones-UBS Commodity Index) and 50% J.P. Morgan U.S. 3 Month Cash Index through October 3, 2011 and the FTSE 3-Month Treasury Bill Index thereafter.

For Class III, VI and I the gross expense ratio of 1.08%, 0.98% and 1.23%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Classes listed above, the corresponding net expense ratio of 1.01%, 0.91% and 1.11% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

113

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		87.8	%��
Short-Term Investments		14.8
Forward Currency Contracts		(0.1	)
Swap Contracts		(0.3	)
Futures Contracts		(0.6	)#
Other		(1.6	)
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The exposure the Fund has to futures contracts based on notional amounts is 12.6% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

114

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 87.8%
		United States — 87.8%
		U.S. Government — 87.8%
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.39%, due 04/30/23		30,010,013
	33,900,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		33,653,695
	20,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		19,828,125
	60,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.41%, due 01/31/23 (a) (b)		60,024,218
	35,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		34,613,086
	31,000,000	U.S. Treasury Note, 0.13%, due 06/30/23		30,536,211
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 0.40%, due 10/31/23 (b)		20,036,106
		Total U.S. Government		228,701,454
		Total United States		228,701,454
		TOTAL DEBT OBLIGATIONS (COST $229,805,660)		228,701,454

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 14.8%
		Money Market Funds — 2.9%
	6,558,736	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		6,558,736
	847,313	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (a)		847,313
		Total Money Market Funds		7,406,049
		U.S. Government — 11.9%
	250,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (d)		249,410
	5,750,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (d)		5,732,713
	5,840,000	U.S. Treasury Bill, 0.73%, due 11/03/22 (a) (d)		5,811,251
	19,250,000	U.S. Treasury Bill, 0.63%, due 12/01/22 (a) (d)		19,158,462
		Total U.S. Government		30,951,836
		TOTAL SHORT-TERM INVESTMENTS (COST $38,430,823)		38,357,885
		TOTAL INVESTMENTS — 102.6% (Cost $268,236,483)		267,059,339
		Other Assets and Liabilities (net) — (2.6%)		(6,668,439	)
		TOTAL NET ASSETS — 100.0%		$260,390,900

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/18/2022	MSCI	AUD	21,901,621		USD	15,999,087		88,358
03/18/2022	SSB	AUD	1,373,739		USD	977,716		(20,255	)
03/25/2022	MSCI	CAD	17,454,889		USD	13,813,116		40,470
04/25/2022	JPM	CAD	17,000,000		USD	13,450,431		36,232
04/25/2022	SSB	CAD	2,651,069		USD	2,095,959		4,078
03/28/2022	UBSA	CHF	5,714,212		USD	6,242,312		4,172
03/18/2022	JPM	EUR	1,571,976		USD	1,779,445		15,732
03/21/2022	JPM	EUR	1,235,632		USD	1,401,516		14,993
03/21/2022	MSCI	EUR	1,891,643		USD	2,153,144		30,501
03/21/2022	SSB	EUR	1,277,739		USD	1,444,568		10,797
03/21/2022	SSB	GBP	3,036,060		USD	4,127,357		53,792
03/07/2022	MSCI	JPY	121,345,896		USD	1,057,103		1,511
03/07/2022	SSB	JPY	72,004,054		USD	625,985		(380	)
03/18/2022	DB	USD	271,264		AUD	380,027		4,812
03/18/2022	GS	USD	271,168		AUD	380,026		4,907
03/25/2022	JPM	USD	114,479		CAD	145,801		564
03/25/2022	SSB	USD	95,858		CAD	121,802		248
03/18/2022	BCLY	USD	306,311		EUR	266,903		(6,853	)
03/18/2022	UBSA	USD	2,080,929		EUR	1,811,020		(49,015	)
03/21/2022	UBSA	USD	20,178,316		EUR	17,780,085		(226,999	)
03/28/2022	BCLY	USD	9,972,986		EUR	8,818,370		(74,795	)
04/26/2022	MSCI	USD	13,309,420		EUR	11,756,014		(100,051	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/21/2022	BCLY	USD	883,737		GBP	653,311		(7,172	)
03/07/2022	DB	USD	17,109,312		JPY	1,959,298,510		(65,317	)
04/04/2022	MSCI	USD	17,017,236		JPY	1,950,000,000		(42,699	)
05/09/2022	SSB	USD	17,027,177		JPY	1,950,000,000		(39,826	)
05/09/2022	UBSA	USD	1,725,370		JPY	198,964,380		7,900
03/18/2022	GS	USD	1,358,753		NZD	2,008,031		(386	)
03/18/2022	SSB	USD	1,101,957		NZD	1,652,036		15,591
							$	(299,090	)

See accompanying notes to the financial statements. 115

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2022

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
39	Australian Government Bond 10 Yr.		March 2022		3,810,661		(134,891	)
138	CAC40 10 Euro		March 2022		10,219,567		(532,466	)
8	Canadian Government Bond 10 Yr.		June 2022		862,611		5,857
45	Corn (a)		May 2022		1,554,188		113,284
78	DAX Index		March 2022		31,478,194		(2,511,716	)
266	FTSE 100 Index		March 2022		26,457,664		618,470
105	Hang Seng Index		March 2022		15,233,233		(622,222	)
884	Mini MSCI Emerging Markets		March 2022		51,957,100		(2,378,182	)
22	MSCI Singapore		March 2022		541,561		(16,788	)
10	S&P/TSX 60		March 2022		2,012,465		(21,074	)
76	Silver (a)		May 2022		9,259,080		413,582
64	WTI Crude (a)		March 2022		6,126,080		415,258
				$	159,512,404	$	(4,650,888	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
301	E-mini Russell 2000 Index		March 2022		30,769,725		1,983,506
123	Euro Bund		March 2022		23,037,107		868,499
69	FTSE Taiwan Index		March 2022		4,300,823		50,038
5	Gold 100 OZ (a)		April 2022		950,350		(40,660	)
118	S&P 500 E-Mini		March 2022		25,771,200		(307,964	)
24	Soybean (a)		May 2022		1,964,100		(51,084	)
6	SPI 200 Futures		March 2022		767,566		23,908
92	TOPIX Index		March 2022		15,156,520		621,449
75	U.S. Treasury Note 10 Yr. (CBT)		June 2022		9,557,812		(72,198	)
87	UK Gilt Long Bond		June 2022		14,364,732		(70,227	)
				$	126,639,935	$	3,005,267

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI World Daily Total Return Net Growth Index	GS	USD	9,129,675	05/06/2022		Monthly		—		(361,352	)		(361,352	)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	10,591,553	05/12/2022		Monthly		—		(372,604	)		(372,604	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA	USD	9,926,951	05/12/2022		Monthly		—		59,275			59,275
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	9,980,132	05/20/2022		Monthly		—		(350,940	)		(350,940	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA	USD	9,202,795	05/20/2022		Monthly		—		54,772			54,772
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS	USD	8,560,714	06/06/2022		Monthly		—		239,508			239,508
								$	—	$	(731,341	)	$	(731,341	)

As of February 28, 2022, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

(b) 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).

(c) The rate disclosed is the 7 day net yield as of February 28, 2022.

(d) 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 133.

116 See accompanying notes to the financial statements.

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GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Strategic Opportunities Allocation Fund returned +3.57% (net) for the fiscal year ended February 28, 2022, as compared with +7.36% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index)).

The Fund’s equity weight is not that different from the benchmark, so this had minimal effect on relative performance. There was a tremendous spread in returns across risk assets with, for example, the S&P 500 Index returning 16.4% while the MSCI Emerging Markets Index faltered to a -10.7% return. Our equity positions were biased towards emerging markets and away from the U.S. and therefore performed poorly. We believed that emerging markets were trading at very preferential valuations, but regulatory actions in China and the Russian invasion of Ukraine proved extremely challenging. The disappointing returns suffered by the equity book were exacerbated by security selection within emerging markets, as we were meaningfully overweight Russia. The underweighting to fixed income was additive to performance as the -2.6% posted by the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index) was well behind the blended benchmark. Alternative assets, invested in the Equity Dislocation Strategy which is long cheap Value stocks and short expensive Growth stocks, enjoyed an excellent year.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.

118

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Strategic Opportunities Allocation Fund Class III Shares, the GMO Strategic Opportunities Allocation Index*, the MSCI World Index and the Bloomberg U.S. Aggregate Index (formerly Bloomberg Barclays U.S. Aggregate Index)

As of February 28, 2022

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2022. All information is unaudited.

* The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For Class III the gross expense ratio of 0.57% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2021. For the Class listed above, the net expense ratio of 0.50% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2022. Elimination of this reimbursement will result in higher fees and lower performance.

119

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		92.4	%
Debt Obligations		15.5
Short-Term Investments		14.3
Preferred Stocks		1.4
Investment Funds		0.2
Swap Contracts		0.1
Loan Assignments		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.0	)^
Securities Sold Short		(19.2	)
Other		(4.8	)
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		3.3	%†
United States		2.7
Other Developed		0.4	‡
Euro Region		(0.1	)#
		6.3	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		21.3	%
Japan		12.4
Taiwan		5.6
China		4.8
Other Developed		4.6	‡
United Kingdom		4.3
South Korea		3.3
France		2.2
Netherlands		1.8
India		1.6
Mexico		1.6
Australia		1.5
Other Emerging		1.5	†
Hong Kong		1.4
Brazil		1.3
Russia		1.3
Germany		1.1
Norway		1.1
Spain		1.1
Switzerland		1.0
		74.8	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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 tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

120

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		COMMON STOCKS — 41.0%
		Australia — 1.4%
	19,065	Aurizon Holdings Ltd (a)		48,633
	34,691	Australian Pharmaceutical Industries Ltd (a)		38,598
	30,249	Beach Energy Ltd		33,694
	44,000	BlueScope Steel Ltd		651,545
	16,614	Brambles Ltd (a)		119,666
	28,656	Dexus (REIT) (a)		226,840
	40,047	Fortescue Metals Group Ltd (a)		533,519
	22,136	Genworth Mortgage Insurance Australia Ltd		48,287
	58,230	GPT Group (The) (REIT) (a)		207,769
	9,987	GrainCorp Ltd – Class A		61,084
	859	JB Hi-Fi Ltd		30,898
	4,640	McMillan Shakespeare Ltd		40,556
	38,140	Metcash Ltd		114,440
	4,342	Mineral Resources Ltd		144,791
	114,039	Mirvac Group (REIT) (a)		212,673
	3,552	Rio Tinto Ltd (a)		306,314
	15,242	Sandfire Resources Ltd		75,142
	72,165	Scentre Group (REIT) (a)		160,322
	67,231	Stockland (REIT) (a)		203,434
	3,919	Super Retail Group Ltd		31,496
		Total Australia		3,289,701
		Austria — 0.0%
	830	Raiffeisen Bank International AG		13,525
		Belgium — 0.4%
	476	Ackermans & van Haaren NV		88,857
	8,370	Ageas SA/NV		402,649
	1,493	Bekaert SA		64,958
	594	D’ieteren Group (a)		95,958
	1,288	Proximus SADP		25,606
	243	Sofina SA		94,370
	2,613	UCB SA		285,174
	76	VGP NV (a)		19,406
		Total Belgium		1,076,978
		Brazil — 0.1%
	13,400	Petroleo Brasileiro SA Sponsored ADR (a)		191,486
	4,255	Vale SA		78,946
		Total Brazil		270,432
		Canada — 1.3%
	5,570	Brookfield Asset Management Inc – Class A (a)		304,345
	5,900	Canaccord Genuity Group Inc		60,094
	4,700	Canadian Apartment Properties (REIT) (a)		195,639
	2,000	Canadian Tire Corp Ltd – Class A (a)		294,864
	2,300	Canadian Western Bank		67,340

Shares		Description	Value ($)
		Canada — continued
	5,000	Canfor Corp *		113,175
	8,358	Celestica Inc *		99,373
	700	Cogeco Inc		43,320
	10,400	Corus Entertainment Inc – Class B		41,682
	4,300	Finning International Inc		125,116
	2,100	iA Financial Corp Inc		124,774
	1,100	Imperial Oil Ltd (a)		49,372
	1,500	Interfor Corp		45,692
	1,300	Linamar Corp		67,887
	2,900	Magna International Inc		215,458
	3,900	Nutrien Ltd (a)		335,361
	700	Onex Corp		47,009
	4,500	Parex Resources Inc		99,231
	1,000	Power Corp of Canada		30,840
	5,000	PrairieSky Royalty Ltd		67,613
	4,200	Quebecor Inc – Class B (a)		91,853
	2,800	RioCan Real Estate Investment Trust (REIT) (a)		55,492
	900	Russel Metals Inc		22,296
	1,300	Teck Resources Ltd – Class B		46,810
	3,000	Topaz Energy Corp		47,006
	2,800	West Fraser Timber Co Ltd		279,492
		Total Canada		2,971,134
		China — 1.3%
	42,000	Agile Group Holdings Ltd		19,136
	9,804	Alibaba Group Holding Ltd *		129,059
	1,300	Autohome Inc ADR (a)		39,767
	383,000	Bank of Communications Co Ltd – Class H		262,558
	22,000	Beijing Enterprises Holdings Ltd		75,207
	20,000	China Aoyuan Group Ltd		3,334
	138,000	China Communications Services Corp Ltd – Class H		75,710
	120,000	China Overseas Land & Investment Ltd		366,380
	407,000	China Railway Group Ltd – Class H		238,972
	286,000	China Zhongwang Holdings Ltd * (b)		61,485
	158,000	CITIC Ltd		184,374
	224,000	Dongfeng Motor Group Co Ltd – Class H		192,803
	32,000	Fosun International Ltd		34,720
	189,200	Guangzhou R&F Properties Co Ltd – Class H		80,542
	11,200	Haier Smart Home Co Ltd – Class H		39,246
	27,500	Hello Group Inc Sponsored ADR		262,075
	128	JD.com Inc – Class A *		4,572
	17,500	Kingboard Holdings Ltd		81,868
	28,000	Seazen Group Ltd *		14,774
	40,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		73,647
	154,000	Shimao Group Holdings Ltd		92,415
	73,200	Sinopharm Group Co Ltd – Class H		177,450
	152,000	Skyworth Group Ltd *		85,869
	148,000	Sunac China Holdings Ltd		120,975

See accompanying notes to the financial statements. 121

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		China — continued
	2,701	Tencent Holdings Ltd		145,749
	14,500	Vipshop Holdings Ltd ADR *		125,715
	353,585	Yuzhou Group Holdings Co Ltd		28,092
		Total China		3,016,494
		Denmark — 0.5%
	46	AP Moller – Maersk A/S – Class A (a)		137,930
	88	AP Moller – Maersk A/S – Class B (a)		278,389
	394	Carlsberg A/S – Class B (a)		57,780
	20,531	Danske Bank A/S		347,754
	2,723	Pandora A/S		278,828
	3,387	Scandinavian Tobacco Group A/S		76,378
		Total Denmark		1,177,059
		Finland — 0.2%
	4,227	Neste Oyj		164,830
	57,326	Nokia Oyj *		309,981
	16,345	Outokumpu Oyj *		96,348
		Total Finland		571,159
		France — 1.4%
	3,743	ALD SA (a)		52,247
	3,122	APERAM SA		174,807
	10,159	ArcelorMittal SA		315,220
	4,609	BNP Paribas SA		267,435
	4,068	Coface SA		54,111
	7,253	Derichebourg SA		75,356
	1,951	Ipsen SA		227,018
	1,905	IPSOS (a)		90,788
	301	Kering SA (a)		208,784
	384	LVMH Moet Hennessy Louis Vuitton SE (a)		282,203
	4,198	Metropole Television SA (a)		83,209
	409	Nexity SA		16,122
	8,722	Publicis Groupe SA (a)		578,842
	2,705	Quadient SA		49,455
	2,882	Safran SA (a)		366,438
	1,103	Societe BIC SA		58,202
	9,903	Societe Generale SA		280,032
	8,502	Television Francaise 1 (a)		83,926
		Total France		3,264,195
		Germany — 0.9%
	1,436	ADVA Optical Networking SE *		24,313
	5,775	Bayer AG (Registered) (a)		333,581
	2,373	Bayerische Motoren Werke AG		228,537
	1,921	Beiersdorf AG (a)		194,728
	374	Covestro AG		19,779
	3,942	Deutsche Pfandbriefbank AG		42,746
	182	Draegerwerk AG & Co KGaA (a)		9,549
	4,683	Fresenius SE & Co KGaA (a)		163,400

Shares		Description	Value ($)
		Germany — continued
	4,100	HeidelbergCement AG		266,036
	368	Hornbach Holding AG & Co KGaA		48,203
	9,298	Kloeckner & Co SE *		125,787
	4,069	Mercedes-Benz Group AG (a)		317,868
	1,855	Salzgitter AG *		81,029
	1,540	SAP SE (a)		173,718
		Total Germany		2,029,274
		Hong Kong — 0.8%
	15,300	ASM Pacific Technology Ltd (a)		167,857
	13,200	Bank of East Asia Ltd (The)		22,251
	12,000	Chow Sang Sang Holdings International Ltd		16,842
	122,000	CITIC Telecom International Holdings Ltd		43,420
	50,500	CK Hutchison Holdings Ltd (a)		354,059
	7,200	Dah Sing Financial Holdings Ltd		23,316
	224,000	First Pacific Co Ltd		87,691
	20,323	Galaxy Entertainment Group Ltd *		113,346
	21,000	HK Electric Investments & HK Electric Investments Ltd (a)		20,720
	70,000	HKT Trust & HKT Ltd		94,455
	26,000	Johnson Electric Holdings Ltd		43,293
	40,000	K Wah International Holdings Ltd		15,182
	49,500	Kerry Properties Ltd (a)		135,639
	85,000	Pacific Textiles Holdings Ltd		41,238
	160,000	PCCW Ltd		89,511
	32,500	Power Assets Holdings Ltd (a)		204,832
	60,000	Shun Tak Holdings Ltd *		15,333
	34,000	Sun Hung Kai & Co Ltd		17,261
	12,500	Swire Pacific Ltd – Class A (a)		69,078
	64,000	VSTECS Holdings Ltd		65,798
	12,000	VTech Holdings Ltd		98,654
	189,500	WH Group Ltd		132,342
	47,000	Yue Yuen Industrial Holdings Ltd *		79,424
		Total Hong Kong		1,951,542
		India — 0.4%
	18,123	Hindustan Petroleum Corp Ltd		65,928
	54,302	Indiabulls Housing Finance Ltd		109,103
	59,298	NTPC Ltd		105,598
	179,816	Oil & Natural Gas Corp Ltd		386,679
	86,044	REC Ltd		140,334
	14,463	Tata Steel Ltd		236,260
		Total India		1,043,902
		Ireland — 0.5%
	13,545	AIB Group Plc *		35,736
	52,388	Bank of Ireland Group Plc *		347,607
	5,092	Glanbia Plc		71,283
	44,520	Hibernia REIT Plc		58,114
	6,929	Origin Enterprises Plc		28,054

122 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Ireland — continued
	15,024	Ryanair Holdings Plc *		260,490
	325	Ryanair Holdings Plc Sponsored ADR * (a)		32,406
	7,081	Smurfit Kappa Group Plc		353,641
		Total Ireland		1,187,331
		Israel — 0.4%
	26,873	Bank Leumi Le-Israel BM		291,113
	2,400	Check Point Software Technologies Ltd *		347,712
	1,719	First International Bank of Israel Ltd		73,944
	8,519	Isracard Ltd		44,711
	33,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		273,981
		Total Israel		1,031,461
		Italy — 0.9%
	2,000	ACEA SPA (a)		37,982
	2,745	Ascopiave SPA (a)		10,762
	2,303	Azimut Holding SPA		54,953
	2,511	Banca IFIS SPA		52,993
	3,249	Credito Emiliano SPA		23,331
	10,212	EXOR NV		773,718
	30,261	Italgas SPA (a)		195,335
	1,208	La Doria SPA		22,266
	25,257	Leonardo SPA *		225,163
	17,269	Poste Italiane SPA		198,067
	321,360	Telecom Italia SPA		135,018
	301,464	Telecom Italia SPA – RSP		125,188
	43,953	Unipol Gruppo SPA		223,021
		Total Italy		2,077,797
		Japan — 11.4%
	1,500	ADEKA Corp		34,788
	3,700	Aeon Delight Co Ltd		96,064
	20,500	Aeon Mall Co Ltd (a)		288,272
	10,800	AGC Inc (a)		479,115
	2,700	Aisin Corp		98,345
	5,100	Amano Corp		99,983
	400	Arata Corp		13,943
	2,300	Arcland Sakamoto Co Ltd		31,477
	9,300	Arcs Co Ltd		176,134
	36,900	Asahi Kasei Corp		346,300
	9,300	Astellas Pharma Inc (a)		155,163
	11,300	Brother Industries Ltd		205,670
	1,400	Calbee Inc		31,480
	1,900	Canon Marketing Japan Inc		39,711
	20,700	Chugoku Marine Paints Ltd		165,899
	7,000	Citizen Watch Co Ltd		30,493
	9,700	Dai Nippon Printing Co Ltd		253,215
	200	Dai Nippon Toryo Co Ltd		1,415
	2,500	Daihen Corp		94,122

Shares		Description	Value ($)
		Japan — continued
	300	Daiichi Jitsugyo Co Ltd		11,409
	600	Daishi Hokuetsu Financial Group Inc		13,878
	7,800	Daiwa House Industry Co Ltd (a)		221,210
	32,600	Daiwabo Holdings Co Ltd		504,627
	10,200	Denka Co Ltd		313,269
	200	Eizo Corp		6,427
	7,700	Electric Power Development Co Ltd (a)		122,170
	700	ESPEC Corp		12,608
	19,100	EXEO Group Inc		397,592
	4,200	Ezaki Glico Co Ltd		143,280
	12,200	Fuji Corp		248,092
	1,200	Fuji Electric Co Ltd		61,742
	1,900	Hanwa Co Ltd		55,266
	24,300	Haseko Corp		310,187
	2,900	Hazama Ando Corp		23,359
	7,300	Hogy Medical Co Ltd (a)		212,884
	19,900	Honda Motor Co Ltd (a)		604,580
	2,900	Idemitsu Kosan Co Ltd		77,739
	8,800	Iida Group Holdings Co Ltd		163,320
	11,300	Inabata & Co Ltd		228,199
	62,900	Inpex Corp		648,343
	11,400	Isuzu Motors Ltd		154,180
	13,200	ITOCHU Corp (a)		430,169
	2,100	Itochu Enex Co Ltd		19,110
	5,300	Itoham Yonekyu Holdings Inc		31,848
	1,500	Jaccs Co Ltd		42,362
	16,500	JFE Holdings Inc		245,645
	1,700	Juroku Financial Group Inc		36,007
	28,900	JVCKenwood Corp		46,661
	37,500	K’s Holdings Corp		406,350
	27,300	Kajima Corp		367,417
	200	Kanamoto Co Ltd		3,963
	4,800	Kandenko Co Ltd		36,499
	800	Kaneka Corp		26,167
	20,700	Kanematsu Corp		252,722
	500	Kanematsu Electronics Ltd (a)		17,032
	14,700	KDDI Corp (a)		478,356
	4,500	Kinden Corp		63,822
	19,000	Kirin Holdings Co Ltd (a)		315,884
	600	Kissei Pharmaceutical Co Ltd		12,683
	800	Kohnan Shoji Co Ltd		25,440
	3,100	Kokuyo Co Ltd		43,459
	2,900	Komeri Co Ltd		71,306
	13,100	Konoike Transport Co Ltd (a)		137,006
	700	Kumagai Gumi Co Ltd		17,597
	10,800	Kyudenko Corp		289,945
	16,700	Macromill Inc		164,101
	18,300	Mandom Corp		219,446
	12,200	Maruichi Steel Tube Ltd		302,799
	400	Maruzen Showa Unyu Co Ltd (a)		11,132

See accompanying notes to the financial statements. 123

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Japan — continued
	17,500	Maxell Ltd		180,269
	2,100	MEIJI Holdings Co Ltd		126,038
	800	Mirait Holdings Corp		13,596
	8,600	Mitsubishi Corp (a)		289,164
	1,900	Mitsubishi UFJ Financial Group Inc (a)		11,664
	700	Mitsuboshi Belting Ltd		13,195
	4,000	Mitsui Chemicals Inc		102,258
	900	Mitsui DM Sugar Holdings Co Ltd		16,066
	800	Mixi Inc (a)		15,561
	9,300	Morinaga & Co Ltd		302,584
	7,800	MS&AD Insurance Group Holdings Inc		263,926
	7,700	NEC Corp (a)		333,145
	3,000	NEC Networks & System Integration Corp (a)		46,127
	1,600	NGK Insulators Ltd		24,848
	11,000	NH Foods Ltd		412,860
	1,100	Nichiha Corp		24,777
	10,000	Nikon Corp		104,528
	1,100	Nippon Soda Co Ltd		32,225
	15,400	Nippon Steel Corp (a)		281,958
	200	Nippon Steel Trading Corp		9,487
	10,700	Nippon Suisan Kaisha Ltd		50,668
	13,500	Nippon Telegraph & Telephone Corp (a)		388,002
	8,500	Nippon Television Holdings Inc (a)		97,239
	1,900	Nojima Corp		42,201
	2,500	Nomura Real Estate Holdings Inc (a)		62,247
	44,700	Obayashi Corp		374,273
	3,400	Okamura Corp		35,033
	2,800	Organo Corp		199,298
	10,700	ORIX Corp (a)		212,107
	4,800	Osaka Gas Co Ltd (a)		87,846
	400	Osaka Soda Co Ltd		10,945
	18,400	Pacific Industrial Co Ltd		163,120
	16,300	Penta-Ocean Construction Co Ltd		85,802
	1,400	Proto Corp		14,090
	1,000	Raito Kogyo Co Ltd		17,038
	1,400	Raiznext Corp		13,862
	10,900	Resona Holdings Inc		48,748
	1,200	Rohm Co Ltd (a)		95,704
	3,200	San-A Co Ltd		118,816
	1,600	San-Ai Oil Co Ltd		13,303
	3,100	Sanki Engineering Co Ltd		40,229
	8,300	Sankyu Inc (a)		287,785
	1,700	Sanwa Holdings Corp		18,999
	5,600	Sawai Group Holdings Co Ltd		222,559
	4,600	Secom Co Ltd (a)		337,853
	12,400	Sega Sammy Holdings Inc		226,168
	7,300	Seiko Epson Corp		112,277
	19,600	Sekisui House Ltd		399,606
	400	Sekisui Jushi Corp		6,677
	2,400	Shimamura Co Ltd		217,704

Shares		Description	Value ($)
		Japan — continued
	33,200	Shimizu Corp		219,756
	1,100	Shizuoka Gas Co Ltd (a)		8,304
	1,100	Sinko Industries Ltd		16,649
	33,400	SKY Perfect JSAT Holdings Inc (a)		125,598
	16,940	Sojitz Corp		279,799
	15,400	Stanley Electric Co Ltd		365,947
	9,600	Subaru Corp		157,448
	133,600	Sumitomo Chemical Co Ltd		637,837
	9,900	Sumitomo Corp (a)		161,524
	25,800	Sumitomo Dainippon Pharma Co Ltd		283,147
	1,600	Sumitomo Electric Industries Ltd		21,240
	19,400	Sumitomo Forestry Co Ltd		374,100
	1,100	Sumitomo Heavy Industries Ltd		26,654
	11,700	Sumitomo Mitsui Financial Group Inc		414,908
	10,500	Sumitomo Mitsui Trust Holdings Inc		373,086
	400	Sumitomo Seika Chemicals Co Ltd		11,384
	1,400	Suzuki Motor Corp		55,745
	24,600	T&D Holdings Inc		357,277
	12,000	Tachi-S Co Ltd		117,482
	8,800	Taisei Corp		292,613
	8,200	Takara Holdings Inc		81,474
	5,700	Takara Leben Co Ltd		15,583
	17,500	Takuma Co Ltd		222,404
	1,900	Tamron Co Ltd		39,046
	27,200	Teijin Ltd		327,213
	9,200	THK Co Ltd		211,352
	11,500	Toho Holdings Co Ltd (a)		189,210
	23,700	Tokai Carbon Co Ltd		227,479
	107,400	Tokyo Electric Power Co Holdings Inc * (a)		337,128
	14,100	Tokyo Gas Co Ltd (a)		287,193
	7,700	Tokyo Seimitsu Co Ltd		320,607
	5,000	Tokyu Construction Co Ltd		30,991
	19,700	Toppan Inc		388,175
	16,200	Toray Industries Inc		92,384
	17,100	Tosei Corp		162,963
	19,800	Tosoh Corp		307,258
	1,200	Totetsu Kogyo Co Ltd		26,204
	900	Towa Pharmaceutical Co Ltd		23,323
	3,300	Toyo Construction Co Ltd		17,195
	5,800	Toyota Boshoku Corp		106,140
	3,700	Toyota Industries Corp (a)		281,426
	5,000	Tsumura & Co		138,874
	1,700	TV Asahi Holdings Corp (a)		23,235
	3,500	Ulvac Inc		174,697
	2,000	YAMABIKO Corp		23,163
	3,800	Yamaha Motor Co Ltd		85,422
	2,000	Yamazen Corp		17,926
	2,200	Yellow Hat Ltd		31,236
	8,100	Yokogawa Bridge Holdings Corp		147,964
	4,100	Yokohama Rubber Co Ltd (The)		57,484

124 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Japan — continued
	600	Yuasa Trading Co Ltd		15,607
	7,700	Zenkoku Hosho Co Ltd		323,805
		Total Japan		26,930,012
		Malaysia — 0.0%
	56,800	Top Glove Corp Bhd		27,721
		Malta — 0.0%
	125,500	BGP Holdings Plc * (c)		—
		Mexico — 0.3%
	39,619	Fomento Economico Mexicano SAB de CV		318,349
	78,208	Grupo Mexico SAB de CV – Series B		399,498
		Total Mexico		717,847
		Netherlands — 1.2%
	29,043	ABN AMRO Bank NV CVA GDR		386,482
	50,971	Aegon NV		251,786
	3,600	AerCap Holdings NV *		195,948
	16,947	ING Groep NV		197,915
	8,521	JDE Peet’s NV		279,738
	11,228	Koninklijke Ahold Delhaize NV (a)		345,398
	6,070	Koninklijke BAM Groep NV *		17,077
	9,632	NN Group NV		462,287
	1,035	Prosus NV *		64,255
	5,892	Randstad NV		401,532
	2,918	Signify NV		149,267
		Total Netherlands		2,751,685
		New Zealand — 0.1%
	7,740	Auckland International Airport Ltd * (a)		37,477
	46,553	Meridian Energy Ltd (a)		158,052
	14,108	Spark New Zealand Ltd		43,316
		Total New Zealand		238,845
		Norway — 0.5%
	1,169	Austevoll Seafood ASA		16,506
	12,647	Europris ASA		80,673
	2,233	Kongsberg Gruppen ASA		78,756
	55,121	Norsk Hydro ASA		523,434
	27,005	Orkla ASA		252,966
	2,138	Sbanken ASA		22,134
	3,519	SpareBank 1 Nord Norge		43,055
	3,239	SpareBank 1 SMN		53,524
	8,038	SpareBank 1 SR-Bank ASA		119,105
		Total Norway		1,190,153
		Portugal — 0.2%
	13,312	CTT – Correios de Portugal SA		64,485
	14,726	Galp Energia SGPS SA		163,007

Shares		Description	Value ($)
		Portugal — continued
	9,241	Navigator Co SA (The)		33,021
	16,961	NOS SGPS SA		65,298
	98,476	Sonae SGPS SA		107,188
		Total Portugal		432,999
		Russia — 0.0%
	2,505	LUKOIL PJSC Sponsored ADR		46,986
	541	Novatek PJSC Sponsored GDR (Registered)		20,840
		Total Russia		67,826
		Singapore — 0.4%
	36,800	Ascendas Real Estate Investment Trust (REIT)		75,456
	2,100	Capitaland Investment Ltd *		5,755
	53,400	ComfortDelGro Corp Ltd		55,779
	222,800	Golden Agri-Resources Ltd		47,110
	27,900	Japfa Ltd		12,200
	8,400	Jardine Cycle & Carriage Ltd		135,665
	27,900	Keppel Corp Ltd		124,209
	48,600	StarHub Ltd		44,921
	388,900	Yangzijiang Shipbuilding Holdings Ltd		397,825
	35,100	Yanlord Land Group Ltd		31,266
		Total Singapore		930,186
		South Africa — 0.1%
	16,368	Bidvest Group Ltd (The)		224,263
		South Korea — 0.1%
	4,164	Kia Corp		258,148
	137	POSCO		32,596
	600	POSCO Sponsored ADR		35,592
		Total South Korea		326,336
		Spain — 1.0%
	27,967	Acerinox SA		355,564
	4,595	ACS Actividades de Construccion y Servicios SA		111,661
	3,853	Amadeus IT Group SA * (a)		254,208
	7,772	Atresmedia Corp de Medios de Comunicacion SA		33,594
	58,662	Banco Bilbao Vizcaya Argentaria SA		348,084
	236,551	Banco de Sabadell SA *		204,539
	100,175	Banco Santander SA		333,584
	11,787	Bankinter SA		66,931
	4,606	Cia de Distribucion Integral Logista Holdings SA(a)		83,652
	3,874	Faes Farma SA		14,819
	721	Grupo Catalana Occidente SA		23,241
	6,898	Industria de Diseno Textil SA (a)		179,940
	15,553	Mediaset Espana Comunicacion SA * (a)		79,787
	1,258	Red Electrica Corp SA (a)		24,922

See accompanying notes to the financial statements. 125

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		Spain — continued
	12,427	Repsol SA		161,253
	6,780	Telefonica SA (a)		32,381
	49,033	Unicaja Banco SA		46,229
		Total Spain		2,354,389
		Sweden — 0.3%
	1,941	Investor AB – A Shares (a)		42,920
	13,341	Investor AB – B Shares (a)		271,656
	5,114	Inwido AB		79,186
	4,552	Kinnevik AB – Class B *		115,895
	1,539	New Wave Group AB – B Shares		23,271
	1,815	Securitas AB – B Shares		21,974
	7,187	Skanska AB – B Shares		162,665
	2,571	SSAB AB – A Shares *		16,090
	2,725	Svenska Cellulosa AB SCA – Class B		44,460
		Total Sweden		778,117
		Switzerland — 0.3%
	5,610	Adecco Group AG (Registered)		264,953
	487	BKW AG (a)		61,358
	2,770	Logitech International SA (Registered)		207,276
	600	Novartis AG Sponsored ADR (a)		52,476
	27	Schindler Holding AG (Registered)		6,052
	281	Zehnder Group AG – Class RG		24,304
		Total Switzerland		616,419
		Taiwan — 0.2%
	41,000	Hon Hai Precision Industry Co Ltd		152,297
	88,800	Ruentex Development Co Ltd		229,284
		Total Taiwan		381,581
		United Kingdom — 3.0%
	14,899	3i Group Plc		265,413
	24,839	Airtel Africa Plc		46,931
	923	Bank of Georgia Group Plc		16,348
	46,425	Barratt Developments Plc		378,142
	5,696	Bellway Plc		219,094
	8,910	Berkeley Group Holdings Plc		463,376
	168,899	BT Group Plc		421,419
	16,183	Coca-Cola HBC AG *		411,154
	17,578	Compass Group Plc (a)		397,317
	9,585	Crest Nicholson Holdings Plc		39,339
	290	DCC Plc		22,757
	34,999	Ferrexpo Plc		79,386
	3,201	Go-Ahead Group Plc (The) *		28,354
	1,249	Grafton Group Plc		17,936
	13,618	Halfords Group Plc		50,599
	1,061	IMI Plc		20,785
	33,563	Indivior Plc *		126,291
	17,036	Investec Plc		92,398

Shares		Description	Value ($)
		United Kingdom — continued
	94,566	ITV Plc * (a)		139,329
	8,387	J Sainsbury Plc		30,932
	152,504	Kingfisher Plc (a)		622,118
	250,130	M&G Plc		688,577
	7,962	Marks & Spencer Group Plc *		18,558
	36,454	Micro Focus International Plc (a)		189,467
	3,126	Morgan Sindall Group Plc		96,680
	2,853	Numis Corp Plc		9,835
	11,884	OSB Group Plc		79,415
	11,950	Paragon Banking Group Plc		80,460
	7,198	Persimmon Plc		231,657
	10,305	Pets at Home Group Plc		49,818
	11,397	Plus500 Ltd		212,668
	54,167	Premier Foods Plc		79,742
	20,059	Reach Plc		61,271
	9,276	Redde Northgate Plc (a)		47,077
	16,468	Redrow Plc		125,544
	1,500	Rio Tinto Plc Sponsored ADR (a)		117,870
	19,639	Royal Mail Plc (a)		103,214
	12,127	Shell Plc (a)		319,799
	5,081	Tate & Lyle Plc		51,006
	98,406	Taylor Wimpey Plc		197,381
	2,076	Unilever Plc (a)		104,162
	19,973	WPP Plc (a)		280,918
		Total United Kingdom		7,034,537
		United States — 11.4%
	3,900	Aflac, Inc. (a)		238,251
	200	AGNC Investment Corp. (REIT)		2,582
	4,000	Alliance Data Systems Corp. (a)		269,800
	400	Allstate Corp. (The) (a)		48,944
	6,000	Ally Financial, Inc. (a)		299,400
	1,878	American Express Co. (a)		365,346
	900	Arch Capital Group Ltd. *		42,399
	2,700	Arrow Electronics, Inc. *		329,076
	12,500	AT&T, Inc. (a)		296,125
	2,900	Best Buy Co., Inc. (a)		280,256
	400	Bio-Rad Laboratories, Inc. – Class A *		250,384
	1,200	Biogen, Inc. * (a)		253,212
	130	Booking Holdings, Inc. * (a)		282,392
	11,813	BorgWarner, Inc.		484,451
	3,000	Bristol-Myers Squibb Co. (a)		206,010
	2,400	Capital One Financial Corp. (a)		367,848
	6,300	Carrier Global Corp. (a)		282,744
	3,600	CBRE Group, Inc. – Class A * (a)		348,660
	4,000	Centene Corp. * (a)		330,480
	1,959	Chevron Corp. (a)		282,096
	1,600	Cigna Corp. (a)		380,448
	5,300	Citigroup, Inc. (a)		313,919
	1,400	Citizens Financial Group, Inc.		73,388

126 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares		Description	Value ($)
		United States — continued
	3,400	Cognizant Technology Solutions Corp. – Class A (a)		292,842
	4,100	Comcast Corp. – Class A (a)		191,716
	1,900	CVS Health Corp. (a)		196,935
	5,220	Darling Ingredients, Inc. * (a)		378,346
	2,600	Discover Financial Services (a)		320,944
	8,900	DISH Network Corp. – Class A * (a)		284,444
	3,500	DR Horton, Inc. (a)		298,900
	4,300	eBay, Inc. (a)		234,737
	3,373	EOG Resources, Inc.		387,625
	6,100	Fidelity National Financial, Inc.		290,604
	1,100	FleetCor Technologies, Inc. * (a)		257,620
	14,900	Ford Motor Co.		261,644
	1,100	Fox Corp. – Class A (a)		46,013
	9,500	Fox Corp. – Class B (a)		363,470
	7,800	Franklin Resources, Inc.		231,894
	6,000	General Motors Co. *		280,320
	5,000	Gilead Sciences, Inc. (a)		302,000
	1,308	Global Payments, Inc. (a)		174,461
	600	Goldman Sachs Group, Inc. (The) (a)		204,774
	2,197	Green Plains, Inc. *		71,930
	2,265	Hasbro, Inc.		219,818
	1,796	Hilton Worldwide Holdings, Inc. * (a)		267,353
	9,200	HP, Inc. (a)		316,112
	2,500	IAC/InterActiveCorp * (a)		286,900
	4,100	Incyte Corp. * (a)		280,030
	6,400	Intel Corp. (a)		305,280
	2,184	Intercontinental Exchange, Inc. (a)		279,814
	3,000	International Business Machines Corp. (a)		367,530
	12,000	Invesco Ltd.		254,880
	2,100	Jazz Pharmaceuticals Plc *		288,582
	21,600	Kinder Morgan, Inc. (a)		375,840
	3,600	Kohl’s Corp.		200,232
	5,400	Kroger Co. (The) (a)		252,720
	1,300	Laboratory Corp. of America Holdings * (a)		352,638
	3,770	Las Vegas Sands Corp. * (a)		161,582
	2,000	Leidos Holdings, Inc. (a)		203,680
	3,400	Lennar Corp. – Class A		305,592
	4,388	Liberty Global Plc – Class A *		113,123
	8,799	Liberty Global Plc – Class C *		227,630
	5,000	Lincoln National Corp.		337,100
	4,200	LKQ Corp. (a)		197,190
	19,600	Lumen Technologies, Inc.		203,056
	6,447	Lyft, Inc. – Class A * (a)		251,046
	3,600	LyondellBasell Industries NV – Class A (a)		350,028
	196	Markel Corp. *		243,610
	3,500	Merck & Co., Inc. (a)		268,030
	600	Meta Platforms, Inc. – Class A * (a)		126,618
	5,900	MetLife, Inc. (a)		398,545
	4,200	Micron Technology, Inc. (a)		373,212

Shares		Description	Value ($)
		United States — continued
	1,000	Mohawk Industries, Inc. *		140,780
	6,700	Molson Coors Brewing Co. – Class B		349,606
	2,800	NRG Energy, Inc. (a)		105,952
	1,200	Omnicom Group, Inc. (a)		100,668
	3,600	Oracle Corp. (a)		273,492
	600	Owens Corning		55,914
	9,800	Paramount Global – Class B (a)		299,978
	1,100	Principal Financial Group, Inc.		77,704
	3,100	Prudential Financial, Inc.		346,146
	6,200	PulteGroup, Inc.		307,892
	2,200	Quest Diagnostics, Inc. (a)		288,794
	41,100	Qurate Retail, Inc. – Series A		226,461
	3,187	Raytheon Technologies Corp. (a)		327,305
	600	Regeneron Pharmaceuticals, Inc. * (a)		371,016
	2,000	Regions Financial Corp.		48,380
	5,798	Sensata Technologies Holding Plc *		335,762
	400	Skyworks Solutions, Inc. (a)		55,268
	100	Snap-on, Inc.		21,018
	1,800	SS&C Technologies Holdings, Inc. (a)		134,946
	1,700	Steel Dynamics, Inc.		119,986
	8,000	Synchrony Financial (a)		342,240
	3,200	Textron, Inc.		234,016
	3,700	Tyson Foods, Inc. – Class A (a)		342,842
	2,700	Universal Health Services, Inc. – Class B (a)		388,611
	6,018	US Bancorp		340,258
	5,200	Verizon Communications, Inc. (a)		279,084
	3,111	Verso Corp. – Class A		82,473
	3,550	VF Corp.		205,971
	21,400	Viatris, Inc.		235,614
	2,100	VMware, Inc. – Class A (a)		246,372
	1,800	Walgreens Boots Alliance, Inc. (a)		82,962
	6,252	Wells Fargo & Co. (a)		333,669
	16,100	Western Union Co. (The) (a)		292,698
	5,400	Western Digital Corp. *		275,076
	1,300	Whirlpool Corp.		261,651
	1,000	Zoom Video Communications, Inc. – Class A * (a)		132,600
		Total United States		26,970,406
		TOTAL COMMON STOCKS (COST $91,459,110)		96,945,306
		PREFERRED STOCKS (d) — 0.3%
		Brazil — 0.2%
	46,048	Bradespar SA		265,064
	18,400	Petroleo Brasileiro SA Sponsored ADR (a)		240,856
		Total Brazil		505,920
		Germany — 0.1%
	2,060	Bayerische Motoren Werke AG		166,588
	742	Draegerwerk AG & Co KGaA (a)		42,036

See accompanying notes to the financial statements. 127

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares / Par Value†		Description	Value ($)
		Germany — continued
	364	Volkswagen AG (a)		71,554
		Total Germany		280,178
		TOTAL PREFERRED STOCKS (COST $699,741)		786,098
		DEBT OBLIGATIONS — 10.5%
		United States — 10.5%
		U.S. Government — 10.5%
	14,025,000	U.S. Treasury Note, 0.13%, due 02/28/23		13,891,324
	7,015,000	U.S. Treasury Note, 0.13%, due 03/31/23		6,937,452
	4,015,000	U.S. Treasury Note, 0.13%, due 04/30/23		3,965,126
		Total U.S. Government		24,793,902
		TOTAL DEBT OBLIGATIONS (COST $24,910,434)		24,793,902
		MUTUAL FUNDS — 61.5%
		United States — 61.5%
		Affiliated Issuers — 61.5%
	380,581	GMO Emerging Country Debt Fund, Class VI		8,106,380
	897,119	GMO Emerging Markets ex-China Fund, Class VI		14,945,997
	1,039,266	GMO Emerging Markets Fund, Class VI		30,720,697
	1,386,548	GMO International Equity Fund, Class IV		31,835,141
	340,347	GMO Multi-Sector Fixed Income Fund, Class IV		6,442,772
	461,574	GMO Quality Fund, Class VI		12,951,749
	1,444,680	GMO U.S. Equity Fund, Class VI		19,532,079
	825,061	GMO U.S. Small Cap Value Fund, Class VI		16,286,703
	900,100	GMO U.S. Treasury Fund		4,509,502
		TOTAL MUTUAL FUNDS (COST $145,058,758)		145,331,020
		SHORT-TERM INVESTMENTS — 9.8%
		Money Market Funds — 0.2%
	435,147	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		435,147
		U.S. Government — 9.6%
	3,400,000	U.S. Treasury Bill, 0.31%, due 05/24/22 (a) (f)		3,397,509
	10,000,000	U.S. Treasury Bill, 0.54%, due 07/21/22 (a) (f)		9,978,740
	370,000	U.S. Treasury Bill, 0.58%, due 07/28/22 (a) (f)		369,127
	9,060,000	U.S. Treasury Bill, 0.64%, due 08/18/22 (a) (f)		9,032,761
		Total U.S. Government		22,778,137
		TOTAL SHORT-TERM INVESTMENTS (COST $23,220,375)		23,213,284
		TOTAL INVESTMENTS — 123.1% (Cost $285,348,418)		291,069,610

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (19.2)%
			Common Stocks — (19.1)%
			Australia — (0.5)%
	(48,797	)	APA Group		(356,729	)
	(4,253	)	ASX Ltd		(255,441	)
	(860	)	Cochlear Ltd		(140,390	)
	(85,353	)	Qantas Airways Ltd *		(316,274	)
			Total Australia		(1,068,834	)
			Austria — (0.2)%
	(3,419	)	Verbund AG		(412,388	)
			Belgium — (0.1)%
	(5,114	)	Anheuser-Busch InBev SA/NV		(315,574	)
			Canada — (0.7)%
	(1,400	)	Agnico Eagle Mines Ltd		(70,686	)
	(12,300	)	AltaGas Ltd		(270,940	)
	(5,000	)	Cameco Corp		(122,900	)
	(6,500	)	Enbridge Inc		(280,670	)
	(1,900	)	Franco-Nevada Corp		(279,528	)
	(2,064	)	Pan American Silver Corp		(48,772	)
	(8,100	)	Pembina Pipeline Corp		(275,076	)
	(3,800	)	Restaurant Brands International Inc		(212,724	)
			Total Canada		(1,561,296	)
			Denmark — (0.1)%
	(9,822	)	Ambu A/S – Class B		(181,125	)
			France — (0.7)%
	(9,238	)	Accor SA *		(315,508	)
	(2,037	)	Aeroports de Paris *		(288,010	)
	(24,970	)	Getlink SE		(407,244	)
	(235	)	Hermes International		(324,074	)
	(238	)	Sartorius Stedim Biotech		(91,266	)
	(2,418	)	Ubisoft Entertainment SA *		(129,646	)
	(1,163	)	Wendel SE		(118,066	)
			Total France		(1,673,814	)
			Germany — (0.8)%
	(3,613	)	Delivery Hero SE *		(193,659	)
	(147	)	MTU Aero Engines AG		(35,190	)
	(85	)	Nemetschek SE		(7,542	)
	(3,030	)	Puma SE		(277,864	)
	(2,526	)	QIAGEN NV *		(126,912	)
	(67	)	Rational AG		(49,310	)
	(2,911	)	Scout24 SE		(169,800	)
	(2,276	)	Symrise AG – Class A		(270,722	)
	(139,009	)	Telefonica Deutschland Holding AG		(379,334	)
	(5,065	)	Uniper SE		(162,035	)

128 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			Germany — continued
	(3,682	)	Zalando SE *		(243,699	)
			Total Germany		(1,916,067	)
			Israel — (0.2)%
	(1,800	)	CyberArk Software Ltd *		(306,252	)
	(500	)	Kornit Digital Ltd *		(47,415	)
	(1,800	)	Wix.com Ltd *		(164,844	)
			Total Israel		(518,511	)
			Italy — (0.6)%
	(6,220	)	Amplifon SPA		(266,928	)
	(15,904	)	Atlantia SPA *		(292,558	)
	(1,342	)	Ferrari NV		(288,380	)
	(19,543	)	FinecoBank Banca Fineco SPA		(325,701	)
	(25,830	)	Infrastrutture Wireless Italiane SPA		(263,758	)
			Total Italy		(1,437,325	)
			Japan — (2.6)%
	(20,300	)	Acom Co Ltd		(56,548	)
	(5,000	)	Aeon Co Ltd		(113,268	)
	(13,100	)	ANA Holdings Inc *		(288,438	)
	(11,200	)	Asahi Intecc Co Ltd		(241,845	)
	(400	)	Benefit One Inc		(9,265	)
	(2,100	)	East Japan Railway Co		(124,758	)
	(2,900	)	GMO Payment Gateway Inc		(280,511	)
	(1,900	)	Harmonic Drive Systems Inc		(77,717	)
	(11,400	)	Hitachi Metals Ltd *		(203,211	)
	(17,800	)	Isetan Mitsukoshi Holdings Ltd		(143,549	)
	(15,400	)	Japan Airlines Co Ltd *		(305,361	)
	(4,300	)	Japan Airport Terminal Co Ltd *		(200,795	)
	(6,100	)	Japan Exchange Group Inc		(114,229	)
	(14	)	Japan Real Estate Investment Corp (REIT)		(74,785	)
	(12,100	)	JGC Holding Corp		(121,277	)
	(13,700	)	Keikyu Corp		(143,551	)
	(3,700	)	Keio Corp		(151,393	)
	(2,900	)	Kintetsu Group Holdings Co Ltd *		(87,123	)
	(1,500	)	Lasertec Corp		(278,059	)
	(4,800	)	LIXIL Corp		(106,979	)
	(7,800	)	M3 Inc		(293,463	)
	(7,100	)	Mercari Inc *		(222,372	)
	(15,200	)	MonotaRO Co Ltd		(286,110	)
	(2,400	)	Nidec Corp		(208,641	)
	(15,100	)	Nihon M&A Center Holdings Inc		(223,345	)
	(31,600	)	Nippon Paint Holdings Co Ltd		(282,823	)
	(3,400	)	Nissin Foods Holdings Co Ltd		(271,650	)
	(10,700	)	Odakyu Electric Railway Co Ltd		(176,534	)
	(2,000	)	ORIENTAL LAND CO LTD		(369,729	)
	(22,700	)	Rakuten Group Inc		(192,964	)
	(2,000	)	Shiseido Co Ltd		(114,772	)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(3,400	)	Tobu Railway Co Ltd		(83,574	)
	(4,800	)	Tokyu Corp		(64,015	)
	(6,500	)	West Japan Railway Co		(280,435	)
			Total Japan		(6,193,089	)
			Netherlands — (0.3)%
	(150	)	Adyen NV *		(312,641	)
	(1,056	)	Heineken Holding NV		(86,242	)
	(879	)	IMCD NV		(142,786	)
	(5,414	)	Just Eat Takeaway.com NV *		(219,116	)
			Total Netherlands		(760,785	)
			New Zealand — (0.1)%
	(3,610	)	Xero Ltd *		(248,216	)
			Norway — (0.0)%
	(930	)	Schibsted ASA – Class A		(26,726	)
	(1,098	)	Schibsted ASA – Class B		(28,503	)
			Total Norway		(55,229	)
			Singapore — (0.2)%
	(17,100	)	City Developments Ltd		(90,485	)
	(77,700	)	Singapore Airlines Ltd *		(294,210	)
	(27,400	)	Singapore Exchange Ltd		(190,095	)
			Total Singapore		(574,790	)
			Spain — (0.5)%
	(1,820	)	Aena SME SA *		(297,033	)
	(6,269	)	Cellnex Telecom SA		(283,561	)
	(12,247	)	Ferrovial SA		(333,660	)
	(16,300	)	Siemens Gamesa Renewable Energy SA *		(375,060	)
			Total Spain		(1,289,314	)
			Sweden — (0.3)%
	(28,478	)	Embracer Group AB – Class B *		(244,459	)
	(1,289	)	EQT AB		(43,143	)
	(2,742	)	Evolution AB		(314,395	)
	(25,658	)	Sinch AB *		(216,436	)
			Total Sweden		(818,433	)
			Switzerland — (0.3)%
	(5	)	Chocoladefabriken Lindt & Spruengli AG		(53,038	)
	(223	)	Partners Group Holding AG		(301,449	)
	(26	)	Schindler Holding AG		(5,966	)
	(134	)	Sika AG (Registered)		(44,466	)
	(186	)	Straumann Holding AG (Registered)		(295,454	)
			Total Switzerland		(700,373	)

See accompanying notes to the financial statements. 129

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			United Kingdom — (1.3)%
	(3,808	)	Admiral Group Plc		(151,694	)
	(8,176	)	Antofagasta Plc		(165,546	)
	(40,117	)	Auto Trader Group Plc		(354,798	)
	(63,208	)	ConvaTec Group Plc		(152,815	)
	(580	)	Croda International Plc		(58,057	)
	(419	)	Experian Plc		(16,368	)
	(3,812	)	Halma Plc		(122,952	)
	(16,968	)	Hargreaves Lansdown Plc		(257,171	)
	(51,230	)	Informa Plc *		(405,631	)
	(1,170	)	InterContinental Hotels Group Plc *		(81,470	)
	(14,893	)	Land Securities Group Plc (REIT)		(157,817	)
	(3,373	)	London Stock Exchange Group Plc		(294,654	)
	(15,736	)	Ocado Group Plc *		(289,368	)
	(202,267	)	Rolls-Royce Holdings Plc *		(279,019	)
	(1,035	)	Spirax-Sarco Engineering Plc		(164,932	)
			Total United Kingdom		(2,952,292	)
			United States — (9.6)%
	(12,200	)	AES Corp. (The)		(259,006	)
	(1,700	)	Airbnb, Inc. – Class A *		(257,533	)
	(900	)	American Tower Corp. (REIT)		(204,183	)
	(8,200	)	Aramark		(303,072	)
	(1,900	)	Arthur J Gallagher & Co.		(300,561	)
	(1,200	)	Autodesk, Inc. *		(264,276	)
	(2,600	)	Avalara, Inc. *		(270,166	)
	(1,200	)	Bill.com Holdings, Inc. *		(285,456	)
	(300	)	Bio-Techne Corp.		(125,823	)
	(3,400	)	BioMarin Pharmaceutical, Inc. *		(265,608	)
	(2,200	)	Block Inc. – Class A *		(280,500	)
	(1,400	)	Boeing Co. (The) *		(287,476	)
	(500	)	Broadcom, Inc.		(293,720	)
	(1,200	)	Burlington Stores, Inc. *		(271,068	)
	(3,500	)	Caesars Entertainment, Inc. *		(294,665	)
	(100	)	Camden Property Trust (REIT)		(16,511	)
	(1,900	)	Carvana Co. – Class A *		(285,893	)
	(1,300	)	Catalent, Inc. *		(132,652	)
	(3,300	)	Ceridian HCM Holding, Inc. *		(240,603	)
	(200	)	Chipotle Mexican Grill, Inc. – Class A *		(304,670	)
	(10,900	)	Clarivate Plc *		(163,282	)
	(2,900	)	Cloudflare, Inc. – Class A *		(337,618	)
	(1,200	)	CME Group, Inc.		(283,836	)
	(100	)	Cognex Corp.		(6,756	)
	(2,000	)	Coupa Software, Inc. *		(242,020	)
	(1,200	)	Crown Castle International Corp. (REIT)		(199,908	)
	(5,000	)	Delta Air Lines, Inc. *		(199,600	)
	(600	)	Dexcom, Inc. *		(248,346	)
	(2,200	)	DocuSign, Inc. – Class A *		(260,546	)
	(700	)	DoorDash, Inc. – Class A *		(73,465	)
	(12,900	)	DraftKings Inc. – Class A *		(305,472	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(200	)	Ecolab, Inc.		(35,252	)
	(300	)	Equinix, Inc. (REIT)		(212,919	)
	(2,700	)	Equity LifeStyle Properties, Inc. (REIT)		(201,474	)
	(100	)	Erie Indemnity Co. – Class A		(17,510	)
	(3,400	)	Exact Sciences Corp. *		(265,404	)
	(1,200	)	Expedia Group, Inc. *		(235,332	)
	(100	)	Extra Space Storage, Inc. (REIT)		(18,815	)
	(1,900	)	Fastenal Co.		(97,774	)
	(900	)	First Republic Bank		(155,934	)
	(3,100	)	Guidewire Software, Inc. *		(273,265	)
	(1,600	)	Hess Corp.		(161,696	)
	(600	)	HubSpot, Inc. *		(315,000	)
	(500	)	IDEXX Laboratories, Inc. *		(266,175	)
	(3,900	)	Ingersoll Rand, Inc.		(197,028	)
	(1,300	)	Insulet Corp. *		(344,097	)
	(1,000	)	Invitation Homes, Inc. (REIT)		(37,800	)
	(1,100	)	Ionis Pharmaceuticals, Inc. *		(36,718	)
	(1,300	)	IQVIA Holdings, Inc. *		(299,156	)
	(3,700	)	Iron Mountain, Inc. (REIT)		(181,966	)
	(4,900	)	Lamb Weston Holdings, Inc.		(325,507	)
	(1,100	)	Liberty Broadband Corp. – Class A *		(159,291	)
	(1,500	)	Liberty Broadband Corp. – Class C *		(220,050	)
	(5,800	)	Liberty Media Corp-Liberty Formula One – Class C *		(352,234	)
	(900	)	Linde Plc		(263,916	)
	(2,900	)	Live Nation Entertainment, Inc. *		(350,378	)
	(800	)	MarketAxess Holdings, Inc.		(305,144	)
	(1,700	)	Marriott International, Inc. – Class A *		(289,238	)
	(1,400	)	Marvell Technology, Inc.		(95,662	)
	(2,900	)	MGM Resorts International		(128,441	)
	(700	)	MongoDB, Inc. – Class A *		(267,393	)
	(400	)	Monolithic Power Systems, Inc.		(183,480	)
	(600	)	MSCI, Inc. – Class A		(301,014	)
	(3,700	)	Novocure Ltd. *		(302,882	)
	(14,800	)	Oak Street Health, Inc. *		(259,148	)
	(1,500	)	Okta, Inc. *		(274,260	)
	(400	)	ONEOK, Inc.		(26,120	)
	(13,900	)	Palantir Technologies, Inc. – Class A *		(164,715	)
	(100	)	Palo Alto Networks, Inc. *		(59,425	)
	(6,900	)	Peloton Interactive, Inc. – Class A *		(200,514	)
	(1,500	)	RingCentral, Inc. – Class A *		(196,260	)
	(1,700	)	Roku, Inc. *		(237,201	)
	(4,500	)	Rollins, Inc.		(146,835	)
	(4,200	)	Royal Caribbean Cruises Ltd. *		(339,024	)
	(3,900	)	Sarepta Therapeutics, Inc. *		(298,779	)
	(2,000	)	Seagen, Inc. *		(257,740	)
	(600	)	ServiceNow, Inc. *		(347,952	)
	(1,400	)	Simon Property Group, Inc. (REIT)		(192,584	)
	(8,100	)	Snap, Inc. – Class A *		(323,514	)

130 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2022

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(1,100	)	Snowflake, Inc. – Class A *		(292,226	)
	(1,900	)	T-Mobile US, Inc. *		(234,099	)
	(3,500	)	Teladoc Health, Inc. *		(265,685	)
	(400	)	Tesla, Inc. *		(348,172	)
	(800	)	Trade Desk, Inc. (The) – Class A *		(68,256	)
	(200	)	Tradeweb Markets, Inc. – Class A		(16,896	)
	(1,300	)	Twilio, Inc. – Class A *		(227,240	)
	(7,200	)	Twitter, Inc. *		(255,960	)
	(7,300	)	Uber Technologies, Inc. *		(263,019	)
	(3,700	)	UDR, Inc. (REIT)		(203,019	)
	(2,100	)	Upstart Holdings, Inc. *		(331,779	)
	(1,100	)	Vail Resorts, Inc.		(286,605	)
	(13,000	)	Vistra Corp.		(296,660	)
	(1,100	)	Wayfair, Inc. – Class A *		(154,957	)
	(12,000	)	Williams Cos, Inc. (The)		(375,360	)
	(2,900	)	Zendesk, Inc. *		(338,343	)
	(5,500	)	Zillow Group, Inc. – Class A *		(314,985	)
	(2,242	)	Zillow Group, Inc. – Class C *		(128,960	)
	(500	)	Zoetis, Inc.		(96,825	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(3,000	)	ZoomInfo Technologies, Inc. – Class A *		(164,070	)
	(1,200	)	Zscaler, Inc. *		(286,980	)
			Total United States		(22,436,403	)
			TOTAL COMMON STOCKS (PROCEEDS $50,404,184)		(45,113,858	)
			PREFERRED STOCKS (d)— (0.1)%
			Germany — (0.1)%
	(529	)	Sartorius AG		(233,560	)
			TOTAL PREFERRED STOCKS (PROCEEDS $230,863)		(233,560	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $50,635,047)		(45,347,418	)
			Other Assets and Liabilities (net) — (3.9%)		(9,270,170	)
			TOTAL NET ASSETS — 100.0%		$236,452,022

A summary of outstanding financial instruments at February 28, 2022 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	565,187		05/24/2022		Monthly		—		(874	)		(874	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.50%	GS	USD	419,478		05/24/2022		Monthly		—		(7,365	)		(7,365	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	47,838		05/24/2022		Monthly		—		4,649			4,649
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.63%	GS	USD	247,285		05/24/2022		Monthly		—		(15,000	)		(15,000	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD	105,314		05/24/2022		Monthly		—		(2,269	)		(2,269	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	110,801		10/18/2022		Monthly		—		7,258			7,258
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	3,173,838		10/18/2022		Monthly		—		180,623			180,623
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 2.50%	MORD	USD	1,124,142		05/18/2023		Monthly		—		(34,270	)		(34,270	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	391,917		11/18/2023		Monthly		—		12,760			12,760
									$	—	$	145,512		$	145,512

As of February 28, 2022, 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. 131

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2022

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) Investment valued using significant unobservable inputs (Note 2).

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of February 28, 2022.

(f) The rate shown represents yield-to-maturity.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(h) The following table represents the individual short positions within the custom equity basket swap as of February 28, 2022:

Shares		Description	% of Equity Basket		Value ($)
	156,000	Alibaba Health Information Technology Ltd		3.7%		109,236
	890,000	Alibaba Pictures Group Ltd		3.0%		88,982
	555,000	China Molybdenum Co Ltd –Class H		11.2%		334,056
	38,000	China Resources Beer Holdings Co Ltd		10.1%		301,317
	44,000	Citic Securities Co Ltd – Class H		3.5%		106,599
	49,000	Cosco Shipping Holdings Co – Class H		3.3%		99,040
	18,000	Ganfeng Lithium Co Ltd –Class H		10.2%		305,499
	130,000	Greentown Service Group Co Ltd		4.4%		130,588
	6,100	Hong Kong Exchanges and Clearing Ltd		9.9%		295,586
	114,000	Kingdee International Software Group Co Lt		9.4%		281,767
	31,000	New World Development Co Ltd		4.1%		123,989
	128,800	Sands China Ltd		11.3%		339,708
	144,000	Weimob Inc		3.2%		95,235
	256,000	Zijin Mining Group Co Ltd – Class H		12.7%		379,950
		TOTAL COMMON STOCKS			$	2,991,552

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 133.

132 See accompanying notes to the financial statements.

GMO Trust Funds

February 28, 2022

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.

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CDOR - Canadian Dollar Offered Rate

CMT - Constant Maturity Treasury

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

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.

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MLCS - Merrill Lynch Capital Services, Inc.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 133

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022

	Consolidated Alternative Allocation Fund		Benchmark-Free Allocation Fund		Benchmark-Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	9,811,873	$	5,122,161,675	$	244,931,440	$	623,031,502
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		352,418,385		4,385,029		1,806,933,607		833,893
Foreign currency, at value (Note 2)(d)		47,179		—		726,993		—
Cash		3,479,779		—		414,432		—
Receivable for investments sold		23,243,230		—		43,049,027		—
Receivable for Fund shares sold		206,654		2,991,123		—		105
Receivable for closed swap contracts (Note 4)		7,694		—		43,023		—
Dividends and interest receivable		213,471		17		3,566,659		4
Dividend withholding tax receivable		14,521		—		338,330		—
Foreign capital gains tax refund receivable (Note 2)		—		—		120,817		—
Unrealized appreciation on open forward currency contracts (Note 4)		1,485,428		—		2,017,142		—
Receivable from liquidated underlying funds (Note 2)		397,568		—		—		259,135
Due from broker (Note 2)		5,018,776		—		4,185,081		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		2,030,052		—
Receivable for open OTC swap contracts (Note 4)		5,523,476		—		1,486,428		—
Interest receivable for open OTC swap contracts (Note 4)		302,472		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		162,319		282,547		13,188		19,040
Total assets		402,332,825		5,129,820,391		2,109,856,219		624,143,679
Liabilities:
Investments sold short, at value (Note 2)(e)		102,398,675		—		332,193,516		—
Due to broker (Note 2)		—		—		649		—
Payable for cash collateral from securities loaned (Note 2)		—		—		10,110,041		—
Payable for investments purchased		14,290,836		2,516,407		21,924,574		—
Payable for Fund shares repurchased		117,901		331,985		126,616,181		84,300
Accrued foreign capital gains tax payable (Note 2)		16,028		—		339,599		—
Payable to affiliate for (Note 5):
Management fee		160,904		2,639,838		—		—
Supplemental support fee – Class MF		—		107,987		—		—
Shareholder service fee		31,489		389,088		—		—
Payable for variation margin on open futures contracts (Note 4)		456,631		—		—		—
Payable for variation margin on open cleared swap contracts (Note 4)		379,047		—		372,515		—
Payable for closed swap contracts (Note 4)		18,691		—		116,089		—
Unrealized depreciation on open forward currency contracts (Note 4)		2,917,160		—		2,565,538		—
Interest payable for open OTC swap contracts (Note 4)		19,052		—		—		—
Interest and dividend payable for short sales		67,123		—		168,509		—
Payable for open OTC swap contracts (Note 4)		732,941		—		443,486		—
Payable to Trustees and related expenses		1,267		20,061		6,599		4,432
Written options outstanding, at value (Note 4)(f)		1,316,054		—		—		—
Accrued expenses		244,054		169,986		1,145,153		74,201
Total liabilities		123,167,853		6,175,352		496,002,449		162,933
Net assets	$	279,164,972	$	5,123,645,039	$	1,613,853,770	$	623,980,746
(a)  Cost of investments – affiliated issuers:	$	11,292,136	$	5,344,673,966	$	269,215,510	$	672,082,054
(b)  Cost of investments – unaffiliated issuers:	$	355,771,810	$	4,385,029	$	1,835,259,642	$	833,893
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	22,621,074	$	—
(d)  Cost of foreign currency:	$	86,715	$	—	$	731,699	$	—
(e)  Proceeds from securities sold short:	$	108,546,954	$	—	$	358,438,272	$	—
(f)   Premiums on written options:	$	1,406,726	$	—	$	—	$	—

134 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund			Benchmark-Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	294,945,508		$	5,558,848,671		$	1,915,642,042		$	848,744,082
Distributable earnings (accumulated loss)		(15,780,536	)		(435,203,632	)		(301,788,272	)		(224,763,336	)
	$	279,164,972		$	5,123,645,039		$	1,613,853,770		$	623,980,746
Net assets attributable to:
Class III	$	—		$	1,726,439,698		$	1,613,853,770		$	585,211,755
Class IV	$	—		$	1,388,080,443		$	—		$	—
Class VI	$	130,895,825		$	—		$	—		$	—
Class MF	$	—		$	1,370,526,909		$	—		$	—
Class R6	$	22,377		$	273,490,582		$	—		$	26,147,965
Class I	$	148,246,770		$	365,107,407		$	—		$	12,621,026
Shares outstanding:
Class III		—			67,544,619			85,634,132			17,807,189
Class IV		—			54,304,859			—			—
Class VI		7,239,073			—			—			—
Class MF		—			53,572,631			—			—
Class R6		1,231			10,707,315			—			796,114
Class I		8,230,207			14,300,832			—			384,019
Net asset value per share:
Class III	$	—		$	25.56		$	18.85		$	32.86
Class IV	$	—		$	25.56		$	—		$	—
Class VI	$	18.08		$	—		$	—		$	—
Class MF	$	—		$	25.58		$	—		$	—
Class R6	$	18.18		$	25.54		$	—		$	32.84
Class I	$	18.01		$	25.53		$	—		$	32.87

See accompanying notes to the financial statements. 135

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	86,777,788	$	1,580,276,953	$	12,509,088	$	230,491,494
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		49,828		608,775		5,528,398,709		80,822
Foreign currency, at value (Note 2)(d)		—		—		2,036,343		—
Receivable for investments sold		—		—		53,375,502		—
Receivable for Fund shares sold		—		9,960		2,516,407		17,805
Receivable for closed swap contracts (Note 4)		—		—		103,337		—
Dividends and interest receivable		—		2		12,425,667		—
Dividend withholding tax receivable		—		—		880,751		—
Foreign capital gains tax refund receivable (Note 2)		—		—		7,095		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		10,113,488		—
Due from broker (Note 2)		—		—		179,166,881		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		4,028,560		—
Receivable for open OTC swap contracts (Note 4)		—		—		4,483,073		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		5,848		22,016		21,588		24,360
Total assets		86,833,464		1,580,917,706		5,810,066,489		230,614,481
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		1,075,385,626		—
Due to custodian		—		—		156,171		—
Due to broker (Note 2)		—		—		276		—
Payable for cash collateral from securities loaned (Note 2)		—		—		12,555,636		—
Payable for investments purchased		—		—		14,205,793		—
Payable for Fund shares repurchased		—		1,729		—		711
Accrued foreign capital gains tax payable (Note 2)		—		—		1,260,252		—
Payable for variation margin on open futures contracts (Note 4)		—		—		213,368		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		2,230,534		—
Payable for closed swap contracts (Note 4)		—		—		235,003		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		16,129,547		—
Interest payable for open OTC swap contracts (Note 4)		—		—		52,836		—
Interest and dividend payable for short sales		—		—		603,730		—
Payable for open OTC swap contracts (Note 4)		—		—		2,987,671		—
Payable to Trustees and related expenses		304		5,860		18,045		814
Written options outstanding, at value (Note 4)(f)		—		—		694,066		—
Accrued expenses		23,286		76,940		2,112,036		36,839
Total liabilities		23,590		84,529		1,128,840,590		38,364
Net assets	$	86,809,874	$	1,580,833,177	$	4,681,225,899	$	230,576,117
(a)  Cost of investments – affiliated issuers:	$	82,024,578	$	1,620,458,042	$	12,572,470	$	235,083,070
(b)  Cost of investments – unaffiliated issuers:	$	49,828	$	608,775	$	5,711,714,899	$	80,822
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	41,044,798	$	—
(d)  Proceeds from securities sold short:	$	—	$	—	$	1,143,433,593	$	—
(e)  Cost of foreign currency:	$	—	$	—	$	2,059,373	$	—
(f)   Premiums on written options:	$	—	$	—	$	955,223	$	—

136 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	152,164,704		$	1,614,300,672		$	5,750,539,475		$	399,069,086
Distributable earnings (accumulated loss)		(65,354,830	)		(33,467,495	)		(1,069,313,576	)		(168,492,969	)
	$	86,809,874		$	1,580,833,177		$	4,681,225,899		$	230,576,117
Net assets attributable to:
Core Class	$	—		$	—		$	4,681,225,899		$	—
Class III	$	86,809,874		$	1,571,153,412		$	—		$	222,308,135
Class R6	$	—		$	7,064,794		$	—		$	8,267,982
Class I	$	—		$	2,614,971		$	—		$	—
Shares outstanding:
Core Class		—			—			373,319,979			—
Class III		3,552,981			55,217,401			—			13,595,963
Class R6		—			248,277			—			505,711
Class I		—			91,941			—			—
Net asset value per share:
Core Class	$	—		$	—		$	12.54		$	—
Class III	$	24.43		$	28.45		$	—		$	16.35
Class R6	$	—		$	28.46		$	—		$	16.35
Class I	$	—		$	28.44		$	—		$	—

See accompanying notes to the financial statements. 137

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	678,975,126	$	—	$	145,331,020
Investments in unaffiliated issuers, at value (Note 2)(b)		110,766		267,059,339		145,738,590
Foreign currency, at value (Note 2)(c)		—		40		46,610
Receivable for investments sold		30,290,000		—		13,357,857
Receivable for Fund shares sold		72		85,665		—
Receivable for closed swap contracts (Note 4)		—		—		4,757
Dividends and interest receivable		2		90,088		193,272
Dividend withholding tax receivable		—		—		39,693
Foreign capital gains tax refund receivable (Note 2)		—		—		1,252
Unrealized appreciation on open forward currency contracts (Note 4)		—		334,658		—
Due from broker (Note 2)		—		464,163		85
Receivable for open OTC swap contracts (Note 4)		—		353,555		205,290
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		8,148		69,715		6,013
Total assets		709,384,114		268,457,223		304,924,439
Liabilities:
Investments sold short, at value (Note 2)(d)		—		—		45,347,418
Due to custodian		—		—		844
Due to broker (Note 2)		—		33,340		—
Payable for investments purchased		—		—		3,076,501
Payable for Fund shares repurchased		30,001,365		5,056,150		19,680,000
Accrued foreign capital gains tax payable (Note 2)		—		—		14,669
Payable to affiliate for (Note 5):
Management fee		—		176,622		—
Shareholder service fee		—		15,333		—
Payable for variation margin on open futures contracts (Note 4)		—		877,620		—
Payable for closed swap contracts (Note 4)		—		—		10,843
Unrealized depreciation on open forward currency contracts (Note 4)		—		633,748		—
Interest and dividend payable for short sales		—		—		22,956
Payable for open OTC swap contracts (Note 4)		—		1,084,896		59,778
Payable to Trustees and related expenses		2,710		1,186		3,262
Accrued expenses		62,699		187,428		256,146
Total liabilities		30,066,774		8,066,323		68,472,417
Net assets	$	679,317,340	$	260,390,900	$	236,452,022
(a)  Cost of investments – affiliated issuers:	$	696,780,270	$	—	$	145,058,758
(b)  Cost of investments – unaffiliated issuers:	$	110,766	$	268,236,483	$	140,289,660
(c)  Cost of foreign currency	$	—	$	40	$	46,620
(d)  Proceeds from securities sold short:	$	—	$	—	$	50,635,047

138 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2022 — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	829,842,474		$	325,046,382		$	224,639,942
Distributable earnings (accumulated loss)		(150,525,134	)		(64,655,482	)		11,812,080
	$	679,317,340		$	260,390,900		$	236,452,022
Net assets attributable to:
Class III	$	437,139,445		$	32,796,478		$	236,452,022
Class VI	$	—		$	206,841,467		$	—
Class R6	$	242,177,895		$	—		$	—
Class I	$	—		$	20,752,955		$	—
Shares outstanding:
Class III		14,854,139			1,119,509			13,203,339
Class VI		—			7,067,757			—
Class R6		8,231,819			—			—
Class I		—			709,920			—
Net asset value per share:
Class III	$	29.43		$	29.30		$	17.91
Class VI	$	—		$	29.27		$	—
Class R6	$	29.42		$	—		$	—
Class I	$	—		$	29.23		$	—

See accompanying notes to the financial statements. 139

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund			Benchmark-Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	4,224,680		$	264		$	60,183,782		$	47
Dividends from affiliated issuers (Note 10)		527,989			169,236,847			9,627,127			17,513,874
Interest		583,826			—			458,633			1,207
Securities lending income from affiliated issuers (net)		—			—			103,230			—
Securities lending income (net)		—			—			310,093			—
Other income (Note 2)		397,568			—			324,793			259,135
Total investment income		5,734,063			169,237,111			71,007,658			17,774,263
Expenses:
Management fee (Note 5)		2,591,953			39,044,859			—			—
Shareholder service fee – Class III (Note 5)		—			2,806,356			—			—
Shareholder service fee – Class IV (Note 5)		—			1,940,922			—			—
Shareholder service fee – Class VI (Note 5)		93,313			—			—			—
Shareholder service fee – Class R6 (Note 5)		423			425,697			—			—
Shareholder service fee – Class I (Note 5)		407,463			516,782			—			—
Supplemental support fee – Class MF (Note 5)		—			1,566,755			—			—
Audit and tax fees		118,841			37,293			158,106			32,068
Custodian, fund accounting agent and transfer agent fees		598,301			491,929			1,608,707			99,227
Dividend expense on short sales		1,312,092			—			4,166,022			—
Legal fees		43,696			89,691			71,665			9,293
Registration fees		41,792			74,452			421			45,820
Trustees’ fees and related expenses (Note 5)		13,932			193,319			67,893			23,883
Interest expense and borrowing costs for investments sold short (Note 2)		485,057			—			1,195,430			—
Miscellaneous		65,355			84,171			146,804	*		15,896	**
Total expenses		5,772,218			47,272,226			7,415,048			226,187
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(539,514	)		(401,129	)		(1,423,492	)		(185,307	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(99,640	)		(2,759,456	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(3,066	)		(319,870	)		—			—
Net expenses		5,129,998			43,791,771			5,991,556			40,880
Net investment income (loss)		604,065			125,445,340			65,016,102			17,733,383
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		53,414,395			32,213			223,570,814			99,218
Investments in affiliated issuers		2,884,552			(63,539,730	)		5,388,413			33,151,714
Investments in securities sold short		(41,858,091	)		—			(28,713,774	)		—
Realized gain distributions from affiliated issuers (Note 10)		—			11,724,196			4,843,358			35,109,437
Futures contracts		(5,677,101	)		—			(82,085,229	)		—
Written options		2,852,823			—			—			—
Swap contracts		(6,308,142	)		—			15,689,562			—
Forward currency contracts		(3,359,178	)		—			8,789,482			—
Foreign currency and foreign currency related transactions		(86,510	)		—			(475,496	)		—
Net realized gain (loss)		1,862,748			(51,783,321	)		147,007,130			68,360,369
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(24,456,975	)		—			(250,003,200	)		3,628
Investments in affiliated issuers		(4,705,383	)		(9,001,883	)		(30,436,600	)		(76,903,445	)
Investments in securities sold short		23,659,273			—			56,997,660			—
Futures contracts		803,471			—			36,486,489			—
Written options		297,241			—			—			—
Swap contracts		2,348,632			—			(2,903,562	)		—
Forward currency contracts		(1,289,077	)		—			(739,814	)		—
Foreign currency and foreign currency related transactions		(25,266	)		—			16,598			—
Net change in unrealized appreciation (depreciation)		(3,368,084	)		(9,001,883	)		(190,582,429	)		(76,899,817	)
Net realized and unrealized gain (loss)		(1,505,336	)		(60,785,204	)		(43,575,299	)		(8,539,448	)
Net increase (decrease) in net assets resulting from operations	$	(901,271	)	$	64,660,136		$	21,440,803		$	9,193,935
(a)   Withholding tax:	$	138,994		$	—		$	5,095,245		$	—
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	1,840		$	—		$	547,067		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	16,028		$	—		$	293,790		$	—

* Includes $122,038 of pricing expenses.

** Includes $8,367 of printing expenses.

140 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022 — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax ) (Note 2)(a)	$	—		$	39		$	160,840,100		$	3
Dividends from affiliated issuers (Note 10)		3,389,840			62,896,197			—			14,392,284
Interest		4			—			16,281,867			—
Securities lending income from affiliated issuers (net)		—			—			380,552			—
Securities lending income (net)		—			—			620,927			—
Other income (Note 2)		—			—			1,329,452			—
Total investment income		3,389,844			62,896,236			179,452,898			14,392,287
Expenses:
Audit and tax fees		23,606			25,364			259,935			30,502
Custodian, fund accounting agent and transfer agent fees		8,699			75,636			2,748,229			48,900
Dividend expense on short sales		—			—			13,496,665			—
Legal fees		1,162			26,109			106,446			3,909
Registration fees		4,109			58,233			843			26,170
Trustees’ fees and related expenses (Note 5)		3,262			59,021			180,401			7,791
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			3,915,523			—
Miscellaneous		6,309	*		22,691	**		193,680	***		7,821	****
Total expenses		47,147			267,054			20,901,722			125,093
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(43,605	)		(199,062	)		(3,099,640	)		(116,568	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(2,889	)		—
Net expenses		3,542			67,992			17,799,193			8,525
Net investment income (loss)		3,386,302			62,828,244			161,653,705			14,383,762
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			549,278,418			—
Investments in affiliated issuers		4,891,548			67,677,875			(64,989	)		2,517,002
Investments in securities sold short		—			—			(190,235,093	)		—
Realized gain distributions from affiliated issuers (Note 10)		7,361,580			106,796,624			—			863,345
Futures contracts		—			—			(201,295,836	)		—
Written options		—			—			107,440			—
Swap contracts		—			—			39,982,690			—
Forward currency contracts		—			—			11,763,114			—
Foreign currency and foreign currency related transactions		—			—			(1,391,546	)		—
Net realized gain (loss)		12,253,128			174,474,499			208,144,198			3,380,347
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			—			(529,931,440	)		—
Investments in affiliated issuers		(9,298,594	)		(190,742,470	)		(63,382	)		(10,962,253	)
Investments in securities sold short		—			—			197,036,385			—
Futures contracts		—			—			87,734,235			—
Written options		—			—			261,157			—
Swap contracts		—			—			(2,055,731	)		—
Forward currency contracts		—			—			(7,021,471	)		—
Foreign currency and foreign currency related transactions		—			—			235,429			—
Net change in unrealized appreciation (depreciation)		(9,298,594	)		(190,742,470	)		(253,804,818	)		(10,962,253	)
Net realized and unrealized gain (loss)		2,954,534			(16,267,971	)		(45,660,620	)		(7,581,906	)
Net increase (decrease) in net assets resulting from operations	$	6,340,836		$	46,560,273		$	115,993,085		$	6,801,856
(a)   Withholding tax:	$	—		$	—		$	13,218,492		$	—
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	1,800,082		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	724,617		$	—

* Includes $5,187 of printing expenses.

** Includes $10,871 of printing expenses.

*** Includes $129,340 of pricing expenses.

**** Includes $5,390 of printing expenses.

See accompanying notes to the financial statements. 141

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2022 — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	19		$	328		$	4,842,824
Dividends from affiliated issuers (Note 10)		41,108,743			—			6,156,995
Interest		—			662,019			24,265
Total investment income		41,108,762			662,347			11,024,084
Expenses:
Management fee (Note 5)		—			2,842,393			—
Shareholder service fee – Class III (Note 5)		—			45,617			—
Shareholder service fee – Class VI (Note 5)		—			155,126			—
Shareholder service fee – Class I (Note 5)		—			32,909			—
Audit and tax fees		24,182			84,436			51,368
Custodian, fund accounting agent and transfer agent fees		69,484			166,706			405,977
Dividend expense on short sales		—			—			746,932
Legal fees		11,759			13,181			14,372
Registration fees		35,498			54,477			4,859
Trustees’ fees and related expenses (Note 5)		28,030			9,280			14,053
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			202,848
Miscellaneous		11,247	*		36,707			62,416	**
Total expenses		180,200			3,440,832			1,502,825
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(148,894	)		(329,145	)		(511,841	)
Net expenses		31,306			3,111,687			990,984
Net investment income (loss)		41,077,456			(2,449,340	)		10,033,100
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			31,768			35,341,914
Investments in affiliated issuers		16,671,765			—			26,052,334
Investments in securities sold short		—			—			(10,163,734	)
Realized gain distributions from affiliated issuers (Note 10)		2,744,179			—			9,921,109
Futures contracts		—			(2,111,965	)		—
Swap contracts		—			2,210,504			3,693,996
Forward currency contracts		—			(6,979,629	)		—
Foreign currency and foreign currency related transactions		—			150,716			(15,729	)
Net realized gain (loss)		19,415,944			(6,698,606	)		64,829,890
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			(1,565,447	)		(25,629,172	)
Investments in affiliated issuers		(81,975,337	)		—			(35,069,004	)
Investments in securities sold short		—			—			12,848,880
Futures contracts		—			2,122,119			—
Swap contracts		—			(731,341	)		(936,471	)
Forward currency contracts		—			1,281,588			—
Foreign currency and foreign currency related transactions		—			(12,036	)		(19,449	)
Net change in unrealized appreciation (depreciation)		(81,975,337	)		1,094,883			(48,805,216	)
Net realized and unrealized gain (loss)		(62,559,393	)		(5,603,723	)		16,024,674
Net increase (decrease) in net assets resulting from operations	$	(21,481,937	)	$	(8,053,063	)	$	26,057,774
(a)  Withholding tax:	$	—		$	—		$	356,693
(b)  Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	95,529
(c)  Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(88,660	)

* Includes $6,471 of printing expenses.

** Includes $53,076 of pricing expenses.

142 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Consolidated Alternative Allocation Fund						Benchmark-Free Allocation Fund(a)
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	604,065		$	(994,645	)	$	125,445,340		$	114,142,597
Net realized gain (loss)		1,862,748			(7,143,588	)		(51,783,321	)		60,048,306
Change in net unrealized appreciation (depreciation)		(3,368,084	)		4,116,009			(9,001,883	)		80,415,746
Net increase (decrease) in net assets from operations		(901,271	)		(4,022,224	)		64,660,136			254,606,649
Distributions to shareholders:
Class III		—			—			(40,126,356	)		(104,307,810	)
Class IV		—			—			(36,148,761	)		(71,760,959	)
Class VI		(6,442,811	)		(5,356,980	)		—			—
Class MF		—			—			(34,695,369	)		(69,378,466	)
Class R6		(15,298	)		(9,953	)*		(5,897,575	)		(1,488,297	)**
Class I		(6,161,945	)		(4,350,593	)		(8,143,311	)		(4,256,750	)
Total distributions		(12,620,054	)		(9,717,526	)		(125,011,372	)		(251,192,282	)
Net share transactions (Note 9):
Class III		—			—			(488,898,874	)		(1,549,777,251	)
Class IV		—			—			(553,716,829	)		(144,019,491	)
Class VI		(91,476,207	)		37,929,124			—			—
Class MF		—			—			(330,119,921	)		(1,092,603,160	)
Class R6		(445,328	)		487,583	*		(35,040,180	)		308,687,885	**
Class I		(114,729,175	)		239,618,890			46,774,244			222,508,366
Increase (decrease) in net assets resulting from net share transactions		(206,650,710	)		278,035,597			(1,361,001,560	)		(2,255,203,651	)
Total increase (decrease) in net assets		(220,172,035	)		264,295,847			(1,421,352,796	)		(2,251,789,284	)
Net assets:
Beginning of period		499,337,007			235,041,160			6,544,997,835			8,796,787,119
End of period	$	279,164,972		$	499,337,007		$	5,123,645,039		$	6,544,997,835

^(a) A plan of reorganization was completed on January 22, 2021.

* Period from July 31, 2020 (commencement of operations) through February 28, 2021.

** Period from May 1, 2020 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 143

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Fund						Global Asset Allocation Fund(a)
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	65,016,102		$	64,891,218		$	17,733,383		$	33,047,243
Net realized gain (loss)		147,007,130			(174,343,234	)		68,360,369			38,313,845
Change in net unrealized appreciation (depreciation)		(190,582,429	)		239,716,675			(76,899,817	)		72,475,821
Net increase (decrease) in net assets from operations		21,440,803			130,264,659			9,193,935			143,836,909
Distributions to shareholders:
Class III		(78,012,250	)		(71,248,951	)		(36,020,211	)		(38,839,616	)
Class R6		—			—			(1,757,031	)		(1,148,742	)
Class I		—			—			(758,336	)		—	*
Total distributions		(78,012,250	)		(71,248,951	)		(38,535,578	)		(39,988,358	)
Net share transactions (Note 9):
Class III		(488,070,825	)		(484,449,320	)		(73,648,726	)		(950,346,978	)
Class R6		—			—			(161,766,780	)		164,512,376
Class I		—			—			(7,391,714	)		20,705,602	*
Increase (decrease) in net assets resulting from net share transactions		(488,070,825	)		(484,449,320	)		(242,807,220	)		(765,129,000	)
Total increase (decrease) in net assets		(544,642,272	)		(425,433,612	)		(272,148,863	)		(661,280,449	)
Net assets:
Beginning of period		2,158,496,042			2,583,929,654			896,129,609			1,557,410,058
End of period	$	1,613,853,770		$	2,158,496,042		$	623,980,746		$	896,129,609

^(a) A plan of reorganization was completed on January 22, 2021.

* Period from January 6, 2021 (commencement of operations) through February 28, 2021.

144 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,386,302		$	2,465,589		$	62,828,244		$	51,214,464
Net realized gain (loss)		12,253,128			1,263,773			174,474,499			77,284,915
Change in net unrealized appreciation (depreciation)		(9,298,594	)		14,596,077			(190,742,470	)		249,758,702
Net increase (decrease) in net assets from operations		6,340,836			18,325,439			46,560,273			378,258,081
Distributions to shareholders:
Class III		(10,659,337	)		(2,967,463	)		(122,025,655	)		(58,232,912	)
Class R6		—			—			(541,431	)		(227,894	)*
Class I		—			—			(191,269	)		(64,254	)**
Total distributions		(10,659,337	)		(2,967,463	)		(122,758,355	)		(58,525,060	)
Net share transactions (Note 9):
Class III		2,974,852			(587,343	)		7,964,576			(135,640,442	)
Class R6		—			—			649,789			5,755,476	*
Class I		—			—			535,784			1,969,305	**
Increase (decrease) in net assets resulting from net share transactions		2,974,852			(587,343	)		9,150,149			(127,915,661	)
Total increase (decrease) in net assets		(1,343,649	)		14,770,633			(67,047,933	)		191,817,360
Net assets:
Beginning of period		88,153,523			73,382,890			1,647,881,110			1,456,063,750
End of period	$	86,809,874		$	88,153,523		$	1,580,833,177		$	1,647,881,110

* Period from July 15, 2020 (commencement of operations) through February 28 , 2021.

** Period from August 17, 2020 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 145

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund(a)
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	161,653,705		$	175,368,048		$	14,383,762		$	9,596,314
Net realized gain (loss)		208,144,198			(653,822,989	)		3,380,347			1,580,267
Change in net unrealized appreciation (depreciation)		(253,804,818	)		511,939,039			(10,962,253	)		30,626,653
Net increase (decrease) in net assets from operations		115,993,085			33,484,098			6,801,856			41,803,234
Distributions to shareholders:
Core Class		(150,035,453	)		(132,218,180	)		—			—
Class III		—			—			(15,331,043	)		(9,649,537	)
Class R6		—			—			(544,452	)		—
Total distributions		(150,035,453	)		(132,218,180	)		(15,875,495	)		(9,649,537	)
Net share transactions (Note 9):
Core Class		(1,255,098,954	)		(1,045,204,818	)		—			—
Class III		—			—			13,953,404			(112,552,246	)
Class R6		—			—			313,408			8,318,148	*
Increase (decrease) in net assets resulting from net share transactions		(1,255,098,954	)		(1,045,204,818	)		14,266,812			(104,234,098	)
Total increase (decrease) in net assets		(1,289,141,322	)		(1,143,938,900	)		5,193,173			(72,080,401	)
Net assets:
Beginning of period		5,970,367,221			7,114,306,121			225,382,944			297,463,345
End of period	$	4,681,225,899		$	5,970,367,221		$	230,576,117		$	225,382,944

^(a) A plan of reorganization was completed on January 22, 2021.

* Period from January 22, 2021 (commencement of operations) through February 28, 2021.

146 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund(a)						Consolidated SGM Major Markets Fund
	Year Ended February 28,						Year Ended February 28,
	2022			2021			2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	41,077,456		$	33,987,418		$	(2,449,340	)	$	(717,925	)
Net realized gain (loss)		19,415,944			(20,360,817	)		(6,698,606	)		53,389,439
Change in net unrealized appreciation (depreciation)		(81,975,337	)		133,302,879			1,094,883			(19,979,166	)
Net increase (decrease) in net assets from operations		(21,481,937	)		146,929,480			(8,053,063	)		32,692,348
Distributions to shareholders:
Class III		(29,164,941	)		(23,516,204	)		(2,188,743	)		(605,875	)
Class VI		—			—			(23,082,080	)		(7,340,475	)
Class R6		(15,335,754	)		(10,144,475	)		—			—
Class I		—			—			(1,575,727	)		(170,853	)*
Total distributions		(44,500,695	)		(33,660,679	)		(26,846,550	)		(8,117,203	)
Net share transactions (Note 9):
Class III		(119,007,367	)		(121,597,130	)		5,866,671			11,338,628
Class VI		—			—			(77,631,000	)		(542,443,992	)
Class R6		2,753,167			13,037,294			—			—
Class I		—			—			8,999,513			14,188,676	*
Increase (decrease) in net assets resulting from net share transactions		(116,254,200	)		(108,559,836	)		(62,764,816	)		(516,916,688	)
Total increase (decrease) in net assets		(182,236,832	)		4,708,965			(97,664,429	)		(492,341,543	)
Net assets:
Beginning of period		861,554,172			856,845,207			358,055,329			850,396,872
End of period	$	679,317,340		$	861,554,172		$	260,390,900		$	358,055,329

^(a) A plan of reorganization was completed on January 22, 2021.

* Period from September 23, 2020 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 147

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Strategic Opportunities Allocation Fund
	Year Ended February 28,
	2022			2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,033,100		$	18,754,742
Net realized gain (loss)		64,829,890			14,588,170
Change in net unrealized appreciation (depreciation)		(48,805,216	)		66,489,403
Net increase (decrease) in net assets from operations		26,057,774			99,832,315
Distributions to shareholders:
Class III		(67,555,650	)		(26,956,390	)
Total distributions		(67,555,650	)		(26,956,390	)
Net share transactions (Note 9):
Class III		(301,846,406	)		(266,517,298	)
Increase (decrease) in net assets resulting from net share transactions		(301,846,406	)		(266,517,298	)
Total increase (decrease) in net assets		(343,344,282	)		(193,641,373	)
Net assets:
Beginning of period		579,796,304			773,437,677
End of period	$	236,452,022		$	579,796,304

148 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND

	Class VI Shares												Class R6 Shares								Class I Shares
	Year Ended February 28,								Period from May 1, 2019 (commencement of operations) through February 29, 2020				Year Ended February 28, 2022				Period from July 31, 2020 (commencement of operations) through February 28, 2021				Year Ended February 28,								Period from September 4, 2019 (commencement of operations) through February 29, 2020
	2022				2021																2022				2021
Net asset value, beginning of period		$	18.99			$	19.45			$	20.00			$	18.95			$	19.33			$	18.96			$	19.44			$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.05				(0.02	)			0.15				(0.00	)(b)			(0.03	)			0.01				(0.09	)			0.10
Net realized and unrealized gain (loss)			(0.23	)			0.03	(c)			(0.18	)			(0.04	)			0.07	(c)			(0.23	)			0.04	(c)			(0.33	)
Total from investment operations			(0.18	)			0.01				(0.03	)			(0.04	)			0.04				(0.22	)			(0.05	)			(0.23	)
Less distributions to shareholders:
From net investment income			—				(0.47	)			(0.06	)			—				(0.42	)			—				(0.43	)			(0.05	)
From net realized gains			(0.73	)			—				(0.46	)			(0.73	)			—				(0.73	)			—				(0.46	)
Total distributions			(0.73	)			(0.47	)			(0.52	)			(0.73	)			(0.42	)			(0.73	)			(0.43	)			(0.51	)
Net asset value, end of period		$	18.08			$	18.99			$	19.45			$	18.18			$	18.95			$	18.01			$	18.96			$	19.44
Total Return(d)			(0.99	)%			0.01	%			(0.21	)%**			(0.23	)%			0.16	%**			(1.21	)%			(0.30	)%			(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	130,896			$	230,386			$	200,812			$	22			$	478			$	148,247			$	268,473			$	34,229
Net operating expenses to average daily net assets(e)			0.80	%			0.76	%			0.77	%*			0.97	%			0.93	%*			1.07	%			1.02	%			1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.51	%			0.49	%			0.29	%*			0.58	%			0.53	%*			0.50	%			0.51	%			0.23	%*
Total net expenses to average daily net assets(e)			1.31	%			1.25	%			1.05	%*			1.55	%			1.46	%*			1.57	%			1.53	%			1.25	%*
Net investment income (loss) to average daily net assets(a)			0.29	%			(0.10	)%			0.88	%*			0.01	%			(0.26	)%*			0.06	%			(0.44	)%			0.98	%*
Portfolio turnover rate(g)			572	%			410	%			243	%**			572	%			410	%**			572	%			410	%			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.17	%			0.15	%			0.27	%*			0.13	%			0.16	%*			0.19	%			0.15	%			0.24	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

^(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 the 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, if any (Note 5).

^(f)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the periods ended February 28, 2022, February 28, 2021 and February 29, 2020, including transactions in USTF, was 572%, 411% and 250%, respectively, of the average value of its portfolio.

^(h)  Ratio includes 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. 149

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	25.97			$	25.53			$	26.36			$	27.76			$	25.78			$	25.96			$	25.53			$	26.35			$	27.75			$	25.78
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.57				0.40				0.83				0.82				0.52				0.49				0.43				0.83				0.88				0.58
Net realized and unrealized gain (loss)			(0.35	)			0.98				(0.75	)			(1.30	)			2.12				(0.25	)			0.96				(0.73	)			(1.35	)			2.06
Total from investment operations			0.22				1.38				0.08				(0.48	)			2.64				0.24				1.39				0.10				(0.47	)			2.64
Less distributions to shareholders:
From net investment income			(0.63	)			(0.78	)			(0.90	)			(0.90	)			(0.66	)			(0.64	)			(0.80	)			(0.91	)			(0.91	)			(0.67	)
From net realized gains			—				(0.16	)			(0.01	)			(0.02	)			—				—				(0.16	)			(0.01	)			(0.02	)			—
Total distributions			(0.63	)			(0.94	)			(0.91	)			(0.92	)			(0.66	)			(0.64	)			(0.96	)			(0.92	)			(0.93	)			(0.67	)
Net asset value, end of period		$	25.56			$	25.97			$	25.53			$	26.36			$	27.76			$	25.56			$	25.96			$	25.53			$	26.35			$	27.75
Total Return(b)			0.86	%			5.60	%			0.11	%			(1.55	)%			10.28	%			0.93	%			5.61	%			0.21	%			(1.50	)%			10.30	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,726,440			$	2,227,712			$	3,785,568			$	4,642,211			$	5,162,084			$	1,388,080			$	1,965,528			$	2,085,324			$	2,737,619			$	2,756,005
Net operating expenses to average daily net assets(c)			0.75	%			0.70	%			0.66	%			0.65	%			0.65	%			0.70	%			0.66	%			0.61	%			0.60	%			0.60	%
Net investment income (loss) to average daily net assets(a)			2.15	%			1.59	%			3.12	%			3.07	%			1.93	%			1.85	%			1.73	%			3.12	%			3.29	%			2.13	%
Portfolio turnover rate			7	%			20	%			10	%			18	%			9	%			7	%			20	%			10	%			18	%			9	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.06	%			0.11	%			0.15	%			0.15	%			0.16	%			0.06	%			0.10	%			0.15	%			0.15	%			0.16	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(e)		$	0.01			$	—			$	—			$	—			$	0.00	(e)		$	0.01

	Class MF Shares
	Year Ended February 28/29,
	2022			2021			2020			2019			2018
Net asset value, beginning of period	$	25.99		$	25.55		$	26.38		$	27.77		$	25.80
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.60			0.38			0.83			0.77			0.56
Net realized and unrealized gain (loss)		(0.37	)		1.01			(0.74	)		(1.23	)		2.08
Total from investment operations		0.23			1.39			0.09			(0.46	)		2.64
Less distributions to shareholders:
From net investment income		(0.64	)		(0.79	)		(0.91	)		(0.91	)		(0.67	)
From net realized gains		—			(0.16	)		(0.01	)		(0.02	)		—
Total distributions		(0.64	)		(0.95	)		(0.92	)		(0.93	)		(0.67	)
Net asset value, end of period	$	25.58		$	25.99		$	25.55		$	26.38		$	27.77
Total Return(b)		0.91	%		5.64	%		0.16	%		(1.47	)%		10.29	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,370,527		$	1,716,252		$	2,827,442		$	3,926,518		$	5,622,091
Net operating expenses to average daily net assets(c)		0.70	%		0.65	%		0.61	%		0.60	%		0.60	%
Net investment income (loss) to average daily net assets(a)		2.25	%		1.54	%		3.12	%		2.88	%		2.06	%
Portfolio turnover rate		7	%		20	%		10	%		18	%		9	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.06	%		0.11	%		0.15	%		0.15	%		0.16	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	0.00	(e)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Ratios include indirect fees waived or borne by GMO.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

150 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class R6 Shares								Class I Shares
	Year Ended February 28, 2022				Period from May 1, 2020 (commencement of operations) through February 28, 2021				Year Ended February 28,								Period from August 8, 2019 (commencement of operations) through February 29, 2020
									2022				2021
Net asset value, beginning of period		$	25.95			$	23.95			$	25.95			$	25.52			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.55				0.24				0.63				0.33				1.10
Net realized and unrealized gain (loss)			(0.33	)			2.72				(0.44	)			1.02				(0.93	)
Total from investment operations			0.22				2.96				0.19				1.35				0.17
Less distributions to shareholders:
From net investment income			(0.63	)			(0.80	)			(0.61	)			(0.76	)			(0.89	)
From net realized gains			—				(0.16	)			—				(0.16	)			—
Total distributions			(0.63	)			(0.96	)			(0.61	)			(0.92	)			(0.89	)
Net asset value, end of period		$	25.54			$	25.95			$	25.53			$	25.95			$	25.52
Total Return(b)			0.86	%			12.55	%**			0.77	%			5.47	%			0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	273,491			$	310,687			$	365,107			$	324,819			$	98,453
Net expenses to average daily net assets(c)			0.75	%			0.74	%*			0.85	%			0.81	%			0.74	%*
Net investment income (loss) to average daily net assets(a)			2.06	%			1.16	%*			2.38	%			1.30	%			7.22	%*
Portfolio turnover rate			7	%			20	%**			7	%			20	%			10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.06	%			0.08	%*			0.07	%			0.10	%			0.15	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  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. 151

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Year Ended February 28/29,
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	19.48			$	18.88			$	19.56			$	20.91			$	18.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.63				0.52				0.72				0.58				0.46
Net realized and unrealized gain (loss)			(0.39	)			0.71				(0.59	)			(1.21	)			2.10
Total from investment operations			0.24				1.23				0.13				(0.63	)			2.56
Less distributions to shareholders:
From net investment income			(0.87	)			(0.63	)			(0.81	)			(0.72	)			(0.60	)
Total distributions			(0.87	)			(0.63	)			(0.81	)			(0.72	)			(0.60	)
Net asset value, end of period		$	18.85			$	19.48			$	18.88			$	19.56			$	20.91
Total Return(b)			1.21	%			6.64	%			0.41	%			(2.80	)%			13.59	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,613,854			$	2,158,496			$	2,583,930			$	3,165,731			$	4,486,489
Net operating expenses to average daily net assets(c)			0.03	%			0.04	%			0.02	%			0.02	%			0.02	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.26	%			0.08	%			0.03	%			0.04	%			0.00	%(e)
Total net expenses to average daily net assets(c)			0.29	%			0.12	%			0.05	%			0.06	%			0.02	%
Net investment income (loss) to average daily net assets(a)			3.19	%			2.86	%			3.64	%			2.92	%			2.29	%
Portfolio turnover rate(f)			138	%			145	%			50	%			59	%			78	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%			0.05	%			0.04	%			0.03	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(g)		$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 145%, 151%, 52%, 59% and 81%, respectively, of the average value of its portfolio.

^(g)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

152 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																				Class R6 Shares												Class I Shares
	Year Ended February 28/29,																				Year Ended February 28,								Period from September 30, 2019 (commencement of operations) through February 29, 2020				Year Ended February 28, 2022				Period from January 6, 2021 (commencement of operations) through February 28, 2021
	2022				2021				2020				2019				2018				2022				2021
Net asset value, beginning of period		$	34.92			$	31.50			$	31.47			$	33.31			$	30.48			$	34.93			$	31.50			$	32.56			$	34.92			$	34.71
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.96				0.88				1.08				1.02				0.73				0.51				0.93				0.86				0.87				(0.01	)
Net realized and unrealized gain (loss)			(0.90	)			3.91				0.29				(1.74	)			2.93				(0.48	)			3.87				(0.71	)			(0.84	)			0.22
Total from investment operations			0.06				4.79				1.37				(0.72	)			3.66				0.03				4.80				0.15				0.03				0.21
Less distributions to shareholders:
From net investment income			(2.12	)			(1.37	)			(1.34	)			(1.12	)			(0.83	)			(2.12	)			(1.37	)			(1.21	)			(2.08	)			—
From net realized gains			—				—				—				—				—				—				—				—				—				—
Total distributions			(2.12	)			(1.37	)			(1.34	)			(1.12	)			(0.83	)			(2.12	)			(1.37	)			(1.21	)			(2.08	)			—
Net asset value, end of period		$	32.86			$	34.92			$	31.50			$	31.47			$	33.31			$	32.84			$	34.93			$	31.50			$	32.87			$	34.92
Total Return(b)			(0.10	)%			15.39	%			4.12	%			(1.96	)%			12.04	%			(0.19	)%			15.42	%			0.22	%**			(0.18	)%			0.61	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	585,212			$	692,580			$	1,539,522			$	1,909,728			$	2,475,605			$	26,148			$	183,052			$	17,888			$	12,621			$	20,497
Net operating expenses to average daily net assets(c)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.01	%			0.00	%(d)			0.10	%			0.11	%
Net investment income (loss) to average daily net assets(a)			2.68	%			2.78	%			3.32	%			3.17	%			2.24	%			1.44	%			2.78	%			6.23	%*			2.41	%			(0.10	)%*
Portfolio turnover rate(e)			27	%			30	%			27	%			21	%			20	%			27	%			30	%			27	%**			27	%			30	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%			0.02	%			0.01	%*			0.03	%			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(f)		$	0.01			$	—			$	—			$	—			$	—			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 31%, 41%, 28%, 24% and 22%, respectively, of the average value of its portfolio.

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 153

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	25.79			$	20.87			$	21.20			$	22.88			$	19.60
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.00				0.75				0.25				0.57				0.42
Net realized and unrealized gain (loss)			0.94				5.12				0.42				(1.67	)			3.55
Total from investment operations			1.94				5.87				0.67				(1.10	)			3.97
Less distributions to shareholders:
From net investment income			(2.08	)			(0.95	)			(0.74	)			(0.58	)			(0.69	)
From net realized gains			(1.22	)			—				(0.26	)			—				—
Total distributions			(3.30	)			(0.95	)			(1.00	)			(0.58	)			(0.69	)
Net asset value, end of period		$	24.43			$	25.79			$	20.87			$	21.20			$	22.88
Total Return(b)			6.80	%			28.41	%			2.87	%			(4.58	)%			20.39	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	86,810			$	88,154			$	73,383			$	447,874			$	469,283
Net expenses to average daily net assets(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			3.61	%			3.39	%			1.16	%			2.62	%			1.99	%
Portfolio turnover rate			19	%			25	%			21	%			6	%			5	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%			0.06	%			0.03	%			0.02	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(e)		$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

154 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																				Class R6 Shares								Class I Shares
	Year Ended February 28/29,																				Year Ended February 28, 2022				Period from July 15, 2020 (commencement of operations) through February 28, 2021				Year Ended February 28, 2022				Period from August 17, 2020 (commencement of operations) through February 28, 2021 (Unaudited)
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	29.91			$	24.37			$	24.63			$	26.86			$	22.84			$	29.91			$	25.19			$	29.91			$	26.14
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.18				0.88				0.83				0.65				0.68				1.19				0.81				1.17				0.90
Net realized and unrealized gain (loss)			(0.28	)			5.75				(0.16	)			(2.18	)			4.11				(0.28	)			4.96				(0.31	)			3.91
Total from investment operations			0.90				6.63				0.67				(1.53	)			4.79				0.91				5.77				0.86				4.81
Less distributions to shareholders:
From net investment income			(2.35	)			(1.09	)			(0.93	)			(0.70	)			(0.77	)			(2.35	)			(1.05	)			(2.32	)			(1.04	)
From net realized gains			(0.01	)			—				—				—				—				(0.01	)			—				(0.01	)			—
Total distributions			(2.36	)			(1.09	)			(0.93	)			(0.70	)			(0.77	)			(2.36	)			(1.05	)			(2.33	)			(1.04	)
Net asset value, end of period		$	28.45			$	29.91			$	24.37			$	24.63			$	26.86			$	28.46			$	29.91			$	28.44			$	29.91
Total Return(b)			2.49	%			27.51	%			2.36	%			(5.43	)%			21.06	%			2.52	%			23.14	%**			2.37	%			18.64	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,571,153			$	1,638,868			$	1,456,064			$	1,637,744			$	2,328,921			$	7,065			$	6,781			$	2,615			$	2,233
Net expenses to average daily net assets(c)			0.00	% (d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)*			0.10	%			0.10	%*
Net investment income (loss) to average daily net assets(a)			3.69	%			3.44	%			3.26	%			2.56	%			2.67	%			3.74	%			4.70	%*			3.67	%			5.95	%*
Portfolio turnover rate			20	%			20	%			20	%			11	%			14	%			20	%			20	%**			20	%			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			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):†		$	—			$	—			$	—			$	0.00	(e)		$	0.01			$	—			$	—			$	—			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 155

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Year Ended February 28/29,
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	12.70			$	12.74			$	13.22			$	14.09			$	13.06
Income (loss) from investment operations:
Net investment income (loss)†			0.38	(a)			0.35	(a)			0.49	(a)			0.40				0.33
Net realized and unrealized gain (loss)			(0.13	)			(0.11	)			(0.43	)			(0.69	)			1.11
Total from investment operations			0.25				0.24				0.06				(0.29	)			1.44
Less distributions to shareholders:
From net investment income			(0.41	)			(0.28	)			(0.54	)			(0.58	)			(0.41	)
Total distributions			(0.41	)			(0.28	)			(0.54	)			(0.58	)			(0.41	)
Net asset value, end of period		$	12.54			$	12.70			$	12.74			$	13.22			$	14.09
Total Return(b)			2.02	%			1.95	%			0.25	%			(1.88	)%			11.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,681,226			$	5,970,367			$	7,114,306			$	8,965,578			$	11,505,699
Net operating expenses to average daily net assets			0.00	%(c)(d)			0.01	%(c)			0.00	%(c)(d)			0.00	%(d)			0.00	%(d)
Interest and/or dividend expenses to average daily net assets(e)			0.32	%			0.15	%			0.06	%			0.10	%			0.04	%
Total net expenses to average daily net assets			0.32	%(c)			0.16	%(c)			0.06	%(c)			0.10	%			0.04	%
Net investment income (loss) to average daily net assets			2.95	%(a)			2.89	%(a)			3.65	%(a)			2.95	%			2.44	%
Portfolio turnover rate			194	%(f)			189	%(f)			97	%(f)			112	%			146	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%(g)			0.06	%(g)			0.05	%(g)			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(h)		$	0.01

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d) Rounds to less than 0.01%.

^(e) Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021 and February 29, 2020, including transactions in USTF, was 200%, 196% and 100%, respectively, of the average value of its portfolio.

^(g) Ratio includes indirect fees waived or borne by GMO.

^(h) Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

156 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

��

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares																				Class R6 Shares
	Year Ended February 28/29,																				Year Ended February 28, 2022				Period from January 22, 2021 (commencement of operations) through February 28, 2021
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	16.95			$	14.52			$	14.75			$	17.32			$	14.72			$	16.95			$	17.08
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.05				0.61				0.49				0.51				0.53				1.02				(0.00	)(b)
Net realized and unrealized gain (loss)			(0.51	)			2.56				(0.12	)			(2.56	)			2.61				(0.48	)			(0.13	)
Total from investment operations			0.54				3.17				0.37				(2.05	)			3.14				0.54				(0.13	)
Less distributions to shareholders:
From net investment income			(1.09	)			(0.74	)			(0.60	)			(0.52	)			(0.54	)			(1.09	)			—
From net realized gains			(0.05	)			0.00				0.00				0.00				0.00				(0.05	)			—
Total distributions			(1.14	)			(0.74	)			(0.60	)			(0.52	)			(0.54	)			(1.14	)			—
Net asset value, end of period		$	16.35			$	16.95			$	14.52			$	14.75			$	17.32			$	16.35			$	16.95
Total Return(c)			2.88	%			22.02	%			2.14	%			(11.57	)%			21.41	%			2.88	%			(0.76	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	222,308			$	217,129			$	297,463			$	572,830			$	664,867			$	8,268			$	8,254
Net expenses to average daily net assets(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%(e)			0.01	%*
Net investment income (loss) to average daily net assets(a)			5.82	%			4.20	%			3.25	%			3.25	%			3.20	%			5.66	%			(0.01	)%*
Portfolio turnover rate			18	%			17	%			11	%			8	%			5	%			18	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%			0.03	%			0.02	%			0.02	%			0.01	%			0.05	%			0.05	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(e)		$	0.00	(e)		$	—			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

^(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, if any (Note 5).

^(e)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 157

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares																				Class R6 Shares
	Year Ended February 28/29,																				Year Ended February 28,								Period from August 30, 2019 (commencement of operations) through February 29, 2020
	2022				2021				2020				2019				2018				2022				2021
Net asset value, beginning of period		$	32.31			$	27.45			$	28.09			$	32.62			$	27.49			$	32.30			$	27.44			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.64				1.24				1.02				0.91				0.93				1.74				1.29				1.14
Net realized and unrealized gain (loss)			(2.59	)			4.91				(0.46	)			(4.47	)			5.19				(2.69	)			4.86				0.33
Total from investment operations			(0.95	)			6.15				0.56				(3.56	)			6.12				(0.95	)			6.15				1.47
Less distributions to shareholders:
From net investment income			(1.93	)			(1.29	)			(1.20	)			(0.97	)			(0.99	)			(1.93	)			(1.29	)			(1.10	)
Total distributions			(1.93	)			(1.29	)			(1.20	)			(0.97	)			(0.99	)			(1.93	)			(1.29	)			(1.10	)
Net asset value, end of period		$	29.43			$	32.31			$	27.45			$	28.09			$	32.62			$	29.42			$	32.30			$	27.44
Total Return(b)			(3.37	)%			22.67	%			1.62	%			(10.69	)%			22.38	%			(3.37	)%			22.68	%			5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	437,139			$	598,701			$	646,622			$	929,967			$	1,151,327			$	242,178			$	262,853			$	210,223
Net expenses to average daily net assets(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%*
Net investment income (loss) to average daily net assets(a)			4.90	%			4.40	%			3.55	%			3.09	%			3.00	%			5.20	%			4.56	%			7.83	%*
Portfolio turnover rate			18	%			16	%			7	%			8	%			12	%			18	%			16	%			7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.01	%			0.01	%			0.01	%			0.02	%			0.02	%			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(e)		$	0.02			$	—			$	—			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

158 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2022				2021				2020				2019				2018				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	32.07			$	31.13			$	32.17			$	31.87			$	32.68			$	32.03			$	31.07			$	32.11			$	31.78			$	32.57
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.24	)			(0.09	)			0.27				0.31				0.24				(0.22	)			(0.06	)			0.25				0.33				0.05
Net realized and unrealized gain (loss)			(0.39	)			1.81				(0.83	)			0.11	(b)			0.23				(0.38	)			1.80				(0.77	)			0.13	(b)			0.44
Total from investment operations			(0.63	)			1.72				(0.56	)			0.42				0.47				(0.60	)			1.74				(0.52	)			0.46				0.49
Less distributions to shareholders:
From net investment income			(0.71	)			(0.03	)			(0.48	)			(0.12	)			—				(0.73	)			(0.03	)			(0.52	)			(0.13	)			—
From net realized gains			(1.43	)			(0.75	)			—				—				(1.28	)			(1.43	)			(0.75	)			—				—				(1.28	)
Total distributions			(2.14	)			(0.78	)			(0.48	)			(0.12	)			(1.28	)			(2.16	)			(0.78	)			(0.52	)			(0.13	)			(1.28	)
Net asset value, end of period		$	29.30			$	32.07			$	31.13			$	32.17			$	31.87			$	29.27			$	32.03			$	31.07			$	32.11			$	31.78
Total Return(c)			(2.00	)%			5.48	%			(1.74	)%			1.32	%		��	1.44	%			(1.92	)%			5.56	%			(1.65	)%			1.47	%			1.50	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	32,796			$	30,126			$	18,527			$	45,409			$	26,630			$	206,841			$	314,087			$	831,870			$	1,161,238			$	1,843,748
Net expenses to average daily net assets(d)			1.00	%			1.01	%			1.01	%			1.00	%			1.00	%			0.91	%			0.91	%			0.91	%			0.91	%			0.91	%
Net investment income (loss) to average daily net assets(a)			(0.81	)%			(0.27	)%			0.85	%			0.97	%			0.75	%			(0.71	)%			(0.17	)%			0.79	%			1.04	%			0.16	%
Portfolio turnover rate			81	%			76	%			46	%			49	%(e)			106	%(e)			81	%			76	%			46	%			49	%(e)			106	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.10	%			0.07	%			0.05	%			0.04	%			0.03	%			0.09	%			0.07	%			0.04	%			0.04	%			0.03	%

	Class I Shares
	Year Ended February 28, 2022				Period from September 23, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	32.06			$	32.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.28	)			(0.04	)
Net realized and unrealized gain (loss)			(0.40	)			0.48
Total from investment operations			(0.68	)			0.44
Less distributions to shareholders:
From net investment income			(0.72	)			—
From net realized gains			(1.43	)			(0.75	)
Total distributions			(2.15	)			(0.75	)
Net asset value, end of period		$	29.23			$	32.06
Total Return(c)			(2.16	)%			1.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,753			$	13,842
Net expenses to average daily net assets(d)			1.10	%			1.11	%*
Net investment income (loss) to average daily net assets(a)			(0.93	)%			(0.28	)%*
Portfolio turnover rate			81	%			76	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.15	%			0.14	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2019 and February 28, 2018, including transactions in USTF, was 75% and 51%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 159

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2022				2021				2020				2019				2018
Net asset value, beginning of period		$	21.56			$	18.98			$	19.48			$	22.08			$	19.76
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.59				0.54				0.67				0.62				0.58
Net realized and unrealized gain (loss)			0.32				2.93				(0.11	)			(1.45	)			2.39
Total from investment operations			0.91				3.47				0.56				(0.83	)			2.97
Less distributions to shareholders:
From net investment income			(1.22	)			(0.71	)			(0.77	)			(0.67	)			(0.63	)
From net realized gains			(3.34	)			(0.18	)			(0.29	)			(1.10	)			(0.02	)
Total distributions			(4.56	)			(0.89	)			(1.06	)			(1.77	)			(0.65	)
Net asset value, end of period		$	17.91			$	21.56			$	18.98			$	19.48			$	22.08
Total Return(b)			3.57	%			18.66	%			2.57	%			(3.45	)%			15.10	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	236,452			$	579,796			$	773,438			$	915,148			$	1,302,441
Net operating expenses to average daily net assets(c)			0.01	%			0.01	%			0.01	%			0.01	%			0.00	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.26	%			0.07	%			0.03	%			0.03	%			—
Total net expenses to average daily net assets(c)			0.27	%			0.08	%			0.04	%			0.04	%			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			2.71	%			2.85	%			3.35	%			3.01	%			2.73	%
Portfolio turnover rate(f)			95	%			61	%			36	%			35	%			20	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%			0.07	%			0.03	%			0.03	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.00	(g)		$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(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, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on 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)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2022, February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 122%, 80%, 41%, 38% and 25%, respectively, of the average value of its portfolio.

^(g)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

160 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2022

1. Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation 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 (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd. and GMO Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “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. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Alternative Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg 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
Implementation Fund	Not Applicable	Positive total return, not relative return
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
SGM Major Markets Fund	Not Applicable	Long-term total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg U.S. Aggregate Index)	Total return greater than benchmark

Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation 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.

161

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February 28, 2022

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all 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 that 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 when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. 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) and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates 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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“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 quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2022, the Funds did not reduce the value of any of their 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.

162

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Notes to Financial Statements — (Continued)

February 28, 2022

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 methodologies 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.

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; 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 certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or 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; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; 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, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be 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; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

163

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February 28, 2022

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2022:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,010,651	$	—	$	3,010,651
Belgium		—		885,803		—		885,803
Brazil		332,957		—		—		332,957
Canada		4,814,353		—		—		4,814,353
China		586,411		3,359,109		66,215		4,011,735
Denmark		—		1,558,326		—		1,558,326
Finland		—		461,376		—		461,376
France		—		1,467,384		—		1,467,384
Germany		—		4,094,263		—		4,094,263
Hong Kong		—		802,971		—		802,971
India		—		1,351,705		—		1,351,705
Israel		2,232,058		—		—		2,232,058
Italy		—		2,840,779		—		2,840,779
Japan		51,952		9,810,301		—		9,862,253
Malaysia		—		42,655		—		42,655
Netherlands		321,145		1,940,701		—		2,261,846
New Zealand		—		278,804		—		278,804
South Africa		—		324,022		—		324,022
South Korea		53,388		387,267		—		440,655
Spain		—		987,618		—		987,618
Sweden		—		884,583		—		884,583
Switzerland		78,714		615,654		—		694,368
Taiwan		—		314,555		—		314,555
United Kingdom		225,016		10,260,083		—		10,485,099
United States		116,052,343		—		—		116,052,343
TOTAL COMMON STOCKS		124,748,337		45,678,610		66,215		170,493,162
Preferred Stocks
Brazil		315,469		—		—		315,469
Germany		—		292,812		—		292,812
TOTAL PREFERRED STOCKS		315,469		292,812		—		608,281
Rights/Warrants
United States		—		—		263,451		263,451
TOTAL RIGHTS/WARRANTS		—		—		263,451		263,451
Investment Funds
United States		—		—		5,607,602		5,607,602
TOTAL INVESTMENT FUNDS		—		—		5,607,602		5,607,602
Debt Obligations
United States		98,361,047		—		—		98,361,047
TOTAL DEBT OBLIGATIONS		98,361,047		—		—		98,361,047
Mutual Funds
United States		9,811,873		—		—		9,811,873
TOTAL MUTUAL FUNDS		9,811,873		—		—		9,811,873
Short-Term Investments		76,322,001		—		—		76,322,001
Purchased Options		—		762,841		—		762,841
Total Investments		309,558,727		46,734,263		5,937,268		362,230,258

164

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,485,428		$	—	$	1,485,428
Futures Contracts
Equity Risk		1,154,900			521,083			—		1,675,983
Interest Rate Risk		331,568			—			—		331,568
Swap Contracts
Credit Risk		—			5,111,157			—		5,111,157
Equity Risk		—			412,319			—		412,319
Interest Rate Risk		—			5,714,077			—		5,714,077
Total	$	311,045,195		$	59,978,327		$	5,937,268	$	376,960,790
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,477,208	)	$	—	$	(1,477,208	)
Austria		—			(610,802	)		—		(610,802	)
Belgium		—			(460,878	)		—		(460,878	)
Canada		(2,454,290	)		—			—		(2,454,290	)
Denmark		—			(246,793	)		—		(246,793	)
France		—			(2,250,116	)		—		(2,250,116	)
Germany		—			(2,715,652	)		—		(2,715,652	)
Israel		(807,053	)		—			—		(807,053	)
Italy		(21,495	)		(1,990,051	)		—		(2,011,546	)
Japan		—			(8,753,267	)		—		(8,753,267	)
Netherlands		—			(1,086,597	)		—		(1,086,597	)
New Zealand		—			(325,157	)		—		(325,157	)
Norway		—			(73,038	)		—		(73,038	)
Singapore		—			(809,960	)		—		(809,960	)
Spain		—			(1,751,250	)		—		(1,751,250	)
Sweden		—			(1,137,393	)		—		(1,137,393	)
Switzerland		—			(940,754	)		—		(940,754	)
United Kingdom		—			(6,026,929	)		—		(6,026,929	)
United States		(68,131,506	)		—			—		(68,131,506	)
TOTAL COMMON STOCKS		(71,414,344	)		(30,655,845	)		—		(102,070,189	)
Preferred Stocks
Germany		—			(328,486	)		—		(328,486	)
TOTAL PREFERRED STOCKS		—			(328,486	)		—		(328,486	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(2,917,160	)		—		(2,917,160	)
Futures Contracts
Equity Risk		(919,885	)		(1,374,536	)		—		(2,294,421	)
Interest Rate Risk		(106,477	)		—			—		(106,477	)
Written Options
Credit Risk		—			(740,275	)		—		(740,275	)
Equity Risk		(575,779	)		—			—		(575,779	)
Swap Contracts
Credit Risk		—			(964,709	)		—		(964,709	)
Equity Risk		—			(625,784	)		—		(625,784	)
Interest Rate Risk		—			(6,849,195	)		—		(6,849,195	)
Total	$	(73,016,485	)	$	(44,455,990	)	$	—	$	(117,472,475	)

165

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	5,122,161,675	$	—	$	—		$	5,122,161,675
Short-Term Investments		4,385,029		—		—			4,385,029
Total Investments		5,126,546,704		—		—			5,126,546,704
Total	$	5,126,546,704	$	—	$	—		$	5,126,546,704
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	84,597	$	—	$	—		$	84,597
Australia		—		24,768,086		—			24,768,086
Austria		—		85,436		—			85,436
Belgium		—		8,236,854		—			8,236,854
Brazil		7,386,046		19,080,679		—			26,466,725
Canada		30,729,385		—		—			30,729,385
Chile		234,856		1,220,833		—			1,455,689
China		7,028,488		126,901,658		381,894			134,312,040
Czech Republic		—		811,903		—			811,903
Denmark		—		8,729,357		—			8,729,357
Egypt		—		816,706		—			816,706
Finland		—		5,880,204		—			5,880,204
France		114,264		33,838,677		—			33,952,941
Germany		—		21,889,086		—			21,889,086
Greece		—		579,804		0	§		579,804
Hong Kong		—		14,763,488		—			14,763,488
Hungary		—		433,108		—			433,108
India		1,938,666		42,585,257		—			44,523,923
Indonesia		—		8,052,242		—			8,052,242
Ireland		2,173,938		7,712,528		—			9,886,466
Israel		4,686,014		2,233,147		—			6,919,161
Italy		—		15,317,009		—			15,317,009
Japan		44,897		232,407,565		—			232,452,462
Kuwait		—		1,954,677		—			1,954,677
Luxembourg		1,048,776		—		—			1,048,776
Malaysia		—		686,796		—			686,796
Mexico		26,549,590		—		—			26,549,590
Netherlands		1,491,382		21,957,383		—			23,448,765
New Zealand		—		1,584,389		—			1,584,389
Norway		—		11,173,449		—			11,173,449
Peru		269,830		—		—			269,830
Philippines		—		300,103		—			300,103
Poland		—		5,085,980		—			5,085,980
Portugal		—		3,466,891		—			3,466,891
Qatar		—		843,253		—			843,253
Russia		—		15,651,893		320,489			15,972,382
Singapore		—		10,713,620		—			10,713,620
South Africa		—		15,413,758		—			15,413,758
South Korea		1,526,172		67,489,447		—			69,015,619
Spain		—		22,095,029		—			22,095,029
Sweden		—		5,505,553		—			5,505,553
Switzerland		402,316		8,932,619		—			9,334,935
Taiwan		2,448,924		93,071,863		—			95,520,787
Thailand		—		13,641,763		—			13,641,763

166

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Turkey	$	—		$	10,577,242		$	—	$	10,577,242
United Arab Emirates		—			34,309			—		34,309
United Kingdom		4,117,240			63,230,398			—		67,347,638
United States		225,737,531			—			—		225,737,531
TOTAL COMMON STOCKS		318,012,912			949,754,042			702,383		1,268,469,337
Preferred Stocks
Brazil		2,818,908			10,541,043			—		13,359,951
Chile		125,742			143,649			—		269,391
Colombia		80,201			—			—		80,201
Germany		—			2,480,533			—		2,480,533
Russia		—			2,915,285			—		2,915,285
South Korea		—			4,138,398			—		4,138,398
Taiwan		—			71,641			—		71,641
TOTAL PREFERRED STOCKS		3,024,851			20,290,549			—		23,315,400
Investment Funds
United States		2,429,871			—			—		2,429,871
TOTAL INVESTMENT FUNDS		2,429,871			—			—		2,429,871
Debt Obligations
United States		271,944,002			3			—		271,944,005
TOTAL DEBT OBLIGATIONS		271,944,002			3			—		271,944,005
Mutual Funds
United States		244,931,440			—			—		244,931,440
TOTAL MUTUAL FUNDS		244,931,440			—			—		244,931,440
Short-Term Investments		240,774,994			—			—		240,774,994
Total Investments		1,081,118,070			970,044,594			702,383		2,051,865,047
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,017,142			—		2,017,142
Futures Contracts
Equity Risk		16,740,337			3,709,386			—		20,449,723
Swap Contracts
Equity Risk		—			1,486,428			—		1,486,428
Interest Rate Risk		—			4,827,740			—		4,827,740
Total	$	1,097,858,407		$	982,085,290		$	702,383	$	2,080,646,080
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(7,797,510	)	$	—	$	(7,797,510	)
Austria		—			(3,144,473	)		—		(3,144,473	)
Belgium		—			(2,216,236	)		—		(2,216,236	)
Canada		(11,355,361	)		—			—		(11,355,361	)
Denmark		—			(1,311,820	)		—		(1,311,820	)
France		—			(11,696,819	)		—		(11,696,819	)
Germany		—			(14,234,711	)		—		(14,234,711	)
Israel		(3,942,339	)		—			—		(3,942,339	)
Italy		—			(10,349,935	)		—		(10,349,935	)

167

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Japan	$	—		$	(45,461,005	)	$	—	$	(45,461,005	)
Netherlands		—			(5,520,822	)		—		(5,520,822	)
New Zealand		—			(1,726,788	)		—		(1,726,788	)
Norway		—			(394,198	)		—		(394,198	)
Russia		—			(9,031	)		—		(9,031	)
Singapore		—			(4,129,922	)		—		(4,129,922	)
Spain		—			(9,270,400	)		—		(9,270,400	)
Sweden		—			(5,995,326	)		—		(5,995,326	)
Switzerland		—			(4,874,630	)		—		(4,874,630	)
United Kingdom		—			(21,550,671	)		—		(21,550,671	)
United States		(165,430,014	)		—			—		(165,430,014	)
TOTAL COMMON STOCKS		(180,727,714	)		(149,684,297	)		—		(330,412,011	)
Preferred Stocks
Germany		—			(1,781,505	)		—		(1,781,505	)
TOTAL PREFERRED STOCKS		—			(1,781,505	)		—		(1,781,505	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(2,565,538	)		—		(2,565,538	)
Futures Contracts
Equity Risk		—			(227,034	)		—		(227,034	)
Swap Contracts
Equity Risk		—			(443,486	)		—		(443,486	)
Interest Rate Risk		—			(5,860,139	)		—		(5,860,139	)
Total	$	(180,727,714	)	$	(160,561,999	)	$	—	$	(341,289,713	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	623,031,502		$	—		$	—	$	623,031,502
Short-Term Investments		833,893			—			—		833,893
Total Investments		623,865,395			—			—		623,865,395
Total	$	623,865,395		$	—		$	—	$	623,865,395
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	86,777,788		$	—		$	—	$	86,777,788
Short-Term Investments		49,828			—			—		49,828
Total Investments		86,827,616			—			—		86,827,616
Total	$	86,827,616		$	—		$	—	$	86,827,616
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,580,276,953		$	—		$	—	$	1,580,276,953
Short-Term Investments		608,775			—			—		608,775
Total Investments		1,580,885,728			—			—		1,580,885,728
Total	$	1,580,885,728		$	—		$	—	$	1,580,885,728

168

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	58,256	$	—	$	—	$	58,256
Australia		—		63,252,785		—		63,252,785
Austria		—		89,410		—		89,410
Belgium		—		20,490,027		—		20,490,027
Brazil		17,944,776		47,572,589		—		65,517,365
Canada		88,959,871		—		—		88,959,871
Chile		691,036		3,451,785		—		4,142,821
China		21,013,317		341,889,839		965,024		363,868,180
Czech Republic		—		1,726,072		—		1,726,072
Denmark		—		23,519,236		—		23,519,236
Egypt		—		1,455,294		—		1,455,294
Finland		—		14,491,494		—		14,491,494
France		177,744		82,671,023		—		82,848,767
Germany		—		62,309,516		—		62,309,516
Greece		—		1,214,694		—		1,214,694
Hong Kong		—		38,812,277		—		38,812,277
Hungary		—		700,611		—		700,611
India		5,330,223		110,519,951		—		115,850,174
Indonesia		—		21,995,519		—		21,995,519
Ireland		6,702,788		16,333,647		—		23,036,435
Israel		18,891,224		4,722,193		—		23,613,417
Italy		—		45,193,879		—		45,193,879
Japan		96,883		565,004,669		—		565,101,552
Kuwait		—		4,899,387		—		4,899,387
Luxembourg		3,008,848		—		—		3,008,848
Malaysia		—		1,275,719		—		1,275,719
Mexico		68,256,792		—		—		68,256,792
Netherlands		4,381,623		54,386,798		185		58,768,606
New Zealand		—		4,156,159		—		4,156,159
Norway		—		26,246,074		—		26,246,074
Philippines		—		2,138,126		—		2,138,126
Poland		—		12,515,920		—		12,515,920
Portugal		—		7,960,852		—		7,960,852
Qatar		—		6,407,670		—		6,407,670
Russia		—		43,423,785		1,248,215		44,672,000
Saudi Arabia		—		860,084		—		860,084
Singapore		—		25,305,701		—		25,305,701
South Africa		—		39,261,250		—		39,261,250
South Korea		4,252,412		168,182,766		—		172,435,178
Spain		—		54,560,984		—		54,560,984
Sweden		—		13,611,006		—		13,611,006
Switzerland		1,250,678		21,484,404		—		22,735,082
Taiwan		14,002,258		221,130,922		—		235,133,180
Thailand		—		31,782,628		—		31,782,628
Turkey		—		26,302,222		—		26,302,222
United Kingdom		11,600,013		180,599,767		—		192,199,780
United States		963,549,406		—		8,961,199		972,510,605
Vietnam		—		45,444		—		45,444
TOTAL COMMON STOCKS		1,230,168,148		2,413,954,178		11,174,623		3,655,296,949
Preferred Stocks
Brazil		9,039,579		26,116,425		—		35,156,004
Chile		622,092		49,582		—		671,674

169

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks (continued)
Colombia	$	133,240		$	—		$	—	$	133,240
Germany		—			6,165,174			—		6,165,174
Russia		—			6,481,413			—		6,481,413
South Korea		—			19,277,966			—		19,277,966
Taiwan		—			478,783			—		478,783
United States		—			—			875,250		875,250
TOTAL PREFERRED STOCKS		9,794,911			58,569,343			875,250		69,239,504
Rights/Warrants
Egypt		762			—			—		762
United States		—			—			983,025		983,025
TOTAL RIGHTS/WARRANTS		762			—			983,025		983,787
Investment Funds
United States		6,335,819			—			22,156,919		28,492,738
TOTAL INVESTMENT FUNDS		6,335,819			—			22,156,919		28,492,738
Debt Obligations
Canada		—			2,914,067			—		2,914,067
China		—			328,892			—		328,892
Israel		—			5,550,273			—		5,550,273
Italy		—			408,762			—		408,762
Luxembourg		—			—			2,436,433		2,436,433
Macau		—			2,941,571			—		2,941,571
Netherlands		—			—			55		55
United States		1,061,811,876			136,480,345			18,428,674		1,216,720,895
TOTAL DEBT OBLIGATIONS		1,061,811,876			148,623,910			20,865,162		1,231,300,948
Mutual Funds
United States		12,509,088			—			—		12,509,088
TOTAL MUTUAL FUNDS		12,509,088			—			—		12,509,088
Short-Term Investments		542,810,800			203,728			—		543,014,528
Purchased Options		70,255			—			—		70,255
Total Investments		2,863,501,659			2,621,351,159			56,054,979		5,540,907,797
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			10,113,488			—		10,113,488
Futures Contracts
Equity Risk		40,362,445			10,493,250			—		50,855,695
Interest Rate Risk		1,232,971			—			—		1,232,971
Physical Commodity Contract Risk		1,352,297			—			—		1,352,297
Swap Contracts
Equity Risk		—			4,483,073			—		4,483,073
Interest Rate Risk		—			28,870,485			—		28,870,485
Total	$	2,906,449,372		$	2,675,311,455		$	56,054,979	$	5,637,815,806
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(20,811,481	)	$	—	$	(20,811,481	)
Austria		—			(8,351,850	)		—		(8,351,850	)
Belgium		—			(6,463,337	)		—		(6,463,337	)
Canada		(33,076,446	)		—			—		(33,076,446	)

170

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Denmark	$	—		$	(3,645,202	)	$	—	$	(3,645,202	)
France		—			(32,197,192	)		—		(32,197,192	)
Germany		—			(38,609,928	)		—		(38,609,928	)
Israel		(11,407,013	)		—			—		(11,407,013	)
Italy		—			(27,919,340	)		—		(27,919,340	)
Japan		—			(119,295,060	)		—		(119,295,060	)
Netherlands		—			(14,418,083	)		—		(14,418,083	)
New Zealand		—			(4,578,045	)		—		(4,578,045	)
Norway		—			(1,154,193	)		—		(1,154,193	)
Singapore		—			(11,499,032	)		—		(11,499,032	)
Spain		—			(25,415,444	)		—		(25,415,444	)
Sweden		—			(15,433,971	)		—		(15,433,971	)
Switzerland		—			(13,623,066	)		—		(13,623,066	)
United Kingdom		(3,896	)		(66,084,294	)		—		(66,088,190	)
United States		(615,488,824	)		—			—		(615,488,824	)
TOTAL COMMON STOCKS		(659,976,179	)		(409,499,518	)		—		(1,069,475,697	)
Preferred Stocks
Germany		—			(4,699,907	)		—		(4,699,907	)
TOTAL PREFERRED STOCKS		—			(4,699,907	)		—		(4,699,907	)
Debt Obligations
United States		—			(1,210,022	)		—		(1,210,022	)
TOTAL DEBT OBLIGATIONS		—			(1,210,022	)		—		(1,210,022	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(16,129,547	)		—		(16,129,547	)
Futures Contracts
Equity Risk		(29,298	)		(5,373,384	)		—		(5,402,682	)
Interest Rate Risk		(441,553	)		—			—		(441,553	)
Physical Commodity Contract Risk		(121,673	)		—			—		(121,673	)
Written Options
Equity Risk		(694,066	)		—			—		(694,066	)
Swap Contracts
Credit Risk		—			(540,824	)		—		(540,824	)
Equity Risk		—			(2,446,847	)		—		(2,446,847	)
Interest Rate Risk		—			(35,090,528	)		—		(35,090,528	)
Total	$	(661,262,769	)	$	(474,990,577	)	$	—	$	(1,136,253,346	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	230,491,494		$	—		$	—	$	230,491,494
Short-Term Investments		80,822			—			—		80,822
Total Investments		230,572,316			—			—		230,572,316
Total	$	230,572,316		$	—		$	—	$	230,572,316

171

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3		Total
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	678,975,126		$	—		$	—	$	678,975,126
Short-Term Investments		110,766			—			—		110,766
Total Investments		679,085,892			—			—		679,085,892
Total	$	679,085,892		$	—		$	—	$	679,085,892
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	228,701,454		$	—		$	—	$	228,701,454
TOTAL DEBT OBLIGATIONS		228,701,454			—			—		228,701,454
Short-Term Investments		37,510,572			847,313			—		38,357,885
Total Investments		266,212,026			847,313			—		267,059,339
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			334,658			—		334,658
Futures Contracts
Equity Risk		1,983,506			1,313,865			—		3,297,371
Interest Rate Risk		874,356			—			—		874,356
Physical Commodity Contract Risk		942,124			—			—		942,124
Swap Contracts
Equity Risk		—			353,555			—		353,555
Total	$	270,012,012		$	2,849,391		$	—	$	272,861,403
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(633,748	)	$	—	$	(633,748	)
Futures Contracts
Equity Risk		(2,707,220	)		(3,683,192	)		—		(6,390,412	)
Interest Rate Risk		(277,316	)		—			—		(277,316	)
Physical Commodity Contract Risk		(91,744	)		—			—		(91,744	)
Swap Contracts
Equity Risk		—			(1,084,896	)		—		(1,084,896	)
Total	$	(3,076,280	)	$	(5,401,836	)	$	—	$	(8,478,116	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	3,289,701		$	—	$	3,289,701
Austria		—			13,525			—		13,525
Belgium		—			1,076,978			—		1,076,978
Brazil		191,486			78,946			—		270,432
Canada		2,971,134			—			—		2,971,134
China		427,557			2,527,452			61,485		3,016,494
Denmark		—			1,177,059			—		1,177,059
Finland		—			571,159			—		571,159
France		—			3,264,195			—		3,264,195
Germany		—			2,029,274			—		2,029,274
Hong Kong		—			1,951,542			—		1,951,542

172

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Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
India	$	—		$	1,043,902		$	—		$	1,043,902
Ireland		32,406			1,154,925			—			1,187,331
Israel		621,693			409,768			—			1,031,461
Italy		—			2,077,797			—			2,077,797
Japan		—			26,930,012			—			26,930,012
Malaysia		—			27,721			—			27,721
Malta		—			—			0	§		0	§
Mexico		717,847			—			—			717,847
Netherlands		195,948			2,555,737			—			2,751,685
New Zealand		—			238,845			—			238,845
Norway		—			1,190,153			—			1,190,153
Portugal		—			432,999			—			432,999
Russia		—			67,826			—			67,826
Singapore		—			930,186			—			930,186
South Africa		—			224,263			—			224,263
South Korea		35,592			290,744			—			326,336
Spain		—			2,354,389			—			2,354,389
Sweden		—			778,117			—			778,117
Switzerland		52,476			563,943			—			616,419
Taiwan		—			381,581			—			381,581
United Kingdom		117,870			6,916,667			—			7,034,537
United States		26,970,406			—			—			26,970,406
TOTAL COMMON STOCKS		32,334,415			64,549,406			61,485			96,945,306
Preferred Stocks
Brazil		240,856			265,064			—			505,920
Germany		—			280,178			—			280,178
TOTAL PREFERRED STOCKS		240,856			545,242			—			786,098
Debt Obligations
United States		24,793,902			—			—			24,793,902
TOTAL DEBT OBLIGATIONS		24,793,902			—			—			24,793,902
Mutual Funds
United States		145,331,020			—			—			145,331,020
TOTAL MUTUAL FUNDS		145,331,020			—			—			145,331,020
Short-Term Investments		23,213,284			—			—			23,213,284
Total Investments		225,913,477			65,094,648			61,485			291,069,610
Derivatives^
Swap Contracts
Equity Risk		—			205,290			—			205,290
Total	$	225,913,477		$	65,299,938		$	61,485		$	291,274,900
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,068,834	)	$	—		$	(1,068,834	)
Austria		—			(412,388	)		—			(412,388	)
Belgium		—			(315,574	)		—			(315,574	)
Canada		(1,561,296	)		—			—			(1,561,296	)
Denmark		—			(181,125	)		—			(181,125	)
France		—			(1,673,814	)		—			(1,673,814	)

173

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—		$	(1,916,067	)	$	—	$	(1,916,067	)
Israel		(518,511	)		—			—		(518,511	)
Italy		—			(1,437,325	)		—		(1,437,325	)
Japan		—			(6,193,089	)		—		(6,193,089	)
Netherlands		—			(760,785	)		—		(760,785	)
New Zealand		—			(248,216	)		—		(248,216	)
Norway		—			(55,229	)		—		(55,229	)
Singapore		—			(574,790	)		—		(574,790	)
Spain		—			(1,289,314	)		—		(1,289,314	)
Sweden		—			(818,433	)		—		(818,433	)
Switzerland		—			(700,373	)		—		(700,373	)
United Kingdom		—			(2,952,292	)		—		(2,952,292	)
United States		(22,436,403	)		—			—		(22,436,403	)
TOTAL COMMON STOCKS		(24,516,210	)		(20,597,648	)		—		(45,113,858	)
Preferred Stocks
Germany		—			(233,560	)		—		(233,560	)
TOTAL PREFERRED STOCKS		—			(233,560	)		—		(233,560	)
Derivatives^
Swap Contracts
Equity Risk		—			(59,778	)		—		(59,778	)
Total	$	(24,516,210	)	$	(20,890,986	)	$	—	$	(45,407,196	)

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2022.

The underlying funds held at year end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Implementation Fund’s Level 3 holdings include two common stocks that are priced at the average of broker bids, a common stock valued at its last price prior to trading being suspended and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 28, 2022.

174

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

For Funds with material total Level 3 assets and/or liabilities, 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, 2021		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 February 28, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February  28, 2022
Consolidated Alternative Allocation Fund
Common Stocks
China	$	—	$	—	$	—		$	—		$	—		$	—		$	66,215	‡	$	—		$	66,215	$	—
Investment Funds
United States		10,681,155		5,793,448		(10,833,271	)		—			849,312			(883,042	)		—			—			5,607,602		(883,042	)
Rights/Warrants																						��
United States		146,362		13,648		—			—			—			103,441			—			—			263,451		103,441
Total Investments	$	10,827,517	$	5,807,096	$	(10,833,271	)	$	—		$	849,312		$	(779,601	)	$	66,215		$	—		$	5,937,268	$	(779,601	)
Consolidated Implementation Fund
Common Stocks
China	$	38,211	$	51,987	$	—		$	—		$	—		$	(36,183	)	$	911,009	‡	$	—		$	965,024	$	2,028
Netherlands		199		—		—			—			—			(14	)		—			—			185		(14	)
Russia		—		3,722,637		(1,141,174	)		—			(2,010	)		(2,252,251	)		921,013	‡		—			1,248,215		(2,252,251	)
United States		13,767,769		1,868,694		(10,229,417	)		—			591,691			2,729,464			232,998	‡		—			8,961,199		3,538,584
Preferred Stocks
United States		881,040		38,000		(1,651,583	)		—			1,564,173			43,620			—			—			875,250		43,620
Rights/Warrants
United States		737,648		28,602		—			—			—			216,775			—			—			983,025		216,775
Investment Funds
United States		22,494,300		27,062,304		(27,370,315	)		—			—			(29,370	)		—			—			22,156,919		(29,370	)
Debt Obligations
Bank Loans
Jamaica		6,415,674		—		(6,479,715	)		36,625			273,633			(246,217	)		—			—			—		—
Luxembourg		2,478,466		2,542,991		(2,569,793	)		8,613			—			(23,844	)		—			—			2,436,433		(13,412	)
United States		32,146,412		17,280,285		(27,089,116	)		2,418,905			(8,894,919	)		2,566,967			—			—			18,428,534		(1,367,026	)
Corporate Debt
Netherlands		304,846		60,352		(273,005	)		(27,873	)		(371,585	)		307,320			—			—			55		307,320
United States		—		42,000		(66,076	)		2,470			21,606			140			—			—			140		140
Total Investments	$	79,264,565	$	52,697,852	$	(76,870,194	)#	$	2,438,740		$	(6,817,411	)	$	3,276,407		$	2,065,020		$	—		$	56,054,979	$	446,394

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

# Includes $20,762,365 of proceeds received from partial calls and/or principal paydowns as applicable.

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February 28, 2022

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2022 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs		Range (Weighted Average)
Consolidated Alternative Allocation Fund
Common Stock		—		Fair Value		Discount rate		(N/A)
Consolidated Implementation Fund
Common Stock		2,291,706		Fair Value		Discount rate		10-30% (27.97%)
Common Stock		6,220,395		Fair Value		Most relevant broker quote		$5.46-22.75 ($20.32)
Common Stock		502,521		Fair Value		Price of comparable equity		(N/A)
Common Stock		—		Fair Value		Discount for lack of liquidity/marketability		$0 (N/A)
Corporate Debt		195		Fair Value		Discount for lack of liquidity/marketability		$0 (N/A)
Common Stock		1,293,423		Fair Value		Price of comparable equity		(N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2022, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $5,937,268 and $45,746,739, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist 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 marked-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 NYSE, generally at 4:00 pm Eastern 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 in 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

Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. 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. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. 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. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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February 28, 2022

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” in Note 4 “Derivative financial instruments”. 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. 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. 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 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 year, 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 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

Certain 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/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

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. 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/decrease 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

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A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bear the risk of total loss with respect to the investment of collateral.

At February 28, 2022, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)		Non-cash collateral ($)*		Total collateral ($)
Benchmark-Free Fund		22,621,074		10,110,041		13,935,836		24,045,877
Consolidated Implementation Fund		41,044,798		12,555,636		31,394,431		43,950,067

* Non-cash collateral is comprised of U.S. Treasury and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

In addition, some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge.

Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.

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 dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to

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February 28, 2022

the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and 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 its net investment income, if any, and 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.

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd. and Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund and Implementation Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

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 and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.

As a result of court cases involving several countries across the European Union, certain Funds and/or underlying funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Receivables resulting from EU tax reclaims pursued by liquidated underlying funds, if any, are reflected as Receivable from liquidated underlying funds in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service. Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its 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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2022, 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.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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February 28, 2022

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.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:	Consolidated Alternative Allocation Fund	Benchmark-Free Allocation Fund	Benchmark-Free Fund	Global Asset Allocation Fund	Global Developed Equity Allocation Fund	Global Equity Allocation Fund	Consolidated Implementation Fund	International Developed Equity Allocation Fund	International Equity Allocation Fund	Consolidated SGM Major Markets Fund	Strategic Opportunities Allocation Fund
Capital loss carryforwards	X	X	X	X	X		X	X	X	X
Constructive sale gains	X
Contribution of assets to wholly-owned subsidiary											X
Controlled foreign corporation transactions	X						X			X
Defaulted bonds							X
Derivative contract transactions	X		X				X			X	X
Dividend income and withholding tax reclaim reserves			X				X
EU tax reclaims, associated interest entitlements and IRS closing agreement matters	X
Foreign currency transactions	X		X				X			X
Gain/losses on underlying fund shares		X
Interest, accretion and amortization							X
Late year ordinary losses	X	X							X
Losses on wash sale transactions	X	X	X	X	X	X	X	X	X		X
Mutual fund distributions received				X	X	X		X	X		X
Passive foreign investment company transactions	X		X				X				X
Post-October capital losses		X							X		X
Net operating losses	X
Securities Sold Short	X		X								X
Straddle loss deferrals	X						X

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February 28, 2022

The tax character of distributions declared by each Fund to shareholders is as follows:

	Tax year ended February 28, 2022						Tax year ended February 28, 2021
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Consolidated Alternative Allocation Fund		10,917,959		1,702,095		12,620,054		9,717,526		—		9,717,526
Benchmark-Free Allocation Fund		125,011,372		—		125,011,372		203,031,960		48,160,322		251,192,282
Benchmark-Free Fund		78,012,250		—		78,012,250		71,248,951		—		71,248,951
Global Asset Allocation Fund		38,535,578		—		38,535,578		39,988,358		—		39,988,358
Global Developed Equity Allocation Fund		6,882,171		3,777,166		10,659,337		2,967,463		—		2,967,463
Global Equity Allocation Fund		122,244,648		513,707		122,758,355		58,525,060		—		58,525,060
Consolidated Implementation Fund		150,035,453		—		150,035,453		132,218,180		—		132,218,180
International Developed Equity Allocation Fund		15,376,326		499,169		15,875,495		9,649,537		—		9,649,537
International Equity Allocation Fund		44,500,695		—		44,500,695		33,660,679		—		33,660,679
Consolidated SGM Major Markets Fund		9,313,520		17,533,030		26,846,550		346,979		7,770,224		8,117,203
Strategic Opportunities Allocation Fund		37,102,686		30,452,964		67,555,650		20,110,114		6,846,276		26,956,390

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, 2022, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		—		1,894,254		(5,005,107)		(892,348)		—
Benchmark-Free Allocation Fund		—		—		(2,845,246)		(52,860,563)		(21,630,301)
Benchmark-Free Fund		6,982,124		—		—		(264,717,871)		—
Global Asset Allocation Fund		1,328,285		—		—		(167,761,990)		—
Global Developed Equity Allocation Fund		419,419		2,981,732		(599)		(68,957,360)		—
Global Equity Allocation Fund		1,180,885		43,939,821		(11,633)		—		—
Consolidated Implementation Fund		18,578,679		—		—		(884,166,716)		—
International Developed Equity Allocation Fund		72,735		522,076		(1,231)		(134,524,362)		—
International Equity Allocation Fund		1,100,633		—		(4,145)		(102,201,850)		(3,228,388)
Consolidated SGM Major Markets Fund		3,722,069		10,388,629		—		(1,102,705)		—
Strategic Opportunities Allocation Fund		1,200,300		6,481,277		—		—		(2,024,041)

As of February 28, 2022, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses 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 capital losses, late-year ordinary losses, and

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February 28, 2022

losses realized subsequent to February 28, 2022, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Consolidated Alternative Allocation Fund		—		(892,348)
Benchmark-Free Allocation Fund		(1,561,499)		(51,299,064)
Benchmark-Free Fund		(125,199,260)		(139,518,611)
Global Asset Allocation Fund		—		(167,761,990)
Global Developed Equity Allocation Fund		—		(68,957,360)
Global Equity Allocation Fund		—		—
Consolidated Implementation Fund		(625,499,699)		(258,667,017)
International Developed Equity Allocation Fund		—		(134,524,362)
International Equity Allocation Fund		—		(102,201,850)
Consolidated SGM Major Markets Fund		(1,102,705)		—
Strategic Opportunities Allocation Fund		—		—

As of February 28, 2022, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Consolidated Alternative Allocation Fund		270,321,310		5,358,588		(15,848,315)		(10,489,727)		(1,542,852)
Benchmark-Free Allocation Fund		5,484,414,224		—		(357,867,520)		(357,867,520)		—
Benchmark-Free Fund		1,761,961,394		161,174,113		(203,463,976)		(42,289,863)		(14,670)
Global Asset Allocation Fund		682,371,759		4,815,844		(63,322,208)		(58,506,364)		—
Global Developed Equity Allocation Fund		86,625,640		1,843,263		(1,641,287)		201,976		—
Global Equity Allocation Fund		1,659,462,297		43,711,923		(122,288,492)		(78,576,569)		—
Consolidated Implementation Fund		4,656,544,727		448,419,753		(639,442,309)		(191,022,556)		(4,358,189)
International Developed Equity Allocation Fund		265,134,505		—		(34,562,189)		(34,562,189)		—
International Equity Allocation Fund		725,277,275		14,710,609		(60,901,992)		(46,191,383)		—
Consolidated SGM Major Markets Fund		344,967,090		63,845		(77,971,596)		(77,907,751)		(626,193)
Strategic Opportunities Allocation Fund		239,468,110		21,532,198		(15,278,116)		6,254,082		—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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 and tax legislation/initiatives 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

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February 28, 2022

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. As of February 28, 2022, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

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. GMO 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 underlying funds, if any, 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/deflation 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. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. 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 and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, 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).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent 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 or a wholly-owned subsidiary) as a result of an investor’s 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 redemption fee or increase or decrease an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other 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 for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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As of February 28, 2022, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Benchmark-Free Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.
Benchmark-Free Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Global Asset Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed.
Global Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
Global Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.18% of the amount invested or redeemed.
Implementation Fund	For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.
International Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
International Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Strategic Opportunities Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.

Recently-issued accounting guidance

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. The Investment Adviser does not expect ASU No. 2020-04 to have a material impact on the financial statements.

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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.

	Alternative Allocation Fund	Benchmark-Free Allocation Fund	Benchmark-Free Fund	Global Asset Allocation Fund	Global Developed Equity Allocation Fund	Global Equity Allocation Fund	Implementation Fund	International Developed Equity Allocation Fund	International Equity Allocation Fund	SGM Major Markets Fund	Strategic Opportunities Allocation Fund
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk-Equities	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
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk-Fixed Income	X	X	X	X	X	X	X	X	X	X	X
Futures Contracts Risk	X	X	X	X						X	X
Currency Risk	X	X	X	X	X	X	X	X	X	X	X
Credit Risk	X	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X	X	X	X
Commodities Risk	X	X	X	X			X			X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Funds of Funds 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
Event-Driven Risk	X	X					X				X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	X	X	X	X	X	X	X	X		X
Market Risk-Asset-Backed Securities		X	X	X			X			X	X
Focused Investment 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
Non-Diversified Funds	X	X	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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Each Fund that invests in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and

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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 as a result of its investment in 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.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce desired results. GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• MARKET RISK – EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If the Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, a Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund may be subject to non-U.S. taxes, potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, limitations on, or difficulties enforcing, legal judgments, contractual rights, or other remedies) tend to be greater for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. A Fund 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 asset, pool of assets, rate, currency or index. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• MARKET RISK – FIXED INCOME. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments).

• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A liquid secondary

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market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending creates leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, the Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by the Fund and the time the Fund liquidates assets to meet that request.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or otherwise honor its obligations.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment (if any) in its wholly-owned subsidiary and the underlying funds (including underlying GMO Funds and ETFs) in which it invests, including the risk that its wholly-owned subsidiary (if any) and those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, the increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions may limit or prevent a Fund or an underlying fund from selling particular securities or closing derivative positions at desirable prices.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust investment exposure in connection with an event-driven transaction may not perform as expected or may otherwise reduce the Fund’s gains or increase its losses.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Fund’s investments.

In late February 2022, Russia began an invasion of Ukraine. Following such invasion, the United States, the European Union, and other countries and entities imposed wide-ranging sanctions on Russia, the President of Russia and other members of the Government of Russia as well as entities owned or controlled by, or acting on behalf of, the Government of Russia. The Government of Russia has

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also imposed countersanctions and taken other actions in response to the sanctions. The scope and scale of the sanctions may be expanded and the conflict between Russia and Ukraine may further deteriorate. These sanctions and current environment could impair the ability of the Funds to buy, sell, hold, receive, deliver or otherwise transact in certain securities and other instruments. The full impact of the sanctions and the conflict on the Funds, the financial markets and the global economy is not yet known.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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 – ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, creditworthiness of any credit-support provider, and reliability of various other service providers with access to the payment stream), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security.

• FOCUSED INVESTMENT RISK. Investments focused in asset classes, countries, regions, sectors, industries, currencies or issuers (or in sectors within a country or region) that are subject to the same or similar risk factors and investments whose prices are closely correlated are subject to greater overall risk than investments that are more diversified or whose prices are not as closely correlated.

• LARGE SHAREHOLDER RISK. To the extent that 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 require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• NON-DIVERSIFIED FUNDS. Alternative Allocation Fund and SGM Major Markets Fund are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

4. Derivative financial instruments

During the year ended February 28, 2022, only Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, that are used 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.

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund

The Funds may use derivatives to gain long or short investment exposure to securities, commodities 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 exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

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The Funds may use derivatives such as futures, options, and swap contracts, 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 (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their 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 a 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 adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

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 may have gross investment exposures in excess of their net assets (i.e. the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each 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 Consolidated SGM Major Markets Fund

The Fund may use derivatives to gain long and/or short investment exposure to securities, 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 adjust its investment exposures. 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, 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 their equities are traded.

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.

*  *  *

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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 GMO 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 year ended February 28, 2022, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Consolidated Alternative Allocation Fund*		Benchmark- Free Fund		Consolidated Implementation Fund*		Consolidated SGM Major Markets Fund*		Strategic Opportunities Allocation Fund
Forward currency contracts
Adjust currency exchange rate risk								X
Adjust exposure to foreign currencies		X		X		X		X
Manage against anticipated currency exchange rate changes		X				X
Futures contracts
Adjust exposure to certain securities markets		X		X		X		X
Substitute for direct investment								X
Adjust interest rate exposure		X						X
Maintain the diversity and liquidity of the portfolio		X		X		X		X
Options (Purchased)
Substitute for direct equity investment		X				X
Options (Written)
Substitute for direct equity investment		X				X
Swap contracts
Adjust exposure to certain markets								X
Adjust interest rate exposure		X		X		X		X
Substitute for direct investment in securities		X		X		X				X
Achieve exposure to a reference entity’s credit		X				X

* Certain derivatives may be held by the Fund’s wholly-owned subsidiary.

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

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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 settled.

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 collateralized. Forward currency contracts outstanding at the end of the year, 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 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 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 in 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 year, 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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, which is disclosed in the Schedule of Investments, 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 year, 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 year, if any, are listed in each applicable 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

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investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

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.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or 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.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

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February 28, 2022

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. A 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 a 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. The 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 the 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 year, 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.

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February 28, 2022

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 February 28, 2022 and the Statements of Operations for the year ended February 28, 2022^:

The risks referenced in the tables below 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.

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Investments, at value (purchased options)	$	762,841		$	—		$	—		$	—		$	—		$	762,841
Unrealized Appreciation on Forward Currency Contracts		—			—			—			1,485,428			—			1,485,428
Unrealized Appreciation on Futures Contracts¤		—			—			1,675,983			—			331,568			2,007,551
Swap Contracts, at value¤		5,111,157			—			412,319			—			5,714,077			11,237,553
Total	$	5,873,998		$	—		$	2,088,302		$	1,485,428		$	6,045,645		$	15,493,373
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(2,917,160	)	$	—		$	(2,917,160	)
Unrealized Depreciation on Futures Contracts¤		—			—			(2,294,421	)		—			(106,477	)		(2,400,898	)
Written Options, at value		(740,275	)		—			(575,779	)		—			—			(1,316,054	)
Swap Contracts, at value¤		(964,709	)		—			(625,784	)		—			(6,849,195	)		(8,439,688	)
Total	$	(1,704,984	)	$	—		$	(3,495,984	)	$	(2,917,160	)	$	(6,955,672	)	$	(15,073,800	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	(281,068	)	$	—		$	—		$	—		$	—		$	(281,068	)
Futures Contracts		—			—			(5,344,090	)		—			(333,011	)		(5,677,101	)
Written Options		497,901			—			2,354,922			—			—			2,852,823
Swap Contracts		312,544			(2,589,594	)		2,716,899			—			(6,747,991	)		(6,308,142	)
Forward Currency Contracts		—			—			—			(3,359,178	)		—			(3,359,178	)
Total	$	529,377		$	(2,589,594	)	$	(272,269)		$	(3,359,178	)	$	(7,081,002)		$	(12,772,666	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	—		$	—		$	82,319		$	82,319
Futures Contracts		—			—			(660,817	)		—			1,464,288			803,471
Written Options		(97,959	)		—			395,200			—			—			297,241
Swap Contracts		(390,240	)		—			(937,850	)		—			3,676,722			2,348,632
Forward Currency Contracts		—			—			—			(1,289,077	)		—			(1,289,077	)
Total	$	(488,199	)	$	—		$	(1,203,467	)	$	(1,289,077	)	$	5,223,329		$	2,242,586
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	2,017,142		$	—		$	2,017,142
Unrealized Appreciation on Futures Contracts¤		—			—			20,449,723			—			—			20,449,723
Swap Contracts, at value¤		—			—			1,486,428			—			4,827,740			6,314,168
Total	$	—		$	—		$	21,936,151		$	2,017,142		$	4,827,740		$	28,781,033
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(2,565,538	)	$	—		$	(2,565,538	)
Unrealized Depreciation on Futures Contracts¤		—			—			(227,034	)		—			—			(227,034	)
Swap Contracts, at value¤		—			—			(443,486	)		—			(5,860,139	)		(6,303,625	)
Total	$	—		$	—		$	(670,520	)	$	(2,565,538	)	$	(5,860,139	)	$	(9,096,197	)

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February 28, 2022

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Benchmark-Free Fund (continued)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(82,085,229	)	$	—		$	—		$	(82,085,229	)
Swap Contracts		—			—			19,636,202			—			(3,946,640	)		15,689,562
Forward Currency Contracts		—			—			—			8,789,482			—			8,789,482
Total	$	—		$	—		$	(62,449,027	)	$	8,789,482		$	(3,946,640	)	$	(57,606,185	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	36,486,489		$	—		$	—		$	36,486,489
Swap Contracts		—			—			(3,305,227	)		—			401,665			(2,903,562	)
Forward Currency Contracts		—			—			—			(739,814	)		—			(739,814	)
Total	$	—		$	—		$	33,181,262		$	(739,814	)	$	401,665		$	32,843,113
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—		$	70,255		$	—		$	—		$	70,255
Unrealized Appreciation on Forward Currency Contracts		—			—			—			10,113,488			—			10,113,488
Unrealized Appreciation on Futures Contracts¤		—			1,352,297			50,855,695			—			1,232,971			53,440,963
Swap Contracts, at value¤		—			—			4,483,073			—			28,870,485			33,353,558
Total	$	—		$	1,352,297		$	55,409,023		$	10,113,488		$	30,103,456		$	96,978,264
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(16,129,547	)	$	—		$	(16,129,547	)
Unrealized Depreciation on Futures Contracts¤		—			(121,673	)		(5,402,682	)		—			(441,553	)		(5,965,908	)
Written Options, at value		—			—			(694,066	)		—			—			(694,066	)
Swap Contracts, at value¤		(540,824	)		—			(2,446,847	)		—			(35,090,528	)		(38,078,199	)
Total	$	(540,824	)	$	(121,673	)	$	(8,543,595	)	$	(16,129,547	)	$	(35,532,081	)	$	(60,867,720	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(821,401	)	$	—		$	—		$	(821,401	)
Futures Contracts		—			(344,723	)		(200,054,019	)		—			(897,094	)		(201,295,836	)
Written Options		—			—			107,440			—			—			107,440
Swap Contracts		(271,621	)		—			51,793,708			—			(11,539,397	)		39,982,690
Forward Currency Contracts		—			—			—			11,763,114			—			11,763,114
Total	$	(271,621	)	$	(344,723	)	$	(148,974,272	)	$	11,763,114		$	(12,436,491	)	$	(150,263,993	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(62,806	)	$	—		$	—		$	(62,806	)
Futures Contracts		—			4,156,166			79,637,769			—			3,940,300			87,734,235
Written Options		—			—			261,157			—			—			261,157
Swap Contracts		151,287			—			(8,063,777	)		—			5,856,759			(2,055,731	)
Forward Currency Contracts		—			—			—			(7,021,471	)		—			(7,021,471	)
Total	$	151,287		$	4,156,166		$	71,772,343		$	(7,021,471	)	$	9,797,059		$	78,855,384
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	334,658		$	—		$	334,658
Unrealized Appreciation on Futures Contracts¤		—			942,124			3,297,371			—			874,356			5,113,851
Swap Contracts, at value¤		—			—			353,555			—			—			353,555
Total	$	—		$	942,124		$	3,650,926		$	334,658		$	874,356		$	5,802,064
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(633,748	)	$	—		$	(633,748	)
Unrealized Depreciation on Futures Contracts¤		—			(91,744	)		(6,390,412	)		—			(277,316	)		(6,759,472	)
Swap Contracts, at value¤		—			—			(1,084,896	)		—			—			(1,084,896	)
Total	$	—		$	(91,744	)	$	(7,475,308	)	$	(633,748	)	$	(277,316	)	$	(8,478,116	)

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February 28, 2022

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Consolidated SGM Major Markets Fund (continued)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	(337,788	)	$	(1,591,477	)	$	—		$	(182,700	)	$	(2,111,965	)
Swap Contracts		—		—			2,210,504			—			—			2,210,504
Forward Currency Contracts		—		—			—			(6,979,629	)		—			(6,979,629	)
Total	$	—	$	(337,788	)	$	619,027		$	(6,979,629	)	$	(182,700	)	$	(6,881,090	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	3,067,074		$	(3,944,030	)	$	—		$	2,999,075		$	2,122,119
Swap Contracts		—		—			(731,341	)		—			—			(731,341	)
Forward Currency Contracts		—		—			—			1,281,588			—			1,281,588
Total	$	—	$	3,067,074		$	(4,675,371	)	$	1,281,588		$	2,999,075		$	2,672,366
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	—		$	205,290		$	—		$	—		$	205,290
Total	$	—	$	—		$	205,290		$	—		$	—		$	205,290
Liability Derivatives
Swap Contracts, at value¤	$	—	$	—		$	(59,778	)	$	—		$	—		$	(59,778	)
Total	$	—	$	—		$	(59,778	)	$	—		$	—		$	(59,778	)
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	—		$	3,693,996		$	—		$	—		$	3,693,996
Total	$	—	$	—		$	3,693,996		$	—		$	—		$	3,693,996
Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—	$	—		$	(936,471	)	$	—		$	—		$	(936,471	)
Total	$	—	$	—		$	(936,471	)	$	—		$	—		$	(936,471	)

^ 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 unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off 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. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. 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 an early termination of 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. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

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Notes to Financial Statements — (Continued)

February 28, 2022

For financial reporting purposes, in 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, reverse repurchase agreements and securities loans held by the Funds at February 28, 2022, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded 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 February 28, 2022:

Consolidated Alternative Allocation 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.	$	939,651		$	(611,191	)	$	(328,460	)	$	—	*
Barclays Bank PLC		828,517			—			(825,636	)		2,881
Citigroup Global Markets Inc.		342,825			(314,233	)		(28,592	)		—	*
Citibank N.A.		820,137			(763,628	)		(56,509	)		—	*
Deutsche Bank AG		11,832			—			(11,832	)		—
Goldman Sachs International		422,968			(222,285	)		(200,683	)		—	*
JPMorgan Chase Bank, N.A.		2,798,162			(2,510,000	)		(212,093	)		76,069
Merrill Lynch Capital Services, Inc.		302,382			(255,428	)		(46,954	)		—	*
Morgan Stanley & Co. International PLC		836,784			—			(836,784	)		—
Morgan Stanley Capital Services LLC		275,706			(226,315	)		(49,391	)		—	*
State Street Bank and Trust Company		151,695			—			(32,941	)		118,754
UBS AG		41,086			—			(41,086	)		—
Total	$	7,771,745		$	(4,903,080	)	$	(2,670,961	)	$	197,704
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.	$	(328,460	)	$	—		$	328,460		$	—
Barclays Bank PLC		(825,636	)		—			825,636			—
Citigroup Global Markets Inc.		(28,592	)		—			28,592			—
Citibank N.A.		(56,509	)		—			56,509			—
Deutsche Bank AG		(53,870	)		—			11,832			(42,038	)
Goldman Sachs International		(200,684	)		—			200,684			—
JPMorgan Chase Bank, N.A.		(212,093	)		—			212,093			—
Merrill Lynch Capital Services, Inc.		(46,954	)		—			46,954			—
Morgan Stanley & Co. International PLC		(2,178,262	)		991,434			836,784			(350,044	)
Morgan Stanley Capital Services LLC		(49,391	)		—			49,391			—
Morgan Stanley & Co. LLC		(575,779	)		575,779			—			—	*
State Street Bank and Trust Company		(32,941	)		—			32,941			—
UBS AG		(376,984	)		—			41,086			(335,898	)
Total	$	(4,966,155	)	$	1,567,213		$	2,670,962		$	(727,980	)

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February 28, 2022

Benchmark-Free 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	$	399,366		$	—		$	(399,366	)	$	—
Citibank N.A.		32,897			—			(32,559	)		338
Deutsche Bank AG		7,467			—			(7,467	)		—
Goldman Sachs International		51,715			—			(51,715	)		—
JPMorgan Chase Bank, N.A.		238,627			—			(194,598	)		44,029
Morgan Stanley & Co. International PLC		574,788			—			(574,788	)		—
Morgan Stanley Capital Services LLC		1,455,613			(1,171,135	)		(284,478	)		—	*
State Street Bank and Trust Company		743,097			(662,484	)		(61,700	)		18,913
Total	$	3,503,570		$	(1,833,619	)	$	(1,606,671	)	$	63,280
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	(443,481	)	$	44,115		$	399,366		$	—	*
Citibank N.A.		(32,559	)		—			32,559			—
Deutsche Bank AG		(45,905	)		—			7,467			(38,438	)
Goldman Sachs International		(159,144	)		—			51,715			(107,429	)
JPMorgan Chase Bank, N.A.		(194,598	)		—			194,598			—
Morgan Stanley & Co. International PLC		(1,787,159	)		440,615			574,788			(771,756	)
Morgan Stanley Capital Services LLC		(284,478	)		—			284,478			—
State Street Bank and Trust Company		(61,700	)		—			61,700			—
Total	$	(3,009,024	)	$	484,730		$	1,606,671		$	(917,623	)

Consolidated Implementation 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.	$	162,230	$	(127,582	)	$	(34,648	)	$	—	*
Barclays Bank PLC		2,517,387		—			(2,517,387	)		—
Citibank N.A.		381,371		(181,454	)		(199,917	)		—	*
Deutsche Bank AG		56,813		—			(56,813	)		—
Goldman Sachs International		474,004		—			(474,004	)		—
JPMorgan Chase Bank, N.A.		1,292,518		—			(1,292,518	)		—
Morgan Stanley & Co. International PLC		3,583,697		—			(3,583,697	)		—
Morgan Stanley Capital Services LLC		3,985,471		(3,197,673	)		(787,798	)		—	*
Morgan Stanley & Co. LLC		70,255		—			(70,255	)		—
State Street Bank and Trust Company		1,992,006		(1,567,177	)		(272,506	)		152,323
UBS AG		151,064		—			(151,064	)		—
Total	$	14,666,816	$	(5,073,886	)	$	(9,440,607	)	$	152,323

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February 28, 2022

Consolidated Implementation 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.	$	(34,648	)	$	—	$	34,648	$	—
Barclays Bank PLC		(2,665,939	)		148,552		2,517,387		—	*
Citibank N.A.		(199,917	)		—		199,917		—
Credit Suisse International		(131,440	)		—		—		(131,440	)
Deutsche Bank AG		(266,924	)		210,111		56,813		—	*
Goldman Sachs International		(807,809	)		333,805		474,004		—	*
JPMorgan Chase Bank, N.A.		(1,422,991	)		130,473		1,292,518		—	*
Morgan Stanley & Co. International PLC		(11,539,384	)		4,289,112		3,583,697		(3,666,575	)
Morgan Stanley Capital Services LLC		(787,798	)		—		787,798		—
Morgan Stanley & Co. LLC		(694,066	)		623,811		70,255		—	*
State Street Bank and Trust Company		(272,506	)		—		272,506		—
UBS AG		(987,862	)		479,956		151,064		(356,842	)
Total	$	(19,811,284	)	$	6,215,820	$	9,440,607	$	(4,154,857	)

Consolidated SGM Major Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Deutsche Bank AG	$	4,812		$	—		$	(4,812	)	$	—
Goldman Sachs International		244,415			—			(244,415	)		—
JPMorgan Chase Bank, N.A.		67,521			(67,521	)		—			—	*
Morgan Stanley & Co. International PLC		160,840			(18,090	)		(142,750	)		—	*
State Street Bank and Trust Company		84,506			—			(60,461	)		24,045
UBS AG		126,119			—			(126,119	)		—
Total	$	688,213		$	(85,611	)	$	(578,557	)	$	24,045
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	(88,820	)	$	14,025		$	—		$	(74,795	)
Deutsche Bank AG		(65,317	)		60,505			4,812			—	*
Goldman Sachs International		(361,738	)		117,323			244,415			—	*
Morgan Stanley & Co. International PLC		(142,750	)		—			142,750			—
State Street Bank and Trust Company		(60,461	)		—			60,461			—
UBS AG		(999,558	)		617,089			126,119			(256,350	)
Total	$	(1,718,644	)	$	808,942		$	578,557		$	(331,145	)

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February 28, 2022

Strategic Opportunities Allocation 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	$	4,649		$	—		$	(4,649	)	$	—
Morgan Stanley Capital Services LLC		200,641			(166,371	)		(34,270	)		—	*
Total	$	205,290		$	(166,371	)	$	(38,919	)	$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	(25,508	)	$	—		$	4,649		$	(20,859	)
Morgan Stanley Capital Services LLC		(34,270	)		—			34,270			—
Total	$	(59,778	)	$	—		$	38,919		$	(20,859	)

* The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2022:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)		Swap Contracts ($)
Consolidated Alternative Allocation Fund		584,896,791		167,908,477		98,816,701		687		1,901,814,928
Benchmark-Free Fund		484,791,854		439,038,057		—		—		1,213,698,324
Consolidated Implementation Fund		2,508,602,694		1,753,421,597		—		2,755		7,253,433,936
Consolidated SGM Major Markets Fund		261,065,057		505,469,319		—		—		55,188,570
Strategic Opportunities Allocation Fund		—		—		—		—		6,905,318

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Alternative Allocation Fund		Benchmark- Free Allocation Fund		Benchmark- Free Fund		Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Implementation Fund		International Developed Equity Allocation Fund		International Equity Allocation Fund		SGM Major Markets Fund		Strategic Opportunities Allocation Fund
Management Fee		0.73%		0.65%		—		—		—		—		—		—		—		0.85%		—

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO 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 MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and

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February 28, 2022

explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III			Class IV			Class V		Class VI		Class MF		Class R6			Class I
Alternative Allocation Fund		0.22%*		0.15%	*		0.105%	*		0.085%*		0.055%				0.22%			0.22%
Benchmark-Free Allocation Fund				0.15%			0.10%							0.10%		0.15%			0.15%
SGM Major Markets Fund				0.15%			0.10%	*				0.055%				0.15%	*		0.15%

* Class is offered but has no shareholders as of February 28, 2022.

For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or 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.

For each Fund, other than Alternative Allocation Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below).

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 (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

For Alternative Allocation Fund (the “Fund), GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (collectively, “Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap set forth above or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses. GMO also has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below

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February 28, 2022

zero. The reimbursement and waiver arrangements described above, including the Expense Cap, will remain in effect through at least June 30, 2022 and may not be terminated prior to this date without the action or consent of the Trust’s Board of Trustees.

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

These contractual waivers and reimbursements will continue through at least June 30, 2022 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 supplemental support agreement.

For Benchmark-Free Allocation Fund only, GMO has contractually agreed to waive or reduce the Fund’s management, shareholder service, and supplemental support fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. In addition, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares 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 fees paid to GMO. This reduction will continue through at least June 30, 2022, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

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February 28, 2022

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2022 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Consolidated Alternative Allocation Fund		13,932		1,237
Benchmark-Free Allocation Fund		193,319		19,554
Benchmark-Free Fund		67,893		6,529
Global Asset Allocation Fund		23,883		2,401
Global Developed Equity Allocation Fund		3,262		276
Global Equity Allocation Fund		59,021		5,000
Consolidated Implementation Fund		180,401		17,658
International Developed Equity Allocation Fund		7,791		729
International Equity Allocation Fund		28,030		2,501
Consolidated SGM Major Markets Fund		9,280		1,185
Strategic Opportunities Allocation Fund		14,053		1,411

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2022, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses
Consolidated Alternative Allocation Fund		0.032%
Benchmark-Free Allocation Fund		0.349%*
Benchmark-Free Fund		0.092%
Global Asset Allocation Fund		0.684%*
Global Developed Equity Allocation Fund		0.523%
Global Equity Allocation Fund		0.578%
International Developed Equity Allocation Fund		0.622%
International Equity Allocation Fund		0.659%
Strategic Opportunities Allocation Fund		0.328%

* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2022, the Funds did not engage in these transactions.

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February 28, 2022

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2022 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)
Consolidated Alternative Allocation Fund		259,721,320		799,166,583		240,553,009		918,469,122
Benchmark-Free Allocation Fund		—		421,317,419		—		1,770,236,677
Benchmark-Free Fund		735,077,907		1,631,025,964		588,160,184		1,986,025,979
Global Asset Allocation Fund		—		207,657,535		—		436,592,792
Global Developed Equity Allocation Fund		—		20,213,111		—		17,158,256
Global Equity Allocation Fund		—		396,160,192		—		340,152,763
Consolidated Implementation Fund		2,085,570,668		5,903,072,806		1,496,450,597		6,741,903,456
International Developed Equity Allocation Fund		—		58,526,603		—		44,889,290
International Equity Allocation Fund		—		145,686,869		—		262,747,341
Consolidated SGM Major Markets Fund		222,110,300		—		292,638,242		—
Strategic Opportunities Allocation Fund		27,872,767		327,116,833		2,972,461		600,940,935

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 as of February 28, 2022

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
Alternative Allocation Fund		3	‡		90.78%
Benchmark-Free Allocation Fund		1			26.73%
Benchmark-Free Fund		3			38.31%
Global Asset Allocation Fund		2			31.10%
Global Developed Equity Allocation Fund		2			89.86%
Global Equity Allocation Fund		3			65.93%
Implementation Fund		1	‡		100.00%
International Developed Equity Allocation Fund		2			95.39%
International Equity Allocation Fund		4			77.35%
SGM Major Markets Fund		3	#		90.15%
Strategic Opportunities Allocation Fund		3			71.82%

‡ One of the shareholders is another fund of the Trust.

# Two of the shareholders are other funds of the Trust.

204

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Notes to Financial Statements — (Continued)

February 28, 2022

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:

	Year Ended February 28, 2022						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:
Shares sold		451,346		$	8,431,840			6,069,438		$	120,301,372
Shares issued to shareholders in reinvestment of distributions		350,410			6,442,811			277,343			5,356,980
Shares repurchased		(5,696,131	)		(106,350,858	)		(4,536,437	)		(87,729,228	)
Net increase (decrease)		(4,894,375	)	$	(91,476,207	)		1,810,344		$	37,929,124
Class R6:(a)
Shares sold		2,173		$	39,785			26,831		$	519,188
Shares issued to shareholders in reinvestment of distributions		831			15,298			516			9,953
Shares repurchased		(27,006	)		(500,411	)		(2,114	)		(41,558	)
Net increase (decrease)		(24,002	)	$	(445,328	)		25,233		$	487,583
Class I:
Shares sold		6,111,527		$	113,826,130			15,492,543		$	298,991,109
Shares issued to shareholders in reinvestment of distributions		190,953			3,500,091			80,844			1,560,033
Shares repurchased		(12,228,627	)		(232,055,396	)		(3,178,089	)		(60,932,252	)
Net increase (decrease)		(5,926,147	)	$	(114,729,175	)		12,395,298		$	239,618,890
Benchmark-Free Allocation Fund
Class III:
Shares sold		6,218,317		$	163,296,953			3,785,990		$	92,615,446
Shares issued to shareholders in reinvestment of distributions		1,502,582			38,090,456			4,019,280			100,605,473
Shares repurchased		(25,965,137	)		(690,286,283	)		(52,416,850	)		(1,279,526,091	)
Shares repurchased in connection with reorganization:(b)		—			—			(17,852,866	)		(463,472,079	)
Net increase (decrease)		(18,244,238	)	$	(488,898,874	)		(62,464,446	)	$	(1,549,777,251	)
Class IV:
Shares sold		9,376,363		$	249,787,539			4,395,247		$	107,395,880
Shares issued to shareholders in reinvestment of distributions		1,019,586			25,846,502			2,254,813			56,425,045
Shares repurchased		(31,796,804	)		(829,350,870	)		(12,628,848	)		(307,840,416	)
Net increase (decrease)		(21,400,855	)	$	(553,716,829	)		(5,978,788	)	$	(144,019,491	)
Class MF:
Shares sold		1,764,590		$	46,575,757			863,586		$	22,063,346
Shares issued to shareholders in reinvestment of distributions		1,367,575			34,695,369			2,769,815			69,378,466
Shares repurchased		(15,595,646	)		(411,391,047	)		(48,245,572	)		(1,184,044,972	)
Net increase (decrease)		(12,463,481	)	$	(330,119,921	)		(44,612,171	)	$	(1,092,603,160	)

205

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Benchmark-Free Allocation Fund (continued)
Class R6:(c)
Shares sold		3,354,486		$	88,104,972			2,363,878		$	59,336,390
Shares issued to shareholders in reinvestment of distributions		231,232			5,857,098			59,411			1,488,297
Shares issued to shareholders in connection with reorganization(b)		—			—			9,884,492			256,421,515
Shares repurchased		(4,851,336	)		(129,002,250	)		(334,848	)		(8,558,317	)
Net increase (decrease)		(1,265,618	)	$	(35,040,180	)		11,972,933		$	308,687,885
Class I:
Shares sold		4,397,334		$	116,032,792			3,200,275		$	79,569,402
Shares issued to shareholders in reinvestment of distributions		286,161			7,248,470			159,203			3,981,436
Shares issued to shareholders in connection with reorganization(b)		—			—			8,138,329			211,141,897
Shares repurchased		(2,900,373	)		(76,507,018	)		(2,838,085	)		(72,184,369	)
Net increase (decrease)		1,783,122		$	46,774,244			8,659,722		$	222,508,366
Benchmark-Free Fund
Class III:
Shares sold		—		$	—			3,380,765		$	56,376,837
Shares issued to shareholders in reinvestment of distributions		4,034,320			76,313,230			3,731,306			69,942,505
Shares repurchased		(29,222,706	)		(564,384,055	)		(33,134,537	)		(610,768,662	)
Net increase (decrease)		(25,188,386	)	$	(488,070,825	)		(26,022,466	)	$	(484,449,320	)
Global Asset Allocation Fund
Class III:
Shares sold		1,002,856		$	36,431,590			1,216,073		$	38,212,261
Shares issued to shareholders in reinvestment of distributions		920,717			31,925,106			976,697			32,629,383
Shares repurchased		(3,947,615	)		(142,005,422	)		(26,333,561	)		(848,073,134	)
Shares repurchased in connection with reorganization(b)		—			—			(4,904,836	)		(173,115,488	)
Net increase (decrease)		(2,024,042	)	$	(73,648,726	)		(29,045,627	)	$	(950,346,978	)
Class R6:
Shares sold		106,284		$	3,777,306			609,510		$	20,452,550
Shares issued to shareholders in reinvestment of distributions		19,569			679,038			15,573			521,472
Shares issued to shareholders in connection with reorganization(b)		—			—			4,380,291			154,608,023
Shares repurchased		(4,570,426	)		(166,223,124	)		(332,593	)		(11,069,669	)
Net increase (decrease)		(4,444,573	)	$	(161,766,780	)		4,672,781		$	164,512,376
Class I:(d)
Shares sold		50,466		$	1,828,908			75,778		$	2,667,247
Shares issued to shareholders in reinvestment of distributions		21,862			758,336			—			—
Shares issued to shareholders in connection with reorganization(b)		—			—			554,741			19,578,025
Shares repurchased		(275,252	)		(9,978,958	)		(43,576	)		(1,539,670	)
Net increase (decrease)		(202,924	)	$	(7,391,714	)		586,943		$	20,705,602
Global Developed Equity Allocation Fund
Class III:
Shares sold		—		$	—			219,276		$	5,622,223
Shares issued to shareholders in reinvestment of distributions		380,228			9,954,295			85,417			2,073,187
Shares repurchased		(245,335	)		(6,979,443	)		(403,077	)		(8,282,753	)
Net increase (decrease)		134,893		$	2,974,852			(98,384	)	$	(587,343	)

206

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Global Equity Allocation Fund
Class III:
Shares sold		1,623		$	50,000			1,378,390		$	33,559,963
Shares issued to shareholders in reinvestment of distributions		3,748,182			114,586,982			1,927,822			54,272,843
Shares repurchased		(3,319,307	)		(106,672,406	)		(8,268,761	)		(223,473,248	)
Net increase (decrease)		430,498		$	7,964,576			(4,962,549	)	$	(135,640,442	)
Class R6:(e)
Shares sold		29,814		$	945,665			246,021		$	6,259,686
Shares issued to shareholders in reinvestment of distributions		17,711			541,431			8,041			227,894
Shares repurchased		(25,923	)		(837,307	)		(27,387	)		(732,104	)
Net increase (decrease)		21,602		$	649,789			226,675		$	5,755,476
Class I:(f)
Shares sold		16,756		$	528,647			72,846		$	1,917,462
Shares issued to shareholders in reinvestment of distributions		6,260			191,269			2,267			64,254
Shares repurchased		(5,730	)		(184,132	)		(458	)		(12,411	)
Net increase (decrease)		17,286		$	535,784			74,655		$	1,969,305
Consolidated Implementation Fund
Core Class:
Shares sold		17,972,770		$	234,356,377			86,220,208		$	1,048,235,578
Shares issued to shareholders in reinvestment of distributions		12,158,465			150,035,453			10,748,813			132,218,180
Shares repurchased		(126,745,748	)		(1,639,490,784	)		(185,451,038	)		(2,225,658,576	)
Net increase (decrease)		(96,614,513	)	$	(1,255,098,954	)		(88,482,017	)	$	(1,045,204,818	)
International Developed Equity Allocation Fund
Class III:
Shares sold		1,325,004		$	23,754,550			2,334,558		$	33,800,999
Shares issued to shareholders in reinvestment of distributions		509,965			8,777,681			386,519			6,277,230
Shares repurchased		(1,049,987	)		(18,578,827	)		(9,909,526	)		(144,296,950	)
Shares repurchased in connection with reorganization(b)		—			—			(487,958	)		(8,333,525	)
Net increase (decrease)		784,982		$	13,953,404			(7,676,407	)	$	(112,552,246	)
Class R6:(g)
Shares sold		40,654		$	734,355			6,577		$	112,468
Shares issued to shareholders in reinvestment of distributions		31,628			544,452			—			—
Shares issued to shareholders in connection with reorganization(b)		—			—			492,914			8,418,168
Shares repurchased		(53,617	)		(965,399	)		(12,445	)		(212,488	)
Net increase (decrease)		18,665		$	313,408			487,046		$	8,318,148
International Equity Allocation Fund
Class III:
Shares sold		221,915		$	7,458,093			165,164		$	4,658,164
Shares issued to shareholders in reinvestment of distributions		913,296			29,091,830			767,681			23,461,457
Shares repurchased		(4,811,910	)		(155,557,290	)		(5,584,470	)		(137,383,719	)
Shares repurchased in connection with reorganization(b)		—			—			(376,439	)		(12,333,032	)
Net increase (decrease)		(3,676,699	)	$	(119,007,367	)		(5,028,064	)	$	(121,597,130	)

207

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Notes to Financial Statements — (Continued)

February 28, 2022

	Year Ended February 28, 2022						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
International Equity Allocation Fund (continued)
Class R6:
Shares sold		168,085		$	5,589,401			315,758		$	7,840,712
Shares issued to shareholders in reinvestment of distributions		481,805			15,335,754			331,970			10,144,475
Shares issued to shareholders in connection with reorganization(b)		—			—			380,466			12,461,474
Shares repurchased		(556,099	)		(18,171,988	)		(551,315	)		(17,409,367	)
Net increase (decrease)		93,791		$	2,753,167			476,879		$	13,037,294
Consolidated SGM Major Markets Fund
Class III:
Shares sold		665,260		$	20,088,895			384,363		$	12,641,912
Shares issued to shareholders in reinvestment of distributions		1,205			35,766			515			16,796
Shares repurchased		(486,422	)		(14,257,990	)		(40,476	)		(1,320,080	)
Net increase (decrease)		180,043		$	5,866,671			344,402		$	11,338,628
Class VI:
Shares sold		1,958,773		$	61,237,349			3,231,526		$	104,242,857
Shares issued to shareholders in reinvestment of distributions		723,031			21,457,199			200,949			6,549,429
Shares repurchased		(5,419,611	)		(160,325,548	)		(20,403,300	)		(653,236,278	)
Net increase (decrease)		(2,737,807	)	$	(77,631,000	)		(16,970,825	)	$	(542,443,992	)
Class I:(h)
Shares sold		884,435		$	26,693,141			438,717		$	14,414,202
Shares issued to shareholders in reinvestment of distributions		40,852			1,208,514			2,797			91,322
Shares repurchased		(647,184	)		(18,902,142	)		(9,697	)		(316,848	)
Net increase (decrease)		278,103		$	8,999,513			431,817		$	14,188,676
Strategic Opportunities Allocation Fund
Class III:
Shares sold		407,969		$	8,475,000			1,900,987		$	32,587,762
Shares issued to shareholders in reinvestment of distributions		2,573,255			51,157,762			1,193,465			23,704,892
Shares repurchased		(16,664,409	)		(361,479,168	)		(16,950,871	)		(322,809,952	)
Net increase (decrease)		(13,683,185	)	$	(301,846,406	)		(13,856,419	)	$	(266,517,298	)

^(a)  The period under the heading “Year Ended February 28, 2021” represents the period from July 31, 2020 (commencement of operations) through February 28, 2021.

^(b) A plan of reorganization was completed on January 22, 2021.

^(c) The period under the heading “Year Ended February 28, 2021” represents the period from May 1, 2020 (commencement of operations) through February 28, 2021.

^(d) The period under the heading “Year Ended February 28, 2021” represents the period from January 6, 2021 (commencement of operations) through February 28, 2021.

^(e) The period under the heading “Year Ended February 28, 2021 “represents the period from July 15, 2020 (commencement of operations) through February 28, 2021.

^(f)  The period under the heading “Year Ended February 28, 2021 “represents the period from August 17, 2020 (commencement of operations) through February 28, 2021.

^(g) The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

^(h) The period under the heading “Year Ended February 28, 2021” represents the period from September 23, 2020 (commencement of operations) through February 28, 2021.

208

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2022 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Consolidated Alternative Allocation Fund
GMO Emerging Markets Fund, Class VI	$	29,192,704	$	1,200,000	$	18,760,000	$	527,989		$	—	$	2,884,552		$	(4,705,383	)	$	9,811,873
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	161,366,088	$	4,512,052	$	174,494,031	$	1,856,950		$	2,655,102	$	(136,976	)	$	8,752,867		$	—
GMO Emerging Country Debt Fund, Class VI		—		182,557,303		35,000,000		9,199,416			1,263,856		(4,173,920	)		(28,109,540	)		115,273,843
GMO Implementation Fund		5,968,168,051		384,391,830		1,639,490,784		150,035,453			—		(55,830,921	)		24,194,362			4,681,432,538
GMO Opportunistic Income Fund, Class VI		237,695,110		10,146,302		62,282,498		4,146,302			—		(106,474	)		(1,732,768	)		183,719,672
GMO SGM Major Markets Fund, Class VI		176,393,296		11,803,964		31,063,395		3,998,726			7,805,238		(3,291,439	)		(12,106,804	)		141,735,622
Totals	$	6,543,622,545	$	593,411,451	$	1,942,330,708	$	169,236,847		$	11,724,196	$	(63,539,730	)	$	(9,001,883	)	$	5,122,161,675
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	68,079,210	$	1,931,848	$	73,642,006	$	795,059		$	1,136,789	$	—		$	3,630,948		$	—
GMO Emerging Country Debt Fund, Class VI		—		77,337,056		16,300,000		3,248,726			446,324		(68,248	)		(12,871,177	)		48,097,631
GMO Emerging Markets Fund, Class VI		73,462,563		1,860,085		33,000,000		1,860,085			—		5,542,187			(13,848,195	)		34,016,640
GMO Opportunistic Income Fund, Class VI		95,150,641		13,253,942		15,500,000		2,053,942			—		660,797			(1,620,309	)		91,945,071
GMO SGM Major Markets Fund, Class VI		53,275,871		24,923,068		11,000,000		1,662,823			3,260,245		(731,067	)		(5,686,066	)		60,781,806
GMO U.S. Treasury Fund		15,629,132		130,476,415		135,958,198		6,492	*		—		(15,256	)		(41,801	)		10,090,292
Totals	$	305,597,417	$	249,782,414	$	285,400,204	$	9,627,127		$	4,843,358	$	5,388,413		$	(30,436,600	)	$	244,931,440
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	178,571,877	$	12,133,361	$	55,206,032	$	—		$	4,989,608	$	(1,862,933	)	$	(3,632,076	)	$	130,004,197
GMO Asset Allocation Bond Fund, Class VI		58,588,962		17,375,965		37,257,738		698,960			—		2,289,745			(3,013,793	)		37,983,141
GMO Emerging Country Debt Fund, Class IV		26,636,433		557,358		29,196,240		229,383			327,975		(428,933	)		2,431,382			—
GMO Emerging Country Debt Fund, Class VI		—		23,588,057		—		1,223,700			168,117		—			(5,471,093	)		18,116,964

209

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO Emerging Markets ex-China Fund, Class VI	$	—	$	33,217,965	$	—	$	217,965	$	—	$	—		$	(5,546,120	)	$	27,671,845
GMO Emerging Markets Fund, Class VI		175,044,536		10,315,674		102,052,348		3,890,335		—		10,419,982			(25,351,703	)		68,376,141
GMO International Equity Fund, Class IV		143,733,654		25,654,850		62,802,342		7,160,674		—		5,496,604			(4,989,413	)		107,093,353
GMO-Usonian Japan Value Creation Fund, Class VI		35,718,441		5,165,004		12,206,000		1,678,405		2,231,692		2,263,107			(5,959,163	)		24,981,389
GMO Multi-Sector Fixed Income Fund, Class IV		49,437,917		33,352,151		22,907,203		—		1,638,831		(161,552	)		(3,557,010	)		56,164,303
GMO Opportunistic Income Fund, Class VI		26,706,075		538,593		7,448,346		406,635		—		(68,492	)		(136,115	)		19,591,715
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		26,821,332		4,104,046		9,200,000		565,143		3,538,903		3,366,139			(4,871,841	)		20,219,676
GMO Quality Fund, Class VI		18,091,344		1,136,569		8,495,000		154,675		658,169		2,107,541			(572,015	)		12,268,439
GMO U.S. Equity Fund, Class VI		73,489,034		21,845,564		32,949,154		710,356		9,526,098		2,319,722			(3,271,082	)		61,434,084
GMO U.S. Small Cap Value Fund, Class VI		58,149,527		14,467,527		27,940,270		575,717		12,030,042		7,410,988			(12,963,396	)		39,124,376
GMO U.S. Treasury Fund		24,707,179		26,401,090		51,106,179		1,926		2		(204	)		(7	)		1,879
Totals	$	895,696,311	$	229,853,774	$	458,766,852	$	17,513,874	$	35,109,437	$	33,151,714		$	(76,903,445	)	$	623,031,502
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	—	$	6,240,951	$	—	$	40,951	$	—	$	—		$	(1,041,998	)	$	5,198,953
GMO Emerging Markets Fund, Class VI		8,499,013		1,307,764		6,920,000		140,287		—		2,565,509			(3,130,180	)		2,322,106
GMO International Equity Fund, Class IV		37,111,417		3,020,525		4,501,227		2,355,525		—		906,359			(1,126,344	)		35,410,730
GMO-Usonian Japan Value Creation Fund, Class VI		3,494,510		932,512		300,000		234,255		313,228		54,601			(630,409	)		3,551,214
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		4,589,809		1,005,694		200,000		137,941		867,753		59,452			(599,064	)		4,855,891
GMO Quality Fund, Class VI		10,925,424		1,013,581		1,935,029		138,267		595,314		584,705			366,880			10,955,561
GMO U.S. Equity Fund, Class VI		14,166,705		3,046,910		1,012,000		211,101		2,835,809		108,882			(904,419	)		15,406,078
GMO U.S. Small Cap Value Fund, Class VI		9,343,101		3,645,174		2,290,000		131,513		2,749,476		612,040			(2,233,060	)		9,077,255
Totals	$	88,129,979	$	20,213,111	$	17,158,256	$	3,389,840	$	7,361,580	$	4,891,548		$	(9,298,594	)	$	86,777,788
Global Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	—	$	131,865,255	$	—	$	865,255	$	—	$	—		$	(22,016,417	)	$	109,848,838
GMO Emerging Markets Fund, Class VI		451,468,804		19,614,162		183,819,854		12,614,161		—		38,694,971			(91,664,008	)		234,294,075
GMO International Equity Fund, Class IV		546,831,021		74,817,891		55,733,599		35,688,131		—		3,799,652			(11,312,404	)		558,402,561
GMO-Usonian Japan Value Creation Fund, Class VI		65,011,818		10,013,020		—		4,296,687		5,716,332		—			(10,953,484	)		64,071,354
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		81,133,477		18,151,018		425,000		2,499,466		15,651,552		92,449			(9,954,614	)		88,997,330

210

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Equity Allocation Fund (continued)
GMO Quality Fund, Class VI	$	220,601,446	$	22,813,678	$	44,913,480	$	2,707,590		$	11,606,089	$	12,195,563		$	7,254,533		$	217,951,740
GMO U.S. Equity Fund, Class VI		104,407,865		66,489,297		17,349,462		1,841,963			23,939,506		2,194,567			(12,749,243	)		142,993,024
GMO U.S. Small Cap Value Fund, Class VI		177,879,688		52,395,871		37,911,368		2,382,944			49,883,145		10,700,673			(39,346,833	)		163,718,031
Totals	$	1,647,334,119	$	396,160,192	$	340,152,763	$	62,896,197		$	106,796,624	$	67,677,875		$	(190,742,470	)	$	1,580,276,953
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	35,272,723	$	285,385,262	$	308,020,526	$	—	*	$	—	$	(64,989	)	$	(63,382	)	$	12,509,088
International Development Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	—	$	21,306,878	$	1,271,953	$	133,498		$	—	$	(4,299	)	$	(3,308,186	)	$	16,722,440
GMO Emerging Markets Fund, Class VI		22,008,788		3,566,832		25,561,606		80,440			—		1,860,875			(1,874,889	)		—
GMO International Equity Fund, Class IV		194,337,465		30,437,490		17,087,086		13,530,307			—		615,101			(4,054,296	)		204,248,674
GMO-Usonian Japan Value Creation Fund, Class VI		8,953,179		3,215,403		968,645		648,039			863,345		45,325			(1,724,882	)		9,520,380
Totals	$	225,299,432	$	58,526,603	$	44,889,290	$	14,392,284		$	863,345	$	2,517,002		$	(10,962,253	)	$	230,491,494
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	—	$	65,445,178	$	3,635,357	$	405,419		$	—	$	(97,086	)	$	(10,296,788	)	$	51,415,947
GMO Emerging Markets Fund, Class VI		354,876,079		19,914,562		134,809,900		10,379,256			—		24,646,395			(69,472,280	)		195,154,856
GMO International Equity Fund, Class IV		470,885,277		54,458,761		116,174,095		28,234,303			—		(8,785,783	)		3,778,525			404,162,685
GMO-Usonian Japan Value Creation Fund, Class VI		35,577,814		5,868,368		8,127,989		2,089,765			2,744,179		908,239			(5,984,794	)		28,241,638
Totals	$	861,339,170	$	145,686,869	$	262,747,341	$	41,108,743		$	2,744,179	$	16,671,765		$	(81,975,337	)	$	678,975,126
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	19,111,645	$	356,555	$	19,908,092	$	146,742		$	209,814	$	(739,751	)	$	1,179,643		$	—
GMO Emerging Country Debt Fund, Class VI		—		14,030,856		3,900,000		547,541			75,223		(252,892	)		(1,771,584	)		8,106,380
GMO Emerging Markets ex-China Fund, Class VI		—		18,622,193		680,000		122,192			—		(681	)		(2,995,515	)		14,945,997
GMO Emerging Markets Fund, Class VI		132,412,873		5,069,583		99,650,000		1,869,583			—		9,282,378			(16,394,137	)		30,720,697
GMO International Equity Fund, Class IV		68,841,799		12,635,570		50,800,000		2,635,570			—		4,604,997			(3,447,225	)		31,835,141
GMO Multi-Sector Fixed Income Fund, Class IV		—		7,059,876		400,000		—			—		(12,896	)		(204,208	)		6,442,772
GMO Opportunistic Income Fund, Class VI		16,234,952		161,329		16,364,876		161,329			—		320,688			(352,093	)		—
GMO Quality Fund, Class VI		31,416,895		1,025,777		22,510,000		183,484			842,293		4,236,119			(1,217,042	)		12,951,749
GMO U.S. Equity Fund, Class VI		29,319,352		10,710,369		20,900,000		213,659			2,996,710		1,957,221			(1,554,863	)		19,532,079
GMO U.S. Small Cap Value Fund, Class VI		41,144,715		6,062,227		29,300,000		270,331			5,791,896		6,682,742			(8,302,981	)		16,286,703

211

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2022

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Strategic Opportunities Allocation Fund (continued)
GMO U.S. Treasury Fund	$	2,500,173	$	82,961,092	$	80,917,173	$	6,564	$	5,173	$	(25,591	)	$	(8,999	)	$	4,509,502
Totals	$	340,982,404	$	158,695,427	$	345,330,141	$	6,156,995	$	9,921,109	$	26,052,334		$	(35,069,004	)	$	145,331,020

* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $103,230 and $366,611 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the year.

11. Subsequent events

Subsequent to February 28, 2022, GMO Global Asset Allocation Fund received redemption requests in the amount of $157,664,189.

212

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, and GMO Strategic Opportunities Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, and GMO Strategic Opportunities Allocation Fund (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2022, the related statements of operations for the year ended February 28, 2022, the statements of changes in net assets for each of the two years in the period ended February 28, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2022 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

Our procedures included confirmation of securities owned as of February 28, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 27, 2022

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

213

GMO Trust Funds

Fund Expenses

February 28, 2022 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2022.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and supplemental support fees to Class MF 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, September 1, 2021 through February 28, 2022.

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. 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 September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI		$1,000.00		$1,004.50		$5.77		$1,000.00		$1,019.04		$5.81		1.16%
Class R6		$1,000.00		$1,004.50		$5.86		$1,000.00		$1,018.94		$5.91		1.18%
Class I		$1,000.00		$1,003.40		$7.01		$1,000.00		$1,017.80		$7.05		1.41%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$992.60		$4.99		$1,000.00		$1,019.79		$5.06		1.01%
Class IV		$1,000.00		$992.90		$4.74		$1,000.00		$1,020.03		$4.81		0.96%
Class MF		$1,000.00		$992.70		$4.74		$1,000.00		$1,020.03		$4.81		0.96%
Class R6		$1,000.00		$992.50		$4.99		$1,000.00		$1,019.79		$5.06		1.01%
Class I		$1,000.00		$992.00		$5.53		$1,000.00		$1,019.24		$5.61		1.12%
Benchmark-Free Fund
Class III		$1,000.00		$992.40		$1.63		$1,000.00		$1,023.16		$1.66		0.33%
Global Asset Allocation Fund
Class III		$1,000.00		$948.30		$3.14		$1,000.00		$1,021.57		$3.26		0.65%
Class R6		$1,000.00		$948.30		$3.14		$1,000.00		$1,021.57		$3.26		0.65%
Class I		$1,000.00		$948.00		$3.62		$1,000.00		$1,021.08		$3.76		0.75%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$956.00		$2.57		$1,000.00		$1,022.17		$2.66		0.53%
Global Equity Allocation Fund
Class III		$1,000.00		$936.30		$2.83		$1,000.00		$1,021.87		$2.96		0.59%
Class R6		$1,000.00		$936.30		$2.83		$1,000.00		$1,021.87		$2.96		0.59%
Class I		$1,000.00		$935.80		$3.31		$1,000.00		$1,021.37		$3.46		0.69%

214

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2022 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Implementation Fund
Core		$1,000.00		$999.70		$1.14		$1,000.00		$1,023.65		$1.15		0.23%
International Developed Equity Allocation Fund
Class III		$1,000.00		$942.60		$3.08		$1,000.00		$1,021.62		$3.21		0.64%
Class R6		$1,000.00		$942.60		$3.08		$1,000.00		$1,021.62		$3.21		0.64%
International Equity Allocation Fund
Class III		$1,000.00		$907.80		$3.17		$1,000.00		$1,021.47		$3.36		0.67%
Class R6		$1,000.00		$907.80		$3.17		$1,000.00		$1,021.47		$3.36		0.67%
SGM Major Markets Fund
Class III		$1,000.00		$992.40		$4.94		$1,000.00		$1,019.84		$5.01		1.00%
Class VI		$1,000.00		$992.70		$4.50		$1,000.00		$1,020.28		$4.56		0.91%
Class I		$1,000.00		$991.30		$5.43		$1,000.00		$1,019.34		$5.51		1.10%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$970.60		$2.54		$1,000.00		$1,022.22		$2.61		0.52%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2022, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

215

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2022 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2022:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)		Qualified Dividend Income (non-corporate shareholders)(1)		U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income(3) ($)		Short- Term Capital Gain Dividends(3) ($)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid(4) ($)		Foreign Source Income(4) ($)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Alternative Allocation Fund		17.56%		41.19%		—		—		10,919,589		1,702,095		—		—		—
Benchmark-Free Allocation Fund		16.98%		99.91%		—		7,265,341		—		—		13,224,292		125,011,373		771,732
Benchmark-Free Fund		6.76%		60.22%		—		1,870,521		—		—		—		—		29,531
Global Asset Allocation Fund		6.92%		32.95%		1.83%		1,070,001		—		—		666,595		5,323,655		2,620
Global Developed Equity Allocation Fund		8.63%		38.23%		—		115,873		193,464		3,777,166		33,473		289,074		599
Global Equity Allocation Fund		6.99%		38.85%		—		53,845,253		155,669		513,707		2,122,745		16,938,839		10,862
Implementation Fund		14.15%		83.25%		—		5,788,914		—		—		14,952,196		149,411,521		771,732
International Developed Equity Allocation Fund		—		66.34%		—		82,769		173,679		499,169		48,637		462,749		—
International Equity Allocation Fund		—		64.68%		—		231,156		—		—		1,664,754		13,097,127		—
SGM Major Markets Fund		—		—		8.19%		1,885,610		—		17,533,030		—		—		—
Strategic Opportunities Allocation Fund		4.72%		23.82%		—		4,549,479		18,700,637		30,452,964		703,921		6,131,027		5,961

⁽¹⁾ Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾ All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾ These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest related dividend amounts could include short-term capital gain distributions received from underlying funds.

⁽⁴⁾ The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

⁽⁵⁾ The Funds hereby designate the above qualified business income under Section 199A of the Code.

In early 2023, the Funds will notify applicable shareholders of amounts for use in preparing 2022 U.S. federal income tax forms.

216

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2022. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*	Number of Portfolios in Fund Complex1 Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		30	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Professor of Finance (Since July 1, 2011) and Peter Moores Dean and Professor of Finance (July 1, 2011 – June 30, 2021) University of Oxford, Said Business School		30	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired.		30	Trustee of HIMCO Variable Insurance Trust (27 Portfolios) (April 2014 – April 2019).
Interested Trustee and Officer
Carolyn Haley2 YOB: 1966	Trustee; President of the Trust	Trustee and President since June 2021.	Head of Global Operations and Finance, Head of Operations, Co-Head of Operations, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – Present).		30	None.

¹  The Fund Complex includes series of each of GMO Trust.

²  Ms. Haley is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of her positions with the Trust and GMO indicated in the table above and her interest as a member of GMO.

217

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Carolyn Haley YOB: 1966	Trustee, President of the Trust	Trustee and President since June 2021	Head of Global Operations and Finance, Head of Operations, Co-Head of Operations, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – Present).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present). Head of Fund Reporting, Risk and Controls and Proxy Voting (October 2021 to present), Grantham, Mayo, Van Otterloo & Co. LLC.
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – November 2020). Treasury and Payables Manager, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007-July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

218

AR-022822-AA

Item 2. Code of Ethics.

As of February 28, 2022, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 28, 2022 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

(a) AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2022 and 2021 were $1,438,194 and $1,379,851, respectively.

(b) AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2022 and 2021 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $31,227 and $107,695, respectively. The aggregate fees billed in 2022 and 2021 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $336,225 and $394,551, respectively.

(c) TAX FEES: The aggregate fees billed to the registrant in 2022 and 2021 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $544,982 and $517,625, respectively. The aggregate fees billed in 2022 and 2021 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d) ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2022 or 2021.

(e) (1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e) (2) None.

(f) Not applicable.

(g) NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2022 and 2021 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $947,435 and $1,054,871, respectively. For the fiscal year ended February 28, 2022, this amount reflects the amounts disclosed above in Item 4(b), (c), (d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 28, 2021, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

* Includes information regarding all series of GMO Trust.

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 annual 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

(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/ Tara Pari
	Tara Pari, Chief Executive Officer
	Date: May 3, 2022

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.

By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Principal Executive Officer
	Date: May 3, 2022

By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: May 3, 2022